报告题目：Testing for skill in mutual funds

报 告 人：彭亮教授 美国佐治亚州立大学

报告时间：2020年7月6日 8:30-9:30

报告地点：腾讯会议 ID：367 631 711

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校内联系人：朱复康 fzhu@jlu.edu.cn

报告摘要：

First, we show that two prominent bootstrap tests for fund skill have distorted test sizes because many funds have short return records and skewed return residuals. Secondly, we prove that these two bootstrap methods lack test power to detect skilled funds when a substantial number of unskilled funds are present. Thirdly, we develop the theory for a valid bootstrap Hotelling's T-squared test to first identify a zero-alpha fund group and confirm subsequently whether the top- (bottom-) ranking funds are skilled (unskilled) relative to the zero-alpha funds. Our empirical analysis finds that skilled funds are more engaged in active management and hold stocks with higher expected anomalous returns.

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13篇；在计量经济学顶级期刊Journal of Econometrics, Econometric Theory发表论文6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6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。