學(xué)術(shù)講座：IQ from IP: Simplifying Search in Portfolio Choice

講座題目：IQ from IP: Simplifying Search in Portfolio Choice

主講人：Dong Lou

時間：2018年4月2日（周一）

      中午12：20-13：30

地點：對外經(jīng)貿(mào)大學(xué)博學(xué)樓925

主講人簡介：

樓棟，英國倫敦政治經(jīng)濟學(xué)院金融系，副教授。樓棟教授2009年在耶魯大學(xué)獲得金融學(xué)博士學(xué)位,現(xiàn)擔(dān)任Management Science和 Journal of Empirical Finance的副主編，并在經(jīng)濟政策研究中心(Center for Economic Policy Research)任職研究員。他的研究興趣主要是實證資產(chǎn)定價、行為金融學(xué)和共同基金。樓棟教授的多篇研究成果發(fā)表在Review of Financial Studies和Journal of Financial Economics等金融學(xué)國際頂級期刊上。此外，他還是Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, Journal of Financial and Quantitative Analysis, Management Science, Review of Finance等金融學(xué)頂級期刊的匿名審稿人。

Professor Dong Lou is an Associate Professor in Finance at London School of Economics. He received his PH.D. degree in Finance from Yale University in 2009. He currently serves as the Associate Editor at Management Science and Journal of Empirical Finance and is a research fellow at Center for Economic Policy Research. His research interests include empirical asset pricing, behavioral finance and mutual funds. His research papers have been published on top finance journals, including Review of Financial Studies and Journal of Financial Economics. He also serves as an ad-hoc referee for lots of top finance journals, including Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, Journal of Financial and Quantitative Analysis, Management Science, Review of Finance et al.

講座摘要：

Using a novel database that tracks web traffic on the SEC’s EDGAR servers between 2003 and 2016, we show that mutual funds exert effort to reduce the dimensionality of their portfolio selection problem. Specifically, we show that mutual fund managers’ gather information on a very particular subset of firms and insiders, and their surveillance stays largely unchanged over time. This tracking has powerful implications for their portfolio choice, and its information content. An institution that downloaded an insider-trading filling by a given firm last quarter increases its likelihood of downloading an insider-trading filing on the same firm by more than 41.3 % this quarter, which is 8 times larger than the unconditional probability of an institution downloading at least one insider trading filing in a quarter from any firm in her existing portfolio (4.8%). Moreover, the average tracked stock that an institution sells generates 7.5% annualized DGTW- adjusted alpha, whereas the sale of an average non-tracked stock has close to zero DGTW adjusted alpha. The outperformance of tracked trades continues for a number of quarters following the tracked insider/institution sale and does not reverse within the sample period. Collectively, these results suggest that the information in tracked trades is important for fundamental firm value, and is only revealed following the information-rich dual trading by insiders and linked institutions.