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November 2018
Gill Segal – UNC
Production Networks and Stock Returns: The Role of Vertical Creative Destruction We study the relation between firms' risk and their upstreamness in a production network. Empirically, firms' average stock returns and productivity exposures increase monotonically with their upstreamness. We quantitatively explain these novel facts using a multi-layer general equilibrium model.…
Find out more »Markus Baldauf – UBC
Contracting for Financial Execution Financial contracts often specify reference prices whose values are undetermined at the time of contracting, which makes them prone to manipulation. To study such situations, we introduce a stylized model of financial contracting between a client, who wishes to trade a large position, and her broker.…
Find out more »December 2018
Stefan Thurner – Medical University of Vienna – Brown Bag Series
Eliminating Systemic Risk in Financial Markets Stefan Thurner Systemic risk in financial markets arises—to an important extent—from the interconnectedness of agents via financial contracts. We show that the systemic risk level of every player in a financial system can be quantified by simple network measures. Using central bank data from…
Find out more »Yufeng Wu – UIUC
Managerial Control Benefits and Takeover Market Efficiency How and to what extent do managerial control benefits shape the efficiency of the takeover market? We revisit this question by estimating both the dark and bright sides of managerial control benefits in an industry equilibrium model. On the dark side, managers’ private…
Find out more »Sheisha Kulkarni – UC Berkeley / UVA Economics
Removing the Fine Print: Standardization, Disclosure, and Consumer Outcomes Consumers face a choice when evaluating financial contracts: study the fine print and incur a cognitive cost or ignore it and risk costly surprises in future. We use a pair of policy changes in Chile to contrast two measures to protect…
Find out more »February 2019
Philipp Krüger – University of Geneva – Brown Bag Series
The Importance of Climate Risks for Institutional Investors According to our survey regarding climate-risk perceptions, institutional investors believe these risks have financial implications for their portfolio firms and that the risks have already begun to materialize, particularly regulatory risks. Many of the investors, especially the long-term, larger and ESG-oriented investors,…
Find out more »2019 ICI/Mayo Academic and Practitioner Symposium
2019 ICI/Mayo Academic and Practitioner Symposium Co-hosted by the Investment Company Institute and the Richard A. Mayo Center for Asset Management, Darden School of Business, University of Virginia.
Find out more »J. P. Gomez – IE Business School in Madrid – Brown Bag Series
Capital Commitment and Investment Decisions: The Role of Mutual Fund Charges Mutual fund managers, we argue, extract valuable information from the investors' choice among different load share-classes regarding their investment horizon. We find that the lack of explicit capital in share classes without entry or exit loads affects fund-trading horizon,…
Find out more »Sugata Ray – U of Alabama – Brown Bag Series
Hedge Fund Hold’em We find that hedge fund managers who do well in poker tournaments have significantly better fund performance. This effect is stronger for tournaments with more entrants, larger buy-ins, larger cash prizes and for managers who win multiple tournaments, suggesting poker skills are correlated with fund management skills.…
Find out more »March 2019
Paul Tetlock – Columbia
What Drives Anomaly Returns? We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across all factor portfolios and their mean-variance efficient combination. The main source of anomaly return variation is news about cash flows. Anomaly cash ow and discount rate components…
Find out more »Kristoph Kleiner – Indiana – Brown Bag Series
Friends with Bankruptcy Protection Benefits We evaluate whether social networks limit the effectiveness of targeted debt relief programs. In our setting, individuals learn about the likelihood of debt relief from the recent experiences of workplace peers who file for Chapter 13 bankruptcy. While peers granted bankruptcy are able to discharge…
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