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Financial Department's Lecture

Topic:     The More We Know, the Less We Agree: A Test of the Trading Horizon Heterogeneity Theory

Speaker:Jerry Parwada  University of New South Wales

Time:      10:00 Oct.27 2017

Place:      Room509,Mingde Main Building


This paper examines the Kondor (2012) theoretical explanation of an enduring puzzle: trading volumes and stock return volatility peak after the release of public information. Using a comprehensive data set of institutional holdings and earnings announcements, we find supporting evidence that the proportion of short-term investors is positively associated with post-announcement spikes in trading volume and return volatility. This finding survives in the identification test based on the annual reconstitutions of the Russell 1000 and 2000 indices. We also rule out several alternative explanations related to the constitution of institutional investors, informed trading, and heterogeneous beliefs.


Professor Jerry Parwada is the Head of Banking and Finance in the UNSW Business School at the University of New South Wales, Sydney, Australia. Jerry’s doctorate from Edith Cowan University is on the behaviour of asset flows in the investment management industry. His research specialises in funds management and financial markets and has been published in internationally renowned finance journals, including Journal of Accounting Research, Journal of Financial and Quantitative Analysis and Financial Management. He has prior investment banking experience and is an active consultant to industry on issues relating to managed funds and valuation. He sits on the Finsia Institutional Markets Advisory Council and has served, since 2012, on the Credit Suisse Endowment Advisory Council. He is a regular speaker at local and international finance conferences. He was educated at St Ignatius College (Zimbabwe) and holds a BCom (Hons) from NUST (Zimbabwe), an MPhil from UNSW, and MBA and PhD degrees from Edith Cowan University.