Gender and Job Performance: Evidence from Wall Street

We study the relation between gender and job performance among brokerage firm equity analysts. Women's representation in analyst positions drops from 16% in 1995 to 13% in 2005. We find women cover roughly 9 stocks on average compared to 10 for men. Women's earnings estimates tend to be less accurate. After controlling for forecast characteristics, the difference in accuracy is roughly equivalent to four years of experience. Despite reduced coverage and lower forecast accuracy, we find women are significantly more likely to be designated as All-Stars, which suggests they outperform at other aspects of the job such as client service.

THE IMPACT OF MUTUAL FUND FAMILY MEMBERSHIP ON INVESTOR RISK

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting investment to one fund family leads to a greater total portfolio risk than diversifying across fund families. The increased correlation is due primarily to common stock holdings, but is also more generally related to families having similar exposures to economic sectors or industries. Fund families also show a propensity to focus on high risk or low risk strategies, which leads to a greater dispersion of risk across restricted investors. An investor considering adding an additional fund either inside or outside the family would need to believe the inside fund offered an additional 50 to 70 basis points in return to achieve the same Sharpe ratio

The Impact of Mutual Fund Family Membership on Investor Risk

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within fund families, which reduces the benefits of investor diversification. The increased correlation is due primarily to common stock holdings, but is also more generally related to families having similar exposures to economic sectors or industries. Fund families also show a propensity to focus on high risk or low risk strategies, which leads to a greater dispersion of risk across restricted investors

Tax and Liquidity Effects in Pricing Government Bonds

Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Utilizing actual trade prices rather than dealer estimated quotes gives us a more accurate measure of market clearing prices. Daily trading volume is also available, which provides us with a robust measure of liquidity. We use two approaches, one of which is new, to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for evidence of tax and liquidity effects by including a liquidity term when fitting a cubic spine to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bond with long maturities

Tax and Liquidity Effects in Pricing Government Bonds

Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Utilizing actual trade prices rather than dealer estimated quotes gives us a more accurate measure of market clearing prices. Daily trading volume is also available, which provides us with a robust measure of liquidity. We use two approaches, one of which is new, to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for evidence of tax and liquidity effects by including a liquidity term when fitting a cubic spine to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bond with long maturities

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

This paper examines newly-available intraday data from the interdealer government bond market to investigate the effects of economic-news announcements on prices, volume, and bid-ask spreads. By using expectational data we are able to separate out the impact of concurrent announcements. The use of intraday price data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find several economic announcements to have a significant impact on two, ten, and thirty-year bond prices. For announcements that have a significant impact on bond prices, the impact occurs within one minute after the announcement. The three-month T-Bill price, on the other hand, is not impacted by the major economic announcement releases. This suggests that at least two factors of uncertainty are needed to model bond prices. For the two, ten, and thirty-year bonds we find a strong association between announcements and volume. Macroeconomic announcements do not have as much of an effect on trading volume for the three-month Treasury bill, although changes in monetary policy lead to an average trading volume up to nine times higher than at non-announcement times. Immediately after most economic announcements, bid-asl spreads widen significantly, while they tighten in the next five to fifteen minute

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

This paper examines newly-available intraday data from the interdealer government bond market to investigate the effects of economic-news announcements on prices, volume, and bid-ask spreads. By using expectational data we are able to separate out the impact of concurrent announcements. The use of intraday price data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find several economic announcements to have a significant impact on two, ten, and thirty-year bond prices. For announcements that have a significant impact on bond prices, the impact occurs within one minute after the announcement. The three-month T-Bill price, on the other hand, is not impacted by the major economic announcement releases. This suggests that at least two factors of uncertainty are needed to model bond prices. For the two, ten, and thirty-year bonds we find a strong association between announcements and volume. Macroeconomic announcements do not have as much of an effect on trading volume for the three-month Treasury bill, although changes in monetary policy lead to an average trading volume up to nine times higher than at non-announcement times. Immediately after most economic announcements, bid-asl spreads widen significantly, while they tighten in the next five to fifteen minute

The Impact of Mutual Fund Family Membership on Investor Risk

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within fund families, which reduces the benefits of investor diversification. The increased correlation is due primarily to common stock holdings, but is also more generally related to families having similar exposures to economic sectors or industries. Fund families also show a propensity to focus on high risk or low risk strategies, which leads to a greater dispersion of risk across restricted investors

THE IMPACT OF MUTUAL FUND FAMILY MEMBERSHIP ON INVESTOR RISK

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting investment to one fund family leads to a greater total portfolio risk than diversifying across fund families. The increased correlation is due primarily to common stock holdings, but is also more generally related to families having similar exposures to economic sectors or industries. Fund families also show a propensity to focus on high risk or low risk strategies, which leads to a greater dispersion of risk across restricted investors. An investor considering adding an additional fund either inside or outside the family would need to believe the inside fund offered an additional 50 to 70 basis points in return to achieve the same Sharpe ratio