Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2019

Private Company Valuations by Mutual Funds

Si CHENG, Allaudeen HAMEED, Ayako YASUDA, Brad BARBER, Vikas AGARWAL
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
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2019

Premium for heightened uncertainty: Explaining pre-announcement market returns

Jun PAN, Haoxiang ZHU, Jiang WANG, Grace Xing HU
We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model with the uncertainty about the magnitude of the impending news' market impact as an additional r...
Keywords: Pre-Announcement Drift, Macroeconomic Announcements, FOMC, Heightened Uncertainty, VIX
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Portfolio Rebalancing and Consumption Response of Households to Monetary Policy Shocks

Yeow Hwee CHUA, Sumit AGARWAL, Pulak GHOSH, Changcheng SONG
Using micro-level administrative data from India, we examine the portfolio rebalancing and consumption response of households to changes in interest rate. By exploiting variation in the timing of expiry of term deposits, we find that when interest rate falls, households rebalance their portfolio fro...
Keywords: Monetary Policy, Household Finance, Portfolio Rebalancing, Consumption, Savings, Liquidity
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Annual Conference

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Investment Finance

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May 2017

Persistent Blessings of Luck: Theory and an Application to Venture Capital

Lin William CONG, Yizhou XIAO
Persistent performance in venture capital is routinely interpreted as evidence for skill. We present a dynamic model of delegated investment with endogenous fund heterogeneity and deal flow, which generates performance persistence without skill differences and predicts mean reversion in long-term pe...
Keywords: contracting, Deal Flows, Delegated Investment, Entrepreneurial Finance, Managerial Skill, Moral Hazard, private equity, Venture Capital
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Annual Conference

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Investment Finance

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May 2024

Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity

Felipe ALDUNATE, Zhi DA, Borja LARRAIN, Clemens SIALM
Frequent, yet uninformed, market timing recommendations by a financial advisory firm generate significant flows for Chilean pension funds. These flows give rise to substantial changes in the Chilean foreign exchange due to the funds’ high allocation to international equities. Hedging by local bank...
Keywords: exchange rates, CIP deviations, Pension Funds, market efficiency
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