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  • August 2022
  • Article

The Value of Intermediation in the Stock Market
By: Marco Di Maggio, Mark Egan and Francesco Franzoni
We estimate a structural model of broker choice to quantitatively decompose the value that institutional investors attach to broker services. Studying over 300 million institutional equity trades, we find that investors are sensitive to both explicit and implicit...  View Details
Keywords: Financial Intermediation; Institutional Investors; Research Analysts; Broker Networks; Equity Trading; Institutional Investing
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  • February 2022 (Revised April 2022)
  • Case

Pushing Past the Boundaries of ESG Investing: AQR Capital Management
By: Lauren H. Cohen, Richard B. Evans, Umit G. Gurun and Quoc H. Nguyen
Cliff Asness was facing a dilemma into how he would plunge his hedge fund into the hottest investment area worldwide—ESG Investing. Founder and managing principal of AQR—one the most storied quantitative hedge funds in the world—Asness knew anything less than a big...  View Details
Keywords: ESG; Hedge Fund; Investment; Equity; Green Technology
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  • 2020
  • Chapter

Reserve Accumulation, Sovereign Debt, and Exchange Rate Policy
By: Laura Alfaro and Fabio Kanczuk
In the past decade, foreign participation in local-currency bond markets in emerging countries increased dramatically. Additionally, emerging countries are increasingly deviating from inflation targeting regimes, managing their exchange rate and engaging in...  View Details
Keywords: Reserves; Exchange Rate; Sovereign Finance; Currency Exchange Rate; Policy
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  • 2021
  • Working Paper

The Value of Intermediation in the Stock Market
By: Marco Di Maggio, Mark Egan and Francesco Franzoni
We estimate a structural model of broker choice to quantitatively decompose the value that institutional investors attach to broker services. Studying over 300 million institutional equity trades, we find that investors are sensitive to both explicit and implicit...  View Details
Keywords: Financial Intermediation; Institutional Investors; Research Analysts; Broker Networks; Equity Trading; Institutional Investing; Financial Services Industry
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  • June 2019
  • Article

Debt Redemption and Reserve Accumulation
By: Laura Alfaro and Fabio Kanczuk
In the past decade, foreign participation in local-currency bond markets in emerging countries increased dramatically. We revisit sovereign debt sustainability under the assumptions that countries can accumulate reserves and borrow internationally using their own...  View Details
Keywords: Sovereign Debt; Local-currency Bonds; Foreign Reserves; Sovereign Finance; Borrowing and Debt; Bonds; Financial Markets; Developing Countries and Economies
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  • October 2017
  • Case

Quantopian: A New Model for Active Management
By: Sara Fleiss, Adi Sunderam, Luis M. Viceira and Caitlin Carmichael
Keywords: Big Data; Hedge Fund; Crowdsourcing; Investment Fund; Quantitative Hedge Fun; Algorithmic Data; Analytics and Data Science
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  • December 2010
  • Article

Nominal versus Indexed Debt: A Quantitative Horse Race
By: Laura Alfaro and Fabio Kanczuk
The main arguments in favor of and against nominal and indexed debt are the incentive to default through inflation versus hedging against unforeseen shocks. We model and calibrate these arguments to assess their quantitative importance. We use a dynamic equilibrium...  View Details
Keywords: Borrowing and Debt; Motivation and Incentives; Inflation and Deflation; System Shocks; Taxation; Risk and Uncertainty; Framework; Problems and Challenges; Interest Rates; Cost; Developing Countries and Economies; Service Operations
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  • 2005
  • Working Paper

Nominal versus Indexed Debt: A Quantitative Horse Race
By: Laura Alfaro and Fabio Kanczuk
The main arguments in favor of and against nominal and indexed debt are the incentive to default through inflation versus hedging against unforeseen shocks. We model and calibrate these arguments to assess their quantitative importance. We use a dynamic equilibrium...  View Details
Keywords: Borrowing and Debt; Taxation; Risk and Uncertainty; Inflation and Deflation; System Shocks; Developing Countries and Economies; Mathematical Methods
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  • Research Summary

Nominal versus Indexed Debt: A Quantitative Horse Race (joint with Fabio Kanczuk)
By: Laura Alfaro
There are different arguments in favor and against nominal and indexed debt which broadly include the incentive to default through inflation versus hedging against unforeseen shocks. We model these arguments and calibrate the model to assess the quantitative importance...  View Details

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