Annual Conference

|

Investment Finance

|

May 2019

We study the effects of a large U.S. hybrid robo-adviser on the portfolios of previously self- directed investors. Across all investors, robo-advising reduces investors’ holdings in money market mutual funds and increases bond holdings. It also reduces idiosyncratic risk by lowering the holdings o...
Keywords: FinTech, portfolio choice, Behavioral finance, Individual Investors, Financial Literacy, Technology Adoption, machine learning
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2019

Mutual fund families set and report values of their private startup holdings, which affect the fund net asset value (NAV) at which investors buy/sell fund shares. We test three hypotheses related to the valuation practice: (i) information cost/access, (ii) litigation risk, and (iii) strategic NAV ma...
Keywords: Mutual Funds, Venture Capital, Private valuation, Stale prices, Financial fragility
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2019

Recent financialization in the commodity market makes it easier for institutional investors to trade a portfolio of commodities via various commodity index products. Using news-based sentiment measures, we find that such trading can propagate non-fundamental shocks from some commodities to others in...
Keywords: Zhi Da (University of Notre Dame), Yubo Tao (Singapore Management University), Ke Tang (Tsinghua University)
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2019

We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm, taking into consideration differences in firms’ local economic and legal environments. We extend the model of Bolton and Oehmke (2011) to take into account uncertainty whether the actio...
Keywords: Credit default swaps, CDS, investment policy, financing policy, creditor rights, property rights, private credit, ownership concentration
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2019

This paper studies the implications of environmental pollution on the cross-section of stock returns. A long-short portfolio constructed from firms with high versus low toxic emission intensity within industry generates an average return of 5.52% per annum. To explain this pollution premium, we deve...
Keywords: Toxic emissions, Regime shift risk, uncertainty, Environmental regulation, Cross-section of stock returns
  • View
  • Download
  • Bookmark
  •    |