Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2013

Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes endogenously...
Keywords: high-water mark (HWM), alpha, management fees, incentive fees, liquidation risk, new money flow
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Models that examine investor’s motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated ...
Keywords: Order imbalance, disposition effect, tax-loss selling
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2013

Capital controls and other forms of capital account intervention lead to international spillover effects that have recently raised concerns about global currency wars. This paper analyzes the welfare effects and the desirability of global coordination of such policy measures. We find that if control...
Keywords: capital flows, capital controls, currency wars, systemic risk, global policy coordination
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Annual Conference

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Investment Finance

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May 2013

Using detailed origination and performance data on a comprehensive sample of commercial mortgage-backed security (CMBS) deals, along with their underlying loans and a set of similarly rated residential mortgage-backed securities (RMBS), we apply reduced-form and structural modeling strategies to tes...
Keywords: CMBS, RMBS, rating inflation, regulatory-capital arbitrage
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2013

This paper uses a unique panel data set of consumer financial transactions to study how consumers respond to exogenous income shocks. Specifically, we study how their spending behavior on their credit card, debit card and bank checking account responds to a positive income shock. Our analysis is bas...
Keywords: Consumption, Spending, Debt, Credit Cards, Household Finance, Banks, Loans, Durable Goods, Discretionary Spending, Fiscal Policy, Tax Rebates, Liquidity Constraints, Credit Constraints
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