主题：Starting on the Wrong Foot: Seasonality in Mutual Fund Performance
主讲人：王家国博士
时间：7月4日（周一） 下午3：00
地点：文泉楼北楼yl34511线路中心303
主讲人简介：
王家国博士，曼彻斯特大学商学院经济与金融学助理教授，纽约大学斯特恩商学院客座研究教授。获吉林大学金融学与管理学双学士学位，澳大利亚墨尔本大学金融学博士学位。
研究方向主要集中在养老金金融、共同基金、动量投资和对冲基金的投资领域的经验资产定价。在国际学术期刊上发表高水平论文文多篇。曼彻斯特大学商学院DBA博士生和硕士生项目负责人。
讲座摘要：
We document a marked seasonal pattern in the aggregate underperformance of active mutual funds. On average, a value-weighted portfolio of active funds underperforms the market and other benchmark portfolios in the first month of a quarter only. This intra-quarter pattern remains significant across fund size and investment style categories. It is partially consistent with tournament-like behavior (quarter-end NAV inflation and window dressing) by mutual funds, but bears limited to no relation with systematic time variation in microstructure biases, investors’ flows or cash distributions. Our results pose a challenge to existing explanations of the mutual funds’ underperformance puzzle.
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