Same Dollar, Different Impact: Investor Demand Is Not Equally Price-Moving
主讲人：
向鸿（香港理工大学）
主持老师：
（北大经院）王一鸣、李少然
参与老师：
（北大经院）刘蕴霆、巩爱博、王法、王熙
时间：
2025年12月19日（周五）
15：00-16:30
地点（线下）：
北京大学经济学院302会议室
主讲人简介：
向鸿，香港理工大学金融学助理教授，研究领域主要包括实证资产定价、资产管理、行为金融。其科研成果多次发表于《Journal of Financial Economics》、《Journal of Financial and Quantitative Analysis》、《Management Science》等国际期刊，并于Finance Down Under等国际学术会议上获得最佳论文奖。其学术成果亦受到了Bloomberg、Forbes等知名财经媒体的报道。
报告摘要：
Mutual fund flows generate substantial price impact, amplify fragility, and trigger fire sales. We document a stark contrast for separate accounts—the dominant institutional investment vehicle:their flows generate essentially no price impact, fragility, or fire-sale risk. This pattern holds within mutual fund-separate account twins managed under identical strategies and is not driven by liquidity conditions at the time flows occur. Using trade-level data from a major transition manager, we show that specialized execution intermediaries significantly reduce trading costs and dampen price dislocations. Our findings reveal large heterogeneity in how investor demand transmits to prices-not all flows are equally price-moving.
