The financial and economic crisis had a profound impact on the financial position of pension funds in most countries. Whilst the magnitude of these losses is primarily related to the severity of the crisis, it appears that shortcomings in the implementation of investment strategies significantly...

The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their point wise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter's influence on periodic contributions and/or future...

I study the incentives of the collateral managers who selected securities for ABS CDOs-securitizations that figured prominently in the financial crisis. Specialized managers without other businesses that could suffer negative reputational consequences invested in low quality securities...

The empirical literature on the potential collusive effects of common-ownership relies heavily on financial institution mergers to make causal inferences. I find that more than 85% of newly-formed common-ownership relationships due to such financial institution mergers are no longer...

We study the link between information barriers in global markets and the organizational form of asset management. Fund families outsource funds in which they are at an informational disadvantage to generate performance. Using a structural model of self-selection, we endogenize the outsourcing...

We study international outsourcing in the asset management industry. We argue that subcontractor management companies use the funds they manage on behalf of third parties to subsidize their own inhouse funds. On average, inhouse funds outperform the outsourced funds by 7.5 basis points per...

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...