北京大学金融午餐讨论会第20期
information asymmetry, “t 1” trading and overnight return puzzle
主讲人：姜浩博（北京大学经济学院金融学系博士生，研究方向为市场微观结构和资产定价）
题目：information asymmetry, “t 1” trading rule and overnight return
时间：2024年3月7日周四12:00-13:30
地点： 北京大学经济学院107会议室
摘要：
our research suggests that the "t 1" trading rule exacerbates the adverse selection problem for liquidity providers who buy (blp, slp for seller), providing insights into the puzzle of negative overnight returns in the chinese stock market. t 1 trading, which prohibits same-day selling, constrains stop-loss strategies for blp, leading to more losses in trades with informed traders. the resulting asymmetry in adverse selection between blp and slp leads to a discount on the daily opening price, which diminishes gradually during intraday as the "t 1" rule becomes less restrictive, contributing to negative overnight returns. in line with information asymmetry, our findings indicate that stocks with small market capitalization, limited analyst coverage, and those nearing earning announcements tend to demonstrate more negative overnight returns. furthermore, we introduce a theoretical model to establish a structured framework for our analysis.
供稿单位：经济学院金融系
供稿人：姜浩博