Nikola Kiprijanovski
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Welcome!
I hold a PhD in Finance from INSEAD and am currently an Assistant Professor of Finance at the American University of Sharjah, UAE.
My research centers around delegated asset management, exploring mutual fund decision making and its implications for risk, information transmission, and asset prices, leveraging machine learning and natural language processing on fund disclosures.
You can find my CV here.
Job Market Paper
The Corporate Finance of Asset Management: Intermediary Risk and Asset Pricing (Under Submission)
Do mutual fund disclosures reveal risks that matter for asset prices? I extract 2.55 million disclosed risks and group equity funds' disclosures into interpretable topics. Market, size, and value disclosures match factor exposures in sign and magnitude. Two organizational risks, redemption and concentration, identify funds that underperform beyond conventional factors. The corresponding factors are priced in both fund and stock returns. Redemption disclosers face more volatile investor flows, while concentration disclosers exhibit greater annual flow-performance convexity. These findings connect the corporate finance of asset management to asset pricing through intermediary risks.
Working Papers
Heterogeneous Investor Preferences and Mutual Fund Offerings
Some investors value only an asset's financial payoff; others value non-pecuniary attributes, such as environmental impact or religious compliance. I study a fund family that sells each group a signal about the payoff it values. Because the groups value different payoffs, each group's informed trades make the price less informative for the other, raising the value of both signals. The family serves at least one group in full, and a family serving one group values a fund for the other more than an independent firm would, so some funds open only within families. The mechanism works without noise traders.
Works in Progress
Speaking of Risk: Alignment Between Corporate and Fund Risk Disclosures (Available upon request)
Which investors bear the risks that firms disclose? I link each risk in firms’ 10-K filings to the prospectus risk disclosures of the mutual funds that hold those firms. Which firm risks survive into fund prospectuses, and which vanish when funds diversify or hedge them? To tell whether fund disclosures follow holdings or fund-family templates, I use holdings changes that managers did not choose. Do funds point to risks in their holdings that the firms themselves disclose only later, or never? Finally, is a disclosed risk priced by what the firm says, or by who bears it?
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