Stern School of Business
44 West 4th Street
New York, NY 10012
Institutional Affiliation: New York University
NBER Working Papers and Publications
|July 2019||Skin or Skim? Inside Investment and Hedge Fund Performance|
with Kunal Sachdeva: w26113
Hedge fund managers contribute substantial personal capital, or "skin in the game," into their funds. While these allocations may better align incentives, managers may also strategically allocate their private capital in ways that negatively affect investors. We find that funds with more inside investment outperform other funds within the same family. However, this relationship is driven by managerial decisions to invest capital in their least-scalable strategies and restrict the entry of new outsider capital into these funds. Our results suggest that skin in the game may work as a rent-extraction mechanism at the expense of fund participation of outside investors.
|May 2011||Mortgage Modification and Strategic Behavior: Evidence from a Legal Settlement with Countrywide|
with Christopher J. Mayer, Edward Morrison, Tomasz Piskorski: w17065
We investigate whether homeowners respond strategically to news of mortgage modification programs. We exploit plausibly exogenous variation in modification policy induced by U.S. state government lawsuits against Countrywide Financial Corporation, which agreed to offer modifications to seriously delinquent borrowers with subprime mortgages throughout the country. Using a difference-in-difference framework, we find that Countrywide's relative delinquency rate increased thirteen percent per month immediately after the program's announcement. The borrowers whose estimated default rates increased the most in response to the program were those who appear to have been the least likely to default otherwise, including those with substantial liquidity available through credit cards and relatively l...
Mayer, Christopher, Edward Morrison, Tomasz Piskorski, and Arpit Gupta. 2014. “Mortgage Modification and Strategic Default: Evidence from a Legal Settlement with Countrywide,” January. (Forthcoming, The American Economic Review) citation courtesy of