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 email@example.com
Summer Term 2019
July 4th, 2019, 12:00-13:00, D4.4.008
Giuseppe Pratobevera (USI-University Lugano)
June 11th, 2019, 12:00-13:00, D4.4.008
Jack Stecher (Alberta School of Business)
May 15th, 2019, 12:00-13:00, D4.0.039
Title: "Discretionary NAVs"
Abstract: A relatively recent trend is participation by leading mutual funds and fund families in the private equity market, which has opened the door of this segment of the economy to a broader set of investor participants. Funds have substantial discretion over the pricing of these investments and, in turn, net asset values. We examine strategic pricing behavior in a sample of 152 mutual funds with positions in 314 private rms. We nd heterogeneity in fund family discretionary pricing decisions. Some funds are frequent revaluers while others are infrequent. Some funds are leaders, while others are followers. We nd that private equity pricing is procyclical with respect to relative fund performance, which is consistent with the theoretical model. We also examine fund
ows and observe that investors respond positively to reported private rm performance and appear to rationally anticipate predictable changes in private equity valuations.
May 13th, 2019, 12:00-13:00, D4.0.019
Steven Baker (McIntire School of Commerce, University of Virginia)
Title: "Asset Prices and Portfolios with Externalities"
Abstract: Elementary portfolio theory implies that environmentalists optimally hold more shares of polluting firms than non-environmentalists, and that polluting firms attract more investment than otherwise identical non-polluting firms. These results reflect the demand to hedge against high pollution states. Pigouvian taxation can reverse the aggregate investment results, but environmentalists still overweight polluters. We introduce countervailing motives for environmentalists to underweight polluters, com- paring the implications when environmentalists coordinate to internalize pollution, or have nonpecuniary disutility from holding polluter stock. With nonpecuniary disutil- ity, introducing a green derivative product may dramatically alter who invests most in polluters, but has no impact on aggregate pollution.
Abstract: We extend an investment model of Bruss and Ferguson (2002) type, where an investor observes a sequence of T investment alternatives, each endowed with a random quality characteristic. The information available at any period is the current and all prior quality characteristics and the investor has to decide whether to invest in the same period the project shows up. Finally, after the last investment alternative has shown up, those n projects with highest realized quality characteristics generate positive gross-returns which depend on their relative ranking, while the payo s of all other projects are zero. Under these assumptions we obtain the value functions and optimal investment rules for risk-neutral or risk-averse investors. A simulation study demonstrates how optimal investment decisions are a ected by the time horizon and by the attitudes towards risk. In addition, we provide sucient conditions under that the value function is non-increasing in the number of periods T.