主讲人：马萨诸塞大学安姆斯特分校 梁兵教授
主题：The Role of Hedge Funds in the Security Price Formation Process
主持人：金融学院 周玮老师
时间：12月07日（星期一）下午2:30——4:30
地点：柳林校区 格致楼 411教室
主办单位：西部商学院 科研处
摘要:
Using a comprehensive dataset of stock holdings by hedge funds, we empirically examine the role of hedge funds in the price formation process. We find that hedge funds tend to hold stocks plot above the security market plane, i.e., undervalued stocks. The sample of undervalued stocks provides a unique setting in which theory makes straightforward predictions about how arbitrageurs should trade and hold mispriced assets, and how their activities should predict future stock returns. In the cross-section of undervalued stocks, hedge fund ownership and trades are positively related to the degree of mispricing and arbitrage cost. A portfolio of undervalued stocks with high hedge fund ownership generates an out-of-sample risk-adjusted return of 0.48% per month, or 5.76% per year. Hedge fund ownership and trades also precede the dissipation of positive alpha. In contrast, all these patterns are either nonexistent or much weaker for non-hedge fund ownership. The findings are robust to alternative benchmark models and alternative misvaluation measures. Overall, our results suggest that hedge funds exploit and reduce stock mispricing.
主讲人简介：
梁兵教授现任麻省大学爱森堡管理学院金融学教授。曾于2010 年在耶鲁大学担任访问教授、2004年任伦敦经济学院访问学者。研究方向主要为对冲基金和共同基金、风险管理、资本市场的异常、计量经济学等。其论文发表于Journal of Finance，Journal of Financial Economics，Journal of Business, Journal of Financial and Quantitative Analysis, 和Management Science等国际顶级期刊。梁兵教授获得2003年欧洲金融协会对冲基金类最佳论文奖，2006年麻省大学爱森堡管理学院杰出研究奖和麻省大学研发领域最高成就奖，2007年中国国际金融会议最佳论文奖和BSI的伽玛基金会研究奖，2007和2008年分别获得了爱森堡管理学院特殊研究员称号， 2009年获得格雷厄姆-多德奖，2006，2012-2014 年获得了爱森堡管理学院杰出研究奖，2014年获得了爱森堡管理学院杰出教学奖等多个奖项。梁兵教授于2003年被邀成为美国证券管理委员会对冲基金圆桌会议的专家组成员，并担任Journal of Alternative Investments主编,European Financial Management对冲基金特刊的嘉宾主编，European Financial Management, Journal of Investment Management副主编等职务。
