Mutual Fund Risk Shifting and Risk Anomalies
19 Nov 2024
13:00 -14:15
Times are shown in local time.
Open to: All
Room W4.05 (Cambridge Judge Business School)
Trumpington St
Cambridge
CB2 1AG
United Kingdom
Join our Finance seminar
Speaker: Dr Xiao Han, Bayes Business School, City University London
About this seminar
Risk-shifting by underperforming funds increases their demand for risky stocks. We show that well-known anomalies such as the apparent overvaluation of stocks with high beta, idiosyncratic volatility, and skewness are concentrated among stocks held by laggard funds. Exploiting the Morningstar rating methodology change in 2002, we show that downgraded funds increase their beta with respect to the relevant category index.
Using this event to identify investors’ demand elasticities for stocks reveals a strong preference for risky stocks by underperforming funds, in contrast to all other investors. Removing demand by the laggard funds essentially eliminates the beta anomaly.
Speaker bio
Dr Xiao Han is a Senior Lecturer in Finance at Bayes Business School. He obtained a PhD in Finance from the University of Edinburgh in 2021 and holds a Higher Education Fellowship in the UK. He has held visiting positions at several institutions, including the Wharton School, Peking University, and Shanghai University of Finance and Economics.
His research focuses on empirical and structural asset pricing, with a particular focus on investor expectations, financial institutions, and the application of machine learning and large language models in finance. Dr Han has published in journals including Review of Financial Studies and European Financial Management, with a forthcoming paper in Journal of Financial Economics.
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No registration required. If you have any questions about this seminar, please email the Finance Subject Group Administrator.