时间：2022年6月30日 14:30

地点：邵逸夫科学馆东二层第六会议室

主讲人一：唐甜甜

题目：Style Consistency and Industry Concentration of Chinese Mutual Funds

摘要：This paper provides a comprehensive analysis on the relationship between the mutual funds style consistency and performances in China. Using characteristic-based and factor-based analysis, our results indicate that mutual fund managers have stock picking talents over time, with relative weak ability to time the market. Our results suggest that style-consistent and industry-concentrated fund managers perform better after controlling for common risk factors using both the conditional and unconditional models. Further analysis confirms our main results when using decile portfolio approaches and conclude that the style effect is more significant for small funds and growth funds.

主讲人二：张进锋

题目：尖峰数据的条件对称性检验

摘要：对称性是分布函数的一个重要特征，也是设定计量模型时需要考虑的一个重要方面。目前已有不少针对对称性或条件对称性的检验方法，不过，这些检验的显著性水平和检验势通常对数据的峰度比较敏感。考虑到宏观经济数据和金融数据往往呈现出尖峰的特征，本文基于arctan(∙)函数构建了一种新的条件对称性检验统计量，在一定程度上拓展了传统检验方法的灵活性和适应性。一方面，这种方法构建简单、易于计算且收敛到标准正态分布，保留了传统检验方法分布自由的优势；另一方面，该方法利用arctan(∙)函数的有界性和缩小信息差异的性质，有效克服了传统检验方法对尖峰数据检验势偏低的问题，检验的结果也更加稳健。蒙特卡罗模拟的结果显示，本文所建议的检验统计量有较好的有限样本性质。