金融与财务学系系列讲座之262期

时    间：2021年12月9日（周四）13:00

地    点：史带楼503室

主    题： Macro-Active Bond Mutual Funds

演讲者： PhD.  洪玉蓉  Assistant Professor, Shanghai Advanced Institute of Finance

摘    要：We document significant outperformance by government bond funds on important macro announcement days such as FOMC and GDP. Attributing the macro-day alpha to fund managers’ macro-timing skills, we provide evidence that fund managers do actively trade on their predictions of macro news, their ability to time the level factor is positive on both FOMC and  GDP announcements and they can time the slope factor on GDP announcements, and their correct macro-day prediction does lead to higher macro-day alpha. Exploring its variation, we find the macro-day alpha to be larger during times of high macro disagreement and macro surprise, and stronger for more active funds with larger idiosyncratic volatility. Revealing their macro activeness, such active funds suffered the largest losses on the FOMC day of September 16, 2008, when, counter to their prediction, the Fed kept the rate unchanged despite the Lehman default.  Finally, we find the macro-day outperformance to be persistent – past macro-day outperformers continue to outperform on future macro days.

简    介：Claire Yurong Hong is an Assistant Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. She received her bachelor’s degree from University of Hong Kong and PhD from Hong Kong University of Science and Technology. Her research interests lie primarily in the area of empirical asset pricing and asset management. Her work has been published in Journal of Financial and Quantitative Analysis.

金融与财务学系

2021.12.6