【学术预告】伊利诺伊大学香槟分校金融学副教授Jaewon Choi学术研讨会: 坐着的钱:固定收益基金的零回报

时间: 2019-10-16 08:00 来源: 作者: 浏览量:2805 字号: 打印

主题:Sitting Bucks: Zero Returns in Fixed Income Funds(坐着的钱:固定收益基金的零回报)

主讲人:Jaewon Choi,伊利诺伊大学香槟分校吉斯商学院金融学副教授

日期:2019年10月16日(周三) 

时间:上午10:00-11:30 

地点:清华五道口金融学院4号楼101教室

语言:英文 

摘要: 

Zero returns are highly prevalent in fixed-income funds: on more than 30% of trading days, net asset values (NAVs) do not change. High illiquidity of fund holdings drives this phenomenon, which is further compounded by binding minimum ticks. Consequently, NAVs are extremely stale, and fund returns are highly predictable at daily, weekly, and even monthly horizons. Investors respond by withdrawing capital from overvalued funds, exacerbating the risk of fund runs, while buy-and-hold investors face annual dilution costs of around $2 billion when others opportunistically buy and sell at incorrect prices. Our results reveal persisting shortcomings in existing fair valuation regulations that should correct this problem.

主讲人简介: 

Dr. Jaewon Choi is an associate professor of finance at the Gies College of Business, University of Illinois at Urbana-Champaign. Dr. Choi received his Ph.D. from Stern School of Business, New York University and holds a bachelor's degree from Seoul National University in Korea and a master's from Princeton University. He conducts research in the areas of asset pricing, hedge funds and mutual funds, credit risk, and the effect of monetary policies on financial markets. He has published in the top finance and economics journals including Journal of Financial Economics, Review of Financial Studies, Management Science, and Journal of Monetary Economics and has consulting experiences with the nation’s leading brokerage firms and hedge funds as well as central banks. Prior to academia, he has worked in options trading and asset liability management desks in Deutsche Bank Asia.