Fund Flows, Liquidity, and Asset Prices

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

minsoo kim

Topic: Fund Flows, Liquidity, and Asset Prices

Speaker: Minsoo Kim, the University of Melbourne

Venue: Hybrid - Both face to face and online

On campus | Face to face seminar in room CB08.08.002, Building 8, University of Technology Sydney, Australia (Map of campus) 

Zoom | Click here to register (After registering, you will receive a confirmation email containing information on how to join the meeting, including an access link.)

Abstract: This paper tests whether mutual funds on aggregate matter for the equilibrium stock returns due to (i) uncertain fund flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar across the separate portfolios and different model specifications, supporting the prediction that one pricing kernel of mutual funds prices a range of cross-sections.

The paper is also available here. 

Seminar protocols:

  • The seminar will run for 45 minutes, followed by a 15 minute Q&A session
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any issues
  • Participants can raise their hand to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or they can ask the question directly to the presenter

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Co-ordinator: Jianxin Wang

Enquiries: Jin Jo

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UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.