INVITATION
The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE (apologies for duplicated mails!)
************************************************************************ 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/Christo... x
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@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