教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动  

精算论坛第174期讲座  

(2020年7月2日)  

报告题目：Testing for skill in mutual funds  

报告人：Liang Peng(Robinson College of Business,Georgia State University)  

Dr. Peng has been the Thomas P Bowles chair professor of actuarial science in the department of Risk Management and Insurance in the Robinson College of Business at Georgia State University since August 2014. Dr. Peng has published one book on heavy-tailed data analysis and over 150 papers in various journals in statistics, econometrics, and actuarial science. Dr. Peng received his Ph.D. in 1998 from Erasmus University Rotterdam in the Netherlands, won the Alexander von Humboldt Research fellowship in 2005, and became an elected fellow of the Institute of Mathematical Statistics in 2009 and an elected fellow of the American Statistical Association in 2012.    

摘要：First, we show that two prominent bootstrap tests for fund skill have distorted test sizes because many funds have short return records and skewed return residuals. Secondly, we prove that these two bootstrap methods lack test power to detect skilled funds when a substantial number of unskilled funds are present. Thirdly, we develop the theory for a valid bootstrap Hotelling's T-squared test to first identify a zero-alpha fund group and confirm subsequently whether the top- (bottom-) ranking funds are skilled (unskilled) relative to the zero-alpha funds. Our empirical analysis finds that skilled funds are more engaged in active management and hold stocks with higher expected anomalous returns.  

报告时间：2020年7月2日 9:00--11:00  

报告地点：腾讯会议（会议ID：606 553 720）  

邀请人：池义春