Als Vortragenden dürfen wir Merlin Bartel (University of Lichtenstein) begrüßen.

Er wird sein Paper "Factor Chasing: How fast is International Capital?"  (joint with Pedro Barroso and Sebastian Stöckl) vorstellen.

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.

Das Brown Bag Seminar findet am 08. Oktober 2024 von 12:00-13:00 Uhr im Raum D3.0.233 statt.