【嘉宾】潘冠中 博士（云南财经大学教授、Washington State University 博士候选人）

【主题】Pre-announcement Premium

【时间】2018年12月26日（周三）15:00

【地点】威廉希尔williamhillB401会议室

【摘要】The literature documents large market excess returns prior to pre-scheduled FOMC announcements. Yet, such large returns are typically associated with low return volatility, posing challenges for conventional asset pricing theory. In this paper, we propose a model of pre-scheduled announcement with heterogeneous informed traders to examine the determinants of trading volume and pre-announcement premium. The model predicts that pre-announcement premium is positively related to uncertainty in the upcoming announcements. Informed trading attenuates pre-announcement premium as it helps incorporate information into asset prices. However, the effect of informed trading is subject to the constraint of liquidity provision by uninformed investors. Using data on pre-scheduled macroeconomic news announcements during stock market trading hours, we provide empirical evidence largely consistent with model predictions. Specifically, using VIX as a proxy of information uncertainty, we show that changes of VIX during the pre-announcement period have a significant explanatory power of pre-announcement premium. On the other hand, abnormal trading volume has a negative effect on the magnitude of pre-announcement premium. Further decomposing trading activities into informed trading and liquidity shocks, we show that large negative liquidity shocks during the pre-announcement period are also responsible for large excess returns prior to pre-scheduled FOMC announcements.