Brown Bag Seminar
The Finance Brown Bag Seminar is held jointly with the Vienna Graduate School of Finance (VGSF) and serves as a presentation platform for PhD students, faculty members, and visitors. It usually takes place on Wednesdays from 12:00 to 13:00 (location tba). For further information, please contact firstname.lastname@example.org
Summer Term 2020
Given the current situation, we move the Brown Bag Seminars to Microsoft Teams.
June 30th, 2020, 18:00 - 19:00, online via MS Teams
The seminar will take place on Teams; you can access starting from 17:45 at the following link.
Alfred Lehar (University of Calgary)
Title: Miner Collusion and the BitCoin Protocol
Abstract: Bitcoin users can offer fees to miners who record their transactions in the block-chain. We document high variation of bitcoin fees, not only over time, but also within blocks. Further, the block-chain rarely runs at capacity, even though fees tend to be higher when blocks are fuller, so miners appear to be leaving `money on the table.' We present a simple model of price discrimination to explain our results. We note that mining pools facilitate collusive equilibria, and estimate that they have extracted least 200 million USD a year in excess fees by making processing capacity scarce.
May 14th, 2020, 12:00-13:00, online via MS Teams
The seminar will take place on Teams; you can access starting from 11:45 at the following link.
John Cotter (University College Dublin)
Title: "Macro-Financial Spillovers"
Abstract: We analyze spillovers between the real and financial sides of the US economy allowing for differences in sampling frequency between financial and macroeconomic data. We find that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during turbulent market conditions. Our macro-financial spillover measures are found to have significant predictive ability for future US macroeconomic conditions in both in-sample and out-of-sample forecasting environments. Furthermore, the predictive ability of our macro-financial measures frequently exceeds that of purely financial systemic risk measures previously employed in the literature for the same task.
May 13th, 2020, 10:00-11:00, online via MS Teams
The seminar will take place on Teams; you can access starting from 9:45 at the following link.
Seppo Ikäheimo (Aalto University)
Title: "Does CEO IQ improve earnings persistence?”
April 21st, 2020, 13:30-14:30, online via MS Teams
The meeting will open at 13:15 for you to dial in. To join the stream please follow this link.
Daniele D’Arienzo (Bocconi University)
Title: "Increasing Overreaction and Excess Volatility of Long-Term Interest Rates"
Abstract: Giglio and Kelly (2017) find that the volatility of long-term rates is too large relative to that of short-term rates for a large class of rational expectations models. I assess the possibility that such excess volatility may come from investor beliefs. I use survey data on analyst expectations and data on market beliefs recovered from observed yields using the methodology of Ross (2015). I obtain three main findings. First, the two datasets reveal a remarkably similar pattern of horizon dependent departures from rationality: expectations about long rates over-react relative to expectations about short rates. Second, a model of diagnostic expectations rationalizes this horizon dependent belief distortions and generates excess volatility of long term rates. Third, when calibrated to the data, this model accounts from roughly 80% of the excess volatility puzzle for a reasonable value of the diagnosticity parameter.
March 3rd, 2020, 12:00-13:00, D4.4.008
William Johnson (Suffolk University / Vienna University of Economics and Business)
Title: "The consequences to directors of deploying poison pills" with Jon Karpoff and Michael Wittry
Abstract: We examine the labor market consequences for directors who adopt poison pills. Directors who become associated with pill adoption experience significant decreases in vote margins and increases in termination rates across all their directorships. They also experience a decrease in the likelihood of new board appointments. Firms have positive abnormal stock price reactions when pill-associated directors die or depart their boards, compared to zero abnormal returns for other directors. Further tests indicate that these adverse consequences accrue primarily to directors involved in the adoption of pills at seasoned firms and not at young firms. We conclude that directors who become associated with poison pill adoption suffer a decrease in the value of their services, and that the director labor market thus plays an important role in firms’ governance.
