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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May 2nd @ 12.00 Speaker: Christopher Polk (LSE) Title: The Day Destroys the Night, Night Extends the Day: A Clientele Perspective on Equity Premium Variation Abstract: We decompose market returns into their overnight and intraday components, which dramatically improves equity premium forecasts. Past smoothed overnight market returns strongly negatively forecast subsequent close-to-close returns (quarterly R2 of over 14%), primarily through intraday mean reversion. In contrast, past smoothed intraday market returns strongly positively forecast subsequent overnight returns; this partially-offsetting effect explains PE’s relatively poor forecasting ability (R2 only 3%). Our decomposition also resurrects the conditional CAPM: If we allow market betas to vary with past smoothed overnight returns, the four Fama-French factors’ alphas decrease on average by 84%. We interpret these return patterns through a clientele perspective. First, individual investor expectations and consumption growth strongly positively forecast overnight market returns, while intermediary risk tolerance strongly negatively forecasts intraday market returns. Second, aggregate cash-flow news occurs primarily intraday and is positively (negatively) correlated with revisions in expected future overnight (intraday) returns. Finally, while the Tech boom, Covid crash/rebound, and patterns in meme stocks were primarily driven by overnight returns, the Global Financial Crisis was mostly an intraday phenomenon.
Event webpage link: https://www.carloalberto.org/event/christopher-polk-london-school-of-economi...
Zoom link: https://us02web.zoom.us/j/83709123462pwd=OWpUM0VvRVNzbTN0bUJlRVVsNzA4Zz09
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May 3rd @ 12.00 Speaker: Andrea Tamoni (Rutgers Business School) Title: Stock Demand and Price Impact of 401(k) Plans Abstract: We estimate a demand system linking 401(k) plans ownership of individual stocks and funds to their demand for equities, and quantify the effect of 401(k) assets on fund managers’ investment behavior. We find that 401(k) fund and stock ownership are the most important variables, after size, explaining fund demand for stocks, with a one standard deviation increase in 401(k) ownership leading to 15-30% increase in stock demand. Funds managing a larger fraction of 401(k) assets tilt their portfolios toward winners, high beta and long duration stocks, outperforming their benchmarks. This investment behavior has important implications for security pricing and generate a feedback effect if pension flows respond positively to relative fund returns. Lastly, we estimate the equilibrium price impact of a change in 401(k) ownership to be positive and increasing over time, consistent with the shift from active to passive investing.
Event webpage link: https://www.carloalberto.org/event/andrea-tamoni-rutgers-business-school/
Zoom link: https://us02web.zoom.us/j/83937896694?pwd=MVFoN2VudVM4a2Y5OXFvaklTRS85Zz09
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