Winter Term 2016/2017

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  • Feb­ru­ary 16th, 2017 12:00-13:00, D4.0.039
    Sal­vatore Migli­etta
    (BI Nor­we­gian School of Man­age­ment)
    "Why Do Boards Ex­ist? Gov­ernance Design in the Ab­sence of Cor­por­ate Law"

    Ab­stract: We study how own­ers trade off costs and be­ne­fits of es­tab­lish­ing a board in a his­tor­ical set­ting, where boards are op­tional and au­thor­ity over cor­por­ate de­cisions can freely be al­loc­ated across the gen­eral meet­ing, the board, and man­age­ment. We find that large own­ers and boards are sub­sti­tutes, and that boards ex­ist in firms most prone to have col­lect­ive ac­tion prob­lems. Boards mon­itor, ad­vice, and me­di­ate among share­hold­ers, and these dif­fer­ent roles en­tail dif­fer­ent al­loc­a­tions of au­thor­ity. Boards also ar­ise to bal­ance the need for small share­holder pro­tec­tion with the need to curb ma­na­gerial dis­cre­tion.

  • Janu­ary 25th, 2017 11:00 - 12:00, D4.0.127
    Stew­art C. My­ers (Mas­sachu­setts In­sti­tute of Tech­no­logy)
    "Real Op­tions, Taxes and Lever­age"
    joint with A. Read, Jr.

  • Novem­ber 16th, 2017 12:00 - 13:00, D4.0.039
    Aleksandra Rzeznik (WU)
    “Local Eco­nomic Con­di­tions and Local Equity Pref­er­ences: Evid­ence from Mu­tual Funds dur­ing the U.S. Hous­ing Boom and Bust”

    Ab­stract: “This pa­per ex­am­ines the im­pact of local eco­nomic con­di­tions on mu­tual fund pref- er­ences for geo­graph­ic­ally prox­im­ate stocks and con­sequent fund per­form­ance. Spe­cif- ic­ally, we demon­strate that mu­tual funds fa­vour _rms located within close geo­graphic prox­im­ity and that the strength of these pref­er­ences vary with local hous­ing price shocks. A de­crease in local house prices is strongly as­so­ci­ated with an in­crease in mu­tual fund home bias and res­ults in a port­fo­lio ad­just­ment to­wards safer and higher qual­ity hold- ings. This port­fo­lio ad­just­ment sub­sequently re­duces mu­tual fund per­form­ance: a one per­cent­age point in­crease in home bias causes a de­crease in a fund's 3-­month DGTW ad­jus­ted fu­ture re­turn by 35.3 bsp.”

  • Novem­ber 9th, 2016 12:00-13:00, D4.0.039
    Peter Gruber (Uni­versity of Lugano)
    " The Price of the Smile and Vari­ance Risk Premia"
    (joint with Clau­dio Te­baldi and Fa­bio Tro­jani)

    Ab­stract: In a tract­able stochastic volat­il­ity model, we identify the price of the smile as the price of the un­spanned risks traded in SPX op­tion mar­kets. The price of the smile re­flects two per­sist­ent volat­il­ity and skew­ness risks, which im­ply a down­ward slop­ing term struc­ture of low-­fre­quency vari­ance risk premia in nor­mal times. In peri­ods of dis­tress, the term struc­ture is up­ward slop­ing and dom­in­ated by a high-­fre­quency premium for jump vari­ance. This di­cho­tomy is con­sist­ent with the puzz­ling skew sens­it­iv­it­ies of op­tion mar­kets with cred­it-­con­strained in­ter­me­di­ar­ies and it builds a chal­lenge for many re­duced-­form and struc­tural mod­els of stochastic volat­il­ity.