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

  • Imperial College London - Accounting, Finance, and Macroeconomics

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

28

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28,935

CITATIONS
Rank 433

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Top 433

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590

Scholarly Papers (28)

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1.

Unobserved Actions of Mutual Funds

Downloads 3,913 ( 2,265)
Citation 53

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 3,849 (2,282)
Citation 15

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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 2010
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 64 (345,159)
Citation 136

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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

2.

Time-Varying Fund Manager Skill

Downloads 2,834 ( 3,942)
Citation 40

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 New York University - Stern School of Business
Downloads 2,742 (4,079)
Citation 15

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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 New York University - Stern School of Business
Downloads 55 (372,827)

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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, Columbia University Graduate School of Business and New York University - Stern School of Business
Downloads 36 (444,768)

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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 New York University - Stern School of Business
Downloads 1 (674,836)
Citation 65
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BUSINESS CYCLE, MUTUAL FUNDS, SKILLS

3.

On the Industry Concentration of Actively Managed Equity Mutual Funds

Downloads 2,645 ( 4,413)
Citation 74

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 2,592 (4,490)

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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
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 53 (379,361)
Citation 239

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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 2,596 (4,569)
Citation 218

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social norms, financial markets, sin stocks

5.

Rational Attention Allocation over the Business Cycle

Downloads 1,970 ( 7,278)
Citation 3

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 New York University - Stern School of Business
Downloads 1,697 (9,171)
Citation 3

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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 New York University - Stern School of Business
Downloads 243 (123,609)

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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 Sep 2010
Marcin T. Kacperczyk, Stijn Van Nieuwerburgh and Laura Veldkamp
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia University Graduate School of Business and New York University - Stern School of Business
Downloads 30 (473,169)
Citation 1

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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
Kingsley Y. L. Fong, Harrison G. Hong, Marcin T. Kacperczyk and Jeffrey D. Kubik
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 1,546 (10,879)
Citation 10

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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
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 1,173 (16,773)
Citation 44

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

8.

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 1,159 (17,079)
Citation 60

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Risk-Taking Incentives, Money Market Funds, Financial Conglomerates

9.

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 New York University - Stern School of Business
Downloads 1,146 (17,374)
Citation 61

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mutual funds, rational inattention, portfolio choice

10.

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

Downloads 1,129 ( 17,770)
Citation 82

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 1,129 (17,439)
Citation 82

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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

11.

Labor Unions, Operating Flexibility, and the Cost of Equity

Downloads 1,091 ( 18,703)
Citation 84

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 1,091 (18,358)
Citation 84

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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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12.

Competition and Bias

Downloads 1,078 ( 19,056)
Citation 34

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 713 (33,789)
Citation 12

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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 365 (79,189)
Citation 10

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13.

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 1,062 (19,456)
Citation 1

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Bayesian semiparametric model, option pricing

14.

Time-Varying Predictability in Mutual Fund Returns

Downloads 961 ( 22,554)
Citation 10

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 Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 914 (23,898)
Citation 13

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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: 05 Aug 2010
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 Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 47 (400,471)

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15.

Chasing Private Information

Downloads 938 ( 23,363)
Citation 4

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 Imperial College Business School
Downloads 938 (22,963)
Citation 4

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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 Imperial College Business School
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16.

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

Downloads 692 ( 35,763)
Citation 69

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 630 (39,939)
Citation 73

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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: 05 Aug 2010
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 62 (350,890)

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17.

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 539 (49,666)

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Sentiment, Investment, Economic growth, Production externalities

18.

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 485
Citation 3

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Asset Allocation, Distribution Uncertainty, Bayesian Semiparametric Model

19.

The Unintended Consequences of the Zero Lower Bound Policy

Downloads 434 ( 65,054)
Citation 11

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 423 (66,490)
Citation 1

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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
Marco Di Maggio and Marcin T. Kacperczyk
Harvard Business School and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 11 (591,251)
Citation 24

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20.

Investor Sophistication and Capital Income Inequality

Downloads 325 ( 91,175)
Citation 3

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 239 (125,757)

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capital income inequality, investor sophistication, information frictions

Investor Sophistication and Capital Income Inequality

.
Number of pages: 64 Posted: 22 Aug 2015 Last Revised: 14 Feb 2019
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 82 (299,486)
Citation 2

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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
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 4 (640,293)

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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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Citation 1
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21.

Becker Meets Kyle: Inside Insider Trading

Number of pages: 75 Posted: 17 Mar 2018 Last Revised: 14 Jun 2019
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Imperial College Business School
Downloads 317 (93,686)

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

22.

Do Foreign Institutional Investors Improve Market Efficiency?

Downloads 298 (100,561)

Do Foreign Institutional Investors Improve Market Efficiency?

Number of pages: 84 Posted: 16 Mar 2018 Last Revised: 02 May 2019
Marcin T. Kacperczyk, Savitar Sundaresan and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and School of Economics and Management, Tsinghua University
Downloads 286 (104,616)

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Institutional Investors, Global Capital Flow, Market Efficiency, Welfare

Do Foreign Investors Improve Market Efficiency?

NBER Working Paper No. w24765
Number of pages: 67 Posted: 06 Jul 2018
Marcin T. Kacperczyk, Savitar Sundaresan and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and Tsinghua University
Downloads 12 (584,424)
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23.

Market Power and Price Informativeness

Number of pages: 54 Posted: 12 Mar 2018
Marcin T. Kacperczyk, Jaromir B. Nosal and Savitar Sundaresan
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia Business School - Economics Department and Imperial College Business School
Downloads 213 (141,258)
Citation 6

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Market Power, Information, Institutions, Passive Investing

24.

The Private Production of Safe Assets

Downloads 163 (179,944)
Citation 4

The Private Production of Safe Assets

HEC Paris Research Paper No. FIN-2017-1212
Number of pages: 57 Posted: 12 Jun 2017 Last Revised: 23 Feb 2019
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 162 (181,059)
Citation 3

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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 Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris
Downloads 1 (674,836)
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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 Perignon 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

25.

Swing Pricing and Fragility in Open-end Mutual Funds

Sixth Annual Conference on Financial Market Regulation
Number of pages: 53 Posted: 08 Nov 2018 Last Revised: 17 Jun 2019
Dunhong Jin, Marcin T. Kacperczyk, Bige Kahraman and Felix Suntheim
University of Oxford - Said Business School, Imperial College London - Accounting, Finance, and Macroeconomics, University of Oxford - Said Business School and International Monetary Fund (IMF) - Monetary and Capital Markets Department
Downloads 53 (376,614)

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open-end mutual fund; liquidity mismatch; runs; crises; swing pricing

26.

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

Downloads 45 (400,381)

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 28 (483,769)

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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
Marcin T. Kacperczyk and Philipp Schnabl
Imperial College London - Accounting, Finance, and Macroeconomics and New York University (NYU) - Department of Finance
Downloads 17 (551,642)

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27.

Do Investors Care about Carbon Risk?

Number of pages: 67 Posted: 11 Jun 2019
Patrick Bolton and Marcin T. Kacperczyk
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 130

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carbon risk, cross section of stock returns, divestment, institutional ownership

28.

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