题 目：The Higher They Fly, The Harder They Fall

报 告 人：Jialin Yu, HKUST

时 间：2013年5月9日（周四）10:00---11:30

地 点：J9集团国际站2号楼217室

Abstract:Stocks with better past returns crash more than other stocks during the flash crash on May 6, 2010. Using micro-level institutional trading data, we find evidence supportive of theories linking crashes to heterogeneous investors. The evidence provides stronger support for crash theories based on information revelation than crash theories based on risk aversion.