Dear Colleagues,
it is my pleasure to invite you to the following two seminars in Quantitative Finance, organised by LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto (CCA), which will take place at CCA in Torino and can be followed via Zoom. At the event page link you can find the paper, the zoom link to attend online and a button to add the event to your calendars.
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June 5th @ 12.00 Speaker: Andrea Tarelli (Università Cattolica, Milano)
Title: Active Fund Management when ESG Matters: An Equilibrium Perspective Abstract: This paper develops and applies an information acquisition model to analyze active management when ESG matters. In equilibrium, sustainable investing leads mutual fund managers to acquire information when cross-asset ESG attributes and cross-fund ESG preferences are dispersed. Sustainability-based information decisions magnify fund heterogeneities in stock holdings and tracking errors, amplify the scope of active management, as well as reduce discount rates and improve price informativeness for underlying assets with sustainability profiles that depart from the average. Enforcing ESG-perceptive funds to adopt the optimal policies of ESG-indifferent funds leads to substantial utility losses, illustrating the economic significance of nonpecuniary motives.
Event webpage link: https://www.carloalberto.org/event/andrea-tarelli-universita-cattolica-milan...
Zoom link: https://us02web.zoom.us/j/86924691100?pwd=TGcxeGpoM0dTR1FxaU9hQVM1SmlnUT09
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June 7th @ 12.00 Speaker: Pierre Collin-Dufresne (Swiss Finance Institute) Title: *Admissible Surplus Dynamics and the Government Debt Puzzle* Abstract: Is it possible to reconcile the procyclical Government surplus dynamics with the ‘safe asset status’ of sovereign Debt? In an arbitrage-free market, if the aggregate debt value satisfies a transversality condition that rules out ‘bubbles,’ then it should equal the present value of future government surpluses. This relation seems to fail when the surplus process is calibrated to historical data in the US (Jiang, Lustig, van Nieuwerburgh, and Xiolan (2022)). However, we show that when the government issues only safe government bonds in an incomplete but arbitrage-free market, then not all surplus processes are admissible in the sense that they are consistent with both the dynamic budget constraint and with a transversality condition. We propose a class of admissible surplus processes that matches empirical properities of US government spending and tax claims without generating a ‘debt valuation puzzle.’
Event webpage link: https://www.carloalberto.org/event/andrea-tamoni-rutgers-business-school/
Zoom link: https://us02web.zoom.us/j/83299685363?pwd=ZExRQTFmRXc4QTNJWnBiemJMdHoxZz09
Best regards,
Luca Regis
-- Luca Regis Associate Professor ESOMAS Department, University of Torino Affiliate, Collegio Carlo Albertosites.google.com/view/lucaregis Office: +39 011 670 6065www.carloalberto.org/lti