Brown Bag Seminar - Pan Yiming (Wirtschaftsuniversität Wien)

Als Vortragenden dürfen wir Pan Yiming (Wirtschaftsuniversität Wien) begrüßen.

Er wird sein Paper "Short Sale Constraints and the Return Predictability of Idiosyncratic Variance: Evidence from Crypto Perpetuals" (joint with Jia Zhai, Xi’an Jiaotong Liverpool University) vorstellen.

Abstract:

Why does idiosyncratic variance predict low returns? We study cryptocurrencies, where access to short selling expanded coin by coin. Upside idiosyncratic variance predicts low next day returns primarily among coins that cannot be shorted. This predictability comes from large idiosyncratic price moves of either sign, with recent shocks contributing more than older ones. Prices subsequently reverse after upside shocks and continue falling after downside shocks. Within the same coin, access to short selling reduces the week long reversal after upside shocks by 2.5 percentage points, about three quarters of its average magnitude. The evidence is consistent with short sale constraints delaying price adjustment, so that idiosyncratic variance predicts low returns because it records recent shocks whose adjustment remains incomplete.

Das Brown Bag Seminar findet am 4. November 2026 von 11:45-12:45 Uhr im Raum D4.4.008 statt.