• <var id="fiahj"></var>
    <var id="fiahj"><output id="fiahj"></output></var>

    <var id="fiahj"></var><table id="fiahj"></table>
    <input id="fiahj"><rt id="fiahj"><form id="fiahj"></form></rt></input>
  • <table id="fiahj"><menu id="fiahj"></menu></table><sub id="fiahj"></sub>
    山东11选5山东11选5官网山东11选5网址山东11选5注册山东11选5app山东11选5平台山东11选5邀请码山东11选5网登录山东11选5开户山东11选5手机版山东11选5app下载山东11选5ios山东11选5可靠吗
    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

     

    摘要:

    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

    地點:明德主樓515教師交流室

     

    報告人簡介:

    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.


    Copyright © 2005-2020 RUC.EDU.CN
    地址:北京市海淀區中關村大街59號 郵編:100872 京公網安備110402430004號 京ICP備05066828號-1
    Site designed by MONOKEROS & powered by Sina App Engine
    山东11选5{{转码主词}官网{{转码主词}网址