Assoc. Prof. Tao Huang 

Beijing Normal University-Hong Kong Baptist University United International College

Research Area：

Empirical Asset Pricing; Financial Institution; Chinese Financial Market

Brief introduction of your research experience：

Dr Tao Huang is an Associate Professor in finance in DBM. Prior to joining UIC, he was a lecturer at International Business School in Xi’an Jiaotong-Liverpool University, and a post-doctoral researcher at Shanghai Advanced Institute of Finance. His research interests include empirical asset pricing, market microstructure, international financial market, financial institutions, and machine learning applications in finance. His academic works appeared in top rated journals such as Journal of International Business Studies, Journal of Banking and Finance, and Journal of Financial Markets (among others). His research works have been presented at influential conferences including CICF, FMA, and AsianFA. He also involved in many financial industry consulting projects for Chinese financial institutions.

Speech Title:

Title: An Anatomy of Characteristics in Dynamic Trading

Abstract:

We propose testing the joint and marginal power of characteristics in predicting returns via a dynamic trading strategy (e.g., Kyle, 1985). We find that most characteristics (88%) fail to supply independent information. Indeed, removing these subsumed characteristics significantly enhances the optimal portfolio returns. Our analysis further reveals a leading role played by Fama-French-Carhart factors as informative characteristics and a substantial variation in the dimension of informative factors over time. Interestingly, the return magnitude of optimal trading portfolios resembles that of machine learning algorithms, suggesting that our approach may shed light on the economic mechanisms of the latter approach.