Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Biased Expectations and Credit Risk in the Municipal Bond Market

Tarun CHORDIA, Jinoug JEUNG, Abinash PATI
We show that the pricing of credit risk in the municipal bond market depends on the salience of its underlying cash-flow shocks. We find that public mass shootings raise borrowing costs of issuers in affected counties by an average of 6 (5.2) basis points in the secondary (primary) market. This incr...
Keywords: Biased Beliefs, Public Mass Shootings, Municipal Debt, Salience
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Value Premium, Network Adoption, and Factor Pricing of Crypto Assets

Andrew KAROLYI , Ke TANG, Lin William CONG, Weiyi ZHAO
We document characteristics-based return anomalies in a large cross-section (>4,000) of crypto assets. Cryptocurrency returns exhibit momentum in the largest-cap group, reversals in other size groups, and strong crypto value and network adoption premia, from which we derive two novel factors to a...
Keywords: Blockchain, Cryptocurrency, DeFi, Factor Models, Network Effect, Market Segmentation
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Tax Evasion and Information Production: Evidence from the FATCA and Offshore Asset Management

Hong ZHANG, Massimo MASSA, Si CHENG
We examine how tax evasion affects offshore asset managers’ incentives for information production. Using the Foreign Account Tax Compliance Act (FATCA) as an exogenous shock, we document that affected funds significantly enhance their performance as a response. This improvement comes from better i...
Keywords: Tax evasion, FATCA, Mutual Funds, managerial incentives, market efficiency
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Is Stock Index Membership for Sale?

Shang-Jin WEI , Kun LI, Xin LIU
While major stock market indices are followed by large monetary investments, we document that membership decisions for S&P 500 have a nontrivial amount of discretion. We show that firms’ purchases of S&P ratings appear to improve their chance of entering the index (but purchases of Moodyâ€...
Keywords: S&P 500, Conflict of interest, Credit rating, Stock index
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Annual Conference

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Investment Finance

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May 2022

Birth order and fund manager’s trading behavior: Role of sibling rivalry

Vikas AGARWAL, Alexander COCHARDT, Stephan HELLER, Vitaly ORLOV
This paper investigates the role of birth order on managerial behavior using rich data on familial background of US mutual fund managers. We find that managers who are born later in the sibling hierarchy take on more investment risks relative to first-born managers. Later-born managers deviate more ...
Keywords: birth order, mutual fund manager, fund risk, parental resources, evolutionary psychology, sibling rivalry
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