Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics

South Kensington campus

London SW7 2AZ

United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 707

in Total Papers Downloads

25,886

CITATIONS
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Top 897

in Total Papers Citations

594

Scholarly Papers (23)

1.
Downloads 3,829 ( 1,743)
Citation 112

Unobserved Actions of Mutual Funds

Review of Financial Studies, Forthcoming, Sixteenth Annual Utah Winter Finance Conference, EFA 2005 Moscow Meetings Paper, Sauder School of Business Working Paper
Number of pages: 58 Posted: 28 Feb 2005
Marcin T. Kacperczyk, Clemens Sialm and Lu Zheng
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 3,775 (1,756)
Citation 112

Abstract:

Mutual Funds, Performance Evaluation, Trading Strategies

Unobserved Actions of Mutual Funds

NBER Working Paper No. w11766
Number of pages: 49 Posted: 08 Feb 2006
Marcin T. Kacperczyk, Clemens Sialm and Lu Zheng
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 54 (318,035)
Citation 112

Abstract:

Unobserved Actions of Mutual Funds

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2379-2416, 2008
Posted: 15 Dec 2008
Marcin T. Kacperczyk, Clemens Sialm and Lu Zheng
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business

Abstract:

G11, G23

On the Industry Concentration of Actively Managed Equity Mutual Funds

AFA 2005 Philadelphia Meetings, Journal of Finance, Forthcoming, Sauder School of Business Working Paper
Number of pages: 50 Posted: 10 Feb 2003
Marcin T. Kacperczyk, Clemens Sialm and Lu Zheng
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 2,535 (3,564)
Citation 161

Abstract:

On the Industry Concentration of Actively Managed Equity Mutual Funds

NBER Working Paper No. w10770
Number of pages: 49 Posted: 30 Sep 2004
Marcin T. Kacperczyk, Clemens Sialm and Lu Zheng
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 47 (339,379)
Citation 161

Abstract:

3.
Downloads 2,550 ( 3,613)
Citation 14

Time-Varying Fund Manager Skill

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 16 Nov 2011 Last Revised: 06 Dec 2012
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 2,477 (3,695)
Citation 14

Abstract:

mutual funds, skills, business cycle

Time-Varying Fund Manager Skill

NYU Working Paper No. 2451/31336
Number of pages: 47 Posted: 26 Jun 2013
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 41 (359,328)
Citation 14

Abstract:

Time-Varying Fund Manager Skill

NBER Working Paper No. w17615
Number of pages: 48 Posted: 24 Nov 2011
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 31 (398,539)
Citation 14

Abstract:

Time-Varying Fund Manager Skill

CEPR Discussion Paper No. DP9025
Number of pages: 43 Posted: 28 Sep 2012
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 1 (568,255)
Citation 14

Abstract:

BUSINESS CYCLE, MUTUAL FUNDS, SKILLS

4.

The Price of Sin: The Effects of Social Norms on Markets

Sauder School of Business Working Paper, AFA 2008 New Orleans Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 50 Posted: 05 Aug 2005
Marcin T. Kacperczyk and Harrison G. Hong
Imperial College London - Accounting, Finance, and Macroeconomics and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 2,211 (4,052)
Citation 81

Abstract:

social norms, financial markets, sin stocks

5.
Downloads 1,821 ( 6,416)
Citation 21

Rational Attention Allocation over the Business Cycle

Number of pages: 63 Posted: 29 May 2009 Last Revised: 15 Aug 2012
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 1,558 (8,244)
Citation 19

Abstract:

information choice, investment management, business cycle

Rational Attention Allocation Over the Business Cycle

NYU Working Paper No. 2451/31425
Number of pages: 57 Posted: 13 Jan 2012
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 238 (104,666)
Citation 19

Abstract:

Rational Attention Allocation Over the Business Cycle

NBER Working Paper No. w15450
Number of pages: 54 Posted: 03 Nov 2009
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 25 (427,985)
Citation 21

Abstract:

6.

Do Security Analysts Discipline Credit Rating Agencies?

AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 12 Dec 2011 Last Revised: 20 Aug 2014
University of New South Wales - School of Banking and Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Imperial College London - Accounting, Finance, and Macroeconomics and Syracuse University - Department of Economics
Downloads 1,231 (9,832)
Citation 5

Abstract:

credit rating agencies, rating bias, competition

7.

