UVIC 2017
DardenThe 10th annual University of Virginia Investing Conference (UVIC) will take place at UVA’s Darden School of Business, 9-10 November 2017. The conference provides the insights of financial analysts, portfolio managers, economists, and industry executives and attracts professional investment managers, financial officers, academics, students, private investors and industry executives as Read more…
Stephen Karolyi – Carnegie Mellon
McIntire, RRH 270Lender Forbearance We use a regression discontinuity design to study ex-post discretion in lender’s contractual enforcement of restrictive covenant violations. At pre-set thresholds, we find that lenders enforce contractual breaches at an 11% rate, varying between 5% and 18% and peaking when credit conditions are tightest, consistent with enforcement exacerbating Read more…
Shaun Williams Davies – University of Colorado Boulder
DardenSpeculation Sentiment I provide a novel and direct test that shows speculative trades push asset prices away from fundamentals. I form the Speculation Sentiment Index using observable arbitrage trades in levered exchange traded funds (ETFs). Arbitrage activity originates from demand shocks that create relative mispricing between an ETF and its Read more…
Stefan Lewellen – LBS
DardenPoliticizing Consumer Credit Using proprietary credit bureau data, we find that consumers’ access to credit decreases by 4.5% - 8% when the borrower’s home-state U.S. Senator becomes the chair of a powerful Senate committee. The reduction in credit access mostly affects historically credit-constrained consumers (low income, non-white, and borrowers with Read more…
Rui Albuquerque – Boston College
McIntire, RRH 260The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment This paper studies the SEC's pilot program that increased the tick size for approximately 1,200 randomly chosen stocks. We provide causal evidence of a negative impact of a larger tick size on stock prices equivalent to roughly $7 Read more…
Maureen O’Hara – Cornell – Cancelled
Darden, CLA 30Innovation and Informed Trading: Evidence from Industry ETFs We hypothesize that industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks. We find that the industry ETF membership increases hedge funds’ abnormal holdings before earnings announcements and reduces the market reaction to the firm’s earnings Read more…
Moto Yogo – Princeton
McIntireThe Fragility of Market Risk Insurance Insurers sell retail financial products called variable annuities that package mutual funds with minimum return guarantees over long horizons. Variable annuities accounted for $1.5 trillion or 34 percent of U.S. life insurer liabilities in 2015. Sales fell and fees increased after the 2008 financial Read more…
Steffen Hitzemann – Rutgers
McIntireMargin Requirements and Equity Option Returns. In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin Read more…
Jongsub Lee – Warrington, U. of Florida
DardenCredit default swaps around the world: Investment and financing effects We analyze the impact of credit default swaps (CDS) introduction on real decision-making within the firm, taking into account differences in the local economic and legal environment of firms. We extend the model of Bolton and Oehmke (2011) in order to consider Read more…
Quan Wen – Georgetown – Brown Bag Series
Darden, FOB 294Why Do Mutual Funds Hold Lottery Stocks? We document large cross-sectional differences in lottery stock holdings among actively managed U.S. equity funds. We examine the incentives and performance of mutual funds that hold more lottery stocks and find that such funds are smaller, younger, and poor recent performers – characteristics Read more…
Elena Loutskina – Darden – Brown Bag Series
Darden, FOB 294Stress Tests and Small Business Lending Post-crisis stress tests have altered banks’ credit supply to small business. Banks affected by stress tests reduce credit supply and raise interest rates on small business loans. Banks price the implied increase in capital requirements from stress tests where they have local knowledge, and Read more…
Nadya Malenko – Boston College
McIntireDeadlock on the Board We develop a dynamic model of board decision making. We show that directors may knowingly retain the policy they all think is the worst just because they fear they may disagree about what policy is best in the future --- the fear of deadlock begets deadlock. Read more…
Andrew MacKinlay – Virginia Tech – Brown Bag Series
Darden, FOB 294The Underwriter Relationship and Corporate Debt Maturity Supply-side frictions impact corporate debt maturity choices. Similar to bank loan markets, corporate debt markets exhibit repeated issuance relationships between underwriters and issuers. Using micro-data on investor-underwriter-issuer relationships, we uncover significant frictions in the U.S. public corporate debt markets, even though firms issuing Read more…
Aytek Malkhozov – Federal Reserve Board – Brown Bag Series
Darden, FOB 294Can Cross-Border Funding Frictions Explain Financial Integration Reversals? We examine the role of funding frictions in international investments. Guided by an international CAPM with funding constraints, we use the differences in the betting-against-beta portfolio performance between countries to infer the magnitude and the implicit cost of barriers that impede the Read more…
Leland Farmer – UVa Econ – Brown Bag Series
Darden, FOB 294Pockets of Predictability Return predictability in the U.S. stock market is local in time as short periods with significant predictability ('pockets') are interspersed with long periods with little or no evidence of return predictability. We document this empirically using a flexible non-parametric approach and explore possible explanations of this finding, Read more…