I am a third-year Finance Ph.D. candidate at Aarhus University and CREATES. I was also a visiting Ph.D. at Copenhagen Business School hosted by Prof. Lasse Heje Pedersen in Spring 2021.

My research interests are asset management, institutional investors, and FinTech. Please see my CV.

My job market paper documents a sizeable spillover effect of senior mutual fund managers’ capital raising ability on their colleagues. I propose a model that features the capital raising ability of fund managers by extending the active investment skill model in Berk and Green (2004). My paper highlights the role of fund managers and their experience in raising capital.

Contact: yuexu@econ.au.dk

Job Market Paper

Spillovers of Senior Mutual Fund Managers' Capital Raising Ability (2021)

Abstract: This paper documents a sizeable spillover effect of senior mutual fund managers' capital raising ability on their colleagues. I find that when a junior fund manager has new senior colleagues in a fund, the junior manager’s other funds also have substantial capital inflows. To identify the cause of these capital inflows, I extend the active investment skill in the Berk and Green model with capital raising ability. Empirical evidence shows that a fund manager's performance in other funds (measured by net or gross alphas) decreases significantly after having new senior colleagues, and value added from the active investment does not increase. This is consistent with the spillover effect of senior managers' capital raising ability rather than active investment skill.

Working Paper

Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies (2020), with Charlotte Christiansen and Ran Xing

Abstract: This paper investigates the source of active U.S. equity mutual funds’ value added using 234 public asset pricing anomalies. We find that mutual funds on average lose substantial value through their high exposure to the short legs of accounting anomalies (e.g. investment, profitability, accrual). This high exposure is largely because of the high correlation between the short legs of accounting anomalies and the long legs of anomalies based on market information (e.g. momentum, liquidity risk, seasonality). Funds do not manage to keep a low exposure to the former while profiting from a high exposure to the latter. Further evidence suggests that the negative exposure to accounting anomalies is not due to fund flows or the career concerns of fund managers.

Work in Progress

A Non-Zero-Sum Game: Capital Raising Ability of Mutual Funds, with Jules H. van Binsbergen and Ran Xing

Why the total net assets of the mutual fund industry is large despite its poor performance? Why many funds with persistently negative net alphas and high fees stay in the game? We introduce fund managers' capital raising ability into the Berk and Green model to answer these questions.

Seminars and Conferences

2021: China International Conference in Finance (CICF), 37th International Conference of the French Finance Association (AFFI), Young Scholars Nordic Finance Workshop, Norwegian School of Economics, Copenhagen Business School, Aarhus BSS, The Danish Graduate Programme in Economics Annual Workshop (DGPE)

2020: Aarhus BSS, The Danish Graduate Programme in Economics Annual Workshop (DGPE)