We document that defined benefit pension plans with significant holdings in private equity (PE) earn substantially greater returns than plans with small holdings in both the 1990s and the 2000s. A one standard deviation increase in PE holdings is associated with 4% greater returns per year. Up...

This chapter provides a comprehensive explanation of hedge fund replication. This chapter first reviews the characteristics of hedge fund returns. Then, the emergence of hedge fund replication products is discussed. Hedge fund replication methods are classified into three categories: rule-based,...

Private equity (PE) firms increasingly drift toward investing in software companies. In this paper, we empirically examine this trend and compare software drifts to general style drifts. We use an unbalanced panel of more than 7,000 PE firms that made investments between 1985 and 2020. Our...

In recent years, the socially responsible investing (SRI) industry has become an important segment of international capital markets by incorporating ESG (Environmental, Social and Governance) factors into investment selection and management processes. This study analyses whether SRI mutual funds...

In recent years, the socially responsible investing (SRI) industry has become an important segment of international capital markets by incorporating ESG (Environmental, Social and Governance) factors into investment selection and management processes. This study analyses whether SRI mutual funds...

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

This paper studies the impact of banks' dividend restrictions on the behavior of their institutional investors. Using an identification strategy that relies on the within investor variation and a difference in difference setup, I find that funds permanently decrease their ownership shares at...

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...