Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
***Seminar 1: Delegated Asset Management and Market Segmentation
***Speaker: Wei Xiong (Princeton University)
****Time: 2008-04-23, Wednesday, 15:30-17:00 !!!*
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
***Seminar 2: Day Trading in Equilibrium
***Speaker: Terrance Odean (Haas School of Business, Berkeley)
***Time: 2008-04-25, Friday, 15:30-17:00
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented by Terrance Odean can be downloaded at
http://www.vgsf.ac.at/activities/seminars.htm. The abstracts are
attached below.
Please note that the special time for the first seminar of this week.
Please also be informed that from now on VGSF research seminars will
only be announced through the VGSF newsletter. You are kindly invited to
subscribe to the VGSF newsletter at
https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter if you have
not yet done it.
Wei Xiong will be available for individual meetings on Wednesday, and
Terrance Odean will be available on Friday afternoon before the seminar.
If you would like to talk to them in person, please contact me as soon
as possible.
Best regards,
Youchang Wu
Abstract 1: This paper explains capital immobility in financial markets
based on agency frictions in delegated asset management. Our key insight
is that confining a fund
to investing in a single market increases the efficiency of incentive
provision to the fund manager through benchmarking and reduces the
agency cost. We show
that this benefit can dominate the cost of forgone investment gain due
to restricted investment choices, and therefore provide a justification
of capital confinement
provisions commonly specified in asset management contracts. Our model
offers a new perspective on liquidity crises. After investors distribute
their capital into
different market segments through institutionally managed funds, agency
considerations can largely confine capital within its initial market
segments, thus
refraining liquidity from flowing down to a distressed market.
Abstract 2: When an investor buys and sells the same stock on the same
day, he has made a day trade. We analyze the performance of day traders
in Taiwan. Day trading by individual investors is prevalent in Taiwan –
accounting for over 20 percent of total volume from 1995 through 1999.
Individual investors account for over 97 percent of all day trading
activity. Day trading is extremely concentrated. About one percent of
individual investors account for half of day trading and one fourth of
total trading by individual investors. Heavy day traders earn gross
profits, but their profits are not sufficient to cover transaction
costs. Moreover, in the typical six month period, more than eight out of
ten day traders lose money. Despite these bleak findings, there is
strong evidence of persistent ability for a relatively small group of
day traders. Traders with strong past performance continue to earn
strong returns. The stocks they buy outperform those they sell by 62
basis points /per day/. This spread is sufficiently large to cover
transaction costs.