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中国人民大学 | RENMIN UNIVERSITY of CHINA

发布时间:2019-12-24

汉青论坛第298期:12月13日 向鸿PhD Candidate

(汉青经济与金融高级研究院发布于:2019-12-09 15:59:55)

汉青论坛第298期:12月13日 向鸿PhD Candidate

本期主题: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.


报告人:向鸿,PhD Candidate , 香港大学

时间:12月13日(周五) 12:15

地点:明德主楼515教师交流室

 

报告人简介:

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.


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