Written Report Guidelines

• Please select assigned academic paper related to investment management and make an oral presentation. 請選擇與投資管理有關的學術論文進行口頭報告。2人一組

• 2人一組進行簡報.

• 簡報內容須有(1) 論文題目/作者 (2)文獻探討 (3) 研究方法 (4)研究結論 (5) 評論.

• 報告時間: 最多30分鐘

2024/5/6

1.      Kan,R., Wang, X., & Zheng, X. (2024). In-sample and out-of-sample Sharpe ratiosof multi-factor asset pricing models. Journal of Financial Economics,155, 103837. https://doi.org/https://doi.org/10.1016/j.jfineco.2024.103837

2024/5/13

2.      An,Y., Benetton, M., & Song, Y. (2023). Index providers: Whales behind thescenes of ETFs. Journal of Financial Economics, 149(3), 407-433. https://doi.org/https://doi.org/10.1016/j.jfineco.2023.06.003

 2024/5/20

3.      Choy,S. K., Lewis, C., & Tan, Y. (2023). Can the changes in fundamentals explainthe attenuation of anomalies? Journal of Financial Economics, 149(2),142-160. https://doi.org/https://doi.org/10.1016/j.jfineco.2023.04.005

2024/5/27

4.       Ardia, D., Barras, L., Gagliardini, P., & Scaillet, O. (2024). Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. Journal of Financial Economics, 154, 103805. https://doi.org/https://doi.org/10.1016/j.jfineco.2024.103805

2024/6/3

5.      Gantchev,N., Giannetti, M., & Li, R. (2024). Sustainability or performance? Ratingsand fund managers’ incentives. Journal of Financial Economics, 155,103831. https://doi.org/https://doi.org/10.1016/j.jfineco.2024.103831

2024/6/10

6.      Kaniel,R., Lin, Z., Pelger, M., & Van Nieuwerburgh, S. (2023). Machine-learningthe skill of mutual fund managers. Journal of Financial Economics,150(1), 94-138. https://doi.org/https://doi.org/10.1016/j.jfineco.2023.07.004