Research
Mutual Fund Holdings and Innovative Investment Strategies
(solo-authored)
Presentations: HEC Paris Brown Bag Seminar.
Abstract: Using a methodology based on regularized linear regression, I estimate the exposures of portfolios of active mutual funds to a large set of return predictors. Contrary to the previous studies which conclude that mutual funds tend to tilt their portfolios against the stocks that are predicted to have high return, I find that once the liquidity of the stocks is controlled for and less known definitions of characteristics are included into the set of studied characteristics, the exposure of mutual funds to return predictors becomes more salient. I further provide evidence that those funds that tilt their portfolio towards relatively more innovative predictors outperform the average fund, while funds that tilt their portfolios to relatively less innovative, ”canonical” anomalies tend to underperform the average fund.
Carbon Information, Pricing, and Bans. Evidence from a Field Experiment
(with Stefano Lovo)
Presentations: ESCP-UNEP Conference*, HKUST*, HEC Paris Foundation Meeting, HEC Paris Brown Bag Seminar*.
*: presentation by co-author.
Abstract: How to reduce greenhouse gas emissions due to individual consumption patterns? Our findings from a large-scale field experiment at a university canteen suggest that providing information on dishes’ carbon footprint alone has no significant impact on users’ habits. Instead, consumers voluntarily shift toward low-carbon footprint dishes only when carbon footprint information is coupled with a pricing system where dish prices and the carbon footprint of the dishes are positively correlated. Our work also suggests that a simple and effective way to reduce the carbon footprint of consumption is to regulate the supply by replacing high-carbon dishes with equally nourishing low-carbon dishes.