拉斯维加斯9888

Brown Bag Seminar（2022-06）

Topic: Belief dispersion in the Chinese stock market and fund flows

Speaker: Yue Fang , Zhejiang University

Time: Friday, November 18, 12:00–13:00, Beijing Time

Location: Zoom meeting room 

Abstract

This study explores how the degree of disagreement (DOD) among mutual fund managers affects investor capital-allocation decisions using a novel text-based measure from direct verbal expressions of expectations in Chinese mutual fund disclosures. In the time series, the DOD is related to various mispricing proxies, and DOD negatively predicts future market returns. Cross-sectional results further show that investors correctly perceive the DOD as a signal of market overpricing and thus discount fund performance accordingly. Flow-performance sensitivity (FPS) is diminished during periods of high belief dispersion. The effect is stronger for outperforming funds and funds with substantial investments in bubble stocks and high-beta stocks, but weaker for skilled funds. We also explore possible alternate explanations for the FPS reduction. Our evidence is consistent with the mispricing hypothesis proposed by Miller (1977).

Biography

Yue Fang is an Assistant Professor of Finance and a 100 Talent Researcher at the School of Economics at Zhejiang University. He earned his Ph.D. in Business Economics at the University of Michigan. His research interests include Labor Economics and Finance, Corporate Finance, Monetary Policy, and Political Economy.    

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