主题:Starting on the Wrong Foot: Seasonality in Mutual Fund Performance
主讲人:王家国博士
时间:7月4日(周一) 下午3:00
地点:文泉楼北楼9001cc金沙以诚为本303
主讲人简介:
王家国博士,曼彻斯特大学商学院经济与金融学助理教授,纽约大学斯特恩商学院客座研究教授。获吉林大学金融学与管理学双学士学位,澳大利亚墨尔本大学金融学博士学位。
研究方向主要集中在养老金金融、共同基金、动量投资和对冲基金的投资领域的经验资产定价。在国际学术期刊上发表高水平论文文多篇。曼彻斯特大学商学院DBA博士生和硕士生项目负责人。
讲座摘要:
We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.
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