岭南学术论坛-金融学系列Seminar-Hiding Behind the Window Blinds: Strategic Trading by Mutual Funds
第573期岭南学术论坛(金融学系列Seminar)
报告题目:Hiding Behind the Window Blinds: Strategic Trading by Mutual Funds
报 告 人:李洁 (上海交通大学上海高级金融学院,助理教授)
主 持 人:朱效禹(中山大学岭南学院,助理教授)
时 间:2021年1月8日(周五)下午14:30-16:00
地 点:岭南堂三楼讲学厅
语 言: 中文+英文
Abstract:
This paper studies the strategic hiding behavior of mutual funds, where they are required to disclose top-10 holdings at the end of quarter 1&3 and the whole portfolio at the end of quarter 2&4. We find strong evidence that fund managers hide some of their top holdings by moving them out of top 10 threshold right before the end of quarter 1&3. These stocks exhibit superior future performance, indicating that they are associated with private information. We further identify two sources of information fund managers intend to hide: earnings announcements and other irregular information-sensitive events. Together the evidences support private information as the dominant motives for strategic hiding behavior by mutual funds.
报告人介绍:
李洁助理教授目前就职于上海交通大学上海高级金融学院。她于INSEAD获得金融学博士学位,此前于中国人民大学获得经济学学士和金融学硕士学位。她的研究工作集中在实证资产定价,行为金融学,共同基金,金融媒介,个人和机构投资者行为,已在国际顶级期刊JOURNAL OF FINANCIAL ECONOMICS等期刊发表论文。
讲座报告人主页:http://www.saif.sjtu.edu.cn/faculty-research/faculty/li-jie
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中山大学岭南学术论坛分经济、金融和管理三个系列,是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期,并得到了各界的高度评价。