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October 2019

Benjamin Hébert – Stanford

25 October 2019 @ 3:00 pm - 4:30 pm
McIntire, RRH 227

Are Intermediary Constraints Priced? Violations of no-arbitrage conditions measure the shadow cost of constraints on intermediaries, and the risk that these constraints tighten is priced. We demonstrate in an intermediary-based asset pricing model that violations of no-arbitrage such as covered interest rate parity (CIP) violations, along with intermediary wealth returns,…

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November 2019

Ric Colacito – UNC

15 November 2019 @ 3:00 pm - 4:30 pm
McIntire, RRH 260

Volatility Risk Pass-Through We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50%…

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December 2019

Azi Ben-Rephael – Rutgers

6 December 2019 @ 3:00 pm - 4:30 pm
McIntire, RRH 260

Foreign Sentiment We construct a direct measure of U.S. based foreign sentiment using flow shifts between U.S. and international mutual funds. Foreign sentiment predicts return reversals in international markets, while local sentiments predict reversals in local markets. Exploring this segmentation, we find that foreign sentiment predictability is driven by overreaction…

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February 2020

Dongho Song – JHU

7 February 2020 @ 3:00 pm - 4:30 pm
McIntire, RRH 305

Fearing the Fed: How Wall Street Reads Main Street We document a countercyclical sensitivity of the stock market to major macroeconomic news announcements. Stock prices react more to (either good or bad) announcement surprises when the economy is below its potential trend with the expectation of easing policy. Based on…

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April 2020

Lin William Cong – Cornell

10 April 2020 @ 3:30 pm - 5:00 pm
Zoom

AlphaPortfolio for Investment and Economically Interpretable AI We propose reinforcement-learning-based portfolio management, an alternative that improves upon the traditional two-step portfolio-construction paradigm a la Markowitz (1952), to directly optimize investors' objectives. Specifically, we enhance cutting-edge neural networks such as Transformer with a novel cross-asset attention mechanism to effectively capture the…

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September 2020

Ha Diep-Nguyen – Purdue

4 September 2020 @ 3:00 pm - 4:30 pm
Zoom

Social Collateral_062020 HaDiepNguyen_CV

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Joel Peress – INSEAD

25 September 2020 @ 11:00 am - 12:30 pm
Zoom

We propose a novel theory and supporting empirical evidence that lower long term interest rates (e.g., due to “quantitative easing”) can harm informational and allocative efficiency. We develop a rational expectations equilibrium model in which the interest rate is determined endogenously and utilized by investors to update their beliefs. Interest…

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October 2020

Jennie Bai – Georgetown

16 October 2020 @ 3:00 pm - 4:30 pm
Zoom

cross-asset-information-synergy_BAI Title: Cross-Asset Information Synergy in Mutual Fund Families  

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Diane Del Guercio – Oregon

23 October 2020 @ 3:00 pm - 4:30 pm
Zoom

How have passive managers fared in the era of the dramatic rise of passive investing? DGT Passive management 10-17-20

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November 2020

Andrey Malenko – Michigan

13 November 2020 @ 3:00 pm - 4:30 pm
Zoom

Corporate governance in the presence of active and passive delegated investment - CMM

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December 2020

Will Dobbie – Harvard Kennedy

4 December 2020 @ 3:00 pm - 4:30 pm
Zoom
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March 2021

Neng Wang – Columbia

5 March 2021 @ 3:00 pm - 4:30 pm
Zoom

ESG_paper_HWY36-UVA-Feb-2021

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David Matsa – Kellogg

19 March 2021 @ 3:00 pm - 4:30 pm
Zoom
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April 2021

Johannes Stroebel – NYU

9 April 2021 @ 3:00 pm - 4:30 pm
Zoom

Social Proximity to Capital: Implications for Investors and Firms Theresa Kuchler, Yan Li, Lin Peng, Johannes Stroebel, Dexin Zhou Abstract We show that institutional investors are more likely to invest in firms from regions to which they have stronger social ties but find no evidence that these investments earn a…

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Michaela Pagel – Columbia

30 April 2021 @ 3:00 pm - 4:30 pm
Zoom

Consumption out of Fictitious Capital Gains and Selective Inattention Benjamin Loos, Steffen Meyer, and Michaela Pagel Abstract Do retail investors’ behavioral biases in trading directly affect their consumption out of stock market wealth? We exploit a natural experiment that changed the displayed purchase prices in investors’ online portfolios. Investors are…

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