Working Papers

Our original research not yet submitted to a peer-reviewed journal; doctoral dissertations.

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  1. Tax implications for value, growth and momentum investors.

  2. The paper provides evidence that the largest pension plans outperform smaller ones by 43 to 50 basis points per year; between one-third and one-half of these gains arise from the cost savings of managing assets in-house.

  3. This paper studies the links between haircuts, required returns, and real activity, and evaluates the different monetary policy tools theoretically and empirically.

  4. We find that uncertainties about the value of a company’s assets — particularly illiquid Level 2 and Level 3 assets — significantly affect short-term credit spreads.

  5. An economic model of how to measure and manage systemic risk, with empirical support from the mortgage crisis.

  6. Entrepreneurial households invest more than 70% of their private holdings in one private company in which they have an active management interest. Data suggest that a diversified portfolio of public equity offers a far more attractive risk-return trade-off. Why do entrepreneurs insist on concentrating their private-equity investments?

  7. This paper proposes a simple framework to consider the impacts of ESG issues with respect to their role in investment decisions.

  8. This paper seeks to identify “best idea” trades of fund managers, which, the author asserts, account for about 30% of fund volume and outperform benchmarks and other fund trades by as much as 47 basis points per month.

  9. Key structural issues — including liquidity, transparency and fees — need to be addressed, but the diversification benefits of hedge fund strategies remain compelling.

  10. The paper suggests that mutual fund portfolio decisions depend on previous trades of other funds with outstanding past performance: many funds mimic industry leaders, particularly those funds with poor past performance.