At noon on November 18th, the fifth session of the "Noon Sunshine-Young Scholars Forum" sponsored by the School of Finance was held as scheduled in the school's 116 classroom. The theme of this forum is "Do investors care about tail risks? Evidence from mutual fund flow". Dai Wenting, the assistant professor at the School of Finance of Nankai University and PhD in Finance from Texas A&M University, shared his working paper. His research interests include empirical asset pricing, mutual funds, hedge funds, sustainable finance, etc. Today’s forum invited Ren Honglin, the assistant professor at Business School of Renmin University of China and PhD in Finance from Georgia State University's School of Business, to comment on the report. Her main research field focuses on institutional investors and their roles in the financial market. Liu Lanbiao, the deputy dean of the School of Finance, attended the event.

Dai Wenting started with a literature review regarding the relationship between tail risk and stock return. The literature found that the higher the tail risk, the higher the stock return. Then he introduced the estimation method of tail risk for individual mutual funds in the paper, which is a combination of Time-varying beta and conventional asset pricing models. He also introduced the standard mutual fund flow measure and the paper’s data source. The paper first found that fund flow and tail risk were significantly negatively correlated. Then using terrorist attacks and COVID-19 as exogenous shocks to the investor fear level, the paper found that fund flow became more sensitive to tail risk following the shocks, suggesting that fear is a driving force of the tail risk aversion. In addition, the paper found that tail risk is related to the activeness of mutual fund investment strategies.

Ren Honglin, the assistant professor at Renmin University of China School of Business and PhD in Finance from Georgia State University School of Business, commented on the lecture. She spoke highly of Dai's research results. She said that this is an article that can arouse everyone's discussion and thinking and provided in-depth evaluation and insights on the rationality of the article's model assumptions, calibration and estimation, and modeling methods.

During the forum, teachers and students asked Dai questions from time to time, and the discussion atmosphere was enthusiastic. Everyone fully enjoyed the fun of academic discussion.

"Noon Sunshine" is a regular academic exchange platform held by the School of Finance since the establishment of the Institute, which aims to help teachers focus on academic frontier issues, enhance academic exchanges and promote scientific research cooperation.

Copywriter: Li Ziyan

Photography: Liu Xianglong

Editor: New Media Center, School of Finance, Song Zirui

Reviewer: Ma Jin Hao Ren