Topic: Measuring the term structure of asset returns informativeness

Speaker: Vincent Grégoire, Associate Professor, HEC Montréal

Time: 10:00am-11:30am, April 23

Location: 4-101

Abstract:

We introduce excess informativeness, a new measure of the term structure of return informativeness, and apply it to earnings announcements, intraday vs. overnight returns, and macroeconomic news. At the stock level, earnings announcement days are up to 15 times more informative than non-announcement days at annual horizons, with effects present for both small and large firms. In contrast, this pattern does not hold for the S&P 500: days when a large fraction of its firms report earnings are no more informative at short horizons and are less informative at longer ones. Overnight returns are generally less informative than intraday returns, but the gap has narrowed and is no longer sig- nificant in recent years. Macroeconomic announcements do not affect informativeness for the S&P 500. In Treasury markets, FOMC days are consistently less informative beyond one-week horizons for long maturities. GDP releases raise informativeness at long horizons for short maturities, while unemployment announcements do so at medium horizons for long maturities.

Speaker Biography:

Vincent Grégoire is an associate professor of finance at HEC Montréal. His research interests include information economics, market microstructure, big data and machine learning applications in finance, fintech, and cybersecurity in finance. He is a researcher at the Multidisciplinary Institute for Cybersecurity and Cyber Resilience (IMC²) and IVADO, and a collaborator at Fin-ML. He is co-president of the Northern Finance Association for 2024-2025.