講座題目

Can Mutual Funds Exploit the Anomaly Zoo? Evidence from a Customized Machine Learning Framework

講座時間

12月26日10:00-11:00

講座地點

新主樓 A618

主講人

舒騰嘉

主辦單位

經濟管理學院

參與方式

直接到場參與

講座提要

I propose a joint framework to study how mutual funds incorporate stock-level anomalies into portfolio choices. Rather than inferring skill solely from realized returns, our approach evaluates fund portfolios on a common anomaly payoff surface estimated from stock characteristics.

主講人簡介

Tengjia Shu is an Assistant Professor of Finance in University of Illinois Chicago. Sheearned my Ph.D. degree in Business Administration (Finance) from University otlowa. Her main research interests are investment, asset pricing, machine learning,and labor economics.