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SUMMARY:Uncertainty about What's in the Price
DTSTART:20230317T103000
DTEND:20230317T120000
DTSTAMP:20260916T064704Z
UID:b273ea44a2ebe1782833d7ce335bee9acf2de719d3169bbcbe8ef326
CATEGORIES:Conferences - Seminars
DESCRIPTION:Joel Peress - INSEAD\nA critical question facing speculators c
 ontemplating to trade on private information is whether their signal has a
 lready been priced in by the market. In our model\, speculators assess the
  novelty of their information based on recent price movements\, and market
  makers are aware that speculators might be trading on stale news. An asym
 metric response to past price movements ensues: after price increases\, bu
 y volume—because it may result from stale news trading—has a lower pri
 ce impact than sell volume (and vice versa after price decreases). Consequ
 ently\, return skewness is negatively related to lagged returns. We find s
 trong support for these and other predictions using a comprehensive sample
  of US stocks.
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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