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学术讲座:IQ from IP: Simplifying Search in Portfolio Choice

讲座题目:IQ from IP: Simplifying Search in Portfolio Choice

主讲人:Dong Lou

时间:2018年4月2日(周一)

      中午12:20-13:30

地点:对外经贸大学博学楼925

主讲人简介:

楼栋,英国伦敦政治经济学院金融系,副教授。楼栋教授2009年在耶鲁大学获得金融学博士学位,现担任Management Science Journal of Empirical Finance的副主编,并在经济政策研究中心(Center for Economic Policy Research)任职研究员。他的研究兴趣主要是实证资产定价、行为金融学和共同基金。楼栋教授的多篇研究成果发表在Review of Financial StudiesJournal of Financial Economics等金融学国际顶级期刊上。此外,他还是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等金融学顶级期刊的匿名审稿人。

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.

讲座摘要:

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.