浙江工商大学金融学院
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【钱塘金融学术论坛】第107期:Positive feedback trading, stock return uncertainty and mutual fund shareholdings
发布日期:2019-03-17  供稿人:夏连峰   
 
题目: Positive feedback trading, stock return uncertainty and mutual fund shareholdings
主讲人:万谍博士
时间:2019-03-19 14:00-16:00
地点:下沙校区综合楼0846会议室
主讲人简介:

Abstract: Previous evidence shows that buying-winners intensity for individual stocks is stronger than selling-loser intensity in the Chinese stock market, and explains it as a result of irrational traders chasing for price-rising trends. In this paper, we capture this rise-favor asymmetry (RFA) of positive feedback trading as the extent that buying-winners intensity exceeds selling-losers intensity, and use RFA as proxy for irrational trading intensity. Based on the stock trading data and shareholding details of mutual funds in the Chinese market, we find that higher RFA is associated with lower shareholdings of mutual funds. This negative relationship remains unchanged after controlling a large set of systematic and idiosyncratic risk factors. A possible explanation of this finding is that fund managers may be averse to uncertainty induced by RFA. To provide empirical evidence for this explanation, we examine the effect of short-selling mechanism and market sentiment on the negative relationship. We find that fund managers hold more shares of stocks without short-selling constraints for the same level of RFA comparing with short-selling forbidden stocks. We also find that fund managers are willing to hold more shares for the same level of RFA when market sentiment becomes higher. Allowing the short-selling reduces the arbitrage cost and then alleviates the uncertainty caused by RFA. High sentiment promotes fund managers’ optimism and reduces their aversion to uncertainty.