Asset Price Effects of Peer Benchmarking (Record no. 142991)

000 -LEADER
fixed length control field 02111cam a22003494a 4500
001 - CONTROL NUMBER
control field 7239
003 - CONTROL NUMBER IDENTIFIER
control field The World Bank
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
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008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 020129s2015 dcu i001 0 eng
024 8# - OTHER STANDARD IDENTIFIER
Standard number or code 10.1596/1813-9450-7239
035 ## - SYSTEM CONTROL NUMBER
System control number (The World Bank)7239
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Acharya, Sushant
245 10 - TITLE STATEMENT
Title Asset Price Effects of Peer Benchmarking
Medium [electronic resource] :
Remainder of title Evidence from a Natural Experiment /
Statement of responsibility, etc Acharya, Sushant
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Washington, D.C.,
Name of publisher, distributor, etc The World Bank,
Date of publication, distribution, etc 2015
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (30 p.)
520 3# - SUMMARY, ETC.
Summary, etc This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural experiment involving a change in a government imposed underperformance penalty applicable to Colombian pension funds. This change in regulation is orthogonal to stock fundamentals and only affects incentives to track peer portfolios allowing the authors to identify the component of demand due to peer benchmarking. The authors find that peer effects among pension fund managers generate excess in stock return volatility, with stocks exhibiting short-term abnormal returns followed by returns reversal in the subsequent quarter. Additionally, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals.
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Asset Prices
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Comovement
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Debt Markets
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Economic Theory & Research
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Emerging Markets
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Herding
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Institutional Investors
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Markets & Market Access
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Mutual Funds
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Acharya, Sushant
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Pedraza, Alvaro
776 18 - ADDITIONAL PHYSICAL FORM ENTRY
Main entry heading Print version:
Display text Acharya, Sushant
Title Asset Price Effects of Peer Benchmarking.
Place, publisher, and date of publication Washington, D.C. : The World Bank, 2015
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Policy research working papers.
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title World Bank e-Library.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://elibrary.worldbank.org/doi/book/10.1596/1813-9450-7239">http://elibrary.worldbank.org/doi/book/10.1596/1813-9450-7239</a>

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