题 目：Country, Industry Concentration and the Performance of International Mutual Funds
报告人：Dr. MING LIU，Graduate School of International Management，International University of Japan
主持人：韩洪灵博士，浙江大学管理学院会计系
时 间：12月20日（周四）下午2:00—4:00
地 点：管理学院702会议室
报告人简介：
Dr. Ming Liu earned his Ph.D at the Binghamton University - the State University of New York in finance in 2011. His research interests include market efficiency and mutual fund. He has published papers on Journal of International Money and Finance and Financial Review. He is currently an assistant professor in finance at International University of Japan.
Abstract：
International mutual funds diversify across countries and industries. In the meantime, fund managers may concentrate fund holdings on the countries or industries they have superior information. Using a hand-matched dataset on the holdings of the U.S. international equity mutual funds, we investigate the relation between the country and industry concentrations and associated fund performance. We find that when sorted by country and industry concentration measures separately, concentrated funds outperform their diversified counterparts. The result is robust after controlling for various risk factors. This outperformance is twice as large in the industry as in the country dimension. Moreover, the outperformance in the industry dimension is stronger for smaller funds than for larger funds, which is economically and statistically significant. But this is not the case in the country dimension. Further, we find that the outperformance stemming from country-concentration can be explained by industry concentration. Our findings support the view shown by Kacperczyk, Sialm, and Zheng (2005) that some fund managers have industry specialized knowledge, i.e., private information, extended into global markets (Albuquerque, Bauer, and Schneider (2009)). We find little evidence that country specific knowledge helps international equity funds improve their performance.
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会计与财务管理系
2012.12.17
