报告题目：Econometrics for fund performance evaluation

报 告 人：彭亮 教授

所在单位：美国佐治亚州立大学

报告时间：2022年9月21日 星期三 10:00-11:00

报告地点：腾讯会议557 196 449

校内联系人：朱复康 fzhu@jlu.edu.cn

摘要：When using daily mutual fund returns to study market timing ability, heavy tails and heteroscedasticity significantly challenge the existing methods. We propose a weighted nonparametric measure and test for market timing. The test finds that the traditional parametric inference misclassifies about 49% of funds. Examining the holding characteristics of the funds with different levels of timing ability, we find that funds with positive timing ability hold stocks with lower trading frictions.  We find strong evidence of a tradeoff between market timing ability and stock picking skill after excluding funds with zero timing ability, robust to different benchmark models.

报告人简介：彭亮教授，1998年于荷兰鹿特丹大学获博士学位，2014年8月之后为美国佐治亚州立大学Thomas P Bowles风险管理与精算学首席教授(chair professor)。其主要研究方向为统计学、计量经济学、金融计量与保险精算。在国际顶级期刊发表论文120多篇。其中在统计学顶级期刊Annals of Statistics、Journal of American Statistical Association、Biometrika、Journal of Royal Statistical Society Series B发表论文16篇；在计量经济学顶级期刊Journal of Econometrics、Journal of Business and Economic Statistics、Econometric Theory发表论文14篇，在金融计量与保险精算顶级期刊North American Actuarial Journal、Scandinavian Journal of Actuarial、Insurance: Mathematics and Economics发表论文15篇，其研究成果被广泛应用于保险、金融、计量经济学和环境科学等方面。2009年当选IMS的Fellow，2012年当选ASA的Fellow。