报告题目：Disagreement and the Macro Announcement Return

报告所属学科：应用经济学

报告人：范真真（University of Guelph (加拿大)）

报告时间：2024年7月1日 11:00-13:00

报告地点：经管学院702室

报告摘要：

Announcement day returns exhibit substantial variability across different macro variables. This paper argues that the heterogeneity in announcement day returns can be attributed to shifts in investor disagreement of stock returns on macro announcement days. To quantify this disagreement, we introduce a novel measure by examining the distribution function of investor beliefs on S\&P 500 returns using daily index option order imbalances. We then decompose this total disagreement into two components: uncertainty and differential interpretation. The former measures the dispersion in pre-announcement forecasts of macroeconomic news, while the latter captures disparities among investors in their perceptions of how the release of such news influences future stock returns. Our empirical analysis indicates that this decomposition of disagreement effectively accounts for the heterogeneity in announcement-day returns across different macro variables. Finally, we incorporate heterogeneous beliefs into an asset pricing model. Our model suggests that both the resolution of uncertainty and variations in the interpretation of macroeconomic announcements play significant roles in understanding announcement-day return.

报告人简介：

范真真现任University of Guelph (加拿大) Assistant Professor of Finance. 她的研究兴趣包括financial derivatives, international finance, heterogeneous beliefs, textual analysis, empirical asset pricing等方向。她的文章曾发表于JFE, JFQA等金融 UTD, FT 50 期刊。