主题：Price Pressure from Coordinated Noise Trading:
Evidence from Pension Fund Reallocations（来自协同噪声交易的价格压力：来自养老基金重新分配的证据）
主讲人：笪治，圣母大学金融学副教授
日期：2015年5月21日（周四）
时间：下午2:00-3:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We document a novel channel through which coordinated noise trading can
exert large price impact at the aggregate level in both equity and bond
markets. In Chile, pension investors often switch their entire pension
investments between funds holding mostly risky stocks to funds holding mostly
risk-free government bonds in an attempt to \time the market." These
frequent portfolio reallocations are coordinated across individual investors by
an investment advisory firm that has recently gained substantial popularity on
social media. In order to implement the resulting fund switches, pension fund
companies often face redemption requests amounting to 10% of their domestic
equity and 20% of their bond portfolios within a few days. Not surprisingly,
this coordinated noise trading leads to large price pressure of almost 2.5% in
the equity market and more than 30 basis points even in the relatively liquid
government bond market.
主讲人简介:
Zhi Da
is Viola
D. Hank Associated Professor of Finance at Mendoza College of
Business, University of Notre Dame. Professor
Da received a BBA and MSc in Financial Engineering from National University of
Singapore and Ph.D. in Finance from Northwestern University. His research interests focuses on what drives asset return in
both short-term (liquidity shock, investor sentiment, limited attention, etc.)
and long-term (cashflow and discount rate news). His
papers have been published in Review of Financial Studies, Journal of Financial Economics, Journal of
Financial and Quantitative Analysis and Management Science and other leading finance journals.
