Conference Agenda

Fixed-income indices rebalance at month-end, which mechanically increases index

duration and induces synchronized portfolio adjustments by benchmark-constrained

investors. We show that these adjustments generate predictable end-of-month price

pressure in U.S. Treasury markets. Using ETF holdings, futures data, and intraday re

turns, we document elevated trading activity, positive abnormal returns at month-end,

and subsequent reversals consistent with non-informational demand. Furthermore,

month-end returns increase when there is a stronger urgency for funds to adjust du

rations when volatility is high. A quasi-experimental change in index pricing time

confirms that price pressure shifts with benchmark timing. The results highlight a

hidden costs of passive investing driven by index design and benchmarking constraints.

Online investment forums have risen rapidly over the last decade, reshaping processes for information sharing, belief formation, and market (in)efficiency. This paper analyses recommendations in such forums around stock manipulation events. We find a 300% increase in stock recommendations on social media during the 2-week period preceding a manipulation event. However, the change in the number of recommendations is not sufficient to drive stock prices. Only when combined with sentiment does it affect returns. Tone might be used for certain manipulation strategies, such as “spoofing,” in which benefits accrue when trading volume decreases, while disagreement might be used for “pump-and-dump,” in which manipulators benefit when volume increases. In the presence of institutional block holders, increased attention, regardless of tone, is sufficient for stock price manipulation. The results are corroborated with robustness and falsification tests.

We examine the impact of Asset Quality Review (AQR) conducted by the Reserve Bank of India in the financial year 2015-16 of public and private sector banks of India on their earnings through an event study. We analyse the influence of NPL and write-off ratios on ROE with the panel data of 12 public sector banks and 4 private sector banks for the financial years between 2014 and 2025, keeping HDFC bank which emerged least hurt from AQR as control bank, in the presence of bank specific control variables of CRAR, CD ratio, priority sector advances to total advances, and size of the bank as measured by logarithm of total assets, and the macro variables of GDP growth rate and unemployment ratio. Replacing ROE by ROA, we do the robustness check. The results significantly verify the effectiveness of AQR. We identify the variables leading to the best performance to help banks in their policy reviews.

We examine the effects of pension liquidity policies on individuals’ saving, investment, and housing decisions over the life cycle. The policy permits or restricts early pension withdrawals for financing homeownership, distinguishing them from those made for general consumption purposes. We develop a novel life-cycle consumption-investment model that incorporates the two distinct early access penalties and a pension contribution incentive. Our preliminary results confirm that, at early working ages, the optimal contribution rate doubles from 9 per cent to 18 per cent when full pension access is allowed. Under a retirement account with restricted pension access, 10 to 60 per cent of wealth can be transferred to an ordinary investment account and allocated to risky assets. This occurs because the retirement account loses its precautionary savings function, and individuals employ the ordinary account to hold investment assets matching their risk preferences. The model’s final and promising outcomes will allow us to evaluate the effects of experimental policy reforms that permit early pension withdrawals for home purchases or mortgage repayment. Our findings are expected to offer valuable insights for policymakers and stakeholders in pension and housing markets, informing the design of welfare-enhancing financial regulation.