Event

Past Events

CARF Workshops (2009-2010)

Rewarding Trading Skills Without Inducing Gambling (joint with Igor Makarov)

Dates 2010/4/7(Wed)16:50-18:30
Venue Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall)
Speaker Guillaume Plantin (Toulouse School of Economics and CEPR)
Co-Sponsor Microworkshop
Abstract This paper develops a model of active portfolio management in which fund managers may secretly gamble in order to manipulate their reputation and at- tract more funds. We show that such trading strategies may expose investors to severe losses and are more likely to occur when fund managers are impatient, their trading skills are scalable and generate higher pro t per unit of risk. We characterize the optimal contracts that deter this behavior. Our model can ex- plain a number of observed di erences in performance between mutual and hedge fund. In particular, it explains why persistence in returns and net risk-adjusted returns can be higher for hedge funds, and o ers a rationale for the prevalence of high-water mark contracts.

Bubble Cycles

Dates 2009/4/23(Thu)16:50-18:30
Venue Lecture Hall No.3 on the 3rd floor of the main Economics Building
Speaker Masaya Sakuragawa (Keio University)
Co-Sponsor Macroworkshop
Abstract We develop a simple model that explains episodes on bubbles that occurred in the past Japan and the recent United States. The basic idea is that the self-fulfilling change in the saving rate leads to bubble-induced business cycles with co-movement between bubbles and investment. We have a counter-intuitive implication of the stimulus package of fiscal expansion in the bubbly economy.
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