Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics

Professor of Finance

South Kensington campus

London SW7 2AZ

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Imperial College London - Accounting, Finance, and Macroeconomics

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

43

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6,527

CROSSREF CITATIONS

1,122

Scholarly Papers (43)

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1.

Do Investors Care about Carbon Risk?

Downloads 10,420 ( 1,037)
Citation 702

Do Investors Care about Carbon Risk?

Columbia Business School Research Paper Forthcoming, Journal of Financial Economics (JFE), Forthcoming, European Corporate Governance Institute – Finance Working Paper 711/2020
Number of pages: 91 Posted: 11 Jun 2019 Last Revised: 20 Nov 2020
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 10,237 (1,063)
Citation 641

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Carbon Emissions, Climate Change, Stock Returns, Institutional Investors

Do Investors Care About Carbon Risk?

NBER Working Paper No. w26968
Number of pages: 81 Posted: 13 Apr 2020 Last Revised: 10 Mar 2023
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 180 (321,362)

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Do Investors Care About Carbon Risk?

CEPR Discussion Paper No. DP14568
Number of pages: 83 Posted: 08 May 2020
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 3 (1,223,802)
Citation 39
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Carbon Emissions, climate change, institutional investors, Stock returns

2.

Global Pricing of Carbon-Transition Risk

Downloads 7,235 ( 1,920)
Citation 212

Global Pricing of Carbon-Transition Risk

Journal of Finance, Forthcoming
Number of pages: 78 Posted: 13 Mar 2020 Last Revised: 05 Aug 2022
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 7,073 (1,988)
Citation 220

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Carbon Emissions, Carbon-Transition Risk, Climate Change, Stock Returns

Global Pricing of Carbon-Transition Risk

NBER Working Paper No. w28510
Number of pages: 53 Posted: 01 Mar 2021 Last Revised: 27 May 2023
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 160 (356,430)
Citation 11

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Carbon Premium Around the World

CEPR Discussion Paper No. DP14567
Number of pages: 70 Posted: 08 May 2020
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 2 (1,237,604)
Citation 8
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3.

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 4,660 (4,124)
Citation 162

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social norms, financial markets, sin stocks

4.

Unobserved Actions of Mutual Funds

Downloads 4,546 ( 4,287)
Citation 323

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 4,430 (4,381)
Citation 22

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Mutual Funds, Performance Evaluation, Trading Strategies

Unobserved Actions of Mutual Funds

NBER Working Paper No. w11766
Number of pages: 49 Posted: 08 Feb 2006 Last Revised: 27 Aug 2022
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 116 (461,292)
Citation 48

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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

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G11, G23

5.

Carbon Disclosure and the Cost of Capital

Number of pages: 52 Posted: 19 Jan 2021 Last Revised: 15 Nov 2021
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 4,379 (4,539)
Citation 2

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Carbon Emissions, Voluntary and Mandatory Disclosure, Stock Returns

6.

Carbon Emissions and the Bank-Lending Channel

Downloads 4,032 ( 5,201)
Citation 21

Carbon Emissions and the Bank-Lending Channel

European Corporate Governance Institute – Finance Working Paper No. 991/2024
Number of pages: 65 Posted: 03 Sep 2021 Last Revised: 06 Jul 2024
Marcin T. Kacperczyk and José-Luis Peydró
Imperial College London - Accounting, Finance, and Macroeconomics and Imperial College London
Downloads 4,032 (5,100)
Citation 31

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carbon emissions, bank lending, cost of debt, real effects, environmental performance

Carbon Emissions and the Bank-Lending Channel

CEPR Discussion Paper No. DP16778
Number of pages: 57 Posted: 04 Feb 2022
Marcin T. Kacperczyk and José-Luis Peydró
Imperial College London - Accounting, Finance, and Macroeconomics and Imperial College London
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bank lending, Carbon Emissions, environmental performance, greenwashing, Real effects

7.

Time-Varying Fund Manager Skill

Downloads 3,850 ( 5,612)
Citation 202

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, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 3,637 (6,067)
Citation 7

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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, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 140 (398,150)
Citation 1

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Time-Varying Fund Manager Skill

NBER Working Paper No. w17615
Number of pages: 48 Posted: 24 Nov 2011 Last Revised: 18 Feb 2023
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 71 (637,155)
Citation 5

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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, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 2 (1,237,604)
Citation 22
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BUSINESS CYCLE, MUTUAL FUNDS, SKILLS

8.

