| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |
Deconstructing Performance Persistence: Benchmark- and Peer-Adjusted Mutual Fund Evaluation
Marți, 17 martie 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Cesario Mateus
Aalborg University Business School; cmateus@business.aau.dk
Abstract:
This paper investigates features of performance persistence in actively managed mutual funds, when fund performance is measured relative to both funds’ self-reported benchmarks and peer groups. Using a novel benchmark- and peer-group-adjusted performance model (MMT), we evaluate 735 US Large Cap Growth funds from 1990 to 2018. Our findings show that MMT-identified winner funds deliver persistent outperformance across 6-, 12-, and 24-month holding periods, with the strongest results for shorter rebalancing intervals. Crucially, this persistence holds across market regimes—including crisis periods—and survives realistic transaction cost estimates, supporting the model’s practical feasibility. Outperformance is not limited to the select few top funds; even diversified portfolios of MMT winners generate superior returns. The MMT model’s strength lies in its ability to isolate persistent fund manager skill by adjusting for benchmark misalignment and peer-group dynamics, offering a robust alternative to traditional alpha-based models.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
TBA
Marți, 24 martie 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Bogdan Moinescu
Bucharest University of Economic Studies and National Bank of Romania; bogdan.moinescu@fin.ase.ro
Abstract:
TBA.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
Voice Through Divestment
Marți, 31 martie 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Anete Pajuste
Stockholm School of Economics, Riga; European Gorporate Governance Institute (ECGI); Boston University; anete.pajuste@sseriga.edu
Abstract:
A common argument against divestment is that it discards voting power and has a small effect on stock prices. We argue that divestment is a statement of disapproval that aligns actions with words for effectiveness. We show that the Go Fossil Free divestment movement is a narrative with impact. Viral divestment pledges depressed the share prices of all high carbon emitters, including those with no divestment. Peak virality coincided with a concurrent rise in the carbon premium and preceded net-zero commitments. The introduction of these commitments effectively recast divestment from a moral statement to a strategic exercise in risk management.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
The Sticky Floor of Financial Development: Non-Linear Effects of Financial Literacy
Marți, 21 aprilie 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Dan Mihai Dima
Bucharest University of Economic Studies and Institute for Economic Forecasting, Romanian Academy; dan.dima@fin.ase.ro
Abstract:
This study investigates distributional heterogeneity in the relationship between financial literacy and demand-side financial development across Europe. Using microdata from Eurobarometer Flash Survey 525 (N = 24,356), we construct a latent household-level financial development variable via Polychoric Principal Component Analysis and Item Response Theory, then apply conditional quantile regression to estimate how the effect of financial literacy varies across the full distribution of household financial engagement. We document a structural „sticky floor”: below the 20th percentile, financial literacy has no statistically discernible effect on financial development, reflecting a non-responsive zone driven by supply-side barriers rather than knowledge deficits. Above this zone, the marginal effect of financial literacy increases monotonically through the upper-middle quantiles before attenuating at the top – consistent with product saturation. A comparative analysis of Eastern and Western European subsamples reveals that this non-responsive zone extends significantly deeper in transition economies, where literacy effects remain statistically dormant until approximately the 40th percentile. These findings challenge the universalist framing of financial education policy and argue for sequenced interventions that prioritize structural access before broad-based literacy campaigns.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
The Intelligent Skewness Factor
Marți, 5 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Dan Gabriel Anghel
Bucharest University of Economic Studies and Institute for Economic Forecasting, Romanian Academy; dan.anghel@fin.ase.ro
Abstract:
TBA.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
A Unified Framework for Anomalies based on Daily Returns
Marți, 19 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Adam Zaremba
MBS School of Business & Poznan University of Economics and Business & Monash University; adam.zaremba@ue.poznan.pl
Abstract:
Numerous cross-sectional equity anomalies draw on the same underlying information: the sequence of daily returns over the previous month. Using a data-driven approach, we estimate the empirical mapping from the distribution of last month’s daily returns to future performance without imposing functional forms. The resulting Daily Return Information Factor (DRIF) earns economically large premia, holds across subsamples and research designs, and remains significant after controlling for the modern factor zoo. DRIF subsumes most short-horizon and lottery-style anomalies and emerges as a key factor in asset pricing tests.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
TBA
Marți, 26 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Alexandru Todea
Facultatea de Stiinte Economice si Gestiunea Afacerilor, Universitatea Babes Bolyai; alexandru.todea@econ.ubbcluj.ro
Abstract:
TBA.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD