主题：Trading
by Crossing （交叉交易）
主讲人：胡罡，香港科技大学会计与金融德州扑克大小
日期：2015年9月10日（周四）
时间：中午
12:30-13:30
地点：德州扑克大小
金融德州扑克大小
1号楼301教室
语言：英文
摘要：
Using
a unique proprietary dataset of institutional trades, we show that it is a
common practice for mutual fund families to buy and sell the same stock for
different accounts on the same day. While many of these trades are executed
through the external market, there is also a considerable amount executed by
crossing internally within the mutual fund family. Internally crossed trades
incur lower implicit costs and explicit costs of trading, and we estimate that
the total trading cost savings enjoyed by our sample mutual fund families
amount to $1.28 billion during our 12-year period between 1999 and 2010. If
mutual fund families are able to exploit profitable opportunities by executing
those potentially crossable market trades through an internal crossing mechanism,
there can be a further saving of trading costs of $5.65 billion. Since mutual
fund families with larger trading value and number of trades are more likely to
trade by internal crossing, our findings provide a new explanation for the
sources of economies-of-scale in asset management.
主讲人简介：
Gang
Hu is an Associate Professor of Finance at The Hong Kong Polytechnic University
(PolyU). Dr. Hu earned his Ph. D in Finance
from Boston College in 2005 and he specializes in the study of corporate
finance, institutional investors, trading, and entrepreneurial finance &
innovation. His research has been
presented at such leading academic conferences as American Finance Association
(AFA) and Western Finance Association (WFA). He
has published his research widely in leading academic journals, practitioner
journals, and books, including Review of
Financial Studies, Journal of
Financial Economics, Journal of Financial, and Quantitative Analysis. Before
joining the PolyU, Hu taught at Babson College.
