Working Papers

What Do Mutual Fund Managers' Private Portfolios Tell Us About Their Skills?

September 2018
Winner of the 2017 Ola Bengtsson prize, PhD best paper award
Winner of the WFA Cubist Systematic Strategies PhD Candidate Award for Outstanding Research 2018

Abstract: I collect a registry-based dataset on the personal portfolios of Swedish mutual fund managers. The managers who invest (a lot of) personal money in their own funds generate positive abnormal returns. Some managers are betting on their best ideas by investing personal money in individual securities that are simultaneously held by their funds. The majority do not invest in their funds nor in their funds' constituents, and hold more cash and more passive funds in their personal portfolios. Overall, the results suggest that fund managers are highly certain about their ability---or more often lack thereof---and invest their personal wealth accordingly.

Presented at: Stockholm School of Economics, 6th SHoF National PhD workshop in Finance, Finansinspektionen, Norwegian School of Economics, Universidad Carlos III de Madrid, Nova School of Business and Economics, Frankfurt School of Finance and Management, London School of Economics, Warwick Business School, Copenhagen Business School, Federal Reserve Board of Governors, Baruch College, University of California San Diego, The University of Hong Kong, City University of Hong Kong, WFA 2018, Tilburg University

Media Coverage: Svenska Dagbladet, Fonder Direkt

Firm Fundamentals and Realized Factor Betas

with Michael Halling and Martin Lenz, August 2017

Abstract: Firm fundamentals, in particular firm size, help explain variation in factor loadings (betas) for the market, size and value factor. Surprisingly, however, they are dominated in terms of explanatory power by an unobserved time-invariant component. This leads to surprisingly stable factor loadings: stocks with high (low) factor loadings tend to remain as such for over a decade. Our models work best in explaining market betas (r-squares up to 64%) and worst in explaining value betas (r-squares up to 35%). These results are robust to different estimation techniques of factor betas and also hold up when we limit the sample to firms with statistically significant betas.

Presented at: University of Mannheim, German Finance Assocation (DGF) 2017, University of Vienna

Work in Progress

The Price Impact of Index-Linked Trades: Evidence from Synthetic ETFs


Are Mutual Fund Managers Paid for Investment Skill?

with Ron Kaniel, Stijn Van Nieuwerburgh and Roine Vestman
The Review of Financial Studies, Volume 31, Issue 2, 1 February 2018, Pages 715-772

Abstract: Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate the fund company (firm). We also find a surprisingly weak sensitivity of pay to performance, even after accounting for the indirect effects of performance on revenue. Firm-level fixed effects, revenues, and profits add substantial explanatory power for compensation.

Presented at: University of Illinois at Urbana–Champaign, Institutet för Näringslivsforskning, Washington University in St. Louis, University of British Columbia, ABFER Conference 2017, BI SHoF Asset Pricing Conference 2017, Greater Stockholm Macro Group, Wharton, Imperial College, University of Notre Dame, FARFE Conference 2017

Media coverage: Reuters, Vox, Harvard Law School Forum, Financial Post, Bloomberg