LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto are

pleased to invite you to the following seminar in Quantitative Finance,

that will take place on June 17th at 3 pm CET via Zoom. Please register

here:

 

 

to get the Zoom link to join the webinar.

Speaker: Fabio Moneta (University of Ottawa)

Title: Holding horizon: a new measure of active investment management

 

Abstract:
This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a particular fund is likely to exhibit a higher short-run alpha. The superior long-term performance of long-horizon funds is due to their selection of stocks with strong long-run fundamentals. Moreover, stocks largely held by long-horizon funds outperform stocks largely held by short-horizon funds by 2.7%-3.5% per year, adjusted for risk, over the following five-year period.

 

We hope you will be able to join us!

 

Best,

 

Luca Regis

-- 
Luca Regis
Associate Professor
Department of Economics and Statistics (ESOMAS)
University of Torino
sites.google.com/view/lucaregis
Office: +39 011 670 6065
www.carloalberto.org/lti