This paper examines the direct private equity investment strategies across sovereign wealth funds and their relationship to the funds' organizational structures. SWFs seem to engage in a form of trend chasing, since they are more likely to invest at home when domestic equity prices are higher,...

Using unique micro data on U.S. institutional investor portfolios, this paper studies how capital, meant to be invested globally, is actually diversified internationally. We show that although the mutual fund industry has moved toward funds that have more flexibility to invest across countries...

Unconventional monetary policy (UMP) by the US Federal Reserve, Bank of England, Bank of Japan, and European Central Bank affects the geographical portfolio choice of international mutual fund managers. UMP prompts managers of mutual funds to rebalance their portfolios away from the country...

We provide evidence on how corporate bond investors react to a change in yields, and how this behaviour differs in times of market‐wide stress. We also investigate ‘reaching for yield' across investor types, as well as providing insights into the structure of the corporate bond market. Using...

This paper presents a new method for improving the performance of trend-following trading strategies. This new approach improves the inherent problem of trend-following strategies, which is their lagging signals. We simulate alternative price paths of financial assets using a modification of a...

Using U.S. and global data, we examine the impact of Smart Beta ETFs on active mutual funds. As Smart Beta ETFs become widely available and actively traded, active mutual fund flows become “smarter”, that is they become more sensitive to multi-factor alphas. Our findings demonstrate how...

The asset management industry has seen a strong development of factor-based investing. The central idea is that each asset can be seen as a bundle of underlying factor sensitivities. A factor-based investing approach provides better insight into the risk decomposition of the investment...

We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and a large exposure to commonly-held...

We analyze an emerging sustainable trend in asset management: the decarbonization of institutional portfolios. By using broad institutional ownership data we show that investors exhibit herding behavior in the sense of decarbonization. They are inclined to follow their own or other investors'...

A model captures a community consensus on a coherent field of knowledge, serving as a cumulative benchmark that can guide both research and application design, while also focusing efforts to extend or review it. Here we propose to develop this model for cognitive trading systems, computational...