讲座题目：Where Does Money Flow? A Tale of Two Manager Abilities and The Role of Market Volatility

讲座时间：2023年7月21日（星期五）14：00-15：30

讲座方式：博学925  & 腾讯会议ID：680-324-753

主讲人：韩冰，加拿大多伦多大学罗特曼管理学院金融学教授，多伦多证券交易所资本市场讲座教授

韩冰教授的主要研究领域是资产定价，投资，行为金融学，房地产金融。他的多篇论文发表在顶级经济，金融和管理学学术杂志上，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《纽约时报》、《华尔街日报》、《华盛顿邮报》、《经济学人》等媒体的专访和报导。韩冰教授获得了众多国际知名学术奖项，包括欧洲金融协会最佳论文奖，中国金融协会会议最佳论文奖，美国个人投资者协会在资产定价研究中获优秀论文奖，上海风险论坛最佳论文奖, 中国国际金融与政策论坛杰出论文奖, 全球金融专业人士协会终身成就奖。韩冰教授现任Financial Management，Journal of Economic Dynamics and Control，Journal of Empirical Finance，International Review of Finance和Pacific-Basin Finance Journal主编和副主编。

讲座摘要：

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).