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Copy path2023 年秋季组会说明
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2023 年秋季组会说明
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各位好，本学期组会放在每周二上午，请大家预留时间。几点说明：
1. 组会请大家认真对待。
2. 鉴于部分同学的基础，修改组会模式：
a. 博士不再集中汇报工作进展，每周单独找我沟通进展；慢慢以项目为单位沟通.
b. 本学期由博士进行专题的新文献串读，一学期准备两次即可，但需解读到位，提前确定文献和提供 ppt。时间需要分散，前半学期一个，后半学期一个，以校历 1-16 周为准。屠雪永安排，隔周安排。@怀梦听枫忆
c. 硕士主要进行经典文献的解读和复制，经典文献会给出列表，自由选择或安排。可组团<=x人，小组有x 倍的复制工作量。需要提供代码、数据等复现所需要的内容，上传至Github全网可见。硕士的汇报也以此为主。解读和复制穿插在论文串读之中。同样请屠雪永安排。复制的模式可以参考资源 2，其中的Section 10-26均复制了经典的文献。
D. 接着 c, 本学期的学习有两组：1 组是anomalies；2 组是公募基金和机构投资者。从中间选择即可。你可以扩展(包括中文)，但必须跟这两类有直接联系。
一些参考资源
1. https://www.tidy-finance.org/index.html
2. https://iangow.github.io/far_book/index.html
第一组：异象Anomalies
1. Price Momentum: Jegadeesh, N., and S. Titman. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 48 (1993), 65–91.
2. Earnings Momentum: Bernard, V., and J. Thomas. “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?” Journal of Accounting Research, 27 (1989), 1–36.
3. Price and Earnings Momentum: Avramov, Cheng, Hameed, “Time Varying Momentum and Liquidity, Journal of Financial and Quantitative Analysis, 2016.
4. Asset Growth: Cooper, M., G. Huseyin and M. J. Schill, 2008, Asset Growth and the Cross- Section of Stock Returns, Journal of Finance 63, 1609-1651.
5. New Issues: Loughran, Tim and Jay Ritter, 1995, The new-issues puzzle, Journal of Finance 50, 23-52.
6. Idiosyncratic Volatility: Ang, A., R. Hodrick, Y. Xing and X. Zhang, 2006, The Cross- Section of Volatility and Expected Returns, Journal of Finance 61, 259-299.
7. Multiple Anomalies: Fama Eugene F. and Kenneth R. French, 2008, Dissecting Anomalies, Journal of Finance 63, 1653-1678.
8. Multiple Anomalies: Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan, 2012, “The Short of It: Investor Sentiment and Anomalies,” Journal of Financial Economics.
9. Multiple Anomalies: Edelen, Ince and Kadlec, 2016, Institutional Investors and Stock Return Anomalies, Journal of Financial Economics
10. Multiple Anomalies: Asness, Moskowitz and Pedersen, 2013, Value and Momentum Everywhere, Journal of Finance.
11. Anomalies? McLean, David, and Jeffrey Pontiff (2016). Does Academic Research Destroy Stock Return Predictability? Journal of Finance.
12. Multiple Anomalies: Hou, Xue and Zhang, 2018, Replicating anomalies, Review of Financial Studies
13. Machine Learning: Shihao Gu, Bryan Kelly, Dacheng Xiu, 2020, Empirical Asset Pricing via Machine Learning, The Review of Financial Studies, 33, 2223–227
第二组：公募基金和机构投资者 Mutual funds and other institutional investors
1. Skill: Grinblatt, Mark, and Sheridan Titman, “Performance measurement without benchmarks: An examination of mutual fund returns”, Journal of Business (1993): 47-68.
2. Skill: Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers (1997). Measuring Mutual Fund with Characteristic-Based Benchmarks. Journal of Finance 52: 1035-1058.
3. Skill: Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng (2008). Unobserved Actions of Mutual Funds. Review of Financial Studies 21(6): 2379-2416.
4. Skill: Carhart, Mark M, “On persistence in mutual fund performance”, Journal of Finance 52, no. 1 (1997): 57-82.
5. Skill: Cremers, Martijn, and Antti Petajisto (2009). How Active Is Your Fund Manager? A New Measure that Predicts Performance. Review of Financial Studies 22: 3329-3365.
6. Skill: Eugene Fama and Kenneth R. French. Luck versus Skill in the Cross-Section of Mutual Fund Returns. Journal of Finance. (2009). 65(5): 1915-1947
7. Skill: Hao Jiang and M Verardo (2018), Does Herding Behavior Reveal Skill? Analysis of Mutual Fund Performance. Journal of Finance, 73(5) 2229-2269.
8. Source: John Y. Campbell, Tarun Ramadorai, and Allie Schwartz (2009). Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements. Journal of Financial Economics 92: 66-91.
9. Obfuscation: Bollen, Nicolas, and Veronika Pool (2009). Do Hedge Fund Managers Misreport Returns? Evidence from a Pooled Distribution. Journal of Finance 64(5): 2257-2288.
10. Effects: Coval, Joshua, and Erik Stafford (2007). Asset Fire Sales (and Purchases) in Equity Markets. Journal of Financial Economics 86(2).
11. Effects: Bennet, James, Richard Sias, and Laura Starks (2003). Greener Pastures and the Impact of Dynamic Institutional Preferences. Review of Financial Studies 16(4): 1203-1238
12. ETFs: Ben-David, Fanzoni and Moussawi (2018). Do ETFs Increase Volatility? Journal of Finance.