Seminar 217, Risk Management: Capacity constraints in earning, and asset prices before earnings announcements

Risk Seminar
Sep 11, 2018 11:00am to 12:30pm
Location: 
1011 Evans Hall
Status: 
Happening As Scheduled
This paper proposes an asset pricing model with endogenous allocation of constrained learning capacity, that provides an explanation for abnormal returns before the scheduled release of information about firms, such as quarterly earnings announcements. In equilibrium investors endogenously focus their learning capacity and acquire information about stocks with upcoming announcements, resulting in...
Speaker: Tamas Batyi, UC Berkeley (Speaker - Featured)