8 August 2012
Using data on all actively managed mutual funds and a tradable benchmark for evaluating fund managers -- all available Vanguard index funds -- Jonathan Berk
and Jules van Binsbergen
find that the average mutual fund manager uses his or her talents and skills to add value of about $2 million a year. They also find that skills are persistent: it is possible to predict long-term performance as far out as ten years into the future. Investors appear to be able to identify talent and compensate it: the researchers find a strong relationship between managerial compensation and value added. Furthermore, current compensation predicts future performance.
7 August 2012
After identifying clusters of competitive universities, William Goetzmann
and Sharon Oster
find that schools competing in the same markets for students follow similar asset allocation policies over time, even with endowment size and other school characteristics held constant. They also find that when a school’s endowment return lags relative to that of its closest rival, it systematically changes its asset allocation. Endowments use marketable alternatives, such as hedge funds, to attempt to catch up with their competitors. Endowments with recent positive experience with various alternative asset classes tend to increase exposure to them.
6 August 2012
Using data on approximately 10,000 policies and 1 million workers from a private Long Term Disability (LTD) insurer, David Autor
, Mark Duggan
, and Jonathan Gruber
find that LTD claims rates are much lower under the private system than under its public counterpart, the Social Security Disability Insurance program. Focusing on variation in private LTD plans within firms and over time, the researchers find that a higher replacement rate – that is, a higher ratio of benefits to earnings while working -- and a shorter waiting period before the receipt of benefits -- also known as the Elimination Period, or EP - significantly increase the likelihood that workers claim LTD. In contrast, a longer EP has a deterrent effect: workers are less likely to bother to make a claim for a disability if they will only be able to collect for a short period of time.
3 August 2012
Analyzing data on U.S. income and consumption since 1980 from the Consumer Expenditures Survey, Olivier Coibion
, Yuriy Gorodnichenko
, Lorenz Kueng
, and John Silvia
find that contractionary monetary policies are associated with increased inequality in labor earnings, total income, consumption, and total expenditures. They also find that monetary shocks can explain much of the historical cyclical variation in income and consumption inequality.
2 August 2012
Analyzing administrative data on medical claims under Medicare Part D (prescription drug benefit), researchers Florian Heiss
, Adam Leive
, Dan McFadden
, and Joachim Winter
find that less than 10 percent of individuals enroll in plans that would be lowest cost for them, when cost includes both premiums and co-payments. They estimate that relative to the Medicare administration's benchmark rule, which conditions next year’s plan choice only on the drugs consumed in the current year, enrollees lost on average about $300 per year.