Asset Pricing Program Meeting.

• Position: Program and Working Group Meetings - National Bureau of Economic Research - Conference news

The NBER'S Asset Pricing Program met in Chicago on April 25. Hanno Lustig, University of California, Los Angeles and NBER, and Monika Piazzesi, University of Chicago, organized the meeting. These papers were discussed:

Zhi Da and Pengjie Gao, University of Notre Dame, and Ravi Jagannathan, Northwestern University and NBER, "When Does A Mutual Fund's Trade Reveal its Skill?"

Discussant: Jonathan Berk, University of California, Berkeley and NBER

Rui Albuquerque and Jianjun Miao, Boston University, "Advance Information and Asset Prices"

Discussant: Snehal Banerjee, Northwestern University

Zhiguo He and Arvind Krishnamurthy, Northwestern University, "Intermediary Asset Pricing"

Discussant: Stavros Panageas, University of Pennsylvania

Christine A. Parlour and Johan Walden, University of California, Berkeley, "Capital, Contracts, and the Cross Section of Stock Returns"

Discussant: Adriano Rampini, Duke University

Pedro Santa-Clara, University of California, Los Angeles and NBER, and Shu Yan, University of South Carolina, "Crashes, Volatility, and the Equity Premium: Lessons from the S&P 500 Options"

Discussant: Ravi Bansal, Duke University and NBER

John H. Coehrane University of Chicago and NBER, "A Mean-Variance Benchmark for Intertemporat Portfolio Theory"

Discussant: Stanley Zin, Carnegie Mellon University and NBER

Da, Gao, and Jagannathan conjecture that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information-events. Taking the probability of informed trading (PIN, Easley, Kiefer, O'Hara, and Paperman, 1996) to measure the amount of informed trading in a stock, and inferring mutual fund trades from a large sample of mutual fund holdings, the authors provide empirical support for the conjecture. Funds trading high-PIN stocks exhibit superior performance on average, and superior performance that is more likely to persist. The findings are not attributable to price momentum or the higher returns earned by high-PIN stocks on average. The conclusions remain the same after testing for alternative measures for the amount of informed trading. Decomposing a fund's stock selection ability into "informed trading" and "liquidity provision" adds further insight into fund's underlying strengths. Impatient informed trading is a significant source of alpha for funds trading high-PIN stocks, while liquidity provision is more important as a source of alpha for funds trading low-PIN...