主题：Common Fund Flows: Flow Hedging and Factor Pricing
主讲人：Winston Wei Dou，宾夕法尼亚大学沃顿商学院金融学助理教授
时间：11月10日（周三）上午10:00-11:30
地点：4-101教室
语言：英文
摘要：
Active mutual funds care about fund size, affected by common fund flows driven by primitive shocks. Funds hedge against common-flow shocks by tilting their portfolios toward low-flow-beta stocks. In equilibrium, common fund flows earn a risk premium, leading to a multi-factor asset-pricing model similar to the ICAPM, even with all agents behaving myopically and using naive asset-pricing models. Empirically, fund flows obey a strong factor structure with the common component earning a risk premium, and fund portfolios are, on average, tilted toward low-flow-beta stocks. This tilt increases in magnitude when flow-hedging motives strengthen following natural disasters and unexpected trade-war announcements.
主讲人介绍：
Winston (Wei) Dou’s research focus lies at the intersection of finance, macroeconomics, industrial organization, and econometrics, in particular the interactions of frictional capital markets and imperfect competition, the asset pricing and macroeconomic implications of market imperfection and incompleteness caused by agency conflicts, the impact of economic uncertainty, the interactions of international asset prices and capital flows and their roles in understanding global imbalances, and new econometric methods for analyzing structural macro-finance models. His articles have appeared in Econometrica, the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, Management Science, the Annals of Statistics, and Journal of American Statistical Association. His research has received multiple academic awards, and he also received teaching excellence awards at the Wharton School.
He became an assistant professor of finance at Wharton in 2017. Previously, he studied financial economics at MIT. He also received another doctoral degree in statistics from Yale University. He obtained a B.S. in mathematics and another B.S. in economics from Peking University in China.
