Working Papers

The Life Cycle of Investment Management when “Today's Alpha is Tomorrow's Beta”

Best PhD Paper Award, EFMA Annual Meeting, Athens 2017
Presented at: 2018 EFA meeting (Warsaw), 2017 FMA meeting (Boston), 2017 FMA European meeting (Lisbon), 2017 European FMA annual meeting (Athens), and 2016 Trans-Atlantic Doctoral Conference (London)

Abstract: I present a model where competition in the asset management industry has positive and negative effects on fund performance. When funds have increasing (decreasing) returns to scale at the industry level, the flow-performance relation is concave (convex). Active funds outperform their benchmark initially. Competition among funds raises the cost of active management and gradually depletes the profitable opportunities in the aggregate. Eventually, the total surplus declines to zero and the average active manager falls behind the benchmark. Aggregate risk is reduced over time through ``closet indexing'', until all active funds form a scalable pool of passively invested cycle comparative statics

Industry-level returns to scale and investor flows in asset management

Abstract: This paper provides new evidence about returns to scale in asset management, and their connection with capital flows to funds by investors. Equity mutual funds have diminishing returns to scale at the industry level, while hedge and fixed income funds have increasing returns to scale. The flow-performance relation is convex (concave) when the funds operate under decreasing (increasing) returns to scale. Passive funds are unaffected by scale effects. These results are consistent with the predictions of Magkotsios (2018).industry-level returns to scale

Work in Progress

Overinvestment and Underinvestment between Core and Periphery Economies

Microfoundations of the "Gray" Side of Corporate Diversification

Unpublished RA work

Physics Research

My research portfolio in Physics involves 6 peer-reviewed publications in top-tier journals during the period 2008 - 2016, and 11 conference proceedings during the period 2008 - 2010. For more detailed information with links to the papers see my vita. My papers in Physics have approximately 190 citations, effectively August 2017.