Finance Brown Bag Seminar

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The Fin­ance Brown Bag Sem­inar is held jointly with the Vi­enna Gradu­ate School of Fin­ance (VGSF) and serves as a present­a­tion plat­form for PhD stu­dents, fac­ulty mem­bers, and vis­it­ors. It usu­ally takes place on Wed­nes­days from 12:00 to 13:00 (loca­tion tba). For fur­ther in­form­a­tion, please con­tact bbs-fin­ance@wu.ac.at

Win­ter term 2017/2018

  • Oc­to­ber 20th, 2017 11:00-12:00, D3.0.225
    Maria Chader­ina (WU)
    "Why do mu­tual funds hold cash?”, co-au­thored with Chris­toph Sch­euch

    Ab­stract: We ar­gue that mu­tual funds hold li­quid as­sets at least par­tially to col­lect rents, a motive dif­fer­ent from li­quid­ity trans­form­a­tion. We pro­pose a parsi­mo­ni­ous model that in­cor­por­ates the ef­fects of trad­ing costs and li­quid­ity man­age­ment on fund flows. Fol­low­ing bad per­form­ance, man­agers com­pensated on fund size op­tim­ally re­duce il­li­quid in­vest­ment to max­im­ize fu­ture ex­pec­ted re­turns, pre­serving some liq- uid as­sets. Man­agers com­pensated on past per­form­ance, on the other hand, meet re­demp­tions by de­plet­ing li­quid as­sets first. However, be­cause of lower ex­pec­ted re­turns this only in­tens­i­fies the out­flow and destabil­izes the fund. Moreover, the use of cash for rent col­lec­tion is pre­ferred to higher man­age­ment fees, as it makes mu­tual funds less prone to li­quid­ity-driven with­draw­als. Over­all, we cau­tion not to in­ter­pret the ob­served bal­ances of li­quid as­sets in mu­tual funds as con­clus­ive evid­ence of the mag­nitude for li­quid­ity trans­form­a­tion these funds provide.

  • Septem­ber 18th, 2017 16:00-17:15, D4.0.039
    Lasse H. Peder­sen
    (Copen­ha­gen Busi­ness School)
    "Ef­fi­ciently Inef­fi­cient Mar­kets for As­sets and As­set Man­age­ment"

    Ab­stract: We con­sider a model where in­vestors can in­vest dir­ectly or search for an as­set man­ager, in­form­a­tion about as­sets is costly, and man­agers charge an en­do­gen­ous fee. The ef­fi­ciency of as­set prices is linked to the ef­fi­ciency of the as­set man­age­ment mar­ket: if in­vestors can find man­agers more eas­ily, more money is al­loc­ated to act­ive man­age­ment, fees are lower, and as­set prices are more ef­fi­cient. In­formed man­agers out­per­form after fees, un­in­formed man­agers un­der­per­form after fees, and the net per­form­ance of the aver­age man­ager de­pends on the num­ber of "noise al­loc­at­ors." Small in­vestors should be pass­ive, but large and soph­ist­ic­ated in­vestors be­ne­fit from search­ing for in­formed act­ive man­agers since their search cost is low re­l­at­ive to cap­ital. Hence, man­agers with lar­ger and more soph­ist­ic­ated in­vestors are ex­pec­ted to out­per­form.