Do Non-Financial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers

Review of Finance, Forthcoming
Number of pages: 47 Posted: 24 Mar 2008 Last Revised: 28 Sep 2010
Huafeng (Jason) Chen, Marcin T. Kacperczyk and Hernan Ortiz-Molina
Tsinghua University - PBC School of Finance, Imperial College London - Accounting, Finance, and Macroeconomics and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,141 (13,736)
Citation 12

Abstract:

debt pricing, non-financial stakeholders, labor unions, shareholder-bondholder conflicts

Fund Manager Use of Public Information: New Evidence on Managerial Skills

Sauder School of Business Working Paper
Number of pages: 58 Posted: 13 Dec 2004
Marcin T. Kacperczyk and Amit Seru
Imperial College London - Accounting, Finance, and Macroeconomics and Stanford University
Downloads 1,117 (14,057)
Citation 63

Abstract:

Managerial skill, public information, mutual funds, stock analysts

Fund Manager Use of Public Information: New Evidence on Managerial Skills

Journal of Finance, Forthcoming
Posted: 28 Jun 2006
Marcin T. Kacperczyk and Amit Seru
Imperial College London - Accounting, Finance, and Macroeconomics and Stanford University

Abstract:

Managerial skill, public information, mutual funds, stock analysts

9.

How Safe are Money Market Funds?

Quarterly Journal of Economics, Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 50 Posted: 25 Feb 2011 Last Revised: 13 Mar 2013
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 1,101 (14,185)
Citation 8

Abstract:

Risk-Taking Incentives, Money Market Funds, Financial Conglomerates

Labor Unions, Operating Flexibility, and the Cost of Equity

AFA 2008 New Orleans Meetings Paper
Number of pages: 56 Posted: 21 Sep 2006 Last Revised: 25 Aug 2012
Huafeng (Jason) Chen, Marcin T. Kacperczyk and Hernan Ortiz-Molina
Tsinghua University - PBC School of Finance, Imperial College London - Accounting, Finance, and Macroeconomics and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,071 (15,021)
Citation 26

Abstract:

labor unions, operating flexibility, cost of equity

Labor Unions, Operating Flexibility, and the Cost of Equity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 30 Jun 2009
Huafeng (Jason) Chen, Marcin T. Kacperczyk and Hernan Ortiz-Molina
Tsinghua University - PBC School of Finance, Imperial College London - Accounting, Finance, and Macroeconomics and University of British Columbia (UBC) - Sauder School of Business

Abstract:

11.
Downloads 1,063 ( 15,503)
Citation 32

Competition and Bias

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 54 Posted: 17 Mar 2008
Harrison G. Hong and Marcin T. Kacperczyk
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 708 (27,623)
Citation 32

Abstract:

analyst bias, competition

Competition and Bias

NYU Working Paper No. FIN-08-016
Number of pages: 54 Posted: 09 Mar 2009
Marcin T. Kacperczyk and Harrison G. Hong
Imperial College London - Accounting, Finance, and Macroeconomics and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 355 (66,999)
Citation 32

Abstract:

12.

A New Class of Bayesian Semiparametric Models with Applications to Option Pricing

NYU Stern School of Business Working Paper, McCombs Research Paper Series No. IROM-08-05
Number of pages: 41 Posted: 08 Aug 2003 Last Revised: 15 Jun 2011
Marcin T. Kacperczyk, Paul Damien and Stephen G. Walker
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of Bath - School of Mathematical Sciences
Downloads 1,051 (15,714)
Citation 2

Abstract:

Bayesian semiparametric model, option pricing

13.
Downloads 917 ( 19,340)
Citation 9

Time-Varying Predictability in Mutual Fund Returns

Number of pages: 43 Posted: 21 Mar 2009 Last Revised: 14 Jan 2012
Vincent Glode, Burton Hollifield, Marcin T. Kacperczyk and Shimon Kogan
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship
Downloads 875 (20,347)
Citation 9

Abstract:

Mutual Funds, Flows, Investor Rationality, Market Conditions

Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry

NBER Working Paper No. w15038
Number of pages: 52 Posted: 08 Jun 2009
Vincent Glode, Burton Hollifield, Marcin T. Kacperczyk and Shimon Kogan
University of Pennsylvania - The Wharton School, Carnegie Mellon University - David A. Tepper School of Business, Imperial College London - Accounting, Finance, and Macroeconomics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship
Downloads 42 (355,880)
Citation 9

Abstract:

When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009

Number of pages: 39 Posted: 17 Nov 2009 Last Revised: 19 Nov 2009
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 628 (32,591)
Citation 29

Abstract:

When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009

NBER Working Paper No. w15538
Number of pages: 40 Posted: 24 Nov 2009
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 57 (309,583)
Citation 29

Abstract:

15.

