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讲座:Slow-Moving Capital and Flow-Driven Common Factors in Stock Returns

发布者:会计系    发布时间:2019-07-09

会计系学术讲座

题 目:Slow-Moving Capital and Flow-Driven Common Factors in Stock Returns
嘉 宾:Jiacui Li, Assistant Professor, The University of Utah
主持人:李文 博士,上海交通大学安泰经济与管理学院会计系
时 间:2019年7月15日(周一)14:00—15:30
地 点:上海交通大学 徐汇校区新上院S204


内容摘要
Since 1965, retail investors frequently made large capital reallocation at the size and value factor level through mutual funds. These flows generated large price movements that reverse in the subsequent 1-2 years, explaining around 30\% of Fama-French size and value factor return variation. I show evidence that slow-moving capital contributes to slow reversion of these price pressures: most institutional investors do not trade against the flow-induced price dislocations. Somewhat surprisingly, the main liquidity provider are companies buying/issuing their own stocks, but companies respond slowly. Overall, the paper demonstrates that price pressures can explain large variation in asset prices due to slow-moving capital.


嘉宾简介
Dr. Jiacui Li  joins the David Eccles School of Business, the University of Utah as an Assistant Professor of Finance in 2019.  He received his Ph.D. from Stanford Graduate School of Business. Prior to his Ph.D. study, he has two-year industry experience as a Quantitative Analyst in Citigroup Global Markets. His research interests include empirical and theoretical topics in asset pricing.


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