讲座题目

Can Mutual Funds Exploit the Anomaly Zoo? Evidence from a Customized Machine Learning Framework

讲座时间

12月26日10:00-11:00

讲座地点

新主楼 A618

主讲人

舒腾嘉

主办单位

经济管理学院

参与方式

直接到场参与

讲座提要

I propose a joint framework to study how mutual funds incorporate stock-level anomalies into portfolio choices. Rather than inferring skill solely from realized returns, our approach evaluates fund portfolios on a common anomaly payoff surface estimated from stock characteristics.

主讲人简介

Tengjia Shu is an Assistant Professor of Finance in University of Illinois Chicago. Sheearned my Ph.D. degree in Business Administration (Finance) from University otlowa. Her main research interests are investment, asset pricing, machine learning,and labor economics.