主讲人简介：
许瞭，澳大利亚拉筹伯大学金融学博士，目前任浙江工商大学国际商学院副研究员。主要研究方向为交易所交易基金、市场微观结构，市场效率，资产定价等。已在SSCI期刊发表论文十余篇。
摘要：
This paper provides novel evidence of information asymmetry in Exchange-Traded Fund (ETF) markets. By decomposing daily ETF flows, we find that the unexpected flow component, orthogonal to the components driven by market-making and arbitraging, wields substantial power in predicting next day’s ETF returns. Informed traders are able to exploit their information advantage to realize an annualized open-to-close return of 19.16% or close-to-close return of 22.42%. The informativeness of the unexpected ETF component is further confirmed by its strong power of predicting next day’s macro news while the demand- and arbitrage-driven components are not closely related to forthcoming news.
时间：2021.12.23 周四下午14:00-15:00
腾讯会议：733 139 2055