We estimate the impact of large changes in the relative prices of natural gas and coal from 2005-2011, due primarily to “fracking,” on regional electricity marginal costs and air pollution emissions from electricity producers. We find strong evidence that natural gas is displacing coal as baseload. We estimate marginal emissions over the generation profile for each region in the U.S. using a no...

I use daily futures price data to examine the behavior of natural gas and crude oil price volatility in the U.S. since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shock...

We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market with stochastic interest rate. The fund manager must cope with a set of stochastic investment opportunities and two background risks: the sala...

The value that brokers generate depends on both the quality of their investment recommendations and their clients’ counterfactual portfolios. To identify counterfactual portfolios inside a defined contribution retirement plan, we exploit time-series variation in access to brokers. When brokers are available, the correlations with age, income, and educational attainment suggest that brokers are ...

We analyze the implications of the widely used fixed fraction of funds fees on a mutual fund manager’s portfolio decisions. In our model, a log utility investor is allowed to dynamically allocate capital between an actively managed mutual fund and a locally riskless bond. The optimal fund portfolio is shown to be the one that maximizes the market value of the fees received, and is independent o...

This paper examines the ability of Australian active equity managers to provide superior risk adjusted performance. Utilising daily trade level data, we investigate the role of trade and manager characteristics in trading performance and market impact costs. In terms of trade characteristics, we find evidence of superior trade performance, where such performance is an increasing function of tra...

We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market. The fund manager must cope with a set of stochastic investment opportunities and with the uncertainty involved by the labor market. After int...

It is commonly argued that banks play a special role in the financial system because they resolve an important information asymmetry. The recent development of an active secondary market for loans could however potentially diminish this special role. This study utilizes a unique dataset of secondary market loan prices to examine this issue. We find that new loan announcements are associated wit...

This paper analyzes a model of fund managers’ reputation concerns. It explains why “Nickel strategies” (strategies that earn small positive returns most of the time but occasionally lead to dramatic losses) are more popular among managers than the opposite “Black Swan strategies,” (strategies that generate small losses most of the time but occasionally lead to large profits). A novel insight fr...