18 results found
Kacperczyk M, Sundaresan S, Wang T, Do foreign institutional investors improve price efficiency?, The Review of Financial Studies, ISSN: 0893-9454
We study the impact of foreign institutional investors on price efficiency withfirm-level international data. Using MSCI index inclusion and the U.S. Jobsand Growth Tax Relief Reconciliation Act as exogenous shocks to foreignownership, we show that greater foreign ownership increases stock priceinformativeness, especially in developed economies. This increase arises fromnew information that foreign investors bring in, and displacement of lessinformed domestic retail investors. Finally, we show that foreign ownership,particularly from active investors, increases market liquidity, reduces firms’cost of equity, and increases firms’ real investment growth. (JELG11, G12,G14, G15)
Kacperczyk MT, Pagnotta E, 2019, Chasing Private Information, The Review of Financial Studies, Vol: 32, Pages: 4997-5047, ISSN: 0893-9454
Using over 5000 equity and option trades unequivocally based on nonpublic information about firm fundamentals, we find that commonly used asymmetric information proxies (AIPs) display abnormal values on days with informed trading. Volatility and trading volume are abnormally high, whereas illiquidity is low, both in equity and option markets. Daily returns reflect the sign of private signals but, on average, bid–ask spreads are 10% and 20% lower when informed investors are present in stock and option markets. Market makers’ learning under event uncertainty and the use of limit orders by informed investors help explain these findings. We characterize cross-sectional responses based on the duration of private information and find that informed traders select days with high uninformed volume to trade. Evidence from the U.S. Securities and Exchange Commission (SEC) Whistleblower Reward Program and the Financial Industry Regulatory Authority (FINRA) involvement address potential selection concerns.
Kacperczyk M, Nosal J, Stevens L, 2019, Investor sophistication and capital income inequality, Journal of Monetary Economics, Vol: 107, Pages: 18-31, ISSN: 0304-3932
Capital income inequality is large and growing fast, accounting for a significant portion of total income inequality. We study its growth in a general equilibrium portfolio choice model with endogenous information acquisition and heterogeneity across household sophistication and asset riskiness. The model implies capital income inequality that grows with aggregate information technology. Investors differentially adjust both the size and the composition of their portfolios, as unsophisticated investors retrench from trading risky securities and shift their portfolios to safer assets. Technological progress also reduces aggregate returns and increases the volume of transactions, features that are consistent with recent U.S. data.
Kacperczyk M, Pagnotta E, Chasing Private Information, Review of Financial Studies, ISSN: 0893-9454
Di Maggio M, Kacperczyk M, 2017, The unintended consequences of the zero lower bound policy, JOURNAL OF FINANCIAL ECONOMICS, Vol: 123, Pages: 59-80, ISSN: 0304-405X
Kacperczyk M, Van Nieuwerburgh S, Veldkamp L, 2016, A Rational Theory of Mutual Funds' Attention Allocation, ECONOMETRICA, Vol: 84, Pages: 571-626, ISSN: 0012-9682
Kacperczyk M, Van Nieuwerburgh S, Veldkamp L, 2014, Time-Varying Fund Manager Skill, The Journal of Finance, Vol: n/a, Pages: n/a-n/a, ISSN: 0022-1082
We propose a new definition of skill as general cognitive ability to pick stocks or time the market. We find evidence for stock picking in booms and market timing in recessions. Moreover, the same fund managers that pick stocks well in expansions also time the market well in recessions. These fund managers significantly outperform other funds and passive benchmarks. Our results suggest a new measure of managerial ability that weighs a fund's market timing more in recessions and stock picking more in booms. The measure displays more persistence than either market timing or stock picking alone and predicts fund performance.
Kacperczyk M, Schnabl P, 2013, How Safe Are Money Market Funds?, QUARTERLY JOURNAL OF ECONOMICS, Vol: 128, Pages: 1073-1122, ISSN: 0033-5533
Kacperczyk M, Damien P, Walker SG, 2013, A new class of Bayesian semi-parametric models with applications to option pricing, QUANTITATIVE FINANCE, Vol: 13, Pages: 967-980, ISSN: 1469-7688
Chen HJ, Kacperczyk M, Ortiz-Molina H, 2012, Do Nonfinancial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers, REVIEW OF FINANCE, Vol: 16, Pages: 347-383, ISSN: 1572-3097
Chen HJ, Kacperczyk M, Ortiz-Molina H, 2011, Labor Unions, Operating Flexibility, and the Cost of Equity, JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol: 46, Pages: 25-58, ISSN: 0022-1090
Kacperczyk M, Schnabl P, 2010, When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009, JOURNAL OF ECONOMIC PERSPECTIVES, Vol: 24, Pages: 29-50, ISSN: 0895-3309
Hong H, Kacperczyk M, 2010, Competition and Bias, The Quarterly Journal of Economics, Vol: 125, Pages: 1683-1725, ISSN: 0033-5533
Hong H, Kacperczyk M, 2009, The price of sin: The effects of social norms on markets, JOURNAL OF FINANCIAL ECONOMICS, Vol: 93, Pages: 15-36, ISSN: 0304-405X
Brown S, Kacperczyk M, Ljungqvist A, et al., 2009, Hedge Funds in the Aftermath of the Financial Crisis, Financial Markets, Institutions & Instruments, Vol: 18, Pages: 155-156, ISSN: 0963-8008
Kacperczyk M, Sialm C, Zheng L, 2008, Unobserved Actions of Mutual Funds, REVIEW OF FINANCIAL STUDIES, Vol: 21, Pages: 2379-2416, ISSN: 0893-9454
Kacperczyk M, Seru A, 2007, Fund manager use of public information: New evidence on managerial skills, JOURNAL OF FINANCE, Vol: 62, Pages: 485-528, ISSN: 0022-1082
Kacperczyk M, Sialm C, Zheng L, 2005, On the industry concentration of actively managed equity mutual funds, JOURNAL OF FINANCE, Vol: 60, Pages: 1983-2011, ISSN: 0022-1082
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