1. 程军溢（2016级博士生）：Differences in Fund Active Management and Stock Returns
2. 刘俊（2015级博士生）：How Is Liquidity Priced in the Chinese Stock Market
朱一峰 中央财经大学金融学院 副教授
夏聪 中央财经大学金融学院 助理教授
王曰涵 中央财经大学金融学院 助理教授
五、主持人：朱一峰 中央财经大学金融学院 副教授
1. Differences in Fund Active Management and Stock Returns
Heterogeneous beliefs among fund managers negatively predict stock returns. Based on mutual fund managers. Active Share holdings, we construct an Active Share Standard Deviation index to proxy for heterogeneous beliefs among fund managers. We find that quarterly increasing heterogeneous beliefs negatively predict stock returns with in-sample and out-of-sample R2 of 4.22% and 4.77%, respectively. The predictability outperforms alternative popular economic predictors. Our findings are robust to different stock markets and sample periods. The predictability of the constructed index is strengthening as forecasting horizon extends. The economic driving force of the predictive power seems to be related to future discount rate in the stock market.
2.How Is Liquidity Priced in the Chinese Stock Market
This study investigates the liquidity premium in the Chinese stock market. We find that average stock returns increase monotonically when sorting on decreasing liquidity characteristics. The characteristic-based liquidity premiums range from 0.82% to 1.28% per month, which is much higher than that of their U.S. counterparts. Moreover, our multivariate decomposition approach highlights that characteristic illiquidity premiums can be explained mainly by size, idiosyncratic volatility, and momentum. The risk-based liquidity premium reaches 0.84% per month, driven mainly by commonality beta. The finding shows that the liquidity-based strategy forecasts cross-section and time-series expected returns.