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    漢青論壇第298期:12月13日 向鴻PhD Candidate
    (漢青經濟與金融高級研究院發布于:2019-12-11 15:07:52)

    漢青論壇第298期:12月13日 向鴻PhD Candidate

    本期主題:Noise Trading and Asset Pricing Factors



    We demonstrate that a large set of asset pricing factors (anomalies) are significantly exposed to “noise trader" risk, which arises from uninformative demand shifts of mutual fund investors. Mutual fund investors are largely ignorant about systematic factors and respond to simple signals when allocating capital to mutual funds. We measure the uninformed demand of factors by aggregating flow-induced trades of individual stocks underlying the factors. We find that mutual funds’ flow-induced trading significantly determines average returns, volatilities, and comovements among the well-studied factors, indicating that these factors are exposed to “noise trader" risk.  Importantly, we show that this flow-driven “noise trader" risk is significantly priced by arbitrageurs and other investors.

    報告人:向鴻,PhD Candidate , 香港大學

    時間:12月13日(周五) 12:15




    Hong Xiang is currently a PhD candidate at Faculty of Business and Economics, The University of Hong Kong. His research interest is Empirical Asset Pricing.

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