On the Industry Concentration of Actively Managed Equity Mutual Funds

Downloads 3,106 ( 7,964)
Citation 392

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 2,972 (8,402)
Citation 5

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On the Industry Concentration of Actively Managed Equity Mutual Funds

NBER Working Paper No. w10770
Number of pages: 49 Posted: 30 Sep 2004 Last Revised: 07 Dec 2022
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 134 (412,278)
Citation 192

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9.

Firm Commitments

Downloads 2,747 ( 9,633)
Citation 8

Firm Commitments

Columbia Business School Research Paper, European Corporate Governance Institute – Finance Working Paper No. 990/2024
Number of pages: 73 Posted: 10 May 2021 Last Revised: 06 Jul 2024
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 2,728 (9,595)
Citation 10

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Carbon Emissions, Science Based and CDP Targets, Nationally Determined Contributions

Firm Commitments

NBER Working Paper No. w31244
Number of pages: 66 Posted: 15 May 2023 Last Revised: 29 May 2023
Patrick Bolton and Marcin T. Kacperczyk
Imperial College London and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 19 (1,032,264)
Citation 4
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10.

Net-Zero Carbon Portfolio Alignment

Number of pages: 30 Posted: 16 Sep 2021 Last Revised: 22 Jan 2022
Patrick Bolton, Marcin T. Kacperczyk and Frédéric Samama
Imperial College London, Imperial College London - Accounting, Finance, and Macroeconomics and Sciences Po, S&P
Downloads 2,711 (9,871)
Citation 26

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carbon neutrality, optimal portfolio, tracking error

11.

Mandatory Corporate Carbon Disclosures and the Path to Net Zero

Downloads 2,512 (11,135)
Citation 16

Mandatory Corporate Carbon Disclosures and the Path to Net Zero

Number of pages: 21 Posted: 25 Oct 2021 Last Revised: 26 Oct 2021
Patrick Bolton, Marcin T. Kacperczyk, Christian Leuz, Gaizka Ormazabal, Stefan Reichelstein and Dirk Schoenmaker
Imperial College London, Imperial College London - Accounting, Finance, and Macroeconomics, University of Chicago - Booth School of Business, University of Navarra, IESE Business School, Stanford University and Rotterdam School of Management, Erasmus University
Downloads 1,758 (19,254)
Citation 16

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Climate change, Nonfinancial information, ESG reporting, sustainability, Reporting mandates, Carbon emissions

Mandatory Corporate Carbon Disclosures and the Path to Net Zero

Management and Business Review, Vol. 1, No. 3, Fall 2021
Number of pages: 8 Posted: 21 Mar 2022
Patrick Bolton, Stefan Reichelstein, Marcin T. Kacperczyk, Christian Leuz, Gaizka Ormazabal and Dirk Schoenmaker
Imperial College London, Stanford University, Imperial College London - Accounting, Finance, and Macroeconomics, University of Chicago - Booth School of Business, University of Navarra, IESE Business School and Rotterdam School of Management, Erasmus University
Downloads 754 (65,208)
Citation 3

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net zero, carbon economy, carbon emissions, GHG

12.

Rational Attention Allocation over the Business Cycle

Downloads 2,366 (12,255)
Citation 15

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, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 2,055 (15,021)
Citation 15

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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, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 253 (232,885)

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Rational Attention Allocation Over the Business Cycle

NBER Working Paper No. w15450
Number of pages: 54 Posted: 03 Nov 2009 Last Revised: 20 Mar 2023
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 58 (707,540)
Citation 2

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13.

Do Security Analysts Discipline Credit Rating Agencies?

Review of Corporate Finance Studies: Forthcoming
Number of pages: 53 Posted: 12 Dec 2011 Last Revised: 18 Apr 2022
Kingsley Fong, Harrison G. Hong, Marcin T. Kacperczyk and Jeffrey D. Kubik
UNSW Business School, 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 2,326 (12,581)
Citation 23

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credit rating agencies, rating bias, competition

14.

Do Foreign Institutional Investors Improve Price Efficiency?

Downloads 2,066 (15,160)
Citation 60

Do Foreign Institutional Investors Improve Price Efficiency?

