講座題目：Trading Frequency and Fund Performance

主講人：童琳（福特漢姆大學金融與商業經濟學助理教授）

時間：2016年6月22日周三中午13:15

地點：學院南路校區主教學樓913

主辦單位：bevictor伟德官网

中國資産管理研究中心

主講人介紹

Lin Tong is employed as Assistant Professor of Finance and Business Economics at Fordham University since 2014.Graduated as Ph.D. in Finance,University of Iowa in 2014,M.S. in Mathematics,Iowa State University in 2009,B.S. in Mathematics,Nanjing University in 2007,her major research interests are mutual funds,high frequency trading,behavioral finance and institutional investors.

摘要

In sharp contrast to prior findings on the trading performance of individual investors, we find a strong positive relation between trade frequency and performance among a large sample of institutional investors. The performance of active institutional traders persists for at least a year, as active traders continue to trade actively and generate abnormal returns from their trades. Large funds, however, are unable to overcome the transaction costs associated with their larger trades, a finding that lends insight into the decreasing returns to scale that characterizes the money management industry. Active traders generate performance both by supplying liquidity and by trading aggressively on information.