报告题目：Overreaction in Intra-industry Information Transfers: Evidence from Implied Volatility Changes around Earnings Announcement

报告人：黄金波教授(深圳大学)

时  间：2025年12月5日15:00-17:00

地  点：av资源 创新港涵英楼5-8121会议室

报告人简介：

黄金波，现任深圳大学经济学院教授，博士生导师，广东省珠江学者，广东省杰青，入选深圳市“鹏城孔雀计划”，曾为广东财经大学“南岭学者”青年拔尖人才，金融工程(省一流)专业负责人，《金融工程学》(省一流)课程建设负责人。研究方向为金融工程与风险管理，当前研究兴趣是我国期权价格隐含信息的提取与应用。近年来在国内外经济管理类核心期刊Journal of Economic Dynamics and Control、Journal of Banking and Finance、Journal of Empirical Finance、《管理科学学报》《系统工程理论与实践》《中国管理科学》《统计研究》和《经济研究》等上发表学术论文40余篇。主持国家社科基金重大项目子课题、国家自然科学基金、教育部人文社会科学规划基金、中国博士后科学基金、广东省自然科学基金和广东省哲学社会科学基金等课题15项。获得广东省哲学社会科学优秀成果奖一等奖、二等奖，广东省优秀金融科研成果论文类一、二、三等奖。目前兼任国家自科基金和国家社科基金同行评议专家。

摘要：

This paper explores how investor behave in response to risk (uncertainty) in the information transfer within an industry, focusing particularly on earnings announcements as key information events. Using option implied volatility, derived from option prices, as a proxy for investor uncertainty, we find that changes in the implied volatility of second announcers within an industry, in response to the earnings announcements of first announcers, exhibit a negative association with subsequent changes in implied volatility following their own earnings disclosures. This negative relationship persists even after controlling for first-moment variables such as returns and firm-specific characteristics, suggesting that investors overreact to information transmission. Furthermore, this overreaction is more pronounced for put options and is particularly evident under specific conditions: when the first announcer exhibits low earnings quality, reports negative earnings surprises, releases the announcement on a non-Friday, or during periods of non-economic recession. These results imply that investors in option markets overestimate the uncertainty of the second firm, which has not yet announced its earnings, based on information from the first firm’s earnings announcement, and that this price distortion exhibits a corrective dynamic as subsequent earnings announcements by follower firms provide updated information to resolve information asymmetries.