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SUMMARY:Factor demand and factor returns - Dr Cameron Peng Assistant Profe
 ssor of Finance\, LSE
DTSTART:20210311T130000Z
DTEND:20210311T140000Z
UID:TALK150292@talks.cam.ac.uk
CONTACT:CERF/CF Admin
DESCRIPTION:A mutual fund’s demand for a pricing factor\, measured by th
 e loading of the fund’s returns on the factor’s returns\, is persisten
 t over time. When stock characteristics are time-varying and change freque
 ntly\, persistence in factor demand generates a need for rebalancing. This
  rebalancing motive\, in turn\, leads to predictable trading from mutual f
 unds and contributes to cross-sectional return predictability. In particul
 ar\, when there is a “mismatch” between a stock’s characteristic and
  the underlying funds’ demand for that characteristic\, the “mismatche
 d” stock will face selling pressure from the underlying funds and subseq
 uently earn lower returns. Double-sorting on stocks’ characteristics and
  mutual funds’ factor demand refines value and momentum strategies\, gen
 erating abnormal returns that cannot be explained by subsequent fundamenta
 ls or retail trading flows.
LOCATION:Online
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