KAEA-VSS Empirical Macro-Finance

Program

Title: Exotic funds and the cross-section of stock returns

Presenter: Soohun Kim (KAIST)

Abstract :

Investment strategies of active funds vary in their reliance on characteristics versus exotic stock selection rules. We propose a simple machine learning methodology for estimating a strategy’s reliance on characteristics or exotic selections. We find stocks held by funds with more reliance on exotic selections outperform stocks held by funds with more reliance on characteristics. A strategy built around this out-performance earns a Fama-French 4-factor alpha of 3.1% per year (t-statistic of 3.39).

Zoom link to the seminar:

https://iu.zoom.us/j/89308325478