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Past Research Seminars

Past Seminars

2009

2008

2007

2006

2005

2004

Autumn 2009

7th October: Ravi Jagannathan (Kellogg School of Management) "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds"

14th October: Suleyman Basak (London Business School) "Strategic Asset Allocation in Money Management"

21st October: Rafal Wojakowski (Lancaster University Management School) "Participating Mortgages and the Efficiency of Financial Intermediation"

28th October: Ana-Maria Dimitri and Giovanni Urga (Cass Business School)"A Note on Jumps and Price Discovery in the US Treasury Market"

4th November: Carol Osler (Brandeis International Business School) "Overconfidence in Currency Markets"

11th November: Rick Johnston (Fisher College of Business, Ohio State University) "Securities and Exchange Commission Comment Letters: Enforcing Accounting Quality and Disclosure"

18th November: Sudi Sudarsanam (Cranfield School of Management) "Impact of Takeover Regulation on Merger Arbitrage in the UK"

25th November: Hannes Wagner (Bocconi University) "The Life Cycle of Family Ownership: A Comparative Study of France, Germany, Italy and the UK"

2nd December: Yuval Millo (London School of Economics and Political Science) "Resources or Power? Social Networks, Executive and Outside Director Compensation"

Summer 2009

13th May: Sohnke Bartram (Lancaster University) “How Importamt is Financial Risk?”

20th May: Amrit Judge (Middlesex University) "The Effects of Access to Public Debt Markets on Capital Structure: The Role Played by Credit Ratings"

27th May: Antonio Mele (LSE) "Ambiguity, Information Acquisition and Price Swings in Asset Markets"

10th June: Francesca Carrieri (McGill University) "On the Pricing of Investable Securities and the Role of Implicit Barriers"

17th June: Paolo Volpin (London Business School) "Securitization, Transparency and Liquidity

Spring 2009

28th January: Jay Muthuswamy (Kent State University) “Non-synchronicity in Asset Prices and Incorrect Rejections of Market Efficiency”

4th February: Bart Lambrecht (Lancaster University) "Capital Structure, Liquidity and Transferable Human Capital in Competitive Equilibrium"

18th February: Dagfinn Rime (Norwegian Central Bank) "Information in the Interbank Foreign Exchange Market"

25th February: Francisco Gomes (London Business School) "Fiscal Policy in an Incomplete Markets Economy"

4th March: Daniel Ferreira (LSE) "Unbundling Ownership and Control"

11th March: Gilles Chemla (Tankaka Business School, Imperial College) "Hedging and Vertical Integration in Electricity Markets"

18th March: Alex Taylor (Manchester Business School) "Estimating Equity Risk Premia from the Corporate Bond Market"

1st April: Garen Markarian (IE Business School) "Income Smoothing and Idiosyncratic Volatility"

8th April: Uwe Wystup (Frankfurt School of Finance and Management) “Efficient Evaluation and Hedging of FX Basket Options with Smile

Autumn 2008

1st October: Ludovic Phalippou (University of Amsterdam) “Too Busy to Monitor? Diseconomies of Scale in Private Equity”

15th October: Jens Hagendorff (Leeds University Business School) “Bank Regulation, Board Monitoring and Merger Performance: Evidence from Acquiring Banks in the US and Europe”

21st October: Ole-Kristian Hope (University of Toronto) "The Effect of Disclosure on the Pay-Performance Relation"

5th November: Kristiaan Kerstens (IESEG School of Management) "Ex-Post Performance Gauging in Discrete Time Using a Luenberger Portfolio Productivity Indicator"

12th November: Elisa Luciano (University of Torino) "Leverage and value creation in groups versus stand alone companies"

19th November: Wolf Wagner (Tilburg University) "Optimality of Interbank Liquidity Insurance"

26th November: Stefan Reichelstein (Stanford Graduate School of Business, California) “Capacity Management, Decentralization and Internal Pricing”

3rd December: Loriana Pelizzon (University of Venice) "Crises and Hedge Fund Risks"

10th December: Carsten Bienz (NHH, Bergen)"Venture Capital Exit Rights"

Summer 2008

21st April - Stephen Figlewski (Stern, NYU)
“Estimating the Implied Risk Neutral Density for the US Market Portfolio”

07th May - Vicky Kiosse (Lancaster University)
“How does the Market Price Pension Accruals?”

