One of the important aspects in the design of social protection is coverage. In Peru, as in most Latin American countries, social security participation is compulsory only for workers in the formal sector. There is a large sector of the population for which participation is voluntary. This paper investigates the determinants of enrolment to the pension system in Peru. In particular, we found th...

Using a large and representative dataset of commodity trading advisors (CTAs), we provide compelling evidence that CTAs generate significant net excess returns of at least 4.1% annually; that approximately 64% of the funds have positively skewed returns; and that there is considerable heterogeneity among CTAs, with systematic trend followers doing significantly better than other subcategories. ...

This paper provides an empirical analysis of risk handling arrangements adopted in the relationship between the venture capital investor and his investee. The theoretical framework adopted is principal-agent analysis, which views the investee as a risk averse agent entering into a risk sharing contract with the investor, a risk neutral (fully diversified) principal. The sample analysed is made ...

We investigate differences in the characteristics and performance of securitized loans versus loans held on lenders’ balance sheets using a unique data set of commercial mort­ gages. The main findings are as follows. First, consistent with risk-sharing being a likely reason for securitization, loan size strongly predicts the likelihood of securiti­ zation. The largest 10% of loans have a 44% ch...

We show that investors derive utility from non-pecuniary characteristics of investments by studying impact funds, defined as venture or growth equity funds with dual objectives of generating financial returns and positive externalities. Impact funds earn internal rates of return that are 4.7% less than traditional VC funds in reduced form regressions. Based on estimates of a willingness to pay ...

We derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon. Specifically, given a fixed block SM of shares to be executed within a fixed finite number of periods 1, and given a price-impact function that yields the execution price of an individual trade as a function of the shares traded and market conditions, we obt...

Many people delay joining a pension plan until well into their working lives. We use a stochastic simulation model to show the cost of this delay in terms of the higher pension contributions that must eventually be paid to ensure an adequate retirement income. We find the levels of contributions required for individuals who start saving late are so high it is questionable whether they are affor...

Fund families typically claim that closing a fund protects the fund’s superior performance by preventing it from growing too large to be managed efficiently. Even though funds with better performance and larger size are more likely to be closed, there is no evidence that closing a fund can indeed protect its performance. Instead, fund closing decisions are more likely to be motivated by spillov...

Intraspecific variation in mating signals and preferences can be a potential source of incipient speciation. Variable crossability between Drosophila melanogaster and D. simulans among different strains suggested the abundance of such variations. A particular focus on one combination of D. melanogaster strains, TW1(G23) and Mel6(G59), that showed different crossabilities to D. simulans, reveale...

This paper analyzes hedge fund investors’ geographical preference and its implication for hedge fund performance. We document that funds of funds overweigh their investments in hedge funds located in the same cities by 6 to 15 percent. We also find that funds of funds with a stronger local bias exhibit superior performance. However, this local bias of funds of funds can adversely impact the hed...