I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

In recent years, the increasing cross-border investments by sovereign wealth funds have aroused high profile controversies, particularly over the strategic motives behind them and the potential control they could exert over target firms. Using a hand-collected dataset consisting of 51 M&As, 5...

The paper provides a theoretical analysis of the interest rate risk in banking through a systemic approach that is known in literature as “asset & liability management” approach.The paper provides also an empirical investigation on the exposure of banks to interest rate risk, using three...

Under the Commodity Exchange Act, all individuals and firms (with certain exceptions) that intend to do business as futures professionals must register with the Commodity Futures Trading Commission (CFTC). The commission has authorized the National Futures Association (NFA), a self-regulatory...

This research note summarizes intriguing evidence on the impact of an asset manager's overall investment operations on individual portfolio performance. Our exploratory analysis of operational data associated with 61 institutional portfolios across 14 managers (over the period October 1999 to...

Mutual fund plays a crucial role in the Indian economy. Mutual funds are considered to be the vehicle for mobilization and channelization of savings from individual investors to towards the various capital market instruments. Evaluation of the performance of mutual funds particularly is of a...

The goal of this paper is to explore the model risk inherent in the rating and design of structured finance products. We seek to illustrate the consequences of neglecting state-dependent correlations on the methodologies and criteria employed by the major ratings agencies. In contrast to related...

This paper analyses the X-efficiency level of Italian Asset Management Companies (AMC). This topic seems really important since there is a huge amount of literature that deals with X-efficiency with regard to the banking system; the aim of these works is to discover which factors can improve the...

We argue that a fundamental reason for the short term perspective of corporate executives is the short-term orientation of shareholders and financial markets that drive the performance benchmarks of CEOs. In our view, long-term committed shareholders can provide substantial benefits to the...

We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how portfolio trades provide dealers with benefits through a diversification channel and with costs through a balance sheet channel. We then test empirically multiple hypotheses on the...