PhD Defense by Fengrong Wei

Primary tabs

Dear Faculty and Fellow Ph.D. Students,


I cordially invite you to attend my dissertation defense scheduled for Tuesday, April 28th  from 1:30pm to 3:00pm on BlueJeans. Here is the BlueJeans link:




Please find the abstract below, and copies of the dissertation are available upon request.


Best Regards,

Fengrong Wei

Ph.D. Candidate in Finance

Scheller College of Business

Georgia Institute of Technology


Area: Finance

Committee members: Dr. Cheol Eun (Chair), Dr. Suzanne Lee, Dr. Alex Hsu, Dr. Soohun Kim, Dr. Vikas Agarwal (Georgia State University) 


Title: Network Analysis of Stock Markets


Dissertation Overview:


Essay 1: Globalization of Local Factors: Implications for the Asset Pricing


We extend the analysis of globalization from the market factor to the rest of Fama-French factors and the Carhart momentum factor. The findings show that most of the sample local factors are significantly globalized, with the degree of globalization varying substantially across factors. Specifically, the market factor is the most globalized factor on average, followed by the momentum, size, value, profitability, and investment factors. In addition, we show that the impact of financial globalization has been imputed in the local factors, which explains the intriguing finding of integrated international asset pricing. That is, the local Fama-French factors outperform the global counterparts in pricing stocks, seemingly suggesting that stocks are priced as if financial markets were segmented despite the evident globalization. Our results indicate that this puzzle is attributable to the globalization of local factors.



Essay 2: Dynamic Firm-specific Network and Risk Diversification


We propose a system-wide approach to the study of the firm-specific connections, which capture the distinct relatedness between firms through unique features, conditional on the U.S. market. The proposed approach provides a new system-wide and factor-free measurement of market integration. We find that the degree of the firm-specific connections has decreased over time, and industry and style attributes significantly positively affect these connections. By applying these connections, investors can consistently gain through holding relatively few stocks randomly chosen across communities clustered based on these connections. Moreover, this consistency of gains has increased substantially over time, pointing to the importance of considering the firm-specific connections in risk diversification.


Essay 3: Holding-Linked Network in Mutual Funds and the Predictability of Fund Performance


We use holding-linked network of mutual funds, measured by the similarity between funds' portfolios, to examine the network predictability of fund performance and flows. Using the new network method, we find evidence of significant predictability between funds with similar holdings. The predictability persists three to six months for alternative performance measures and at least twelve months for fund flows. In addition, a long-short strategy based on these holding links yields a significant annual alpha of about 4.5%. These findings reflect the similar underlying drivers of funds' portfolio holdings and show the persistent prediction of fund performance and flows by the holding linked network.


  • Workflow Status:
  • Created By:
    Tatianna Richardson
  • Created:
  • Modified By:
    Tatianna Richardson
  • Modified:


Target Audience

    No target audience selected.