講座題目：Where Does Money Flow? A Tale of Two Manager Abilities and The Role of Market Volatility

講座時(shí)間：2023年7月21日（星期五）14：00-15：30

講座方式：博學(xué)925  & 騰訊會(huì)議ID：680-324-753

主講人：韓冰，加拿大多倫多大學(xué)羅特曼管理學(xué)院金融學(xué)教授，多倫多證券交易所資本市場(chǎng)講座教授

韓冰教授的主要研究領(lǐng)域是資產(chǎn)定價(jià)，投資，行為金融學(xué)，房地產(chǎn)金融。他的多篇論文發(fā)表在頂級(jí)經(jīng)濟(jì)，金融和管理學(xué)學(xué)術(shù)雜志上，包括Journal of Finance, Journal of Financial Economics，Review of Financial Studies， Review of Economic Studies，International Economic Review, Journal of Economic Theory，Management Science等。他的研究成果受到《紐約時(shí)報(bào)》、《華爾街日?qǐng)?bào)》、《華盛頓郵報(bào)》、《經(jīng)濟(jì)學(xué)人》等媒體的專(zhuān)訪和報(bào)導(dǎo)。韓冰教授獲得了眾多國(guó)際知名學(xué)術(shù)獎(jiǎng)項(xiàng)，包括歐洲金融協(xié)會(huì)最佳論文獎(jiǎng)，中國(guó)金融協(xié)會(huì)會(huì)議最佳論文獎(jiǎng)，美國(guó)個(gè)人投資者協(xié)會(huì)在資產(chǎn)定價(jià)研究中獲優(yōu)秀論文獎(jiǎng)，上海風(fēng)險(xiǎn)論壇最佳論文獎(jiǎng), 中國(guó)國(guó)際金融與政策論壇杰出論文獎(jiǎng), 全球金融專(zhuān)業(yè)人士協(xié)會(huì)終身成就獎(jiǎng)。韓冰教授現(xiàn)任Financial Management，Journal of Economic Dynamics and Control，Journal of Empirical Finance，International Review of Finance和Pacific-Basin Finance Journal主編和副主編。

講座摘要：

We analyze a rational model of mutual fund flows where Bayesian investors learn about managers' stock selection and market timing abilities. The model predicts that the sensitivity of fund flows to stock selection ability (resp. market timing ability) increases (resp. decreases) with market volatility. Empirically, we find mutual fund flows are significantly positively related to mutual funds’ stock selection and market timing abilities, but investors' responses to the two abilities move in opposite directions with change in market volatility. With an increase in market volatility, there are more inflows to funds with stock selection ability but fewer inflows to funds with market timing ability. Our results are robust to controlling for known determinants of mutual fund flows, including various fund characteristics, Morningstar ratings, and several behavioral biases. They are distinct from patterns in mutual funds’ flow-performance sensitivity driven by fund return volatility, uncertainty about fund's exposure to systematic risk (market states), average fund idiosyncratic risk (cross-sectional fund return dispersion).