Dear Colleagues,


it is my pleasure to invite you to the following seminar 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 27th @ 12.00
Speaker: Ludwig Chincarini (University of San Francisco)
Abstract: This paper investigates the relation between crowded trades, those in which many investors hold the same stocks possibly exhausting their liquidity provision, and future stock returns on a set of well-known stock market anomalies. We find that anomaly risk-adjusted returns appear to be concentrated among the most (least) crowded stocks for the long-leg (short-leg) portfolio. Moreover, we find that our results remain significant after publication dates. We hypothesize that crowded equity positions in anomaly stocks increase institutional investor’s exposure to crash risk and liquidity risk. Our findings are consistent with this hypothesis and suggest that crowding adds a new consideration to the limits of arbitrage.

Event webpage link: https://www.carloalberto.org/event/ludwig-chincarini-university-of-san-francisco/
Zoom link: https://us02web.zoom.us/j/87180907471?pwd=V015OFYvL0cxMSsxTEZaZ2ZMRkxKZz09#success


Best regards,

Luca Regis

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Luca Regis
Associate Professor
ESOMAS Department, University of Torino
Affiliate, Collegio Carlo Alberto
sites.google.com/view/lucaregis
Office: +39 011 670 6065
www.carloalberto.org/lti