24 Oct 2024
14:30 -15:45
Times are shown in local time.
Open to: All
Room W4.04 (Cambridge Judge Business School)
Trumpington St
Cambridge
CB2 1AG
United Kingdom
Even though firm-specific information releases account for the majority of stock-return variance, little is known about what moves prices within the information release days themselves. Employing an intraday return variance decomposition model, we document a striking pattern of what moves prices around earnings and dividend change announcements.
Although these windows contain significant public information, the role of private firm information increases most markedly during regular trading hours, diminishing the influence of market information and noise. Private information trading is further heightened for unanticipated events and for those events with lower processing costs. Finally, we show that private information trading around earnings announcements is associated with faster price discovery and less synchronicity with the broader market, suggesting enhanced market efficiency. Our findings offer new insights into the mechanisms of price formation around information releases and underscore the critical role of private information in market dynamics.
Nathan Marshall is an Associate Professor in the Leeds School of Business at the University of Colorado Boulder. His research largely focuses on the intersection of financial accounting and the capital markets, with a particular emphasis on the communication, dissemination and processing of corporate information and the role of information intermediaries in this process.
Broadly speaking, Nathan’s research speaks to the following topics:
Prior to beginning his academic career, Nathan was a manager at the litigation consulting firm The Kenrich Group in Chicago, Illinois. He worked as a litigation consultant for six years, primarily calculating and quantifying corporate damages from contractual disputes. Nathan also worked as a credit analyst for Standard Federal Bank prior to his consulting work.
Nathan is a certified public accountant in the State of Illinois. Nathan currently teaches Principles of Accounting I (BCOR 2203) in the Leeds School of Business
No registration required. If you have any questions about this seminar, please email Emily Brown.