學術講座：Mutual Fund Market Share and Alpha Decay
日期：2017-09-11 | 訪問量：
學術講座：Mutual Fund Market Share and Alpha Decay
講座題目：Mutual Fund Market Share and Alpha Decay 時間：2017年9月12日 13:30-15:00 地點：博學925 講座內(nèi)容： I build a continuous-time model of intertemporal, rational investment decision to study how mutual fund investors reallocate their assets among different mutual funds over time. In my model, instead of assuming the expected fund alpha to be a constant, it follows a mean-reverting process, which presents a certain level of persistence. Consistent with the implications of my model, if I use mutual fund market share (the total net assets of a fund style divided by the total US stock market capitalization) as a proxy for mutual fund investors' holding position, I find that the change in mutual fund market share is positively and significantly correlated with the change in the expected fund alpha at fund style level. Furthermore, the change in the expected fund alpha exhibits greater explanatory power than the change in the realized CAPM alph does in explaining the a change in fund market share. 主講人： 楊春柳， INSEAD (英士國際商學院) 金融學博士在讀，預計于2018年7月畢業(yè)。曾就讀于浙江大學數(shù)學與應用數(shù)學專業(yè)并于 2009年獲理學學士，之后就讀于中國人民大學金融學專業(yè)并于2012年獲得碩士學位。她的研究興趣包括資產(chǎn)定價，信息經(jīng)濟學，資產(chǎn)管理，共同基金等。她的研究課題包括 “共同基金投資者是否有能力從歷史基金收益回報率中學習并提取有效的信息來做出理性的投資決策” ，“共同基金經(jīng)理是否會通過提高交易策略的下限風險 (downside risk) 來吸引更多的投資者”等。