CV - Job Market Paper  
 

De Jesus, Miguel

Job market candidate

Contact information

Tel. +34 93 542 2672

miguel.dejesus@upf.edu

Available for Interviews at :

Simposio de la Asociación Española de Economía (SAEe), December 15-17, Bilbao, Spain

Allied Social Science Associations (ASSA), January 6-8, Chicago, US

 

Research interests

Financial Economics, Financial Intermediation, Asset Pricing

Placement officer

Filippo Ippolito
filippo.ippolito@upf.edu
 

References

Xavier Freixas
xavier.freixas@upf.edu
Javier Gil-Bazo
javier.gil-bazo@upf.edu
Filippo Ippolito
filippo.ippolito@upf.edu

Ander Perez-Orive
ander.perez-orive@frb.gov

Research

"The Domestic Transmission of International Shocks: Evidence from US and Mexican Mutual Funds" (Job Market Paper)
When crisis hits at home, mutual funds that invest in foreign equity systematically sell their stocks, leading to a temporary stock price decrease unrelated to fundamentals. Why then do domestic investors in the stocks' home countries not purchase the undervalued securities and, thus, correct mispricing? To address this issue, I consider the response of Mexican mutual funds to the crisis-induced sale of Mexican equity by US mutual funds in 2008Q2, which caused a non-permanent decline in the price of some Mexican stocks. Difference-in-differences estimation reveals that stocks that were ex-ante most exposed to the US fund sale suffered 27% less abnormal returns than those that were least exposed. I establish that Mexican funds subsequently adjusted their stock holdings. I exploit the fund-level variation in the average ex-ante exposure of the stocks in the funds' portfolios, and find that funds with high portfolio exposure sold the most exposed stocks to safeguard fund returns and, ultimately, to avoid the exit of shareholders. In contrast, funds with low portfolio exposure bought these stocks that were suddenly cheaper. I confirm that because of these Mexican fund trades, the previously observed lower returns were actually only present for the most exposed stocks that were mainly held by Mexican funds with high portfolio exposure. These results highlight the importance of having domestic mutual funds that are unconstrained by investor flows to combat the propagation of international crises to the domestic stock market.

 

Research Paper in Progress

“Cross-trading within Mutual Fund Families during the Financial Crisis”