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Presidential Address
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2009 Presidential Address Sophisticated Investors and Market Efficiency Jeremy C. Stein The address is available in a streaming video that may be viewed by clicking here.
Abstract Stock-market trading is increasingly dominated by sophisticated professionals, as opposed to individual investors. Will this trend ultimately lead to greater market efficiency? I consider two complicating factors. The first is crowding-the fact that, for a wide range of "unanchored" strategies, an arbitrageur cannot know how many of his peers are simultaneously entering the same trade. The second is leverage-when an arbitrageur chooses a privately-optimal leverage ratio, he may create a fire-sale externality that raises the likelihood of a severe crash. In some cases, capital regulation may be helpful in dealing with the latter problem. 2008 Presidential Address The Cost of Active Investing Kenneth R. French The address is available in the following streaming video formats:
I compare the fees, expenses, and trading costs society pays to invest in the U.S. stock market with an estimate of what would be paid if everyone invested passively. Averaging over 1980 to 2006, I find investors spend 0.67% of the aggregate value of the market each year searching for superior returns. This implies that society’s capitalized cost of price discovery is at least 10% of the current market cap. Moreover, under reasonable assumptions, the typical investor would increase his average annual return by 67 basis points over the 1980 to 2006 period if he switched to a passive market portfolio. |
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2007 Presidential Address Issuers, Underwriter Syndicates, and Aftermarket Transparency Richard C. Green The address is available in the following streaming video formats: You can download a copy of the whole 2007 Presidential Address in Adobe Acrobat pdf format
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2006 Presidential Address
Household Finance
John Y. Campbell
The address is available in the following streaming video formats:
You can download a copy of the whole 2006 Presidential Address in Adobe Acrobat pdf format
2005 Presidential Address
The Limits of Financial Globalization
René M. Stulz
The address is available in the following streaming video formats:
You can download a copy of the whole 2005 Presidential Address in Adobe Acrobat pdf format
2004 Presidential Address
Committing to Commit: Short-term Debt When Enforcement is Costly
Douglas W. Diamond
The address is available in the following streaming video formats:
You can download a copy of the whole 2004 Presidential Address in Adobe Acrobat pdf format (314KB)
2003 Presidential Address
Liquidity and Price Discovery
Maureen O'Hara
This address is available in the following streaming video formats:
| Real Media | Windows Media |
| Broadband | Broadband |
View the 2003 Presidential Address in pdf format.
2002 Presidential Address
Rational Asset Prices
George M. Constantinides
View the 2002 Presidential Address in pdf format.
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