Topic: Attention Allocation and Fund Flows: Evidence from Institutional Investors

Speaker: Zhi Da, Howard J. and Geraldine F. Korth Professor of Finance, University of Notre Dame

Time: 10:00am-11:30am, Wednesday, October 21

Location: 4-101

Abstract:

Institutional fund investors play a central role in delegated asset management. Using novel fund viewership data, we study how these investors allocate attention across institutional funds. Exploiting quasi-random variation in screen display features, we show that attention causally increases fund flows. These attention-induced flows create trading pressure in underlying stocks: a portfolio buying stocks with high attention-induced trading and selling those with low trading earns a four-factor alpha of 23 basis points per month over the following quarter, which reverses within one year. Our findings show that sophisticated institutional investors face binding attention constraints, affecting capital allocation and asset prices.

Biography:

Professor Zhi Da is the Howard J. and Geraldine F. Korth Professor of Finance at the University of Notre Dame. His research focuses on empirical asset pricing and investment. He is currently serving as an associate editor at several journals including Journal of Finance, Management Science, Journal of Financial and Quantitative Analysis, among others. He is the vice-president elect of the Midwest Finance Association (MFA) and a council member of the Society for Financial Studies (SFS). Zhi has received the 2017 JFQA William F. Sharpe Award for Scholarship in Financial Research, among other research awards and grants. After gaining a BBA and an MSc from National University of Singapore, he worked at the interest rate and exotic derivative trading desk in DBS Bank. He subsequently earned a PhD in Finance from Northwestern University.