Harvard Business School & London School of Economics Professors Win Investment Management Consultants Association 2016 Academic Paper Competition

Issue date: 
Wednesday, January 18, 2017
Contact name: 
Greta Gloven
Contact number: 
+1 (303) 850-3079
Contact Email: 

Harvard Business School & London School of Economics Professors Win
Investment Management Consultants Association® 2016 Academic Paper Competition

Researchers win academic paper competition by demonstrating evidence of asset managers engaging in strategic trading to cloak their most valuable trades.

(DENVER) Jan. 12, 2017 - Investment Management Consultants Association® (IMCA®) named Lauren Cohen, L. E. Simmons Chaired Professor of Business Administration, Harvard Business School; Dong Lou, associate professor of finance, London School of Economics; and Christopher Malloy, Sylvan C. Coleman Chaired Professor of Financial Management, Harvard Business School, winners of the 2016 Journal of Investment Consulting Academic Paper Competition for their submission, “Cloaked Trading.”

Using a novel, proprietary database of micro-level trading activities by asset managers, the researchers demonstrated strong evidence of asset managers engaging in strategic trading to cloak their most valuable trades.  They found that these cloaked trades earned an abnormal return of 370 basis points in the following month or more than 36 percent per year. They also discovered that the same managers did not engage in such information-rich cloaked trading around other month ends (non-reporting months), nor in institutional accounts (that are not subject to the reporting requirements) at the exact same quarter-end dates.  Furthermore, the researchers were able to show the returns to these cloaked trades continued to accrue over the subsequent quarter and did not reverse in the following year, implying these cloaked trades are informative about fundamental firm value (which is gradually revealed into prices).

“The research conducted by Professors Cohen, Lou, and Malloy demonstrated the highest level of excellence and relevancy for the investment management profession,” said Margaret M. Towle, Ph.D., editor-in-chief, Journal of Investment Consulting.  “By producing this work, they have added significantly to the body of knowledge on this subject.”

In recognition of their contribution, Cohen, Lou, and Malloy received a cash award of $5,000 and their paper was published in the Journal of Investment Consulting.

The annual IMCA Academic Paper Competition (open to academics and doctoral students) examines research relevant to the investment consulting and private wealth management professions. Papers must demonstrate the development of theory and applied research on the chosen topic. Topics may include: alternative investments, asset allocation, currency management, modeling tail risk, investment due diligence, manager search and selection, monolithic and flash trading, performance measurement, portfolio construction, regime-switching models, risk management, retirement planning, small-cap investing, stress-testing investment portfolios, wealth management, or other relevant topics for investment professionals. The Journal of Investment Consulting Editorial Advisory Board selects the winning submission.

For more information about the Journal of Investment Consulting and the academic paper competition, visit www.journalofinvestmentconsulting.org or contact Greta Gloven, director of communications, [email protected] or 303-850-3079.


About IMCA

Established in 1985, IMCA is a nonprofit professional association and credentialing organization with more than 11,300 individual members and certificants in 37 countries around the world. IMCA members collectively manage more than $2.5 trillion, providing investment consulting and wealth management services to individual and institutional clients. Since 1988, IMCA has offered the Certified Investment Management Analyst® (CIMA®), which is the only financial services certification in the U.S. to meet international accreditation standards (ANSI/ISO 17024). The CIMA certification consistently distinguishes those who meet a global standard of competency and skills in investment management from those who do not. IMCA’s Certified Private Wealth Advisor® (CPWA®) certification is suited for wealth management professionals working with high-net-worth clients. In 2016, IMCA conferences and education hosted nearly 4,500 attendees.

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