Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Low Latency Trading and Comovement of Order Flow and Prices

Ekkehart BOEHMER, R. L. SHANKAR
We examine the impact of algorithmic trading (AT) in equities on the comovement of order flow, returns, liquidity, and volatility to assess how AT affects the market’s susceptibility to systemic shocks. Using order-level data around a natural experiment at the National Stock Exchange of India, whi...
Keywords: Algorithmic trading, equities, systemic shocks, large-cap firms
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Annual Conference

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Investment Finance

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May 2014

Mutual Fund Competition, Managerial Skill, and Alpha

Nagpurnanand PRABHALA, Gerard HOBERG, Nitin KUMAR
What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each f...
Keywords: Mutual Funds, alpha, skill, persistence, Competition, peers, benchmarking
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?

Yongheng DENG, Shang-Jin WEI, Xin LIU
We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding cap...
Keywords: Tobin tax, Transaction costs, price volatility, Chinese stocks
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Home Away from Home? Foreign Demand and London House Prices

Cristian BADARINZA, Tarun RAMADORAI
Identifying the effects of “flights to safety” on asset prices using pure time-series methods is difficult because crises are infrequent. We develop a new cross-sectional identification approach, motivated by the insight that investors may differ in their “preferred habitats” within a broad ...
Keywords: house prices, foreign demand, safe-haven, London, political risk, price-pressure
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2014

Product Market Competition Shocks, Firm Performance, and CEO Turnover

Sudipto DASGUPTA, Xi LI, Albert WANG
We examine the effect of competition shocks induced by major industry-level tariff cuts on forced CEO turnover. Both the likelihood of forced CEO turnover and its sensitivity to performance increase. These effects are stronger for firms exposed to greater predation risk and with products more simila...
Keywords: Product Market Competition, Forced CEO Turnover, Corporate governance
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