团队

We demonstrate that a broad set of asset pricing factors/anomalies are significantly exposed to “noise trader risk,” and the noise trader risk is priced in factor premia. We first confirm that mutual funds’ flow-induced trading of factors are uninformed, as they generate a large price impact on factor returns, followed by a complete reversal. We then show that asset pricing factors are subject to flow-driven noise trader risk in that expected variation (covariation) of flow-induced noise trading strongly forecasts variance (covariance) of factor returns. Importantly, factor premia are higher when flow-driven noise trader risk is expected to be more salient.

We analyze a single-factor setting in which there is private information regarding cash flows as well as their betas. Private information about betas, together with market makers’ risk aversion and mean betas’ nonnegativity, implies a nonlinear price schedule whose stochastic slope covaries positively with order flow when the expected factor payoff is positive and vice versa. We predict a negative relation between the covariance and expected returns and an attenuation of the beta anomaly in asset returns after accounting for this relation. Empirical tests confirm these predictions.

Mutual funds investing in illiquid corporate bonds actively manage Treasury positions to buffer redemption shocks. This liquidity management practice can transmit non-fundamental fund flow shocks onto Treasuries, generating excess return volatility. Consistent with this hypothesis, we find that Treasury excess return volatility is positively associated with bond fund ownership, and this pattern is more pronounced among funds conducting intensive liquidity management. Causal evidence is provided by exploiting the U.S. Securities and Exchange Commission’s 2017 Liquidity Risk Management Rule. Evidence also suggests that the COVID-19 Treasury market turmoil was attributed to intensified liquidity management, an unintended consequence of the 2017 Liquidity Risk Management Rule.

We document and explain the sharp performance deterioration of smart beta indexes after the corresponding smart beta ETFs are launched for investment. While smart beta is purported to deliver excess returns through factor exposures, the market-adjusted return of smart beta indexes drops from about 3% “on paper” before ETF listings to about −0.50% to −1% after ETF listings. This performance decline cannot be explained by variation in factor premia, strategic timing, or diminishing returns to scale. Instead, we find strong evidence of data mining in the construction of smart beta indexes, which helps ETFs attract flows, as investors respond positively to backtests.

We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the ǣfrog in the panǥ (FIP) momentum effect is pervasive in co-momentum settings, suggesting that information discreteness (ID) serves as a cognitive trigger that reduces investor inattention and improves inter-firm news transmission.

我们建立一个数据销售模型来研究另类数据对金融市场的影响。投资者需要特别的技术以准确分析购买的原始数据，但建立这项技术成本高同时存在相当大的不确定性。数据供应商透过控制数据样本数量去影响投资者从购买的数据中提取信息的准确性。我们的模型分析发现数据分析技术的成本对资本成本以及资产收益波动率的影响均呈U型关系，但是对市场信息量则呈驼峰型关系。同时，数据分析的技术平均水平和不确定性亦出现类似影响。我们的分析同时发现使用另类数据的基金和数据行业存在着相互促进的关系。

本文就市场对于经济关联公司的新闻所出现延迟价格反应提出了一个基于心理学的新解释。我们发现经济关联公司的股价收益预测，取决于其目前股价与52周最高股价之间有多接近。经济关联公司的新闻与公司股价是否接近其52周高位，部份解释了为何市场对于消费者、地理邻居、同业或外国行业的新闻反应较为迟缓。研究亦发现股票分析师会因公司股价接近52周高位，亦对关经济关联公司的新闻产生了延迟反应。这些发现直接证明了公司股价接近52周高位对于投资者信念更新过程的影响。

我们研究美国散户投资者如何通过社交传播财经新闻和投资意见。我们首先找出一系列会导致某些投资者进行异常交易的外生事件。基于这些事件，我们追踪投资者的交易行为，尤其是被这些事件影响投资者的邻居。这样样本选择有利于我们研究投资行为在左邻右舍之间的「传染性」。结合流行病学的方法，此研究的情景设置让我们可以估算传讯速率，以及它如何随着潜在投资者群体的特征而变化。

有声音批评传统的ETF过于被动，未能有效反应市场讯息，然而港大经管学院金融学副教授黄诗杨博士及其研究团队却发现，行业ETF在美国市场中能有效规避风险，并能提升市场效率。