本期主题: Less is More: How Corporate Bond Mutual Funds Signal Their Abilities
摘要：
I provide a model to illustrate that when the abilities of fund managers are unobservable, high-skill mutual fund managers can signal their ability by taking on extra investment risk. This practice is more costly for low-skill fund managers, and thus they do not mimic it. Consistent with the model predictions, I find that some U.S. corporate bond mutual funds intentionally remain silent on risk-related goals in their prospectuses, and the alpha of those funds is higher than that of their peers. In addition, high-skill funds have higher exposures to indexes with higher risk level. The signaling practice of high-skill funds influences the choices of investors. Specifically, investors with high risk aversion concentrate on low-skill funds, which could exacerbate the fragility of low-skill funds and distort incentives for high-skill funds. Empirically, I find that investors of low-skill funds are more sensitive to bad performance and that high-skill funds are more likely to misreport to Morningstar to boost performance and attract fund flows.
报告人：郑伟男 香港大学博士
时间：1月13日（周三） 12：00
地点：明德主楼515交流室
报告人简介：
Weinan Zheng is a Ph.D. candidate in Finance from the University of Hong Kong. He graduated from Renmin University of China and Duke University. His research interests include Empirical Asset Pricing, Financial Institutions and Financial Markets. He has published paper in Journal of Financial Markets. His papers have been presented in many international conferences, including FMA Annual Meeting, FMA Europe, BAFA, SFS Cavalcade Asia-Pacific etc.