Доцент МИЭФ С.В. Гельман выступил с докладом в Центральном банке Республики Сербия

13 июня доцент МИЭФ Сергей Гельман выступил с докладом в Центральном банке Республики Сербия (National Bank of Serbia) на тему "Firm-specific uncertainty around earnings announcements and the cross-section of stock returns".

Тезисы доклада: We examine whether the firm-specific component of ex-ante earnings-related uncertainty is a priced characteristic for stocks. We use option-implied expected earnings announcement day jump variance as the measure for uncertainty and extract the firm-specific component by isolating the portion, correlated with the squared market risk sensitivity. Time series asset pricing tests, applied to the portfolios sorted on firm-specific earnings-related uncertainty, yield that this measure has explanatory power for stock returns: We find economically and statistically significant returns in excess of both the Carhart (1997) model and Fama-French (2015) model predictions for a portfolio which loads on firm-specific earnings-related uncertainty. We show that this result is driven by large cap stocks and is independent of operating profitability.