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February 2019
2019 ICI/Mayo Academic and Practitioner Symposium
2019 ICI/Mayo Academic and Practitioner Symposium Co-hosted by the Investment Company Institute and the Richard A. Mayo Center for Asset Management, Darden School of Business, University of Virginia.
Find out more »J. P. Gomez – IE Business School in Madrid – Brown Bag Series
Capital Commitment and Investment Decisions: The Role of Mutual Fund Charges Mutual fund managers, we argue, extract valuable information from the investors' choice among different load share-classes regarding their investment horizon. We find that the lack of explicit capital in share classes without entry or exit loads affects fund-trading horizon,…
Find out more »Sugata Ray – U of Alabama – Brown Bag Series
Hedge Fund Hold’em We find that hedge fund managers who do well in poker tournaments have significantly better fund performance. This effect is stronger for tournaments with more entrants, larger buy-ins, larger cash prizes and for managers who win multiple tournaments, suggesting poker skills are correlated with fund management skills.…
Find out more »March 2019
Paul Tetlock – Columbia
What Drives Anomaly Returns? We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across all factor portfolios and their mean-variance efficient combination. The main source of anomaly return variation is news about cash flows. Anomaly cash ow and discount rate components…
Find out more »Kristoph Kleiner – Indiana – Brown Bag Series
Friends with Bankruptcy Protection Benefits We evaluate whether social networks limit the effectiveness of targeted debt relief programs. In our setting, individuals learn about the likelihood of debt relief from the recent experiences of workplace peers who file for Chapter 13 bankruptcy. While peers granted bankruptcy are able to discharge…
Find out more »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 »Federico Gavazzoni – INSEAD
International R&D Spillovers and Asset Prices We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing…
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