本系擬於 12/13 (二) 邀請 University of San Francisco 的 Prof. Nicholas Tay 至本所進行專題演講，相關訊息如下：

時間: 12/13 (二) 10:30-12:00

地點: 管理學院一號館八樓財金系會議室

講者: Prof. Nicholas Tay 

講題: Mutual Fund Crowding and Stock Returns

Abstract:

Evidence from recent financial debacles suggests that crowding can adversely impact the subsequent performance of crowded investments and destabilize financial markets. However, the term “crowding” has been used loosely in the public media. To be precise, we define and develop a measure of crowding that captures the interaction of correlated trades and illiquidity and use this metric to study how crowding on stocks by mutual funds affects the subsequent returns on the stocks for the period from 1981 through 2012. We find a strong negative association between our crowding measure and two quarters ahead quarterly returns. More in-depth analysis reveals that a long-short portfolio with a long position in the most crowded stocks and a short position in the least crowded stocks can earn an annualized DGTW (Daniel et al., 1997) characteristics-adjusted abnormal return as high as 38%. We further confirm that the substantial abnormal returns are not driven by time-varying expected returns. Surprisingly, the abnormal returns can mostly be attributed to the least crowded stocks, which have characteristics resembling stocks neglected by mutual funds.