FinTech Revolution: The Hidden Impact of Private Money Creation on the Cross Section of Stock Returns

刘文琼，湖南大学经济管理研究中心助理教授，根特大学经济学博士。主要研究方向是金融科技，资产定价，行为金融等。工作论文被New Zealand Finance Meeting, the Annual Meeting of the Spanish Finance Association,  International French Finance Association Conference, Belgian Financial Research Forum, New Zealand Finance Colloquium, European Financial Management Association等国际学术会议接受并参与研讨。

主持人

李志成

湖南大学经济管理研究中心副教授

美国纽约州立大学石溪分校经济学博士

时间

2024年11月15日（周五）  

下午4:15-5:30

地点

湖南大学财院校区-水上教学楼211

ABSTRACT

Private money creation in the form of money market funds exerts a disproportionate impact on cross-sectional stock returns. We argue the yield-accrual feature of money market funds incentivizes holders of speculative stocks to seek safety on specific days. This explains why the long-short strategies that buy non-speculative stocks and sell speculative stocks experience high (low) Thursday-through-Friday (Monday-through-Wednesday) returns. Causality is addressed using the FinTech revolution on money market funds: The cross-sectional seasonality is magnified by more than 100 percent after the exogenous shock. The magnification comes predominantly from the short-leg speculative stocks, and is stronger in high volatility periods.