We study how plan sponsors choose investment management firms from their opportunity set when delegating $1.6 trillion in assets between 2002 and 2017. Two factors play an influential role in choice: pre-hiring returns, and pre-existing personal connections between personnel at the plan (or...

The mutual funds' returns, inter alia, are dependent on fund managers' performance. This makes human capital efficiency very central for consistent risk-adjusted performance. The persistence in performance becomes more critical during periods of high turbulence, like the one we are experiencing...

The past couple of decades have seen a significant shift from active to passive investment strategies. We examine how this shift affects financial stability through its impacts on: (i) funds' liquidity and redemption risks, (ii) asset-market volatility, (iii) asset-management industry...

Resampling implementation of a stress-scenario approach to estimating portfolio default loss distributions is proposed as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk. Estimates are presented for stress scenarios of varying...

Given their unique characteristics, insurers that adjust their dividends may create a unique signal. An event study methodology is used to measure the share price response of insurers to dividend increases, and matched control samples of banks and industrial firms are similarly assessed. The...

Motivated by the surge in popularity of passive hedge fund investments, the present article discusses the concept of quot;alternative betaquot; and its implications for the hedge fund industry. The article covers a variety of topics, ranging from the basic rationale for hedge fund replication to...

We study the selection of private equity managers (GPs) for over 100,000 capital commitments between 1990 and 2019 by global institutional investors (LPs) choosing from a plausible contemporaneous opportunity set. In addition to chasing GPs with high prior performance, LPs have large...

A multi-billion-dollar, multi-year discrepancy between two identical share classes of HSBC did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal...

I examine whether the market's reaction to firms' earnings news varies with analysis (i.e., editorial content) produced by financial journalists. A series of restructuring events at The Wall Street Journal (WSJ) suggests that WSJ articles improve price discovery and increase trading volume at...

Using a proprietary database of predominantly small to mid-size 401(k) plans administered by nearly 400 unique third-party plan administrators (TPAs), we examine the potential effects of a conflict of interest that arises from the TPA's incentive to recommend its funds for the investment menu....