时间：2018年6月13日（周三）12:00-13:00

地点：同济大厦A楼505室

主讲人: Tong YAO, Associate Professor, Henry B. Tippie Research, The University of Iowa

题目：Costly Information Production, Information Intensity, and Mutual Fund Performance

语言：中文

摘要：

This study examines the concentration of active mutual fund managers’ research efforts toward information-intense stocks and the degree to which they are successful in such efforts. Information intensity of a stock is proxied by the contribution of jumps to stock return variance. We find that both skilled and unskilled fund managers are attracted to stocks with high information intensity. Moreover, the well-known phenomenon of performance persistence is only observed among funds aggressively investing in high information-intensity stocks. The effect of fund information intensity on fund performance is robust to the control of illiquidity, return volatility, and return skewness of fund holdings as well as measures of fund activeness. Finally, information intensity increases fund flow sensitivity to past performance. These findings suggest that, with costly information production, information intensity is an important dimension of active investment decision by fund managers and an important dimension of fund selection decision by investors.