14th May - Marco Wilkens (Ingolstadt School of Management)
“Quantifying the Interest Rate Risk of Banks Using Accounting Based Data”

21st May - Jeroen van den Berg (Maastricht University)
“Modelling Exchange Rate Tensions: a Dynamic Duration Approach”

28th May - Dimitris Petmezas (University of Surrey)
“Can Public Acquisitions create value for acquiring firms' shareholders? Worldwide Evidence”

04th June - Geoff Meeks (Cambridge University)
“(Mis-) informing the stock market: the case of takeover bidders”

11th June - Sergei Guriev (New Economic School, Moscow)
“The Resource Curse: A Corporate Transparency Channel”

Spring 2008

16th January 2008 - Devin Shanthikumar (Harvard Business School, USA)
“After a Restatement: The Long-Run Market and Investor Response”

23rd January 2008 - Charles Kahn (University if Illinois, USA)
“Endogenous Financial Fragility and Prudential Reception”

30th January 2008 - Patrick Gagliardini (Lugano University)
“Nonlinear Errors in Factor Models”

6th February 2008 - Jason Sturges (London Business School)
“The Valuation Effects of Multinational Firms”

13th February 2008 - Kjell Nyburg (Norweigan School of Economics and Business)
"The Price of Liquidity: Bank Characteristics and Market Conditions"

20th February 2008 - Rachel Campbell (Maastricht University)

27th February 2008 - Antonio Freitas Miguel (ISTE Lisbon)
“The Determinants of Mutual Fund Performance: A Cross-Country Study”

5th March 2008 - Richard Payne (Bristol University)
"Post-trade Anonymity, Liquidity and Execution Costs"

12th March 2008 - Helena Liu (Essex University)
“Pricing Interest Rate Options”

Autumn 2007

26th September 2007 - Albert Chun (University of Montréal Business School) “Expectations, Bond Yields and Monetary Policy”

10th October 2007 - Juri Marcucci (Bank of Italy) “Credit Risk and Business Cycle over Different Regimes”

17th October 2007 - Dennis Pelletier (North Carolina State University) “Evaluating Value-At-Risk Models with Desk-Level Data”

31st October 2007 - Marc Paolella (Swiss Banking Institute, University of Zürich) “CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation”

7th November 2007 - Arthur Kraft (London Business School) “On the Weighting of Individual Analyst Forecasts in the Consensus”

14th November 2007 - Clara Raposo (ISCTE, Lisbon) “Board Structure and Price Informativeness”

21st November 2007 - Madhav Rajan (Stanford University) “On the Economic Relevance of Historic Cost”

5th December 2007 - Mark Clatworthy (Cardiff Business School) “Further Evidence on Auditor Selection Bias and the Big 4 Premium”

Summer 2007

9th May 2007 - Enrique Schroth (HEC Lausanne) (11.45am, Room LG002)

16th May 2007 - Martien Lubberink (Lancaster University) (Room LG002)

23rd May 2007 - Alessandro Sbuelz (University of Verona) (Room LG002)

30th May 2007 - Ryan Davies (Babson College) (Room LG002)

6th June 2007 - Ghon Ree (University of Hawaii) (Room LG002)

13th June 2007 - Daniel Giamouridis (Athens University) (Room LG002)

20th June 2007 - Stefano Casselli (Bocconi) (Room 3002)

Spring 2007

17th January - George Skiadopoulos (University of Piraeus) “Can the Evolution of Implied Volatility Indices be forecasted? Evidence from European and US Markets” (Room 2004 at 11.45)

24th January - George Tian (University of Beijing)
“Are firms in China catching up to the world standard?” (Room 2004)

14th February - Jerry Parwada (University of New South Wales)
“Domestic versus Foreign Investors’ Execution Ability: An Investigation of equity trading costs in the US” (Room 2004)

28th February - Tarun Ramadorai (Said Business School)
“The impact of trading technology: Evidence from the 1980 NYSE post upgrades” (with Terry Hendershott and David Easley) (Room 2004)

7th March - Mardi Dungey (University of Cambridge)
“News, No-News and Jumps in the US Treasury Market” (Room 2004)

14th March - Harbir Lamba (George Mason University)
“Rationality, Irrationality and Heterogeneous Agents” (Room 2004)

21st March - Axel Adam-Muller (University of Lancaster)
"Cross Hedging Under Multiplicative Basis Risk" (Room 2004)

Autumn 2006

18 October Stephen Brown (Emory University)
"How Disclouure Quality Affects the Level of Information Asymmetry" (LG002)

25 October Harjoat Bhamra (University of British Columbia) (LG002)

1 November Sudi Sudarsanam (Cranfield University)
"Do women CEO's take more risk? Impact of gender difference on Acquisition Risk and Value Creation in US Acquisitions"

8 November Miguel Ferreira (ISCTE, Porto)
"The role of Institutional Investors in International Mergers and Acquisition"

15 November Roberto Mura (Manchester Business School)
"Financial Flexibility and Investment Decisions: Evidence from Low-Leverage Firms"

22 November Robert Kosowski (Imperial College, London)

29 November Amil Dasgupta (London School of Economics)
"The Price of Conformism"

6 December John Cotter (University College, Dublin)
"Spectral Risk Measures: An Application to Futures Clearinghouse Maintenance Margin Requirments"

 

Summer 2006

Tea and coffee served at 12.45

May 31th
Thierry Foucault (HEC, Paris)
"Competition for Order flow and smart order routing systems" [pdf]

June 7th
Alex Stremme (University of Warwick)
"Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation" [pdf]

June 14th
Grzegorz Pawlina (Lancaster University)
"Does the Value of Managerial Flexibility always Increase with Uncertainty?"

