Holder: Yiwen Shen(The Hong Kong University of Science and Technology)
Time:2024-12-26 15:10-17:00
Location:Room 217, Guanghua Building 2
Abstract:
In this paper, we study how index investing and dynamic information environment affect market volatility, correlation, and price informativeness. We consider an overlapping generation model with multiple risky assets. The market has two classes of investors, with the first type trading single stocks and the second type trading an index fund. The single-stock investors have access to the private signal of the stock they trade, while the index investors rely on public information. The information environment varies in response to the investors' composition, capturing a feedback effect that more single-stock investors increase the amount of available information. We solve the investors' participation choice and optimal demands that clear the market under a framework of rational expectation equilibrium. Our model reveals the simultaneous impact of index investing and information asymmetry on the market equilibrium.
About the Speaker:
Dr. Yiwen Shen is an Assistant Professor in the Department of Information Systems, Business Statistics, and Operations Management (ISOM) at HKUST. His research interests include empirical operations management, decision-making in healthcare systems, and financial engineering. He earned a Bachelor’s degree in Physics from Peking University and a Master’s degree in Financial Engineering from Columbia University. He completed his PhD in Operations Management in the Decision, Risk, and Operations Division at Columbia Business School.
Dr. Shen has experience working at various financial institutions, including Morgan Stanley and Cubist Systematic Strategies. He has received multiple awards, including first place in the INFORMS Service Science Best Cluster Paper Award, second place in the INFORMS Health Applications Society Student Paper Competition and second place in CSAMSE Best Paper Award.

Your participation is warmly welcomed!

欢迎扫码关注北大统计科学中心公众号,了解更多讲座信息!