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CATEGORIES:Cambridge Finance Workshop Series
SUMMARY:Factor demand and factor returns - Dr Cameron Peng
  Assistant Professor of Finance\, LSE
DTSTART;TZID=Europe/London:20210311T130000
DTEND;TZID=Europe/London:20210311T140000
UID:TALK150292AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/150292
DESCRIPTION:A mutual fund’s demand for a pricing factor\, meas
 ured by the loading of the fund’s returns on the f
 actor’s returns\, is persistent over time. When st
 ock characteristics are time-varying and change fr
 equently\, persistence in factor demand generates 
 a need for rebalancing. This rebalancing motive\, 
 in turn\, leads to predictable trading from mutual
  funds and contributes to cross-sectional return p
 redictability. In particular\, when there is a “mi
 smatch” between a stock’s characteristic and the u
 nderlying funds’ demand for that characteristic\, 
 the “mismatched” stock will face selling pressure 
 from the underlying funds and subsequently earn lo
 wer returns. Double-sorting on stocks’ characteris
 tics and mutual funds’ factor demand refines value
  and momentum strategies\, generating abnormal ret
 urns that cannot be explained by subsequent fundam
 entals or retail trading flows.
LOCATION:Online
CONTACT:CERF/CF Admin
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