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UID:194c9941acb624d90f18bc7121f7c398
CATEGORIES:Seminars
CREATED:20241014T052824
SUMMARY:Lunch Seminar: Alessandro Melone - Ohio State University
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nThe Economic Implications of Rebalancing\n\n\nAbstract:\nTrillions of d
 ollars in pension funds and other institutional investors engage in regular
  portfolio rebalancing. This rebalancing often occurs based on a calendar d
 ate or a deviation from a threshold. We show that such rebalancing has a ma
 rket impact and induces predictability. When stocks are overweight, funds s
 ell stocks and buy bonds, leading to a decrease in equity returns of 17 bas
 is points over the next day. We find our results are robust to including co
 ntrols for momentum, reversals, and macroeconomic information. Importantly,
  mechanical rebalancing offers certain investors the opportunity to front-r
 un the predictable trades of these large funds. We estimate that the cost o
 f current rebalancing policies is approximately $16 billion per year—or $20
 0 per U.S. household.\n
DTSTAMP:20260421T102016Z
DTSTART:20241218T130000Z
DTEND:20241218T140000Z
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TRANSP:OPAQUE
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