| 主讲人： | Bing Han |
| 主讲人简介： | Bing Han is a Professor of Finance at Rotman School of Management, University of Toronto. His research focuses on Behavioral Finance, Investments, and Asset Pricing. He has published in top finance and economics journals as well as practitioner oriented journals. His research has been presented at many international and national conferences, and featured in mainstream media. He has taught both undergraduate and graduate courses at the University of Chicago, Ohio State University and University of Texas at Austin. He has been a Visiting Professor at CKGSB, Chinese University of Hong Kong, Peking University, Shanghai Jiaotong University (SAIF). |
| 主持人： | 郑振龙 教授 |
| 讲座简介： | This paper documents a new and important cross-sectional determinant of hedge fund ex-pected returns, their exposures to noise trader risk, measured as beta of fund returns with re-spect to unexpected change in investor sentiment. Using the Baker and Wurgler (2007) sen-timent index, and for a comprehensive sample of equity-oriented hedge funds over the period 1994-2010, we find strong evidence that, on average, hedge funds with higher sentiment beta subsequently outperform those with lower sentiment beta by about 0.6% per month. The dif-ference in the average returns increases to about 0.82% after controlling for risk factors iden-tified in existing studies. Our findings suggest that noise trader risk is priced in hedge funds.Keywords: Hedge funds, investor sentiment, sentiment risk, sentiment timing, fund returns |
| 时间： | 2014-12-22(星期一)09:00-11:00 |
| 地点： | 经济楼A501 |
| 讲座语言： | English |
| 主办单位： | 威尼斯37266、威尼斯37266王亚南经济研究院 |
| 承办单位： | 威尼斯37266金融系 |
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