线上学术 | 金融学系讲座（2022-06-15）

Finance Webinar

 (2022-11)

Topic: Global Volatility and Firm-Level Capital Flows

Speaker: Marcin Kacperczyk , Imperial College London and CEPR

Time: Wednesday, June15, 4:00-5:30 p.m. Beijing Time

Location: Zoom Meeting

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Abstract

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We study the impact of global volatility on equity portfolio flows of institutional investors worldwide. We find that their equity allocations decrease in times of high volatility; retail investors are net buyers. The effect is present in developed and emerging markets, is economically stronger for foreign than domestic institutions, and is dominated by discretionary flow component. Further, when volatility is high, foreign investors do not trim their holdings equally, but rebalance portfolios from small-cap to large-cap stocks, consistent with their endogenous learning about asset payoffs. This information-driven rebalancing predicts an increase (reduction) in return volatility of small-cap (large-cap) stocks.

Introduction

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Marcin Kacperczyk is a Professor of Finance at Imperial College London with research interests in the areas of investments, information economics, financial intermediation, and financial econometrics. His research has been published in leading academic and practitioner journals, including Econometrica, Quarterly Journal of Economics, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. 

Only For Invitees