【主讲】庄额嘉 (助理教授，武汉大学经济与管理学院)
【主题】Is Bad News Really Bad News? Covariate Assisted Investment Decision under Risk Changes
【时间】2018年12月18日 (周二) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】Hollifield and Kraus (2009, Management Science) propose a definition for bad news: changes in return distributions that decrease both investors' expected utility and asset demand. In this paper, we extend their definition to the conditional bad news, changes in return distributions conditional on market information that decrease both investors' expected utility and asset demand, a notion much more relevant to investors. This new definition is important, because investment decisions are made, without exception, when investors are aware of the market status. Furthermore, we provide a probability characterization of the conditional bad news and formulate a test for statistically validation, with a re-sampling procedure to practically implement the test. Simulation studies show that the proposed test has nice finite sample performance. Interesting findings are revealed when the test is applied in real data analysis on those events that are conventionally viewed as ``bad news''.
