- Delegated Portfolio Management
- Energy Finance
- To search for publications by a specific faculty member, select the database and then select the name from the Author drop down menu.
My research focuses on the role, importance, and functioning of financial intermediaries. In contrast to classical finance that assumes a frictionless market, my research explores the distortions created by the presence of financial intermediaries and studies their effects on asset prices and market efficiency.
I specifically focus on the issues relating to delegated portfolio management. This industry has grown exponentially in the last couple of decades and owns over 70% of the aggregate U.S. stock market. I study the personal characteristics of portfolio managers and the implications of these characteristics for relevant outcome variables. I use both theoretical models and empirical analyses to a) research the economic contributions of portfolio managers, and b) the potential agency problems and its implications for capital allocation, risk taking, compensation structure, and flow of money.
- HBA Core
- Empirical Asset Pricing (MFE 9811)
Recent Refereed Articles
Lee, J. H.; Trzcinka, C.; Venkatesan, S. S., 2019, "Do Portfolio Manager Contracts Contract Portfolio Management?", Journal of Finance, October 74(5): 2543 - 2577. Abstract: Most mutual fund managers have performance-based contracts. Our theory predicts that mutual fund managers with asymmetric contracts and mid-year performance close to their announced benchmark increase their portfolio risk in the second part of the year. As predicted by our theory, performance deviation from the benchmark decreases risk-shifting only for managers with performance contracts. Deviation from the benchmark dominates the incentives from the flow-performance relation, suggesting that risk-shifting is motivated more by management contracts than by a tournament to capture flows.
Link(s) to publication:
Lee, J. H.; Venkatesan, S. S.; Kim, J. J., (Forthcoming), "Why Do Funds Make More When They Trade More?", Quarterly Journal of Finance Abstract: We introduce a conditional measure of skill, the correlation between a funds' residual trades, net of common trading motives, and future news about the stocks traded. Using this measure, we show that the average mutual fund manager in the cross-section has stock-picking skill. This result is robust to di erent benchmarks and is mainly driven by the manager's ability to predict a rm's cash- ow news. This skill has short-term persistence and is distinctly related to traditional measures of performance. Importantly, consistent with the Berk and Green (2004), fund ows are increasing with respect to managerial skill after controlling for fund performance
Link(s) to publication:
Work in Progress
- “Real Options and Endogenous Investment Costs: Evidence from Oil Rig Rates” (with Zeigham Khokher, Mohammad Morovati, and Sheridan Titman)
- “Overconfidence in Money Management: Balancing the Benefits and Costs” (with Jung Hoon Lee)
- “The Nexus of Marketability, Market Segmentation, and Platform Pricing Mechanisms in Peer-to-peer Lending” (with Hong Kee Sul, and Brian Wolfe)
- 2014 – 2017 - Visiting Assistant Professor of Finance A.B. Freeman School of Business, Tulane University