主讲人Speaker: 冯冠豪  副教授    香港城市大学

时间Date & Time: 2026年6月10日（周三），10:30--12:00

地点Venue:粤海校区汇星楼565会议室

内容简介/ Abstract:

We construct a mutual fund co-holding network that defines peer stocks from active managers' portfolio choices, rather than from pre-specified links. Using U.S. equities from 1990 to 2024, holdings-based peer returns predict next-month stock returns incremental to industry, shared-analyst, common-ownership, and characteristics-based peer signals. The predictive content is sharply concentrated among each stock's nearest peers in holdings space and absent for the least similar stocks. A value-weighted long-short peer-momentum portfolio earns 0.67% per month with significant factor-model alphas, and the effect is stronger among high-friction stocks. The signal predicts continuation rather than reversal and is not subsumed by common-ownership measures, pointing to local information diffusion rather than non-fundamental price pressure. A stylized model of coverage-restricted learning accounts for the locality and the friction pattern.

主讲人介绍/Biography of the speaker：

冯冠豪，香港城市大学金融学与统计学副教授，商学院金融科技与商业分析研究中心主任，亚洲金融经济研究局（ABFER）研究员。2017年获芝加哥大学博士学位和MBA学位。主要从事资产定价、金融科技、机器学习、生成式人工智能、贝叶斯统计与金融计量经济学研究，重点关注金融实证研究中的方法论问题及其应用。研究成果发表于 Journal of Finance、Journal of Financial Economics、Management Science、Journal of Financial and Quantitative Analysis、Journal of Econometrics 等国际顶尖学术期刊。主持香港研究资助局 ECS、GRF 及国家自然科学基金青年科学基金等多项竞争性科研项目，并担任 Management Science、Journal of Financial Econometrics 等期刊副主编。曾获 INQUIRE Europe、香港货币及金融研究中心、AQR Insight Award 等多项研究奖项。