Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Given that the market clearing condition requires a buyer for every seller, we exploit these cross-sectional patterns and changes in share ownership to test whether investor sentiment me...
Keywords: Stock Returns, sentiment, demand shocks, mispricing
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AMPF Papers

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Commissioned Paper

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May 2014

This paper evaluates the capacity of emerging market economies (EMEs) to moderate the domestic impact of global financial and monetary forces through their own monetary policies. Those EMEs able to exploit a flexible exchange rate are far better positioned than those that devote monetary policy to f...
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2013

Hedge fund managers trade off the benefits of leveraging on the alpha-generating strategy against the costs of inefficient fund liquidation. In contrast to the standard risk-seeking intuition, even with a constant-return-to-scale alpha-generating strategy, a risk-neutral manager becomes endogenously...
Keywords: high-water mark (HWM), alpha, management fees, incentive fees, liquidation risk, new money flow
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Models that examine investor’s motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated ...
Keywords: Order imbalance, disposition effect, tax-loss selling
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2013

Capital controls and other forms of capital account intervention lead to international spillover effects that have recently raised concerns about global currency wars. This paper analyzes the welfare effects and the desirability of global coordination of such policy measures. We find that if control...
Keywords: capital flows, capital controls, currency wars, systemic risk, global policy coordination
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