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dc.contributor.advisorCampbell, Johnen_US
dc.contributor.advisorCohen, Laurenen_US
dc.contributor.advisorMalloy, Chrisen_US
dc.contributor.advisorStein, Jeremyen_US
dc.contributor.authorRhinesmith, Jonathanen_US
dc.date.accessioned2017-07-25T14:43:45Z
dc.date.created2016-05en_US
dc.date.issued2016-05-11en_US
dc.date.submitted2016en_US
dc.identifier.citationRhinesmith, Jonathan. 2016. Essays on the Dynamic Strategies and Skill of Institutional Investors. Doctoral dissertation, Harvard University, Graduate School of Arts & Sciences.en_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:33493543
dc.description.abstractThis dissertation studies the behavior of institutional investors, who control a large share of the world's investment capital, with the goal of shedding light on when and how those investors reveal information. Guided by economic intuition, I highlight instances in which the trades of fund managers are particularly informative. I focus on hedge funds and present evidence that in these instances funds' decisions predict future asset price movements. These results demonstrate that fund managers possess valuable information. At the same time, my findings support a view of the world in which fund managers have more capital than what they allocate to opportunities with high expected returns. Hedge funds may be “smart” -- they may be able to identify mispriced securities -- while still delivering poor returns to their investors. Chapter 1 presents evidence that price impact is an important consideration even at the quarterly time horizon of the trades I observe. If fund trades generate price impact, and if price impact is a function of volume, then funds should only be willing to trade a large share of volume when their information is compelling. Indeed, I find that hedge funds predict future stock returns when they purchase a large share of volume. I also provide evidence that the price impact of fund trades incorporates information into stock prices. If informative prices impact real economic decision making then these findings support the welfare relevance of the active management industry. Chapter 2 shows that funds avoid adding to losing positions. When they do, however, they predict future stock-level outperformance. These results are consistent with a career risks mechanism, as adding to a losing position corresponds to reverse window dressing. They also suggest a position-level limits-to-arbitrage effect. Chapter 3 demonstrates that hedge funds frequently buy back into stocks they have held in the past. This phenomenon occurs much more often than it would by chance. I use these findings to argue that fund managers develop company-specific expertise that persists over time. When funds establish expert positions after poor past stock-level performance, they predict future stock-level excess returns.en_US
dc.description.sponsorshipEconomicsen_US
dc.format.mimetypeapplication/pdfen_US
dc.language.isoenen_US
dash.licenseLAAen_US
dc.subjectEconomics, Financeen_US
dc.subjectEconomics, Generalen_US
dc.titleEssays on the Dynamic Strategies and Skill of Institutional Investorsen_US
dc.typeThesis or Dissertationen_US
dash.depositing.authorRhinesmith, Jonathanen_US
dc.date.available2017-07-25T14:43:45Z
thesis.degree.date2016en_US
thesis.degree.grantorGraduate School of Arts & Sciencesen_US
thesis.degree.levelDoctoralen_US
thesis.degree.nameDoctor of Philosophyen_US
dc.type.materialtexten_US
thesis.degree.departmentEconomicsen_US
dash.identifier.vireohttp://etds.lib.harvard.edu/gsas/admin/view/932en_US
dc.description.keywordsFinance; asset pricing; institutional investors; hedge fund skill; price impact; career risks; investor experienceen_US
dash.author.emailJonRhinesmith@gmail.comen_US
dash.contributor.affiliatedRhinesmith, Jonathan


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