From June 24th to 28th, 2018, Associate Professor Fuwei JIANG and Assistant Professor Kai WU of the School of Finance, at the invitation of the Asian Finance Association and Hitotsubashi University, went to Tokyo, Japan to attend the 2018 Asian Financial Association Annual Meeting and presented their papers. Their research papers were highly praised by the organizing committee of the conference and the experts attending the conference, and finally won the best paper awards.
Associate Professor Fuwei JIANG’s speech titled “Real Time Macro Factors in Bond Risk Premium”, and this paper won the Best Paper Award from the Asian Financial Association Annual Meeting WRDS (Wharton Data Service Center).
Dr. Kai WU 's paper "The Economic Consequences of Mutual Fund Advisory Misconduct" won the Best Doctoral Dissertation Award from the Asian Finance Association Annual Meeting.
Real Time Macro Factors in Bond Risk Premium
Asian Finance Association (AsianFA) 2018 Conference
Dashan Huang
Singapore Management University - Lee Kong Chian School of Business
Fuwei Jiang
Central University of Finance and Economics (CUFE)
Guoshi Tong
Renmin University
Abstract:The notion that bond risk premium varies with business cycles is challenged once real time macro data are used. In this paper, we argue that the macro factors extracted by using the standard PCA are not the most relevant for forecasting bond risk premium, because the PCA factors are designed to explain the most variation of macro data instead of the variation of bond risk premium. With the latter objective in mind, we propose a scaled PCA (sPCA) approach, which incorporates the information in bond risk premium in the factor extraction procedure. The real time macro sPCA factors have much stronger predictive power than the PCA factors, both in- and out-of-sample, and generate sizeable utility gains. Alternative approaches, target PCA and PLS, obtain similar results. The sPCA factors also strongly nowcast macro data revision and forecast future macroeconomic conditions, consistent with implications of standard asset pricing theories, and the forecasting power appears countercyclical, with expected bond returns high in recessions and low in expansions.
Keywords: Bond Return Predictability, Real Time Macro Data, Vintage, PCA, Big Data, Machine Learning
Economic Consequences of Mutual Fund Advisory Misconduct
Asian Finance Association (AsianFA) 2018 Conference
Kai Wu
Central University of Finance and Economics (CUFE) - School of Finance
Abstract:I evaluate the economic consequences of advisory misconduct using the publicly disclosed regulatory actions of mutual fund advisors. From a broad set of misconduct events from 2000-2013, I find a 5% reduction in fund flows to malfeasant advisors in one year following the misconduct. Further analysis using the 2001 SEC electronic filing mandate corroborates these results. Mutual fund companies raise marketing expenditures, reduce contractual incentives, and relax investment restrictions subsequently to mitigate the negative impact on flows. Moreover, advisory misconduct adversely affects advising relationships. My findings highlight the significant impact of misconduct on fund flows and advisory contracting in the mutual fund industry.
Keywords: Mutual Funds, Advisory Misconduct, Economic Consequences
