Publications

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2021
Working Paper

Recovering Investor Expectations from Demand for Index Funds

By: Mark Egan, Alexander J. MacKay and Hanbin Yang

We use a revealed-preference approach to estimate investor expectations of stock market returns. Using data on demand for index funds that follow the S&P 500, we develop and estimate a model of investor choice to flexibly recover the time-varying distribution of... View Details

Keywords: Stock Market Expectations; Demand Estimation; Exchange-traded Funds (ETFs); Demand and Consumers; Investment; United States

SSRN

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2017
Working Paper

Learning by Doing: The Value of Experience and the Origins of Skill for Mutual Fund Managers

By: Elisabeth Kempf, Alberto Manconi and Oliver Spalt

Learning by doing matters for professional investors. We develop a new methodology to show that mutual fund managers outperform in industries where they have obtained experience on the job. The key to our identification strategy is that we look "inside" funds and... View Details

Keywords: Fund Managers; Experience and Expertise; Performance; Forecasting and Prediction

SSRN

05 Jul 2018
News

China’s new $15bn tech fund emulates SoftBank’s Vision Fund

1986
Other Unpublished Work

Capital Flight, Policy Credibility, and the Option Value of Foreign Exchange

By: K. A. Froot and S. van Wijnbergen

Keywords: Trade Policy; Capital Controls; Liberalization; Currency; International Finance; Capital

1999
Working Paper

On the Formation and Structure of International Exchanges

We investigate the formation and structure of 248 financial exchanges throughout the world. First, we empirically analyze the determinants of exchange formation as well as the impact of exchange formation on the domestic country's economy. Second, conditional on... View Details

Keywords: Financial Markets

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March 1997 (Revised May 2000)
Background Note

Bretton Woods System of Exchange Rates, The

By: Louis T. Wells Jr.

Describes the exchange rate system adopted at Bretton Woods in 1994. View Details

Keywords: Trade; Currency Exchange Rate; Government and Politics; Adoption; System

January 2015 (Revised October 2018)
Case

Dogs of the Dow

By: Malcolm Baker, Samuel G. Hanson and James Weber

This case describes the Dogs of the Dow investment strategy, value investing, and using dividend yields as a means to determine intrinsic value. It also describes exchange traded notes and a particular exchange traded note, known as the Dogs of the Dow, which tracks... View Details

Keywords: Dow Jones; Dow Jones Industrial Average; Exchange Traded Note; Exchange Traded Fund; Value Investing; Benjamin Graham; Investment Strategy; Dividend Yield; Intrinsic Value; Dividend Discount Model; Michael O'Higgins; Financial Instruments; Investment; Strategy; Financial Services Industry; United States

The literature finds that investors increase portfolio turnover following high returns, explaining it by either overconfidence or skilled trading. This paper develops a theoretical model and shows empirically that team-managed funds trade less after good... View Details

August 2019 (Revised November 2022)
Case

Paradigm Capital Value Fund

By: Luis M. Viceira and Elena Corsi

Karl Jan Erick Hummel had founded Paradigm Capital Value Fund in 2007 together with Columbia Business School Professor Bruce Greenwald, an expert in value investing and now chairman of the fund. The fund followed the principles of value investing to their target... View Details

Keywords: Investment Activism; Investment Portfolio; Financial Management; Growth and Development Strategy; Investment Funds; Financial Services Industry

Fast Answer

Exchange rates: current & historical

Expand GFDatabase menu (default) Select a country or region, e.g., United States. From the Filter by Series Category menu, select Exchange Rate. Click Search. For trade weighted indices... View Details

06 Oct 2003
Research & Ideas

The Problem with Hedge Funds

invested in stocks or in a mutual fund, and as stock prices rose so did his or her account, and when they fell, so did his or her account. With hedge funds money is going to be made, and lost, in arcane positions View Details

Keywords: by D. Quinn Mills

Fast Answer

Stock, derivative & commodity exchanges

as market capitalization, number of listed companies, trading volume. (Must register for free account to view statistics). World Stock Exchange Fact Book Ref. HG4551 .W67 in the Stamps Reading Room... View Details

Research Summary

The NYSE Trading Floor and Spatial Dependence in Stock Returns

The floor of the New York Stock Exchange (NYSE) is organized by physical posts. Each post has at most thirty panels, and each panel tracks up to thirty stocks. I demonstrate that there is spatial dependence in return correlations. Specifically, returns for... View Details

22 Sep 2020
News

Hedge Funds Reject Central Banker Criticism on Volatility

July 2021 (Revised December 2021)
Case

Pershing Square's Pandemic Trade (A)

By: Emil N. Siriwardane, Luis M. Viceira, Dean Xu and Lucas Baker

This case explores the decision that Bill Ackman, CEO and founder of the hedge fund Pershing Square Capital, was considering in late February 2020 about hedging the exposure of the fund’s portfolio from the potential financial fallout ensuing from an extreme event like... View Details

Keywords: Health Pandemics; Financial Liquidity; Cost Management; Decision Choices and Conditions; Risk Management

2008
Mimeo

Do Hedge Funds Profit from Mutual-Fund Distress?

By: Joseph Chen, Samuel G. Hanson, Harrison Hong and Jeremy C. Stein

This paper explores the question of whether hedge funds engage in frontrunning strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds—those suffering large outflows of assets under... View Details

Keywords: Investment Funds; Profit; Strategy; Forecasting and Prediction; Investment Return; Opportunities; Asset Management; Sales

SSRN

05 Dec 2013
Working Paper Summaries

Heterogeneous Technology Diffusion and Ricardian Trade Patterns

Keywords: by William R. Kerr

February 2008 (Revised November 2011)
Case

The International Monetary Fund in Crisis

By: Rawi Abdelal, David Moss and Eugene Kintgen

When Dominique Strauss-Kahn became the Managing Director of the International Monetary Fund in late 2007, he faced a number of significant changes. The organization had lost much of its legitimacy over the previous decade, and countries seemed increasingly reluctant to... View Details

Keywords: History; Globalized Economies and Regions; Problems and Challenges; Developing Countries and Economies; Borrowing and Debt; Government and Politics; Financial Institutions; Business Strategy; Macroeconomics; Financial Services Industry

February 2010 (Revised June 2011)
Case

SEWA Trade Facilitation Center: Changing the Spool

By: Mukti Khaire and Kathleen L. McGinn

The case is about the decision to convert a not-for-profit organization into a for-profit company. SEWA Trade Facilitation Center (STFC), which is part of a larger non-profit organization—the Self-Employed Women's Association (SEWA)—works to improve the livelihoods of... View Details

Keywords: Cooperative Ownership; For-Profit Firms; Gender; Business Model; Organizational Change and Adaptation; Nonprofit Organizations; Arts; Entrepreneurship; Economic Growth; Growth and Development Strategy; Consumer Products Industry; India