Academics and regulators posit that mutual funds that engage in significant liquidity transformation can be systemically risky because investors in these funds redeem at the fund's net-asset-value and compete for a common fund liquidity pool. An alternative, more general explanation is that all...

This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the...

We study a dynamic equilibrium model of mutual fund investing under career concerns that features investment opportunities at different horizons. Equilibrium returns are endogenously determined by competition. Short-term investment strategies can benefit fund managers by accelerating skill...

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to fire sales and balance sheet interactions. We take a structural approach to the price formation in fire sales as in Bluhm et al. (2014) and introduce a market clearing mechanism...

We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

We develop a model of manipulation of indexes, whose components are illiquid in that they require fair valuation based on comparable instruments. Such an index may be susceptible to manipulation since distorting the prices of only a few assets could potentially shift its value. Our model...

This paper examines how mutual funds respond to constraints imposed by asset growth. We find a fund's decision to switch management structure to be largely driven by asset growth. However, we find little evidence that changes in management structure are associated with superior fund performance,...

We show that two novel measures of text sophistication, applied to strategy descriptions, encapsulate incremental information about hedge funds. Consistent with the linguistics literature, lexically diverse hedge funds, i.e, those that employ rich vocabulary, outperform, arbitrage prominent...