報告題目：Econometrics for fund performance evaluation
報 告 人：彭亮 教授
所在單位：美國佐治亞州立大學
報告時間：2022年9月21日 星期三 10:00-11:00
報告地點：騰訊會議557 196 449
校内聯系人：朱複康 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.
報告人簡介：彭亮教授，1998年于荷蘭鹿特丹大學獲博士學位，2014年8月之後為美國佐治亞州立大學Thomas P Bowles風險管理與精算學首席教授(chair professor)。其主要研究方向為統計學、計量經濟學、金融計量與保險精算。在國際頂級期刊發表論文120多篇。其中在統計學頂級期刊Annals of Statistics、Journal of American Statistical Association、Biometrika、Journal of Royal Statistical Society Series B發表論文16篇；在計量經濟學頂級期刊Journal of Econometrics、Journal of Business and Economic Statistics、Econometric Theory發表論文14篇，在金融計量與保險精算頂級期刊North American Actuarial Journal、Scandinavian Journal of Actuarial、Insurance: Mathematics and Economics發表論文15篇，其研究成果被廣泛應用于保險、金融、計量經濟學和環境科學等方面。2009年當選IMS的Fellow，2012年當選ASA的Fellow。
