报告主题：信息冲击与股价回报的不对称反应（The timing of information arrival matters: Information shocks and asymmetric market reactions in China）

报告人：熊熊 教授

邀请人：李先能教授、高雅助理教授

报告时间：2022/06/02 14:00

报告地点：腾讯会议：847-851-950 （会议密码：0602）

报告摘要：

Using jumps detected from five-minute data during 1996 to 2018 as the information shock proxy, we find significant underreactions (overreactions) following overnight (intraday) jumps in the Chinese stock market, based on both portfolio-level and cross-sectional studies. Subsample studies based on three attention-related events reveal that attention allocations to two periods could be the reason for asymmetric market reactions. Order imbalance performances from four kinds of trades and the searching behavior of individuals further provide direct evidence of attention allocations and show investors’ behavior is consistent with asymmetric return performances. Robustness tests of firm-specific features reveal the attractions of different jumps, but the timing of information arrival is dominant. Therefore, the findings reveal the role of the timing of information arrivals and support the importance of attention allocations to market reactions in China.

人物简介：

熊熊，天津大学管理与经济学部教授、博士生导师，副主任。主要研究领域是大数据金融，计算实验金融学，企业发展与金融策略等。

任中国系统工程学会副秘书长，金融系统工程专业委员会主任。中国运筹学会决策分会副理事长。中国优选法统筹法与经济数学研究会量化金融与保险分会副理事长。

发表学术论文80余篇，出版专著2部。主持完成了国家自然科学基金等10余项国家、省部级项目。2007年获得教育部“新世纪优秀人才支持计划”。2010年获得天津市青年科技奖。2017年带领“大数据金融量化团队” 入选天津市“高层次创新创业团队” ，2018年入选天津市宣传文化“五个一批”人才， 2020年带领“金融工程与数字金融创新团队”入选天津市“重点领域创新团队”。