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April 2019
Sunil Wahal – Arizona State University, W.P. Carey School of Business
The Anatomy of Trading Algorithms Abstract We study the anatomy of four non-bespoke institutional trading algorithms. Proprietary data show parent orders and the sequences of child submissions, fills, and cancellations that they generate. The sample consists of 2.3 million parent orders between 2012 and 2016 that represent $675 billion in…
Find out more »Pedro Matos – Darden – Brown Bag Series
“Responsible Institutional Investing Around the World” Rajna Gibson (U Geneva), Philipp Krueger (U Geneva), Pedro Matos, and Tom Steffen (U Geneva) ABSTRACT We explore a novel survey on responsible investing by institutional investors around the world and match it to archival data on equity portfolio holdings. We study what factors…
Find out more »May 2019
Felipe Schwartzman – Richmond Fed – Brown Bag Series
The Persistent Employment Effects of the 2006-09 U.S. Housing Wealth Collapse We show that the housing wealth collapse of 2006-09 had a persistent impact on employment across counties in the US. In particular, localities that had a larger loss in housing net-worth during that period had more depressed employment as…
Find out more »September 2019
Christoph Herpfer – Emory – Brown Bag Series
Information Intermediaries: How Commercial Bankers Facilitate Strategic Alliances Marc Frattaroli | Christoph Herpfer July 4, 2019 Abstract We investigate how bankers use information from lending relationships to help borrowers combine resources in strategic alliances. Firms that have borrowed from the same banker or share an indirect connection through a network…
Find out more »Jordan Nickerson – Boston College
Gig-Labor: Trading Safety Nets for Steering Wheels Vyacheslav Fos, Naser Hamdi, Ankit Kalda, and Jordan Nickerson July 2019 This paper shows that the introduction of the “gig-economy” changes the way employees respond to job loss. Using a comprehensive set of Uber product launch dates and employee-level data on job separations,…
Find out more »October 2019
Rodney Sullivan – Darden – Brown Bag Series
Hedge Fund Alpha, Cycle or Sunset? Rodney N. Sullivan, CFA, CAIA Abstract The hedge fund industry has grown from $200 billion in assets under management at the turn of the millennium to now over $3 trillion. Many reports criticize hedge funds for destroying investor capital particularly since the 2008 global…
Find out more »Michael Farrell – Darden – Brown Bag Series
Read Between the Filings Daily Mutual Fund Holdings and Liquidity Provision Michael Farrell August 2018 ABSTRACT Many questions about mutual fund trading require daily holdings, yet mutual funds are only required to report quarterly holdings. I model intraquarter trading and use the genetic algorithm to estimate the trade pattern that…
Find out more »Justin Birru – Ohio State
Attention and biases: Evidence from tax-inattentive Justin Birru, Fernando Chague , Rodrigo De-Losso, and Bruno Giovannetti September 23, 2019 Abstract We provide evidence of investor inattention to a very simple and well-known taxexemption opportunity in the Brazilian stock market. Attentive and inattentive investors are similar along the dimensions of portfolio size…
Find out more »Ting Xu – Darden – Brown Bag Series
International Legal Institutions and the Globalization of Innovation Bo Bian, Jean-Marie Meier, and Ting Xu October 11, 2019 Abstract We study how innovation goes global in response to the establishment of strong international legal institutions that reduce cross-border contracting frictions. We construct novel measures of the globalization of innovation at…
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