學術研討會

Mutual Fund Market Timing: Daily Evidence

時間:2019-06-25

Finance Seminar2019-20)


Topic: Mutual Fund Market Timing: Daily Evidence

Speaker: Ke Wu, Renmin University of China

Time: Wednesday, 26 June, 10:00-11:30

Location: Room 217, Guanghua Building 2


Abstract:

We use Engle’s (2002) dynamic conditional correlation (DCC) model to examine mutual fund market timing based on beta asymmetry, the difference between upside and downside beta. We find significant timing based on daily data but not based on monthly data. The sensitivity of our findings to data frequency is consistent with funds altering their market exposure at a greater frequency than can be precisely captured with monthly returns. Market timing is especially evident during down markets, when the gains associated with market timing are especially meaningful. Market timers earn significant abnormal returns and attract greater investor cash flows than non-timers. Holding diversified portfolios and short selling help facilitate successful market timing.


Introduction

吳軻,中國人民大學漢青經濟與金融高級研究院金融系副教授,博士生導師,中國人民大學“杰出學者”青年學者。吳軻博士2006年在對外經濟貿易大學取得經濟學和商務英語雙學士學位,2008年獲得印第安納大學經濟學碩士學位,2015年獲得埃默里大學經濟學博士學位。2011年至2014年,在亞特蘭大美國聯邦儲備銀行任兼職研究分析師;2015年9月起任教于中國人民大學漢青研究院金融學系,講授實證資產定價、金融風險分析、金融計量學等課程。吳軻博士的研究主要集中于實證資產定價和金融計量方法,他的研究成果發表在Journal of Financial and Quantitative Analysis, Journal of Applied Econometrics等國際期刊,并獲得了國家自然科學基金青年基金項目的資助。


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