Number of pages: 100 Posted: 06 May 2020 Last Revised: 28 Jul 2023
Marcin T. Kacperczyk, Savitar Sundaresan and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 1,995 (15,747)
Citation 30

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Institutional Investors, Global Capital Flow, Price Efficiency, Welfare

Do Foreign Investors Improve Market Efficiency?

NBER Working Paper No. w24765
Number of pages: 67 Posted: 06 Jul 2018 Last Revised: 03 Mar 2023
Marcin T. Kacperczyk, Savitar Sundaresan and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 71 (637,155)
Citation 4

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15.

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, Columbia University Graduate School of Business and Columbia University - Columbia Business School
Downloads 2,051 (15,355)
Citation 52

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mutual funds, rational inattention, portfolio choice

16.

Market Power and Price Informativeness

Downloads 1,666 (21,313)
Citation 13

Market Power and Price Informativeness

Number of pages: 71 Posted: 12 Mar 2018 Last Revised: 21 Mar 2023
Marcin T. Kacperczyk, Jaromir Nosal and Savitar Sundaresan
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and Imperial College Business School
Downloads 1,631 (21,613)
Citation 10

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Market Power, Information, Institutions, Passive Investing

Market Power and Price Informativeness

Number of pages: 47 Posted: 13 Aug 2018
Marcin T. Kacperczyk, Jaromir Nosal and Savitar Sundaresan
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and Imperial College Business School
Downloads 35 (871,926)
Citation 3

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17.

Chasing Private Information

Downloads 1,614 (22,347)
Citation 43

Chasing Private Information

The Review of Financial Studies (Forthcoming)
Number of pages: 79 Posted: 24 Nov 2015 Last Revised: 17 Dec 2018
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Singapore Management University
Downloads 1,614 (21,966)
Citation 3

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Private information, information signals, adverse selection proxies, insider trading, trading strategies, liquidity, asset prices, abnormal volume, stock markets, option markets, volatility, SEC

Chasing Private Information

CEPR Discussion Paper No. DP12871
Number of pages: 64 Posted: 16 Apr 2018
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Singapore Management University
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Citation 6
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18.

The Financial Cost of Carbon

Number of pages: 40 Posted: 10 May 2022
Patrick Bolton, Zachery Halem and Marcin T. Kacperczyk
Imperial College London, Lazard and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 1,524 (24,420)
Citation 35

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financial cost of carbon, cost of capital, carbon emissions, carbon pricing

19.

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 1,448 (26,323)
Citation 34

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Risk-Taking Incentives, Money Market Funds, Financial Conglomerates

20.

Legal Risk and Insider Trading

Downloads 1,385 (28,108)
Citation 11

Legal Risk and Insider Trading

Forthcoming at The Journal of Finance
Number of pages: 110 Posted: 17 Mar 2018 Last Revised: 04 Apr 2023
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Singapore Management University
Downloads 1,385 (27,642)
Citation 2

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Private Information, Insider Trading, Trading Strategies, Liquidity, Asset Prices, Volume, Stock Markets, Option Markets, Volatility, SEC, Financial Crime

Becker Meets Kyle: Inside Insider Trading

CEPR Discussion Paper No. DP13928
Number of pages: 79 Posted: 07 Oct 2019
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Singapore Management University
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Citation 1
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21.

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

Downloads 1,340 (29,510)
Citation 83

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 1,340 (29,022)
Citation 83

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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

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Managerial skill, public information, mutual funds, stock analysts

22.

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
Fudan University - Fanhai International School of Finance (FISF), Imperial College London - Accounting, Finance, and Macroeconomics and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,328 (29,943)
Citation 35

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

23.

The CO2 Question: Technical Progress and the Climate Crisis

Number of pages: 106 Posted: 24 Oct 2022 Last Revised: 06 May 2023
Patrick Bolton, Marcin T. Kacperczyk and Moritz Wiedemann
Imperial College London, Imperial College London - Accounting, Finance, and Macroeconomics and Imperial College London
Downloads 1,291 (31,224)

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carbon emissions, green patents, brown efficiency patents, path dependence of innovation, Jevons paradox

24.

