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, 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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Annual Conference

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Investment Finance

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May 2013

CMBS Subordination, Ratings Inflation and Regulatory-Capital Arbitrage

Richard STANTON, Nancy WALLACE
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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Investment Finance, Senior Fellows/Fellows

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May 2017

Climate Risks and Market Efficiency

Frank Weikai LI, Harrison HONG, Jiangmin XU
Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year ba...
Keywords: Climate Risks, Climate Change, stock market, Efficiency, return predictability
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Annual Conference

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Investment Finance

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May 2015

Can information be locked up? Informed trading ahead of macro-news announcements

Jianfeng HU, Gennaro BERNILE, Yuehua TANG
U.S. government agencies routinely allow pre-release access to macroeconomic data to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during news embargoes of the Federal Open Market Committee’s (FOMC) scheduled announc...
Keywords: Media Lockup, News Embargo, Informed Trading, FOMC Announcement, Macroeconomic News
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