Aditya Vikram Sunderam

Preference elicitation in proxied multiattribute auctions

We consider the problem of minimizing preference elicitation in efficient multiattribute auctions, that support dynamic negotiation over non-price based attributes such as quality, time-of-delivery, and processor speed. We introduce asynchronous price-based multiattribute auctions, with proxy bidding agents that sit between the auctioneer and the participants. Empirical results demonstrate the preference elicitation savings that are provided with minimal price spaces, asynchronous updates, and proxy agents.

Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

We study liquidity transformation in mutual funds using a novel data set on their cash holdings. To provide investors with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically, they hold substantial amounts of cash, which they use to accommodate inflows and outflows rather than transacting in the underlying portfolio assets. This is particularly true for funds with illiquid assets and at times of low market liquidity. We provide evidence suggesting that mutual funds’ cash holdings are not large enough to fully mitigate price impact externalities created by the liquidity transformation they engage in.

Automated Personalization of Internet News

A systems approach to the automatic and adaptive personalization of Internet news is described. Implemented on the client side as a lightweight, transparent software system, this approach is based on implicit user feedback, thereby preserving privacy while avoiding the constant recustomization needed in explicit schemes. The system consists of two modules: (1) a profiling agent, which unobtrusively monitors news reading patterns to track interest in different topics while acting as a proxy server on the users computer; (2) and an action agent, which uses the profile information to retrieve, filter, and present news articles. A prototype of the system was implemented and evaluated over a two week period. Precisions (the percentages of relevant articles returned by the system) ranging from 60-95% were observed for profiles representing various combinations of interests. The system also responded very well to simulated changes in user interests, returning rapidly increasing numbers of articles relevant to newly developed interests.

Do Fire Sales Create Externalities

We develop three novel measures of how much of the price impact of their trading different mutual funds internalize. We show that mutual funds that internalize more of their price impact hold larger cash buffers and use these buffers more aggressively to accommodate inflows and outflows. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the mutual fund industry. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

Precautionary Savings in Stocks and Bonds

We document a strong and robust relationship between the one-year real rate and the valuation of high-volatility stocks, which we contend measures precautionary savings motives. Our novel proxy for precautionary savings explains 41% of the variation in the real rate. In addition, the real rate forecasts returns on the low-minus-high volatility portfolio but has little relation to observable measures of the quantity of risk. These results suggest that precautionary savings motives, and thus the real rate, are driven by time-varying attitudes towards risk. Our findings are difficult to rationalize in models with perfect risk sharing and highlight the role that imperfect diversification plays in determining interest rates. We also explore the implications of our findings for monetary policy, arguing that precautionary savings motives should be included in assessing the natural real rate. ⇤We thank Michael Brennan (discussant), John Campbell, Robert Engle, Xavier Gabaix, Espen Henriksen (discussant), Bryan Kelly, Hanno Lustig (discussant), Thomas Maurer (discussant), Monika Piazzesi, Robert Ready (discussant), Martin Schneider, Andrei Shleifer, Jeremy Stein, Luis Viceira, and seminar participants at the BI-SHoF Conference 2017, CEF 2017, CITE 2017, SITE 2017, FRBSF conference on Advances in Finance Research 2017, London School of Economics, Federal Reserve Board, University of British Columbia, University of Indiana, SFS Cavalcade, and HEC-McGill Winter Finance Workshop for helpful comments. The Online Appendix to the paper can be found here and the Data Appendix can be found here. †Pflueger: University of British Columbia. E-mail: carolin.pflueger@sauder.ubc.ca ‡Siriwardane: Harvard Business School. E-mail: esiriwardane@hbs.edu. §Sunderam: Harvard Business School and NBER. E-mail: asunderam@hbs.edu.