Labor Unions, Operating Flexibility, and the Cost of Equity

Downloads 1,271 (31,896)

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
Fudan University - Fanhai International School of Finance (FISF), Imperial College London - Accounting, Finance, and Macroeconomics and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,271 (31,355)
Citation 130

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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
Fudan University - Fanhai International School of Finance (FISF), Imperial College London - Accounting, Finance, and Macroeconomics and University of British Columbia (UBC) - Sauder School of Business

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25.

Competition and Bias

Downloads 1,266 (32,066)
Citation 152

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 890 (52,045)
Citation 53

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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 376 (153,185)
Citation 37

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26.

Sustainable Finance

Review of Finance, 69, 1309-1313 (2022)
Number of pages: 6 Posted: 14 Dec 2022
Alex Edmans and Marcin T. Kacperczyk
London Business School - Institute of Finance and Accounting and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 1,171 (35,842)

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ESG, sustainable finance, social responsibility

27.

Time-Varying Predictability in Mutual Fund Returns

Downloads 1,160 (36,339)
Citation 12

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 Reichman University - Arison School of Business
Downloads 1,086 (39,396)
Citation 14

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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 Last Revised: 03 Feb 2023
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 Reichman University - Arison School of Business
Downloads 74 (622,376)
Citation 1

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28.

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 1,065 (41,103)
Citation 3

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Bayesian semiparametric model, option pricing

29.

Swing Pricing and Fragility in Open-end Mutual Funds

Downloads 1,015 (44,023)
Citation 53

Swing Pricing and Fragility in Open-end Mutual Funds

The Review of Financial Studies, Forthcoming
Number of pages: 71 Posted: 08 Nov 2018 Last Revised: 07 Jan 2021
Dunhong Jin, Marcin T. Kacperczyk, Bige Kahraman and Felix Suntheim
The University of Hong Kong - Faculty of Business and Economics, Imperial College London - Accounting, Finance, and Macroeconomics, University of Oxford - Said Business School and International Monetary Fund (IMF) - Monetary and Capital Markets Department
Downloads 910 (50,473)

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liquidity mismatch; open-end mutual funds; fragility; swing pricing; strategic complementarity

Swing Pricing and Fragility in Open-End Mutual Funds

IMF Working Paper No. 19/227
Number of pages: 46 Posted: 03 Dec 2019
Dunhong Jin, Marcin T. Kacperczyk, Bige Kahraman and Felix Suntheim
The University of Hong Kong - Faculty of Business and Economics, Imperial College London - Accounting, Finance, and Macroeconomics, University of Oxford - Said Business School and International Monetary Fund (IMF) - Monetary and Capital Markets Department
Downloads 105 (497,265)

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Asset management companies, Liquidity risk management, Mutual funds, Financial crises, Economic stabilization, liquidity mismatch, fund runs, fragility, swing pricing, strategic complementarity, WP, illiquidity, indicator variable, open-end, Inst, fund performance

Swing Pricing and Fragility in Open-End Mutual Funds

CEPR Discussion Paper No. DP13929
Number of pages: 63 Posted: 07 Oct 2019
Dunhong Jin, Marcin T. Kacperczyk, Bige Kahraman and Felix Suntheim
The University of Hong Kong - Faculty of Business and Economics, Imperial College London - Accounting, Finance, and Macroeconomics, University of Oxford - Said Business School and International Monetary Fund (IMF) - Monetary and Capital Markets Department
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Citation 2
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fragility, fund runs, liquidity mismatch, strategic complementarity, swing pricing

30.

Show & Tell: An Analysis of Corporate Climate Messaging and its Financial Impacts

Number of pages: 37 Posted: 22 Apr 2023
Joseph E. Aldy, Patrick Bolton, Zachery Halem, Marcin T. Kacperczyk and Peter R. Orszag
Harvard Kennedy School, Imperial College London, Lazard, Imperial College London - Accounting, Finance, and Macroeconomics and Lazard Asset Management
Downloads 849 (56,354)

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climate change, carbon emissions, disclosure, science based and CDP targets, earnings calls, financial cost of carbon

31.

Carbon-Transition Risk and Net-Zero Portfolios

Number of pages: 70 Posted: 05 Oct 2023 Last Revised: 25 Jul 2024
Gino Cenedese, Shangqi Han and Marcin T. Kacperczyk
Fulcrum Asset Management, Fulcrum Asset Management and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 770 (64,300)

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net-zero portfolios, carbon-transition risk, dynamic divestment, engagement, decarbonization, institutional pressure

32.