Do Optimists Grow Faster and Invest More?

EFMA 2002 London Meetings, Sauder School of Business Working Paper
Number of pages: 39 Posted: 25 Feb 2002
Marcin T. Kacperczyk and Zbigniew W. Kominek
Imperial College London - Accounting, Finance, and Macroeconomics and European Bank for Reconstruction and Development (EBRD)
Downloads 536 (40,584)
Citation 1

Abstract:

Sentiment, Investment, Economic growth, Production externalities

The Unintended Consequences of the Zero Lower Bound Policy

Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 14-25
Number of pages: 57 Posted: 25 Jun 2014 Last Revised: 09 Feb 2016
Marco Di Maggio and Marcin T. Kacperczyk
Harvard Business School and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 393 (59,395)

Abstract:

Quantitative easing, money market funds, reaching for yield, risk taking, fund exit, unconventional monetary policy

The Unintended Consequences of the Zero Lower Bound Policy

NBER Working Paper No. w22351
Number of pages: 51 Posted: 20 Jun 2016
Marco Di Maggio and Marcin T. Kacperczyk
Harvard Business School and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 7 (529,956)

Abstract:

17.
Downloads 310 ( 78,925)
Citation 1

Investor Sophistication and Capital Income Inequality

Number of pages: 76 Posted: 01 Mar 2014 Last Revised: 10 Dec 2015
Marcin T. Kacperczyk, Jaromir B. Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia Business School - Economics Department and University of Maryland
Downloads 232 (107,438)
Citation 1

Abstract:

capital income inequality, investor sophistication, information frictions

Investor Sophistication and Capital Income Inequality

National Bank of Poland Working Paper No. 199
Number of pages: 69 Posted: 22 Aug 2015 Last Revised: 09 Jul 2016
Marcin T. Kacperczyk, Jaromir B. Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia Business School - Economics Department and University of Maryland
Downloads 75 (266,574)
Citation 1

Abstract:

Investor Sophistication and Capital Income Inequality

NBER Working Paper No. w20246
Number of pages: 62 Posted: 23 Jun 2014
Marcin T. Kacperczyk, Jaromir B. Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia Business School - Economics Department and University of Maryland
Downloads 3 (550,332)
Citation 1

Abstract:

18.

A Rational Theory of Mutual Funds' Attention Allocation

NYU Working Paper No. 2451/28347
Number of pages: 53 Posted: 26 Jun 2013 Last Revised: 29 Oct 2015
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business
Downloads 305 (22,854)

Abstract:

mutual funds, rational inattention, portfolio choice

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

NYU Working Paper No. 2451/31335
Number of pages: 58 Posted: 26 Jun 2013
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 27 (417,496)
Citation 7

Abstract:

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

NBER Working Paper No. w17321
Number of pages: 59 Posted: 29 Aug 2011
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 16 (479,422)
Citation 7

Abstract:

The Private Production of Safe Assets

Number of pages: 56 Posted: 12 Jun 2017
Marcin T. Kacperczyk, Christophe Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 23 (444,850)

Abstract:

Safe assets, Collateral, Short-term debt, Treasuries

The Private Production of Safe Assets

CEPR Discussion Paper No. DP12086
Number of pages: 59 Posted: 13 Jun 2017
Marcin T. Kacperczyk, Christophe Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris
Downloads 1 (568,255)

Abstract:

Collateral, safe assets, Short-term debt, Treasuries

21.

Chasing Private Information

Number of pages: 74 Posted: 24 Nov 2015 Last Revised: 09 Jan 2017
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Imperial College Business School
Downloads 0 (43,465)

Abstract:

Private information, information measures, insider trading, information spillover, trading strategies, liquidity, asset prices, volume,stock markets, option markets, volatility, SEC, financial crime

22.

Industry Concentration and Mutual Fund Performance

Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Posted: 28 Mar 2007
Marcin T. Kacperczyk, Clemens Sialm and Lu Zheng
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business

Abstract:

Industry concentration, mutual fund performance, active portfolio management

23.

Asset Allocation Under Distribution Uncertainty

McCombs Research Paper Series No. IROM-01-11
Number of pages: 55 Posted: 20 Apr 2011 Last Revised: 18 Jun 2011
Marcin T. Kacperczyk and Paul Damien
Imperial College London - Accounting, Finance, and Macroeconomics and University of Texas at Austin - McCombs School of Business
Downloads 0
Citation 11

Abstract:

Asset Allocation, Distribution Uncertainty, Bayesian Semiparametric Model