Accounting and Finance Department Research Seminar
When: Friday,
October 14, 2022
10:00 AM
-
11:15 AM
Where: > See description for location
Description: Subject: Accounting and Finance Department Research Seminar
The Accounting and Finance Department announces the following research seminar.
Speaker: Assistant Professor. Jie Ying (Southern Illinois University Edwardsville)
Title: Peer-based R2 and Mutual Fund Performance
Date: Friday, October 14, 2022
Time: 10:00-11:15 AM
Location: via Zoom Meeting
https://umassd.zoom.us/j/4387551509?pwd=bVB2QzdtRmFCdkk1WTVQSUxHMS9iQT09
Abstract: Numerous factors are used in asset pricing models, yet only a few are considered for mutual fund benchmarking. We propose a new R2-based measure of mutual fund stock selection skills using the monthly returns of fund holdings and their respective peers.
Peer-based R2 (PBR2) is negatively associated with funds' future performance. The performance prediction remains robust up to 4 quarters following the initial formation of fund portfolios. We show that PBR2 is a better indicator of managerial skill and fund performance than Amihud and Goyenko (2013)'s R2 (AGR2), especially after 2010, the end of its published sample period. Fund ow analyses reveal that investors attend to AGR2, not PBR2, which causes the decreasing returns to scale in the low-AGR2 funds.
For additional information, please contact Prof. Hongkang Xu at hxu5@umassd.edu.
The Accounting and Finance Department announces the following research seminar.
Speaker: Assistant Professor. Jie Ying (Southern Illinois University Edwardsville)
Title: Peer-based R2 and Mutual Fund Performance
Date: Friday, October 14, 2022
Time: 10:00-11:15 AM
Location: via Zoom Meeting
https://umassd.zoom.us/j/4387551509?pwd=bVB2QzdtRmFCdkk1WTVQSUxHMS9iQT09
Abstract: Numerous factors are used in asset pricing models, yet only a few are considered for mutual fund benchmarking. We propose a new R2-based measure of mutual fund stock selection skills using the monthly returns of fund holdings and their respective peers.
Peer-based R2 (PBR2) is negatively associated with funds' future performance. The performance prediction remains robust up to 4 quarters following the initial formation of fund portfolios. We show that PBR2 is a better indicator of managerial skill and fund performance than Amihud and Goyenko (2013)'s R2 (AGR2), especially after 2010, the end of its published sample period. Fund ow analyses reveal that investors attend to AGR2, not PBR2, which causes the decreasing returns to scale in the low-AGR2 funds.
For additional information, please contact Prof. Hongkang Xu at hxu5@umassd.edu.
Contact: > See Description for contact information
Topical Areas: Faculty, Students, Accounting and Finance, _Charlton College of Business