The Private Production of Safe Assets

Downloads 747 (66,877)
Citation 37

The Private Production of Safe Assets

HEC Paris Research Paper No. FIN-2017-1212
Number of pages: 68 Posted: 12 Jun 2017 Last Revised: 10 Aug 2020
Marcin T. Kacperczyk, Christophe Pérignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 746 (66,007)
Citation 15

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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 Pérignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris
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Collateral, safe assets, Short-term debt, Treasuries

The Private Production of Safe Assets

CEPR Discussion Paper No. DP12395
Number of pages: 62 Posted: 30 Oct 2017
Marcin T. Kacperczyk, Christophe Pérignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris
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information sensitivity, safe assets, safety premium

33.

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

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Citation 54

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
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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 Last Revised: 17 Jun 2023
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
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34.

The Unintended Consequences of the Zero Lower Bound Policy

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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
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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 Last Revised: 27 Jan 2023
Marco Di Maggio and Marcin T. Kacperczyk
Harvard Business School and Imperial College London - Accounting, Finance, and Macroeconomics
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35.

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)
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Sentiment, Investment, Economic growth, Production externalities

36.

Carbon Home Bias

Number of pages: 74 Posted: 12 Feb 2024 Last Revised: 03 Jun 2024
Patrick Bolton, Marc Eskildsen and Marcin T. Kacperczyk
Imperial College London, Copenhagen Business School - Department of Finance and Imperial College London - Accounting, Finance, and Macroeconomics
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JEL codes: G12, G23, G30, D62 carbon emissions, divestment, foreign institutional ownership, home bias

37.

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
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Asset Allocation, Distribution Uncertainty, Bayesian Semiparametric Model

38.

Global Volatility and Firm-Level Capital Flows

Number of pages: 69 Posted: 13 Apr 2022 Last Revised: 13 Jan 2024
Marcin T. Kacperczyk, Jaromir Nosal and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and Tsinghua University, School of Economics and Management
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global financial flows, global volatility, institutional flows, information choice, emerging markets

39.

Inflation and the Carbon Premium

Number of pages: 44 Posted: 17 Jun 2024
Patrick Bolton, Marcin T. Kacperczyk and Tianyu Wang
Imperial College London, Imperial College London - Accounting, Finance, and Macroeconomics and Tsinghua University, School of Economics and Management
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Carbon premium, carbon-transition risk, energy inflation, core inflation, carbon emissions

40.

Behind Schedule: The Corporate Effort to Fulfill Climate Obligations

Journal of Applied Corporate Finance, Forthcoming
Number of pages: 23 Posted: 20 Sep 2023
Joseph E. Aldy, Patrick Bolton, Zachery Halem and Marcin T. Kacperczyk
Harvard Kennedy School, Imperial College London, Lazard and Imperial College London - Accounting, Finance, and Macroeconomics
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Carbon Emissions, Science Based and CDP Targets, voluntary commitments, corporate social responsibilit

41.

Investor Sophistication and Capital Income Inequality

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Citation 36

Investor Sophistication and Capital Income Inequality

Number of pages: 72 Posted: 01 Mar 2014 Last Revised: 06 Jul 2022
Marcin T. Kacperczyk, Jaromir Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and University of Maryland
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capital income inequality, investor sophistication, information frictions

Investor Sophistication and Capital Income Inequality

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Number of pages: 64 Posted: 22 Aug 2015 Last Revised: 14 Feb 2019
Marcin T. Kacperczyk, Jaromir Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and University of Maryland
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inequality, technological progress, capital income

Investor Sophistication and Capital Income Inequality

NBER Working Paper No. w20246
Number of pages: 62 Posted: 23 Jun 2014 Last Revised: 28 Apr 2023
Marcin T. Kacperczyk, Jaromir Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and University of Maryland
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Investor Sophistication and Capital Income Inequality

CEPR Discussion Paper No. DP12870
Number of pages: 62 Posted: 16 Apr 2018
Marcin T. Kacperczyk, Jaromir Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Boston College and University of Maryland
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42.

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

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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
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Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

NBER Working Paper No. w17321
Number of pages: 59 Posted: 29 Aug 2011 Last Revised: 01 May 2022
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
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43.

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

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Industry concentration, mutual fund performance, active portfolio management