Dear Colleagues,

it is my pleasure to invite you to the following two seminars on Quantitative Finance, organised by LTI@UniTO and CCA, which will take place in hybrid form on Tuesday 19th at 12.00 (prof. Polk, LSE) and on Wednesday at 12.00 (prof. Albuquerque, Carrol School of Management). Please find below the details and links to attend via Zoom.

Best regards,

Luca Regis

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Luca Regis
Associate Professor
ESOMAS Department
University of Torino
sites.google.com/view/lucaregis
www.carloalberto.org/lti

LTI@UniTO and Fondazione Collegio Carlo Alberto are pleased to invite you to the following seminars:

April 19, 2022 | 12:00 - 13:15

The Day Destroys the Night, Night Extends the Day: A Clientele Perspective on Equity Premium Variation

Christopher Polk (LSE – London School of Economics; CEPR)

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 unconditional alpha of the four Fama-French non-market factors decreases by 91%. We interpret these return patterns through a clientele perspective. First, individual investor expectations and consumption growth strongly positively forecast overnight market returns; intermediary risk tolerance and household equity share strongly negatively forecast intraday market returns. Second, aggregate discount-rate news associated with revisions in future expected overnight (intraday) returns is positively (negatively) correlated with aggregate cash-flow news. Finally, while the Tech boom and Covid crash/rebound were primarily driven by overnight returns, the Global Financial Crisis was mostly an intraday phenomenon.

To attend in presence, register here

To attend online, join Zoom Meeting

April 20, 2022 | 12:00 - 13:15

Strategic Leadership in Corporate Social Responsibility

Rui Albuquerque (Carrol School of Management, Boston College)

Abstract. We propose a strategic theory of Corporate Social Responsibility (CSR). Shareholder maximizers commit to a mission statement that extends beyond firm value maximization. This commitment leads firms (either product market competitors or complementors along the value chain) to change their actions in ways that ultimately favor shareholders. We thus provide a formal analysis of the “doing well by doing good” adage. We also provide conditions such that the mission statement game has the nature of a pure coordination game. Our framework thus provides a natural theory of firm leadership in a CSR context: by selecting a CSR mission statement, a first mover effectively leads the industry to a Pareto optimal equilibrium.

To attend in person, register here

To attend online, join Zoom Meeting

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