Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

While major stock market indices are followed by large monetary investments, we document that membership decisions for S&P 500 have a nontrivial amount of discretion. We show that firms’ purchases of S&P ratings appear to improve their chance of entering the index (but purchases of Moodyâ€...
Keywords: S&P 500, Conflict of interest, Credit rating, Stock index
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Annual Conference

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Investment Finance

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May 2022

This paper investigates the role of birth order on managerial behavior using rich data on familial background of US mutual fund managers. We find that managers who are born later in the sibling hierarchy take on more investment risks relative to first-born managers. Later-born managers deviate more ...
Keywords: birth order, mutual fund manager, fund risk, parental resources, evolutionary psychology, sibling rivalry
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds’ cu...
Keywords: currency risk, forward contracts, mutual funds, fixed-income securities, performance
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Annual Conference

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Investment Finance

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May 2022

Capital constraints of financial intermediaries can affect liquidity provision. We investigate whether these constraints spillover and consequently cause contagion in the degree of market efficiency across assets managed by a common intermediary. Specifically, we provide evidence of strong comovemen...
Keywords: ETFs, financial intermediaries, capital constraints
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

The expected returns of most portfolios are likely to fluctuate over time. We present a statistical model that allows for such fluctuations and apply the model to analyze the returns of characteristic-sorted portfolios, such as value minus growth. We find that accounting for plausible magnitudes of ...
Keywords: Portfolio returns, time-variation, autocorrelation, standard errors, return predictability, Bayesian
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