Winter Term 2019/20
January 27th, 2020, 11:30-12:45, D4.0.019
Lubos Pastor (The University of Chicago Booth School of Business)
Title: Sustainable Investing in Equilibrium
Abstract: We present a model of investing based on environmental, social, and governance (ESG) criteria. In equilibrium, green assets have negative alphas, whereas brown assets have positive alphas. The ESG investment industry is at its largest, and the alphas of ESG-motivated investors are at their lowest, when there is large dispersion in investors' ESG preferences. When this dispersion shrinks, so does the ESG industry, even if all investors' ESG preferences are strong. Greener assets are more exposed to an ESG risk factor, which captures shifts in customers' tastes for green products or investors' tastes for green holdings. Under plausible conditions, the latter tastes produce positive social impact.
December 18th, 2019, 12:15-13:30, D4.0.136
Florian Lindner ( Max Planck Institute for Research on Collective Goods)
Title: Delegated Investment Decisions and Rankings
Abstract: Two aspects of social context are central to the finance industry. First, financial professionals usually make investment decisions on behalf of third parties. Second, social competition, in the form of performance rankings, is pervasive. Therefore, we investigate professionals' risk-taking behaviour under social competition when investing for others. We run online and lab-in-the-field experiments with 965 financial professionals and show that professionals increase their risk taking for others when they lag behind. Additional survey evidence from 1,349 respondents reveals that professionals' preferences for high rankings are significantly stronger than those of the general population.
December 16th, 2019, 12:00-13:00, D4.4.008
Thomas Rauter (The University of Chicago Booth School of Business)
Title: Perceived Precautionary Savings Motives: Evidence from FinTech
Abstract: We study the consumption response to the provision of credit lines to individuals that previously did not have access to credit combined with the possibility to elicit directly a large set of preferences, beliefs, and motives. As expected, users react to the availability of credit by increasing their spending permanently and reallocating consumption from non-discretionary to discretionary goods and services. Surprisingly, though, liquid users react more than others and this pattern is a robust feature of the data. Moreover, liquid users lower their savings rate, but do not tap into negative deposits. The credit line seems to act as a form of insurance against future negative shocks and its mere presence makes users spend their existing liquidity without accumulating any debt. By eliciting preferences, beliefs, and motives directly, we show these results are not fully consistent with models of financial constraints, buffer stock models with and without durables, present-bias preferences, uncertainty about future income, bequest motives, or the canonical life-cycle permanent income model. We label this channel the perceived precautionary savings channel, because liquid households behave as if they faced strong precautionary savings motives even though no observables suggest they should based on standard theoretical models.
September 25th, 2019, 12:00-13:00, D4.0.019
Lu Li, (LMU Munich)
Title: Opening up the Black Box: the Impact of Technological Transparency on Self-Protection
Abstract: This article discusses the behavioral and welfare implications of uncovering the mechanism of self-protection technologies. Based on a new interpretation of self-protection, we introduce the concept of technological transparency -- the extent to which the mechanism of the technology is understood. We analyze the consequence of improved technological transparency according to whether the improvement stems from uncovering exogenous or endogenous risk determinants. We show that technological transparency improves welfare through enabling more efficient prevention, but this welfare improvement may be undermined or even reversed if information is incompletely disclosed or if the risk can be insured through private insurance markets. We also show that technological transparency affects behavior through an ex ante information channel and an ex post regret channel. Our findings have implications on the cost-benefit analysis of scientific research conducted to identify hidden risk determinants. They also inform the design of personalized preventive healthcare, as well as information campaigns to promote public safety.
September 20th, 2019, 12:00-13:00, D4.0.133
Veronesi Pietro (Chicago Booth)
Abstract: Differential variation in households’ risk preferences over the business cycle affects the demand and supply of debt securities, which, in turn, affect intermediaries’ balance sheets. As in the data, our frictionless model predicts that intermediaries’ debt declines in contractions when their financial risk increases and asset prices drop, thus mimicking active deleveraging. As intermediaries’ leverage proxies for aggregate risk aversion, it predicts asset returns. Our model is consistent with poorer households borrowing more and with levered households deleveraging in crisis and "fire selling" their risky securities. Yet, as empirically observed, their debt-to-wealth ratios increase as higher discount rates make their wealth decline faster.