Finance Seminar（2019-20)
Topic: Mutual Fund Market Timing: Daily Evidence
Speaker: Ke Wu, Renmin University of China
Time: Wednesday, 26 June, 10:00-11:30
Location: Room 217, Guanghua Building 2
Abstract:
We use Engle’s (2002) dynamic conditional correlation (DCC) model to examine mutual fund market timing based on beta asymmetry, the difference between upside and downside beta. We find significant timing based on daily data but not based on monthly data. The sensitivity of our findings to data frequency is consistent with funds altering their market exposure at a greater frequency than can be precisely captured with monthly returns. Market timing is especially evident during down markets, when the gains associated with market timing are especially meaningful. Market timers earn significant abnormal returns and attract greater investor cash flows than non-timers. Holding diversified portfolios and short selling help facilitate successful market timing.
Introduction：
吴轲 ，中国人民大学汉青经济与金融高级研究院金融系副教授 ，博士生导师 ，中国人民大学“优异学者”青年学者 。吴轲博士2006年在对外经济商业大学取得经济学和商务英语双学士学位 ，2008年获得印第安纳大学经济学硕士学位 ，2015年获得埃默里大学经济学博士学位 。2011年至2014年 ，在亚特兰大美国联邦储备银行任兼职研究剖析师；2015年9月起任教于中国人民大学汉青研究院金融学系 ，教学实证资产定价、金融危害剖析、金融计量学等课程 。吴轲博士的研究主要集中于实证资产定价和金融计量要领 ，他的研究效果揭晓在Journal of Financial and Quantitative Analysis, Journal of Applied Econometrics等国际期刊 ，并获得了国家自然科学基金青年基金项目的资助 。
Your participation is warmly welcomed!
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