Joseph J. Gerakos
Tuck School of Business
Hanover, NH 03755
NBER Working Papers and Publications
|December 2016||Asset Managers: Institutional Performance and Smart Betas|
with Juhani T. Linnainmaa, Adair Morse: w22982
Using a dataset of $17 trillion of assets under management, we document that actively-managed institutional accounts outperformed strategy benchmarks by 86 (42) basis points gross (net) during 2000–2012. In return, asset managers collected $162 billion in fees per year for managing 29% of worldwide capital. Estimates from a Sharpe (1992) model imply that their outperformance comes from factor exposures ("smart beta"). If institutions had instead implemented mean-variance portfolios of institutional mutual funds, they would not have earned higher Sharpe ratios. Recent growth of the ETF market implies that asset managers are losing advantages held during our sample period.
|July 2013||Competition in the Audit Market: Policy Implications|
with Chad Syverson: w19251
The audit market's unique combination of features-its role in capital market transparency, mandated demand, and concentrated supply-means it receives considerable attention from policymakers. We explore the effects of two market scenarios that have been the focus of policy discussions: a) further supply concentration due to one of the "Big 4" auditors exiting and b) mandatory audit firm rotation. To do so, we first estimate publicly traded firms' demand for auditing services, treating services provided by each of the Big 4 as differentiated products. We then use those estimates to calculate how each scenario would affect client firms' consumer surplus. We estimate that, conservatively, exit by one of the Big 4 would reduce client firms' surplus by $1.2-1.8 billion per year. These estimates...
Published: Competition in the Audit Market: Policy Implications JOSEPH GERAKOS1 andCHAD SYVERSON1,2 Journal of Accounting Research Volume 53, Issue 4, pages 725–775, September 2015 citation courtesy of