Details about Marcin Kacperczyk

Access statistics for papers by Marcin Kacperczyk.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pka457

Working Papers

2024

1. ESG Investing and Stock Return Comovements
   Working Papers, University of Macau, Faculty of Business Administration

2023

2. Firm Commitments
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

3. Carbon Emissions and the Bank-Lending Channel
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
4. Global Pricing of Carbon-Transition Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)

2020

5. Carbon Premium around the World
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
6. Do Investors Care about Carbon Risk?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (58)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (58)
   See also Journal Article Do investors care about carbon risk?, Journal of Financial Economics, Elsevier (2021) View citations (225) (2021)

2019

7. Becker Meets Kyle: Inside Insider Trading
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
8. Swing Pricing and Fragility in Open-end Mutual Funds
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
   Also in IMF Working Papers, International Monetary Fund (2019) View citations (8)
   See also Journal Article Swing Pricing and Fragility in Open-End Mutual Funds, The Review of Financial Studies, Society for Financial Studies (2022) View citations (25) (2022)

2018

9. Chasing Private Information
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
   See also Journal Article Chasing Private Information, The Review of Financial Studies, Society for Financial Studies (2019) View citations (25) (2019)
10. Do Foreign Investors Improve Market Efficiency?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
11. Does Aggregate Buyer Satisfaction affect Household Consumption Growth?
    DOCFRADIS Working Papers, Catedra Fundación Ramón Areces de Distribución Comercial
12. Investor Sophistication and Capital Income Inequality
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (9)
    NBP Working Papers, Narodowy Bank Polski (2015) View citations (34)
    See also Journal Article Investor sophistication and capital income inequality, Journal of Monetary Economics, Elsevier (2019) View citations (24) (2019)

2017

13. Market Power and Informational Efficiency
    2017 Meeting Papers, Society for Economic Dynamics View citations (1)
14. The Private Production of Safe Assets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (7)
    HEC Research Papers Series, HEC Paris (2017) View citations (7)
    See also Journal Article The Private Production of Safe Assets, Journal of Finance, American Finance Association (2021) View citations (9) (2021)

2016

15. The Unintended Consequences of the Zero Lower Bound Policy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article The unintended consequences of the zero lower bound policy, Journal of Financial Economics, Elsevier (2017) View citations (116) (2017)

2013

16. Investor Polarization, Trading Volume, and Return Dynamics
    2013 Meeting Papers, Society for Economic Dynamics

2012

17. Time-Varying Fund Manager Skill
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (6)
    See also Journal Article Time-Varying Fund Manager Skill, Journal of Finance, American Finance Association (2014) View citations (184) (2014)

2011

18. Implicit Guarantees and Risk Taking: Evidence from Money Market Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)

2009

19. Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Chapter Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry*, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2016) (2016)
20. Rational Attention Allocation Over the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
21. Recessions are a Time to Shine: A theory of attention allocation over the business cycle
    2009 Meeting Papers, Society for Economic Dynamics
22. When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (74)
    See also Journal Article When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009, Journal of Economic Perspectives, American Economic Association (2010) View citations (150) (2010)

2005

23. Unobserved Actions of Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Unobserved Actions of Mutual Funds, The Review of Financial Studies, Society for Financial Studies (2008) View citations (235) (2008)

2004

24. A Bayesian semiparametric approach to pricing the S&P 500 index options
    Econometric Society 2004 North American Winter Meetings, Econometric Society
25. On the Industry Concentration of Actively Managed Equity Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article On the Industry Concentration of Actively Managed Equity Mutual Funds, Journal of Finance, American Finance Association (2005) View citations (382) (2005)

2002

26. Do Optimists Grow Faster and Invest More?
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (1)

Undated

27. When are Mutual Fund Investors Smart? Evidence from Conditional Fund Flows
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

Journal Articles

2024

1. Are Carbon Emissions Associated with Stock Returns? Comment
   Review of Finance, 2024, 28, (1), 107-109 View citations (3)
2. Legal Risk and Insider Trading
   Journal of Finance, 2024, 79, (1), 305-355 View citations (1)

2022

3. Do Security Analysts Discipline Credit Rating Agencies?
   (Credit ratings accuracy and analyst incentives)
   The Review of Corporate Finance Studies, 2022, 11, (4), 815-848 View citations (2)
4. Net-Zero Carbon Portfolio Alignment
   Financial Analysts Journal, 2022, 78, (2), 19-33 View citations (2)
5. Sustainable Finance
   (A simplemodel of capital market equilibrium with incomplete information)
   Review of Finance, 2022, 26, (6), 1309-1313 View citations (8)
6. Swing Pricing and Fragility in Open-End Mutual Funds
   The Review of Financial Studies, 2022, 35, (1), 1-50 View citations (25)
   See also Working Paper Swing Pricing and Fragility in Open-end Mutual Funds, CEPR Discussion Papers (2019) View citations (8) (2019)
7. The Financial Cost of Carbon
   Journal of Applied Corporate Finance, 2022, 34, (2), 17-29 View citations (16)

