讲座题目：Trading Frequency and Fund Performance

主讲人：童琳（福特汉姆大学金融与商业经济学助理教授）

时间：2016年6月22日周三中午13:15

地点：学院南路校区主教学楼913

主办单位：suncitygroup太阳新城

中国资产管理研究中心

主讲人介绍

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.