Our speaker will be Merlin Bartel (University of Lichtenstein).

He will give a talk on "Factor Chasing: How fast is International Capital?" (joint with Pedro Barroso and Sebastian Stöckl).

Abstract: We show that under global market frictions even highly specialized style mutual funds underreact to publicly available information. We first establish a distinctive pattern in international risk factor returns that we term ''Factor Chasing''. A factor performing better in a country than in others tends to continue outperforming in the following months. Strategies that chase single factor returns over the world yield highly positive returns that are not spanned by leading factor models. Considering the frequently documented positive feedback trading tendency of managers, factor chasing should be highly attractive to specialized style mutual funds. We confirm that managers trade on the signal, but with a considerable delay. Global specialized style mutual funds fail to time trades on simple long-only chasing strategies. We further show that even highly specialized fund managers are subject to commonly reported biases.

The talk will take place on October 08, 2024 at 12:00 pm in room D3.0.233.