Marcin T. Kacperczyk

Imperial College London - Accounting, Finance, and Macroeconomics

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

30

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1,044

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1,107

Scholarly Papers (30)

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1.

Unobserved Actions of Mutual Funds

Downloads 3,955 ( 2,754)
Citation 167

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 3,876 (2,804)
Citation 5

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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 79 (354,410)
Citation 46

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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 2,975 ( 4,494)
Citation 88

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 2,874 (4,673)
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 57 (423,249)
Citation 1

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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 Columbia University - Columbia Business School
Downloads 43 (479,781)

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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 1 (772,436)
Citation 34
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BUSINESS CYCLE, MUTUAL FUNDS, SKILLS

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 2,751 (5,121)
Citation 150

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social norms, financial markets, sin stocks

4.

On the Industry Concentration of Actively Managed Equity Mutual Funds

Downloads 2,677 ( 5,381)
Citation 244

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 2,622 (5,447)
Citation 2

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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 55 (430,660)
Citation 39

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5.

Do Investors Care about Carbon Risk?

Downloads 2,230 ( 7,278)
Citation 26

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
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 2,215 (7,238)
Citation 21

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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
Patrick Bolton and Marcin T. Kacperczyk
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 14 (658,744)
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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
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 1 (772,436)
Citation 1
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Carbon Emissions, climate change, institutional investors, Stock returns

6.

Rational Attention Allocation over the Business Cycle

Downloads 2,043 ( 8,435)
Citation 12

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 1,760 (10,539)
Citation 12

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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 250 (140,735)

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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 Columbia University - Columbia Business School
Downloads 33 (529,207)
Citation 2

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7.

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 1,624 (12,214)
Citation 23

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credit rating agencies, rating bias, competition

8.

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 1,291 (17,434)
Citation 44

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mutual funds, rational inattention, portfolio choice

9.

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 1,193 (19,661)
Citation 35

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

10.

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 1,188 (19,772)
Citation 32

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Risk-Taking Incentives, Money Market Funds, Financial Conglomerates

11.

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

Downloads 1,137 ( 21,107)
Citation 32

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 1,137 (20,741)
Citation 32

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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

12.

Chasing Private Information

Downloads 1,133 ( 21,224)
Citation 8

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 1,133 (20,861)
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 Imperial College Business School
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Citation 4
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13.

Labor Unions, Operating Flexibility, and the Cost of Equity

Downloads 1,106 ( 22,025)

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 1,106 (21,645)
Citation 67

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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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14.

Competition and Bias

Downloads 1,087 ( 22,606)
Citation 62

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 720 (39,764)
Citation 30

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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 367 (92,751)
Citation 33

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15.

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 1,063 (23,346)
Citation 3

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Bayesian semiparametric model, option pricing

16.

Time-Varying Predictability in Mutual Fund Returns

Downloads 983 ( 26,151)
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 Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 930 (27,912)
Citation 15

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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 53 (438,250)
Citation 1

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17.

Global Pricing of Carbon-Transition Risk

Downloads 779 ( 36,323)
Citation 13

Global Pricing of Carbon-Transition Risk

Number of pages: 49 Posted: 13 Mar 2020 Last Revised: 21 Dec 2020
Patrick Bolton and Marcin T. Kacperczyk
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 778 (35,854)
Citation 11

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Carbon Emissions, Climate Change, Stock Returns, Institutional Investors

Carbon Premium Around the World

CEPR Discussion Paper No. DP14567
Number of pages: 70 Posted: 08 May 2020
Patrick Bolton and Marcin T. Kacperczyk
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 1 (772,436)
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18.

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

Downloads 695 ( 42,319)
Citation 20

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 632 (47,426)
Citation 20

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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 63 (402,328)

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19.

Do Foreign Institutional Investors Improve Price Efficiency?

Downloads 651 ( 46,244)
Citation 2

Do Foreign Institutional Investors Improve Price Efficiency?

Number of pages: 100 Posted: 06 May 2020
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 633 (47,349)

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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
Marcin T. Kacperczyk, Savitar Sundaresan and Tianyu Wang
Imperial College London - Accounting, Finance, and Macroeconomics, Imperial College Business School and Tsinghua University
Downloads 18 (628,390)
Citation 2

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20.

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 540 (58,748)
Citation 1

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Sentiment, Investment, Economic growth, Production externalities

21.

Becker Meets Kyle: Legal Risk and Insider Trading

Downloads 535 ( 59,414)
Citation 2

Becker Meets Kyle: Legal Risk and Insider Trading

Number of pages: 61 Posted: 17 Mar 2018 Last Revised: 14 Nov 2020
Marcin T. Kacperczyk and Emiliano Pagnotta
Imperial College London - Accounting, Finance, and Macroeconomics and Imperial College Business School
Downloads 535 (58,753)
Citation 3

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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 Imperial College Business School
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22.

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 486
Citation 3

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Asset Allocation, Distribution Uncertainty, Bayesian Semiparametric Model

23.

The Unintended Consequences of the Zero Lower Bound Policy

Downloads 459 ( 71,926)
Citation 52

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 448 (73,379)
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 (682,441)
Citation 34

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24.

Market Power and Price Informativeness

Number of pages: 53 Posted: 12 Mar 2018 Last Revised: 12 Oct 2020
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 346 (99,982)
Citation 10

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Market Power, Information, Institutions, Passive Investing

25.

Investor Sophistication and Capital Income Inequality

Downloads 335 (103,714)
Citation 15

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 244 (144,151)

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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 B. Nosal and Luminita Stevens
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia Business School - Economics Department and University of Maryland
Downloads 85 (339,015)
Citation 9

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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 6 (721,951)

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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 7
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26.

Swing Pricing and Fragility in Open-end Mutual Funds

Downloads 278 (127,674)
Citation 1

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 232 (151,362)

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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 46 (475,202)

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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 1
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fragility, fund runs, liquidity mismatch, strategic complementarity, swing pricing

27.

The Private Production of Safe Assets

Downloads 271 (130,209)
Citation 11

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 Perignon and Guillaume Vuillemey
Imperial College London - Accounting, Finance, and Macroeconomics, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 270 (130,005)
Citation 12

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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 (772,436)
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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

28.

Signaling through Carbon Disclosure

Number of pages: 41 Posted: 19 Jan 2021
Patrick Bolton and Marcin T. Kacperczyk
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 82 (353,614)

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Carbon Emissions, Voluntary and Mandatory Disclosure, Stock Returns

29.

Implicit Guarantees and Risk Taking: Evidence from Money Market Funds

Downloads 54 (427,536)

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 33 (529,207)

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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 21 (606,447)

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30.

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