Annual Conference

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Investment Finance

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May 2016

Efficiently Inefficient Markets for Assets and Asset Management

Nicolae GÂRLEANU, Lasse HEJE PEDERSEN
We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, mo...
Keywords: Asset Pricing, market efficiency, Asset Management, search, Information
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements

Tarun CHORDIA, T. Clifton GREEN, Badrinath KOTTIMUKKALUR
Prices of the highly liquid S&P500 exchange traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over a hundred-fold following the news release. However, profits from trading quickly are relativel...
Keywords: HFT
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Cost of Bereavement: How Does Parental Loss Affect Mutual Fund Managers?

Shu TAO, Johan SULAEMAN, P. Eric YEUNG
This study examines whether bereavement, a common life experience, affect the performance and behaviors of mutual fund managers. We find that mutual fund return declines by around 3 percentage points around the parental deaths of fund managers. This underperformance persists for about one year, sugg...
Keywords: Life Experience, Bereavement, Emotions, Mutual fund, Fund Performance, Risk Taking
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Annual Conference

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Investment Finance

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May 2016

Asset Pricing for the Shortfall Averse

Gur HUBERMAN, Paolo GUASONI
Compare the utility from consuming a certain amount under two circumstances which vary by the levels of past historical consumption. This paper’s premise is that the higher past historical consumption, the lower is the utility from current consumption. The paper and its companion, GHR, extend stan...
Keywords: loss aversion, Asset Pricing, Consumption, prospect theory
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Co-Collateral Risk

Hong ZHANG, Massimo MASSA, Chengwei WANG
This paper proposes a novel measure of stock-level margin constraints to study the impact of funding risk on the cross-section of stock returns. More specifically, we use daily cash collateral information collected from the short selling market to construct the measure, and decompose it into two com...
Keywords: Funding risk, Collateral, Short-selling, Stock Returns
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