We exploit the expiring nature of hedge fund lockups to create a dynamic, fund-level proxy of funding liquidity risk. In contrast to the prior literature, our measure allows us to identify how within-fund changes in funding liquidity risk are associated with performance and risk taking. Lockup funds with lower funding liquidity risk take more tail risk and have better risk-adjusted performance,...

We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure in order to cope with estimation risk. We relate these penalties to individuals’ wish of s...

This paper investigates whether certain individuals are prone to behavioral biases in their 401(k) investments. Using demographic data and allocation information for over 73,000 employees, the biases examined include two “allocation biases” and a “participation bias.” The findings suggest that higher salaried employees tend to make significantly better choices. Participants earning $100,000 hol...

This paper examines the performance of fund managers responsible for managing the investment decisions of UK pension funds. The paper examines both individual fund manager performance of pension funds under management, and also the persistence of this performance over time. Previous work on UK pension funds has found little evidence of fund manager persistence, but we suggest that this might be...

We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money–by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment a...

Cet article propose une analyse économique des stablecoins mettant en évidence les liens avec la finance traditionnelle. Même s'il existe dont l'arrimage est garanti par un tiers de confiance, cet se concentre principalement sur gérés directement système d'incitations blockchain décentralisée. Nous mettons enjeux gouvernance et liquidation décen...

We examine the match/mismatch between demand and supply of impact investments. show that some geographic regions display an upward match, while others exhibit a downward match. explain how with well-developed (or less-developed) economies are not necessarily equal to investment markets. also highlight sectors exhibiting match or mismatch investments, potential reasons. Regarding both sector con...

We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive...

This paper looks at standard retirement targets such as “70@65,” meaning 70% income replacement at age 65, and reconsiders them in a probabilistic setting. The paper uses a chance constrained programming model, supplemented with Monte Carlo simulation, to extend the target to “70% of 70@65” meaning a 70% chance of meeting the target. One implication of the paper is that asset mix is a function ...

Using detailed stockholding for a comprehensive sample of Chinese mutual funds from 2004 to 2009, we investigate the economy of scale and liquidity on the relation between fund size and performance. We find that there exists an inverted U-shape relation between fund size and performance accounting for various performance benchmarks. Both economy of scale and liquidity exist and play an importan...