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讲座:Noise Trading and Asset Pricing Factors

发布者:金融系    发布时间:2021-06-08

题 目:Noise Trading and Asset Pricing Factors

嘉 宾:Shiyang Huang, Assistant Professor, The University of Hong Kong

主持人:张然  助理教授  上海交通大学安泰经济与管理学院

时 间:2021616日(周三)9:00-10:30

地 点:腾讯会议(校内师生如需会议号和密码,请于6月15日下午17点前发送电邮至finance@acem.sjtu.edu.cn获取

内容简介:

We demonstrate that a broad set of asset pricing factors/anomalies are significantly exposed to "noise trader risk," and the noise trader risk is priced in factor premia. We first confirm that mutual funds' flow-induced trades of factors are uninformed as they generate a large price impact on factor returns, followed by a complete reversal. We then show asset pricing factors are subject to flow-driven noise trader risk in that expected variation (covariation) of flow-induced noise trading strongly forecasts variance (covariance) of factor returns. Importantly, factor premia are higher when flow-driven noise trader risk is expected to be more salient.

演讲人简介

Dr. Shiyang HUANG received his Ph.D. degree in finance from the London School of Economics in 2015. He also holds a master degree and a bachelor degree in economics from Tsinghua University. He joined The University of Hong Kong in 2015. Shiyang’s research agenda focuses on financial economics and empirical asset pricing. He has published research papers in several academic journals including Journal of Financial Economics, Management Science and Journal of Economic Theory. He also won the best paper awards at academic conferences, including Best Paper Award at 7th Melbourne Asset Pricing Meeting, Conference Best Paper Award at China International Conference in Finance of 2019, Best Paper Award at 14th Annual Conference in Financial Economics Research by Eagle Labs (IDC) of 2017, Yihong Xia Best Paper Award at China International Conference in Finance of 2015, Conference Best Paper Award at Paris December Finance Meeting of 2014, IdR QUANTVALLEY / FdR Quantitative Management Initiative Research Award of 2013.

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