Mathias S. Kruttli

Kelley Business School - Indiana University

Bloomington, IN 47405

United States

University of Oxford - Oxford-Man Institute of Quantitative Finance

Associate Fellow

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

http://sites.google.com/site/mathiaskruttli/home

  • Kelley Business School - Indiana University

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 6,743

SSRN RANKINGS

Top 6,743

in Total Papers Downloads

11,113

SSRN CITATIONS
Rank 11,631

SSRN RANKINGS

Top 11,631

in Total Papers Citations

84

CROSSREF CITATIONS

37

Scholarly Papers (8)

Actions:
Email selected abstracts
1.

The Shift From Active to Passive Investing: Potential Risks to Financial Stability?

Downloads 5,036 ( 3,005)
Citation 14

The Shift From Active to Passive Investing: Potential Risks to Financial Stability?

Financial Analysts Journal 76(4): 23–29, 2020
Number of pages: 33 Posted: 16 Sep 2019 Last Revised: 06 May 2021
Kenechukwu Anadu, Mathias S. Kruttli, Patrick E. McCabe and Emilio Osambela
Federal Reserve Banks - Federal Reserve Bank of Boston, Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 3,828 (4,658)
Citation 5

Abstract:

Loading...

Asset Management, Passive Investing, Index Investing, Indexing, Mutual Fund, Exchange-Traded Fund, Leveraged and Inverse Exchange-Traded Products, Financial Stability, Systemic Risk, Market Volatility, Inclusion Effects

The Shift from Active to Passive Investing: Potential Risks to Financial Stability?

FEDS Working Paper No. 2018-060R1
Number of pages: 34 Posted: 02 Sep 2020 Last Revised: 03 Sep 2020
Kenechukwu Anadu, Mathias S. Kruttli, Patrick E. McCabe and Emilio Osambela
Federal Reserve Banks - Federal Reserve Bank of Boston, Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 689 (62,707)
Citation 1

Abstract:

Loading...

The Shift from Active to Passive Investing: Potential Risks to Financial Stability?

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-4
Number of pages: 35 Posted: 24 Jan 2019 Last Revised: 18 Mar 2022
Kenechukwu Anadu, Mathias S. Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin
Federal Reserve Banks - Federal Reserve Bank of Boston, Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 519 (89,839)
Citation 1

Abstract:

Loading...

asset management, passive investing, index investing, indexing, mutual funds, exchange-traded funds, leveraged and inverse exchange-traded products, financial stability, systemic risk, market volatility, inclusion effects, daily rebalancing

2.

Banking on Carbon: Corporate Lending and Cap-and-Trade Policy

Number of pages: 63 Posted: 29 Jul 2020 Last Revised: 16 Aug 2023
Ivan Ivanov, Mathias S. Kruttli and Sumudu W. Watugala
Federal Reserve Bank of Chicago, Kelley Business School - Indiana University and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,962 (14,030)
Citation 4

Abstract:

Loading...

bank lending, greenhouse gas emissions, cap-and-trade policy, transition risk, climate finance

3.

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Downloads 1,719 (17,268)
Citation 16

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Number of pages: 111 Posted: 04 Dec 2018 Last Revised: 17 Sep 2023
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Kelley Business School - Indiana University, Federal Reserve Bank of San Francisco and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,077 (34,046)

Abstract:

Loading...

extreme weather, uncertainty, implied volatility, expected returns, climate risks

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

EBRD Working Paper No. 229
Number of pages: 103 Posted: 11 Sep 2019 Last Revised: 01 Mar 2023
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Kelley Business School - Indiana University, Federal Reserve Bank of San Francisco and Indiana University - Kelley School of Business - Department of Finance
Downloads 499 (94,231)
Citation 27

Abstract:

Loading...

extreme weather, uncertainty, implied volatility, expected returns, climate risks

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

FEDS Working Paper No. 2019-54
Number of pages: 57 Posted: 25 Jul 2019 Last Revised: 21 Oct 2019
Mathias S. Kruttli, Brigitte Roth Tran and Sumudu W. Watugala
Kelley Business School - Indiana University, Federal Reserve Bank of San Francisco and Indiana University - Kelley School of Business - Department of Finance
Downloads 143 (335,356)

Abstract:

Loading...

4.

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Downloads 832 (49,434)
Citation 2

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Number of pages: 86 Posted: 05 Apr 2021 Last Revised: 19 Apr 2023
Mathias S. Kruttli, Phillip Monin, Lubomir Petrasek and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 669 (65,156)
Citation 1

Abstract:

Loading...

Hedge funds, Treasury markets, arbitrage, VaR, risk constraints, liquidity, creditor constraints, relative value

Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

FEDS Working Paper No. 2021-38
Number of pages: 68 Posted: 09 Jul 2021
Mathias S. Kruttli, Phillip Monin, Lubomir Petrasek and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 163 (300,651)
Citation 2

Abstract:

Loading...

5.

The Impact of Hedge Funds on Asset Markets

Downloads 769 (54,937)
Citation 5

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Kelley Business School - Indiana University, Duke University - Department of Economics and Imperial College London
Downloads 769 (54,161)
Citation 3

Abstract:

Loading...

hedge funds, liquidity, return predictability, equities, bonds, currencies.

The Impact of Hedge Funds on Asset Markets

CEPR Discussion Paper No. DP10151
Number of pages: 66 Posted: 25 Sep 2014
Mathias S. Kruttli, Andrew J. Patton and Tarun Ramadorai
Kelley Business School - Indiana University, Duke University - Department of Economics and Imperial College London
Downloads 0
  • Add to Cart

Abstract:

Loading...

bonds, currencies, equities, hedge funds, liquidity, return predictability

6.

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Downloads 387 (128,304)
Citation 1

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Number of pages: 50 Posted: 04 Sep 2017 Last Revised: 01 Nov 2019
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 183 (271,860)

Abstract:

Loading...

Hedge funds, investor concentration, flows, precautionary cash, portfolio liquidity

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

OFR 17-07
Number of pages: 50 Posted: 21 Dec 2017 Last Revised: 09 Nov 2020
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 110 (409,696)
Citation 1

Abstract:

Loading...

hedge funds, investor concentration, flows, precautionary cash

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

FEDS Working Paper No. 2017-121
Number of pages: 57 Posted: 20 Dec 2017
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 94 (457,378)

Abstract:

Loading...

7.

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Downloads 268 (189,816)
Citation 6

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Number of pages: 82 Posted: 19 Mar 2018 Last Revised: 22 Feb 2022
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 175 (282,773)
Citation 1

Abstract:

Loading...

hedge funds, prime brokers, credit networks, rehypothecation, collateral

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

OFR WP 19-03
Number of pages: 49 Posted: 24 Oct 2019
Mathias S. Kruttli, Phillip Monin and Sumudu W. Watugala
Kelley Business School - Indiana University, Board of Governors of the Federal Reserve System and Indiana University - Kelley School of Business - Department of Finance
Downloads 93 (460,629)
Citation 1

Abstract:

Loading...

hedge funds, prime brokers, credit networks, rehypothecation, collateral

8.

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

Number of pages: 40 Posted: 11 Feb 2014 Last Revised: 28 Oct 2020
Mathias S. Kruttli
Kelley Business School - Indiana University
Downloads 140 (340,423)

Abstract:

Loading...

Return predictability, consumption-based asset pricing, Bayesian econometrics