时间：2025年12月16日（周二）10:00
地点：浙大管院A423会议室
主题：Underlying Valuation Uncertainty,Strategic ETF Creation and Pricing Efficiency
主讲人：Alan Huang, University of Waterloo
主持人：董望教授，浙江大学管理学院
主讲人介绍：
Alan Huang is a professor of finance and the Ernst and Young Professor at School of Accounting and Finance. Alan’s recent research combines finance and computer science. His research interests cover textual analysis related to information transmission and pricing in the financial markets and aspects of empirical asset pricing. Alan’s work has been sponsored by a number of federal grants and appeared in leading finance and accounting journals such as Review of Financial Studies and Journal of Accounting Research. Alan leads a financial data analytics research cluster at Waterloo Artificial Intelligence Institute, and is a former Co-Director of Computing and Financial Management Program at the University of Waterloo. Alan was an investment banking associate and a proprietary trader in China prior to his academic career,, and consults for funds and private equities. Alan holds a PhD from the University of Colorado at Boulder, and a master’s from Shanghai University of Finance and Economics.
摘要：
This paper identifies a novel mechanism through which uncertainty in corporate bond valuation shapes the creation process of corporate bond ETFs. Although multiple ETFs can potentially accept the same bond during the “in-kind” creation process,they often value it differently. Such valuation dispersion is driven by fund pricing conventions and external pricing sources, but can also reflect ETFs’ efforts to minimize tracking error. Authorized Participants (APs) exploit these differences by delivering a bond to create the ETF that values it most highly. While this strategic behavior increases APs’ profits, it dilutes holdings of incumbent investors and undermines ETF pricing efficiency.
