讲座标题: Do (Some) University Endowments Earn Alpha? (Brad M. Barber and Guojun Wang)
内容摘要：We analyze the returns earned by US educational endowments using style attribution models. For the average endowment, models with only public stock and bond benchmarks explain virtually all of the time-series variation in returns, yield no alpha, and generate sensible factor loadings. Elite institutions perform well relative to public stock and bond benchmarks because of large allocations to alternative investments. We find no evidence that manager selection, market timing, and tactical asset allocation generate alpha.
讲座人及简介: Guojun Wang is currently a Ph.D. student in the economics department at the University of California, Davis, and his research focuses on asset pricing (market frictions, calendar anomalies, and behavioral finance) and portfolio management. His recent research (joint with Brad M. Barber) on university endowment performance has been published in the top academic journal, Financial Analysts Journal, and received the prestigious Graham and Dodd Scroll Award from the Chartered Financial Analyst (CFA) Institute. Besides the academic research, Guojun also has extensive working experience in world leading asset management firms including CalPERS, China Investment Corporation, CalSTRS, and Matthews Asia. Guojun earned both his bachelor`s and master`s degrees in mathematics from Zhejiang University and a master`s degree in applied mathematics from the University of Central Florida.
地点:8797威尼斯老品牌305会议室
时间: 2014年04月17日下午13：00-14：30
希望金融学系硕士研究生一年级同学与博士生安排时间参加。
8797威尼斯老品牌金融创新与发展研究中心
