A Model of Anomaly Discovery (异象发现模型)

讲座题目：A Model of Anomaly Discovery (异象发现模型)

主讲人：Lei Lu （路磊）

时间：5月25日15:30

地点：25楼A区816

主讲人简介：

Dr. Lei Lu is currently an Assistant Professor of Finance at Guanghua School of Management, Peking University, and will join the Asper Scholl of Business, University of Manitoba as an Associate Professor of Finance in the Fall of 2016. He holds a PhD in Finance from McGill University, a Master's Degree in System Engineering from Tianjin University, and a Bachelor's Degree in Management from Zhengzhou University.

Lei Lu’s research focuses on asset pricing and fixed income. His research interests include asset pricing with frictions (e.g., heterogeneous beliefs, rationality, and macro finance) and determinants of corporate bond yield spreads. His work has been published in Management Science, Journal of Futures Markets, International Review of Financial Analysis, Quantitative Finance, and Financial Review.

Dr. Lu is conducting a research project sponsored by the National Natural Science Foundation of China, and received several honors and awards including the Outstanding Teaching Award from Peking University and American Finance Association (AFA) Student Travel Award.

讲座摘要：We analyze a stylized model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. Moreover, the discovery of an anomaly reduces the correlation between deciles 1 and 10 for that anomaly. Using data for 12 well-known anomalies, we find evidence consistent with this new prediction. Finally, the correlation between deciles 1 and 10 of an anomaly becomes correlated with the aggregate hedge-fund wealth volatility only after the anomaly is discovered. Our model also sheds light on how to distinguish between risk- and mispricing-based anomalies.