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uva.nl

"Common Fund Flows: Flow Hedging and Factor Pricing"

Event details of CIFRA UvA Finance Seminars: Leonid Kogan (MIT Sloan School of Management)
Date 29 September 2022
Time 15:00 -16:30
Location Roeterseilandcampus - building M
Room Hybrid from M4.02

Introduction

Active equity funds care about fund size, affected by fund flows that obey a strong factor structure with the common component responding to macroeconomic shocks. Funds hedge against common flows by tilting their portfolios toward low-flow-beta stocks, while household/retail and index investors overweight high-flow-beta stocks in equilibrium. Consequently, common flows earn a risk premium, leading to a multi-factor asset-pricing model resembling the ICAPM, even with myopic agents and unsophisticated fund clients. Exploiting quasi-experiments induced by the local-natural-disaster occurrences and the unexpected trade-war announcements, we find that an increased outflow risk faced by funds leads to more aggressive flow-hedging portfolio tilts.

General information

This will be an online seminar. If you are interested in joining this seminar, please send an email to the secretariat of Amsterdam Business School at finsec-abs@uva.nl.

Roeterseilandcampus - building M

Room Hybrid from M4.02

Plantage Muidergracht 12
1018 TV Amsterdam