Shidler Seminar Series: hosted by Finance dept. at BusAd D204, Feb 14, 3:00-4:30pm

The Shidler College of Business cordially invites you to the Shidler Seminar Series. FEI Guest Speaker Pengjie (Paul) Gao, Assistant Professor of Finance, University of Notre Dame. Friday, February 14, 2014. BusAd D204, 3:00 – 4:30 pm. Do Hedge Funds Exploit Rare Disaster Concerns?

Abstract

We investigate whether hedge funds with better skills of exploiting the market's ex ante rare disaster concerns, which may not realize as disaster shocks ex post, deliver superior performance. We measure fund skills in exploiting rare disaster concerns (SED) using the covariation between fund returns and a disaster concern index we develop through out-of-the-money puts on various economic sector indices. Funds earning higher returns when the index is high possess better skills of exploiting disaster concerns: high-SED funds outperform low-SED funds by 0.96% per month and even more during stressful market times, while have less exposure to disaster risk.

Bio

Pengjie Gao (高芃劼) is an Assistant Professor of Finance at the University of Notre Dame. His research focuses on market frictions and asset prices. His articles have appeared in the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, among others. He is first prize winners of the Chicago Quantitative Alliance (CQA) Academic Competition, and Crowell Memorial Prize; and a second prize winner of Fama/DFA award. He received competitive research awards from the Q-group on the rare disaster concerns, EMI on security transaction tax, Moody’s KMV on credit risk, and Morgan Stanley on short-sale constraints. He earned his doctoral degree in Financial Economics from Kellogg School of Management, Northwestern University. Prior to joining academics, he worked for Pequot Capital Management and Zacks IFE. Between 2012 and 2013, he served as a visiting senior economist at the Shanghai Stock Exchange, researching on Qualified Foreign Institutional Investors (QFIIs) in China.