题目：Limited Attention, Marital Events and Hedge Funds
报告人：Yan Lu (陆焱) Department of Finance, University ofCentral Florida
时间：2016年6月14日上午9: 30 -11: 00
地点：博萃楼阳光房
论文：学院内网
【论文摘要】We explore the impact of limited attention by analyzingthe performance of hedge fund managers who are distracted by marital events. Wefind that marriages and divorces are associated with significantly lower fundalpha, during the six-month period surrounding and the two-year period afterthe event. Busy managers who manage multiple funds and who are not part of ateam are more affected by marital transitions. Inattentive managers place feweractive bets relative to their style peers, load more on index stocks, exhibithigher R-squareds with respect to systematic factors, and are more proneto the disposition effect.
【报告人简介】Dr. Yan Lu is an assistant professorof Finance at the University of CentralFlorida. She received her Ph.D degree from the University of Florida in 2015. Her research interest includes alternative investment,behavioral finance, real estate finance and empirical corporate finance.
【发表论文】
1.Under One Roof: AnAnalysis of Simultaneously Managed Hedge Funds and Fund of Funds,(with VikasAgarwal and Sugata Ray) Management Science, forthcoming
2.Limited Attention, Marital Events and Hedge Funds ,(with Sugata Ray and MelvynTeo), Journal of Financial Economics, forthcoming
3.Too good to be true? An analysis of theoptions market’s reactions to earnings releases,(with Sugata Ray), Journalof Business Finance and Accounting, conditionally accepted
