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Journal Article

Deactivating Active Share

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.

Journal Article

Initiating Bargaining

The authors use a unique data set — more than 1,200 high-stakes poker tournaments — to investigate whether the success of bargaining and the agreed upon terms depend on the characteristics of the person who initiates negotiations (the "initiator").

Journal Article

The Canadian Dollar as a Reserve Currency

A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.

Journal Article

Decoding Inside Information

The authors employ a simple empirical strategy to identify “opportunistic” insider trading — that is, purchases or sales by traders with favored access to private information about the given firm — and conclude that portfolio strategy that focuses solely on “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month.

Journal Article

Does Active Management Pay? New International Evidence

One of the most important decisions for an equity investor is whether to manage investments actively or passively.

Working Paper

When Is Bargaining Successful? Negotiated Division of Tournament Prizes

High-stakes poker players often negotiate the distribution among a small number of finalists rather than playing through until only one player remains. We find that this setting is ideal for studying bargaining—this paper documents our findings.

Working Paper

Is Bigger Better? Size and Performance in Pension Plan Management

Using a proprietary dataset, we examine the relationship between size and performance of asset management within defined benefit pension plans. We find a larger plan size is associated with better performance of the entire pension plan portfolio.

Working Paper

Style Investing: Evidence From Mutual Fund Flows

The number of mutual funds in the U.S. has risen over the past decade and is so large that individual investors are unlikely able to analyze each fund in existence. How do investors choose from such a multitude of funds? We answer this question here.