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学术讲座:Mutual Fund Market Share and Alpha Decay

 

讲座题目:Mutual Fund Market Share and Alpha Decay
时间:2017912 13:30-15:00
地点:博学925
讲座内容:
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.
主讲人:
杨春柳, INSEAD (英士国际商学院) 金融学博士在读,预计于20187月毕业。曾就读于浙江大学数学与应用数学专业并于 2009年获理学学士,之后就读于中国人民大学金融学专业并于2012年获得硕士学位。她的研究兴趣包括资产定价,信息经济学,资产管理,共同基金等。她的研究课题包括 “共同基金投资者是否有能力从历史基金收益回报率中学习并提取有效的信息来做出理性的投资决策” ,“共同基金经理是否会通过提高交易策略的下限风险 (downside risk) 来吸引更多的投资者”等。