Finance Seminar（2019-30)

Topic: Attention, Uncertainty Reduction and Pre-announcement Premium in China

Speaker: Dun Jia, Renmin University of China

Time: Wednesday, 6 November, 10:00-11:30

Location: Room 217, Guanghua Building 2

Abstract:

This paper examines Chinese stock market returns in an environment in which the dates of central bank's information supply through public announcements are not pre-fixed. We document that positive excess returns accumulate for 3 days before China's central bank releases data of monetary aggregates, which may be announced either early or late in a month. This pre announcement premium appears sizable, has a longer duration than that of the pre-FOMC premium in the U.S., and is not driven by potential data leakages or expectation changes. We present a model to account for this premium by highlighting the channel of investors' information demand given unscheduled deliveries of announcements. As investors with limited attention find it optimal to learn about data ahead of announcements, increasingly focused attention drives down market uncertainty and boosts equity prices. We show that China's setting of "quasischeduled" central bank announcements provides the exact data structure for us to test the key model mechanism of an information demand channel, which helps rationalize the empirics found for both China and the U.S.

Introduction：

贾盾，中国人民大学汉青经济与金融高级研究院助理教授，研究兴趣包括宏观经济学、国际金融、宏观资产定价、中国经济。当前工作包括：度量货币政策的市场沟通效率并量化信息摩擦之于货币政策有效性；基于高频跨境电商贸易数据分析汇率传递机制和货币政策溢出效应；在具有异质性的一般均衡模型框架内探索不完备信息和不确定性对于厂商投资效率，就业市场，信贷错配的影响。其工作论文多次入选国际顶级经济学、宏观、金融学会议包括ASSA Meetings, Society of Economic Dynamics (SED) Annual Conference,中国金融学术年会，中国金融国际年会等，已完成论文发表于《金融研究》。2016年获得马里兰大学经济学博士学位，曾短期于世界银行、纽约尼尔森公司、纽约奥本海默基金公司担任分析师。

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