必赢626net入口首页思源金融讲坛
——学术报告第42期
题目：Presidential Elections, Political Sensitivity, and Hedge Fund Performance
报告人：Honghui Chen, Department of Finance, University of Central Florida
时间：2016年12月15日下午1: 30 -3: 30
地点：博萃楼4楼阳光房
论文：学院内网
论文摘要
We develop and test a hypothesis that hedge-fund managers who respond to and capitalize on the changing political environment around Presidential elections are better skilled. We find that hedge funds, on average, trade in anticipation of the presidential election outcome, and adjust the political sensitivity of their portfolio accordingly. Managers who adjust their portfolio political sensitivity most successfully generate significantly higher alpha than those that are least successful in their adjustments. The significant superior performance by these funds persists for about a year. We also find that these funds are more likely to survive over the following two years. Our evidence suggests that hedge funds’ anticipation and response to Presidential elections indicate managerial skill and can successfully predict future fund performance.
报告人简介
Honghui Chen is SunTrust Professor of Finance at the University of Central Florida. He received his Ph.D. in finance from the Pamplin College of Business at Virginia Tech in 1999. His research focuses on market seasonality, short sales, and market microstructure. He has published in the Journal of Finance, Journal of Financial Economics, the Journal of Financial and Quantatitive Analysis, the Journal of Financial Research, and the Financial Analysts Journal, among others. His research has been quoted in the New York Times, Baron’s, and Forbes.
代表性论文
1.Chen, Honghui, Vijay Singal, and Robert F. Whitelaw, 2016. “Comovement Revisited”. Journal of Financial Economics 121 (3), 624-644.
2.Chen, Honghui, Hemang Desai, and Srinivasan Krishnamurthy, 2013. “A First Look at Mutual Funds that Use Short Sales”, Journal of Financial and Quantitative Analysis 48 (3), 761-787.
3.Chen, Honghui, David H. Downs, and Gary A. Patterson, 2012. “The Information Content of REIT Short Interest: Investment Focus and Heterogeneous Beliefs”, Real Estate Economics 40 (2), 249-283.
4.Chen, Honghui, Hoang Huy Nguyen, and Vijay Singal, 2011. “The Information Content of Stock Splits”, Journal of Banking and Finance 35(9), 2454-2467.
5.Chen, Honghui, Joel N Morse, and Hoang Huy Nguyen, 2009. “Changes in the Liquidity of Closed-end Country Funds after the Introduction of World Equity Benchmarks”, The Quarterly Review of Economics and Finance 49(3), 1081-1094.
6.Chen, Honghui, Gregory Noronha, and Vijay Singal, 2006. “Index Changes and Losses to Index Fund Investors, Financial Analysts Journal 62 (4), 31-47.
· Abstracted in CFA Digest, November 2006, 91-92.
7.Chen, Honghui, Gregory Noronha, and Vijay Singal, 2006. “S&P 500 Index Changes and Investor Awareness”, Journal of Investment Management 4 (2), 23-37.
· Abstracted in CFA Digest, February 2007, 55-57.
8.Chen, Honghui, Gregory Noronha, and Vijay Singal, 2004. “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation”, Journal of Finance 59 (4), 1901-1929.
9.Chen, Honghui, and Vijay Singal, 2003. “Role of Speculative Short Sales in Price Formation: Case of the Weekend Effect”, Journal of Finance 58, 2003, 685-705.
