(Teodor) TC Dyakov

(Teodor) TC Dyakov
Visiting fellow Rotterdam School of Management, Erasmus University Department of Finance
Location
Burg. Oudlaan 50, Rotterdam
Room
T08-25
Email
tdyakov@rsm.nl

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Profile

I am currently a PhD Candidate at the Department of Finance, Rotterdam School of Management (RSM). My doctoral dissertation investigates the information content of disclosed quarterly mutual fund holdings, under the supervision of Prof. Dr. Marno Verbeek and Dr. Hao Jiang. I hold an MPhil in Finance (Cum Laude) from RSM and I am currently a visiting scholar at the National University of Singapore Business School.

I am on the 2012/2013 job market and will be available for interviews at the 2013 AFA annual meeting in San Diego (Jan 4-6). Below you can find more information about my current work:



Do Investors Use Fund Holdings to Infer Managerial Skill? (job market paper)


Abstract: This paper investigates the sensitivity of fund flows to a simple portfolio-based measure of managerial skill -- the difference between the reported fund return and the hypothetical return of the fund's most recently disclosed portfolio holdings ("the return gap"). I document a number of empirical patterns consistent with the hypothesis that investors use the return gap as an information variable for inferring managerial skill. The sensitivity of fund flows to the return gap is: 1) strong and positive; 2) increasing with investor sophistication; 3) highly non-linear, potentially due to information acquisition costs; and 4) decreasing with the informativeness of past fund returns. I further show that the response to the return gap helps investors enhance their performance. The results in this paper suggest that there is a sophisticated mass of investors who can process publicly available information on fund holdings and identify funds likely to add value in the future.



Front-Running of Mutual Fund Fire-Sales (with Marno Verbeek)


Abstract: We show that a real-time trading strategy which front-runs the anticipated forced sales by mutual funds experiencing extreme capital outflows generates an alpha of 0.5% per month during the 1990-2010 period. The abnormal return stems from selling pressure among stocks that are below the NYSE mean size and cannot be attributed to the arrival of public information. While the largest stocks also exhibit downward price pressure, their prices revert before the front-running strategy can detect it. The duration of the anticipated selling pressure has decreased from about a month in the 1990s to about two weeks in the most recent decade. Our results suggest that publicly available information of fund flows and holdings exposes mutual funds in distress to predatory trading.



I am further working with Hao Jiang on a project investigating the performance of aggregate mutual fund trades.



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