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
Dear all,
unfortunately, we had to postpone Andrea Tamoni' seminar that was scheduled today.
Best,
Luca Regis
Il gio 27 apr 2023, 21:36 Luca Regis luca.regis82@gmail.com ha scritto:
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.
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
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
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
Dear Colleagues,
it is my pleasure to invite you to the following seminar in Quantitative Finance, organised by LTI@UniTO (www.carloalberto.org/lti http://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)
Title: Crowded Space and Anomalies
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-franc... Zoom link: https://us02web.zoom.us/j/87180907471?pwd=V015OFYvL0cxMSsxTEZaZ2ZMRkxKZz09#s...
Best regards,
Luca Regis
-- Luca Regis Associate Professor ESOMAS Department, University of Torino Affiliate, Collegio Carlo Alberto sites.google.com/view/lucaregis http://sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti http://www.carloalberto.org/lti
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Luca Regis