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Action must be taken to stop quants exploiting weakness
Investors are hiring managers to wage damaging battles with each other
Article by Paul Woolley and Dimitri Vayanos
Financial Times, July 2017
10th Annual Paul Woolley Centre Conference
The annual Paul Woolley Centre Conference continues to provide an excellent opportunity to disseminate research and stimulate new ideas by bringing together leading researchers working on the broad themes of contracts and organisational structure, market frictions and asset prices, allocative efficiency and the macro-economy, and policy implications. The Centre’s 10th conference took place at LSE on 1st and 2nd June 2017.
New working paper highlights the 'Curse of the Benchmarks' in financial markets
A new working paper by Dimitri Vayanos and Paul Woolley suggests that using stock market indexes as benchmarks of investment performance causes most of the problems associated with asset pricing and asset management: risk/return inversion, short-termism, bubbles and crashes, and low returns. Intriguingly, momentum funds game benchmarked funds and exacerbate the distortions.
Read the paper
Press coverage: Financial Times; Morningstar (part 1 / part 2); Irish Times; Barron's; Reuters
Paul Woolley Centre research is part of MSCI's 'Crowding Scorecard' for traders
A novel measure of arbitrage activity, developed by Dr Dong Lou and Professor Christopher Polk to examine whether arbitrageurs can have a destabilizing effect in the stock market, has been featured by investment experts MSCI in their “crowding scorecard” as one of four key metrics for monitoring and detecting the potential crowding risk for any investment strategy. Read more.
A new contract for growth
Short-termism may be caused by the way investors employ fund managers
The Economist, August 2015
The Morning Risk Report: How Activist Wolf Packs Work
Wall Street Journal, February 2015
First BIS research network meetingOn 9-10 September 2014 the Paul Woolley Centre jointly organised the first BIS research network meeting on banking and asset management. Held in Basel, the event was attended by researchers from academia and central banks. The theme was banking and asset management, and it explored the interaction between capital and liquidity regulation, the channel of adjustment of bank capital to the new Basel III environment; leverage ratio pro-cyclicality, asset management flows and equilibrium prices.
Prof Vayanos elected to the British Academy
We are delighted to announce that Prof Dimitri Vayanos (Director of the Paul Woolley Centre and Professor of Finance, LSE) has been elected a Fellow of the British Academy. Each year, the British Academy elects into its Fellowship UK-based scholars who are highly distinguished academics and who are recognised for their outstanding research and work across the humanities and social sciences. Prof Vayanos is one of only 42 new Fellows elected this year, 4 of whom are from LSE.
AQR Insight Award Honorable Mention for Paul Woolley Centre Working Paper
Work by LSE’s Dr Dong Lou and Professor Christopher Polk was recognised by leading global investment management firm AQR as part of their annual Insight Award. The AQR Insight Award, sponsored by AQR Capital Management, recognizes important, unpublished papers that provide the most significant, new practical insights
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