2021

8. Do Foreign Institutional Investors Improve Price Efficiency?
   (Does governance travel around the world? Evidence from institutional investors)
   The Review of Financial Studies, 2021, 34, (3), 1317-1367 View citations (49)
9. Do investors care about carbon risk?
   Journal of Financial Economics, 2021, 142, (2), 517-549 View citations (225)
   See also Working Paper Do Investors Care about Carbon Risk?, CEPR Discussion Papers (2020) View citations (58) (2020)
10. The Private Production of Safe Assets
    Journal of Finance, 2021, 76, (2), 495-535 View citations (9)
    See also Working Paper The Private Production of Safe Assets, CEPR Discussion Papers (2017) View citations (7) (2017)

2019

11. Chasing Private Information
    The Review of Financial Studies, 2019, 32, (12), 4997-5047 View citations (25)
    See also Working Paper Chasing Private Information, CEPR Discussion Papers (2018) View citations (3) (2018)
12. Investor sophistication and capital income inequality
    Journal of Monetary Economics, 2019, 107, (C), 18-31 View citations (24)
    See also Working Paper Investor Sophistication and Capital Income Inequality, CEPR Discussion Papers (2018) View citations (9) (2018)

2017

13. The unintended consequences of the zero lower bound policy
    Journal of Financial Economics, 2017, 123, (1), 59-80 View citations (116)
    See also Working Paper The Unintended Consequences of the Zero Lower Bound Policy, NBER Working Papers (2016) View citations (16) (2016)

2016

14. A Rational Theory of Mutual Funds' Attention Allocation
    Econometrica, 2016, 84, 571-626 View citations (71)

2014

15. Time-Varying Fund Manager Skill
    Journal of Finance, 2014, 69, (4), 1455-1484 View citations (184)
    See also Working Paper Time-Varying Fund Manager Skill, CEPR Discussion Papers (2012) View citations (6) (2012)

2013

16. A new class of Bayesian semi-parametric models with applications to option pricing
    Quantitative Finance, 2013, 13, (6), 967-980
17. How Safe Are Money Market Funds?
    The Quarterly Journal of Economics, 2013, 128, (3), 1073-1122 View citations (132)

2011

18. Do Nonfinancial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers
    Review of Finance, 2011, 16, (2), 347-383 View citations (47)
19. Labor Unions, Operating Flexibility, and the Cost of Equity
    Journal of Financial and Quantitative Analysis, 2011, 46, (1), 25-58 View citations (157)

2010

20. Competition and Bias
    The Quarterly Journal of Economics, 2010, 125, (4), 1683-1725 View citations (150)
21. When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009
    Journal of Economic Perspectives, 2010, 24, (1), 29-50 View citations (150)
    See also Working Paper When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009, NBER Working Papers (2009) View citations (74) (2009)

2009

22. Hedge Funds in the Aftermath of the Financial Crisis
    Financial Markets, Institutions & Instruments, 2009, 18, (2), 155-156
23. The price of sin: The effects of social norms on markets
    Journal of Financial Economics, 2009, 93, (1), 15-36 View citations (838)

2008

24. Unobserved Actions of Mutual Funds
    The Review of Financial Studies, 2008, 21, (6), 2379-2416 View citations (235)
    See also Working Paper Unobserved Actions of Mutual Funds, NBER Working Papers (2005) (2005)

2007

25. Fund Manager Use of Public Information: New Evidence on Managerial Skills
    Journal of Finance, 2007, 62, (2), 485-528 View citations (155)

2005

26. On the Industry Concentration of Actively Managed Equity Mutual Funds
    Journal of Finance, 2005, 60, (4), 1983-2011 View citations (382)
    See also Working Paper On the Industry Concentration of Actively Managed Equity Mutual Funds, NBER Working Papers (2004) View citations (9) (2004)

Chapters

2024

1. Net-Zero Investing
   Chapter 9 in SUSTAINABLE INVESTING Problems and Solutions, 2024, pp 255-267

2016

2. Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry*
   Chapter 3 in Behavioral Finance WHERE DO INVESTORS' BIASES COME FROM?, 2016, pp 67-113
   See also Working Paper Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry, National Bureau of Economic Research, Inc (2009) View citations (7) (2009)

Editor

1. Review of Finance
   European Finance Association