題 目：Information Uncertainty and Expected Returns
主講人：姜國(guó)華教授 北京大學(xué)
時(shí) 間：12月7日上午8:30-10:00
地 點(diǎn)：中心教學(xué)樓1003
主講人簡(jiǎn)介：
北京大學(xué)光華偉德國(guó)際1946bv官網(wǎng)會(huì)計(jì)學(xué)教授，會(huì)計(jì)系副主任，博士生導(dǎo)師，MPACC項(xiàng)目執(zhí)行主任、財(cái)務(wù)分析與投資理財(cái)研究中心執(zhí)行主任，中國(guó)會(huì)計(jì)學(xué)會(huì)財(cái)務(wù)成本分會(huì)第六屆理事會(huì)常務(wù)理事、中國(guó)會(huì)計(jì)學(xué)會(huì)教育專業(yè)委員會(huì)委員。先后從北京大學(xué)、香港科技大學(xué)、加利福尼亞大學(xué)伯克利分校獲得經(jīng)濟(jì)學(xué)學(xué)士（1995年）、碩士（1997年）和博士學(xué)位（2002年）。主要探索會(huì)計(jì)信息的產(chǎn)生過程及其在資本市場(chǎng)上的應(yīng)用，其研究成果發(fā)表在Review of Accounting Studies、Journal of Accounting and Public Policy,Journal of Business and Economic Statistics、Journal of Banking and Finance、International Journal of Accounting、《經(jīng)濟(jì)研究》、《管理世界》、《經(jīng)濟(jì)科學(xué)》、《會(huì)計(jì)研究》、《金融學(xué)季刊》、《審計(jì)研究》、《中國(guó)會(huì)計(jì)評(píng)論》、《數(shù)理統(tǒng)計(jì)與管理》等一流國(guó)內(nèi)、外學(xué)術(shù)雜志上。姜博士是財(cái)政部全國(guó)高級(jí)會(huì)計(jì)人才培養(yǎng)項(xiàng)目（學(xué)術(shù)類）成員。
內(nèi)容簡(jiǎn)介：
This study examines the role of information uncertainty (IU) in predicting cross-sectional stock returns. We define IU in terms of value ambiguity, or the precision with which firm value can be estimated by knowledgeable investors at reasonable cost. Using several different proxies for IU, we show that: (1) On average, High-IU firms earn lower future returns(the mean effect), and (2) Price and earnings momentum effects are much stronger among high-IU firms (the interaction effect). These findings are consistent with theoretical models that feature investor overconfidence (Daniel et al. (1998)) and informational cascades (Bikhchandani et al. (1992)). Specifically, our evidence indicates that high IU exacerbates investor overconfidence and limits rational arbitrage.
