主题：Do Funds Make More When They Trade More? （基金的业绩是否随交易量的增加而增加？）
主讲人：Lubos Pastor, 芝加哥布斯商德州扑克大小
金融学教授
日期：2014年9月24日（周三）
时间：下午1:30-3:00
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 find that active mutual funds perform better after trading more. This time-series relation between a fund’s turnover and its subsequent benchmark-adjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify time-varying profit opportunities, and with small funds being more able to exploit those opportunities. In addition to this novel evidence of managerial skill and fund-level decreasing returns to scale, we find evidence of industry-level decreasing returns: The positive turnover-performance relation weakens when funds act more in concert. We also identify a common component of fund trading that is correlated with mispricing proxies and helps predict fund returns.
主讲人简介:
Lubos Pastor is Charles P. McQuaid Professor of Finance at the University of Chicago Booth School of Business. He is also co-director of the Fama-Miller Center for Research in Finance, Vice President of the Western Finance Association, member of the CRSP Indexes Advisory Council, Research Associate at the National Bureau of Economic Research, and Research Fellow at the Centre for Economic Policy and Research. In addition, he is an Associate Editor of the Journal of Finance and Journal of Financial Economics, and a former Associate Editor of the Review of Financial Studies.
Professor Pastor’s research focuses mostly on financial markets and asset management. His articles have appeared in American Economic Review, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Review of Financial Studies, as well as nonacademic outlets such as Bloomberg and Financial Times. His research has been awarded numerous prizes, such as two Smith Breeden Prizes, two Fama/DFA Prizes, Whitebox Advisors Selected Research Prize, Goldman Sachs Asset Management Prize, Barclays Global Investors Prize, Rothschild Caesarea Center Best Paper Award, two Geewax, Terker & Co. Prizes, etc.
