时间：6月20日 下午2:00-4:00

　　地点：主楼426　

　　报告人简介：

　　杨军，加拿大Queen’s大学博士，目前任Acadia大学商学院金融学教授。研究涉猎广泛，涉及资产定价，行为金融，中国金融市场等多个领域。在Journal of Corporate Finance，Journal of Banking & Finance，Pacific-Basin Finance Journal等期刊发表学术论文20余篇。

　　报告内容简介：

　　Investors actively reallocate their money across different mutual funds. It has been found that funds attracting high cash inflows subsequently perform more poorly when fund characteristics are controlled. It is referred to as the dumb money effect (Frazzini and Lamont, 2008), suggesting that investors lose wealth in the long run. However, its evidence outside the U.S. is rare. Do investors in other markets tread on the same rake? If so, is it still worthwhile to invest in mutual funds? This article provides some answers in the Chinese market.

　　Our panel sample includes quarterly data for 125 equity and primarily equity mutual funds in China between 2009 and 2016. We use FLOW proposed by Frazzini and Lamont (2008) as the measure of investor sentiment on different mutual funds and find that sentiment is negatively linked to subsequent fund performance (raw return, Fama-French three-factor adjusted return, or Carhart four-factor adjusted return). This dumb money effect is asymmetrically driven by positive sentiment. Evidence is revealed that mutual fund managers in China possess stock picking expertise, but it is undermined by the dumb money effect.

　　（承办：技术经济及管理系、科研与学术交流中心）