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

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

Risk Seminar
Sep 11, 2018, 11:00 AM - 12:30 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Tamas Batyi, UC Berkeley (Speaker - Featured)
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...