Zahi Ben-David – OSU

McIntire, RRH 260

What Do Mutual Fund Investors Really Care About?

Justin Birru – Ohio State

Darden, FOB 194

Attention and biases: Evidence from tax-inattentive Justin Birru„, Fernando Chague…, Rodrigo De-LossoŸ, and Bruno Giovannetti September 23, 2019 Abstract We provide evidence of investor inattention to a very simple and well-known taxexemption opportunity in the Brazilian stock market. Attentive and inattentive investors are similar along the dimensions of portfolio size Read more…

Benjamin Hébert – Stanford

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, Read more…

Ric Colacito – UNC

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% Read more…

Azi Ben-Rephael – Rutgers

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 Read more…

Tania Babina – Columbia Business School

Darden, FOB 194

Crisis Innovation  Tania Babina (Columbia),  Asaf Bernstein (Colorado), Filippo Mezzanotti (Northwestern) January 8, 2020 Abstract In a differences-in-differences design we provide the first systematic evidence that distress from the Great Depression drove the single largest shift in innovative organization in U.S. history – from predominantly outside to inside the firm. Read more…

Roger Ibbotson – Yale

Darden, Classroom 30

The PAPM with Heterogeneous Preferences and Expectations This Draft: 10/2/2019 Initial Draft: 2/6/2019 Thomas Idzorek | Paul D. Kaplan | Roger G. Ibbotson Abstract The Popularity Asset Pricing Model (PAPM) has similar assumptions to the Capital Asset Pricing Model (CAPM), but different conclusions. In the CAPM, the expected excess return Read more…

Dongho Song – JHU

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 Read more…

Edward Van Wesep – University of Colorado Boulder

Darden, FOB 194

On the magnification of small biases in decision-making Shaun William Davies, Edward Dickersin Van Wesep, Brian Waters December 5, 2019 Abstract We analyze a setting in which an actor chooses between N ex ante identical options. She can exert effort to learn about the quality of each option, but can Read more…

Campbell Harvey (Duke) – Mayo Center Virtual Seminar Series

Format: via Zoom. This is a joint event with FMA International. More details at https://www.darden.virginia.edu/mayo-center/events/speaker-series-economic-financial-implications-covid-19 Topic: The Economic and Financial Implications of COVID-19 Professor Harvey will provide an update and outlook for the global economy and financial markets as the current crisis unfolds. Topics he will discuss include: • Potential Read more…

Lin William Cong – Cornell

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 Read more…

Andrew Karolyi (Cornell) – Mayo Center Virtual Seminar Series

Format: via Zoom. This is a joint event with FMA International. More details at https://www.darden.virginia.edu/mayo-center/events/speaker-series-economic-financial-implications-covid-19 Topic: TBA There will be a Q&A session following the prepared remarks. Moderator: Marc L. Lipson - Robert F. Vandell Professor of Business Administration

Maureen O’Hara (Cornell) – Mayo Center Virtual Seminar Series

Format: via Zoom. This is a joint event with FMA International. More details at https://www.darden.virginia.edu/mayo-center/events/speaker-series-economic-financial-implications-covid-19 Topic: TBA There will be a Q&A session following the prepared remarks. Moderator: Richard B. Evans - Associate Professor of Business Administration