Brown Bag Seminar - Pan Yiming (Vienna University of Economics and Business)

We are pleased to welcome Pan Yiming (Vienna University of Economics and Business) as our speaker.

He will present his paper “Short Sale Constraints and the Return Predictability of Idiosyncratic Variance: Evidence from Crypto Perpetuals” (co-authored with Jia Zhai, Xi’an Jiaotong Liverpool University).

Abstract:

Why does idiosyncratic variance predict low returns? We study cryptocurrencies, where access to short selling expanded on a coin-by-coin basis. Upside idiosyncratic variance predicts low next-day returns primarily among coins that cannot be shorted. This predictability stems from large idiosyncratic price movements of either sign, with recent shocks contributing more than older ones. Prices subsequently reverse after upside shocks and continue to fall after downside shocks. For the same coin, access to short selling reduces the week-long reversal following upside shocks by 2.5 percentage points—about three-quarters of its average magnitude. The evidence is consistent with short-selling constraints delaying price adjustment, such that idiosyncratic variance predicts low returns because it reflects recent shocks for which the adjustment remains incomplete.

The Brown Bag Seminar will take place on November 4, 2026, from 11:45 a.m. to 12:45 p.m. in Room D4.4.008.