Winter Term 2016/2017
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.
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.