Andy Naranjo
Professor/Chair | University of Florida
Gainesville, FL, UNITED STATES
Andy Naranjo is an expert in financial technology, including information flows and processing, and international finance.
Biography
Andy Naranjo is the chairman of the Eugene F. Brigham Finance, Insurance & Real Estate Department in the Warrington College of Business. His research covers the areas of financial economics, international finance, international corporate finance, empirical asset pricing, real estate finance, FinTech, cybersecurity, capital market linkages and info flows.
Areas of Expertise (9)
Fintech
Info Flows
Cybersecurity
Empirical Asset Pricing
International Finance
Financial Economics
International Corporate Finance
Real Estate Finance
Capital Market Linkages
Media Appearances (2)
The volatility laundering, return manipulation and ‘phoney happiness’ of private equity
Financial Times online
2022-11-03
The widening performance gap between public and private markets is a huge topic these days. Investors are often seen as the gormless dupes falling for the “return manipulation” of cunning private equity tycoons. But what if they are co-conspirators? That’s what a new paper from three academics at the University of Florida argues.
How Allocators Are Complicit in the Manipulation of PE Returns
Institutional Investor online
2022-10-27
There’s plenty of evidence that private equity managers manipulate fund returns. But new research points to some surprising reasons why it happens and asserts that investors are complicit — at least indirectly. A new paper from three scholars at the University of Florida provides evidence that asset managers manipulate interim fund returns because that’s what investors actually want.
Articles (3)
Implied Asset Return Profiles, Firm Fundamentals, and Stock Returns
SSRNJongsub Lee, et al.
2022-02-14
We introduce a novel approach to ascertain firms’ unobserved asset return distribution implied by the joint pricing of equity and credit securities within a structural framework. Motivated by Q-theory, we propose a two-factor model that captures asset growth and risk-shifting effects on stock returns. We show that strong asset returns representing systematic growth options predict higher stock returns, whereas shifting risk from equity to credit forecasts lower stock returns.
There’s No Place like Home: Local Asset Concentrations and Information Asymmetries
Real Estate EconomicsDavid C. Ling, Andy Naranjo and Benjamin Scheick
2020-10-02
Using a unique setting with significant cross-market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance.
Private Equity Real Estate Funds: Returns, Risk Exposures, and Persistence
The Journal of Portfolio ManagementThomas R. Arnold, David C. Ling and Andy Naranjo
2019-08-01
Using performance data through 2017Q4 on 467 funds that came to market between 2000 and 2013, we first examine the unconditional performance of closed-end, Private Equity Real Estate (PERE) returns over time and across various fund characteristics. The performance metrics include the internal rate of return (IRR), the multiple on invested capital (MOIC), and a proxy for the public market equivalent (PME). Using conditional sorts, as well as regression procedures with asset pricing specifications, we estimate the exposure of PERE performance to fund-level characteristics and macroeconomic environment risk factors and find that both fund characteristics and macroeconomic risk factors significantly affect PERE performance.
