INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
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Date: APRIL 8 (Tuesday), 2014, 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Susan Christoffersen, University of Toronto, Rotman School of Management
http://www.rotman.utoronto.ca/FacultyAndResearch/Faculty/FacultyBios/Christ…
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Title: On the demand for high-beta stocks: Evidence from mutual funds
ABSTRACT:
Prior studies have documented that pension plan sponsors rigorously monitor a fund´s
performance relative to a benchmark. We use a first-difference approach to causally show
that in an effort to beat benchmarks, fund managers controlling large pension assets
reduce
fees and increase their exposure to higher risk (high-beta) stocks. Managers increase beta
without affecting tracking error because they strategically substitute low-beta stocks for
high-beta stocks with low idiosyncratic volatility. The findings support theoretical
conjectures
that benchmarking pressures increase demand for high-beta stocks and help to explain their
abnormally low returns. Managerial risk-taking responses to benchmarking pressures
complicate financial planning for investors as portfolio risk increases with the amount of
retirement money managed in the mutual fund.
About Susan Christoffersen:
Susan Christoffersen is an Associate Professor of Finance. Her research focuses on mutual
funds and the role of financial institutions in capital markets. She has published in top
finance journals and cited in The New York Times, International Herald Tribune, Bloomberg
News Service, and The Wall Street Journal. Susan has received grants from SSHRC, IFM2,
and FQRSC and research awards from Q-Group, Bank of Canada, BSI Gamma Foundation,
INQUIRE, and the Swiss Finance Institute. Susan was awarded the Limited Term
Professorship by the Canadian Securities Institute Research Foundation in 2005.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at