喻园管理论坛2021年第48期(总第705期)

演讲主题: Mutual Fund Risk Shifting and Risk Anomalies

主  讲  人: 阮宏勋，北京大学光华威尼斯欢乐娱人城·首页金融系助理教授

主  持  人: 李安泰，威尼斯欢乐娱人城·首页财务金融系讲师

活动时间: 2021年6月24日（周四）16:00-17:30

活动地点: 腾讯会议，会议ID: 738 161 120

主讲人简介：

阮宏勋，北京大学光华威尼斯欢乐娱人城·首页助理教授。2018年获得美国宾夕法尼亚大学沃顿商学院金融学博士学位，同年加入北京大学光华威尼斯欢乐娱人城·首页。研究领域包括公司金融、机构投资者和结构化估计。他的论文“Marketing Mutual Funds”已被Review of Financial Studies接收，另外有多篇论文进入Journal of Finance和《金融研究》等期刊的返修阶段。参与“知识产权类资产如何证券化？”的国内首单知识产权证券化项目案例开发。曾获得北京大学青年教师教学基本功比赛二等奖，University of Pennsylvania Dean's Fellowship for Distinguished Merit等荣誉。

活动简介：

Risk-shifting by under-performing mutual funds leads them to increase portfolio allocations to riskier stocks, in particular, increasing their beta with respect to the relevant benchmark index towards year-end. We show that this demand for high-risk stocks goes a long way towards explaining the well-known risk anomalies (e.g., “betting against beta”). We exploit the fact that Morningstar ratings are a powerful driver of fund flows, which, in turn, create incentives for the risk-shifting behavior. We use an exogenous change in the rating methodology adopted by Morningstar in 2002, whereby it began assigning “star” ratings based on relative performance within a style category rather than across the entire fund universe, to show that funds that under-perform their category peers invest more in stocks with higher exposures to the (relevant) common benchmark. We discover a significant beta anomaly concentrated among stocks held by under-performing funds, but only for beta with the S&P 500 index for the pre-2002 period and only for beta with respect to the relevant category index for the post-2002period. Further, we find evidence that other risk anomalies, such as those associated with idiosyncratic-volatility and skewness/lottery-like payoff are also more significant among stocks held by under-performing funds.