Spring 2006

Tea and coffee served at 3.45

Jan 25th
Francesca Cornelli (London Business School)
“Ex ante effects of ex post managerial ownership" [pdf]

Feb 1st
Michel Habib (University of Zurich)
"Negotiating over Banking Secrecy: The Case of Switzerland and the European Union" [pdf]

Feb 14th
Mirela Predescu (University of Toronto)
"The Performance of Structural Models of Default for Firms with Liquid CDS Spreads" [pdf]

Feb 22nd
Eli Amir (London Business School)
"The Relative Association of R&D and Capital Expenditures with Risk and Book to Market" [pdf]

Mar 1st
Dietmar Maringer (Essex University) Joint with the Faculty of Actuarial Science.
“Small Is Beautiful: Diversification in Small Portfolios with Heuristic Optimization”

Mar 8th
Maria Faccio (Van Derbilt University)
"Sudden deaths: Taking stock of political connections" [pdf]

Mar 15th
Claire Matthews (Massey University, New Zealand)
"Bank Branches Around The World" [pdf]

Mar 22nd
Franck Bancel (ESCP-EAP, Paris)
"Cross-Country Determinants of Payout Policy: A Survey of European Firms" [pdf]

Autumn 2005

12th Oct
Ian Tonks (University of Exeter)
"Executive Pay and Performance in the UK 1994-2002" [pdf]

26th Oct
Jos van Bommel (Oxford University)
“An Empirical Enquiry into the Speed of Information Aggregation” [pdf]

2nd Nov
Kristian Miltersen (Norwegian School of Economics and Business Administration)
“Is Mortality Dead? Stochastic Forward Force of Mortality Rate Determined by No Arbitrage”

16th Nov
Mike Wright (Nottingham University)
"Irrevocable Commitments and Going Private" [pdf]

23rd Nov
Theo Vermaelen (INSEAD)
“The Nature and Persistence of Buyback Anomalies” [pdf]

30th Nov
Bart Lambrecht (Lancaster University)
“Debt and Agency in a Real-Options Model of the Firm” (co-authored with Stewart Myers from MIT) [pdf]

7th Dec (Tuesday, room 3002)
Wayne Landsman (University of North Carolina)
"Fair Value Accounting for Financial Instruments: Some Implications for Bank Regulation" [pdf]

Summer 2005

4th May
Catalina Stefanescu (London Business School)
“Calibration of Default Probabilities to External Ratings”

11th May
Pulapre Balakrishnan (IIM, India)
“Liberalisation, Market Power and Productivity Growth in Indian Industry”

18th May
John O’Hanlon (Lancaster University)
“Conservative Accounting and Linear Information Valuation Models”
[pdf]

25th May
Victoria Henderson (Princeton University)
“Valuing the Option to Invest in an Incomplete Market”
[pdf]

1st June
John Knight (The University of Western Ontario)
“Exact Properties of Optimal Investment”
[pdf]

8th June
Robert Bliss (Wake Forest University)
“Derivatives and Systemic Risk: Netting, Collateral, and Closeout”
[pdf]

14th June
Federico Bandi (University of Chicago)
“Full Information Transaction Costs”

22nd June
Mark Flannery (University of Florida)
"Partial Adjustment toward Target Capital Structures"
[pdf]

Spring 2005

26th January
William Forbes (University of Loughborough)
“Earnings Momentum, Reversion and Post-Earnings Announcement Drift”

2nd February
David Goldreich (London Business School)
"Behavioral Biases of Dealers in US Treasury Auctions” (pdf)

9th February
Gyongyi Loranth (Cambridge University)
“A Study of Inefficient Going Concerns in Bankruptcy” (pdf)

16th February
Roel Oomen (University of Warwick)
“Model-based Volatility Measures and Market Information Content” (pdf)

23rd February
Amrit Judge (Middlesex University)
“The Determinants of Foreign Currency Hedging By UK Non-Financial Firms” (pdf)

2nd March
Alberto Pozzolo (University of Molise)
“Conflicts of Interest in Financial Markets: Evidence from Bond Underwriting in the Nineties”

9th March
Richard Taffler (Cranfield School of Management)
“Does the Financial Distress Factor Drive the Momentum Anomaly?” (pdf)

16th March
Mikael Petitjean (University of Namur)
“Dynamical Asset Allocation Using the Bond-Equity Yield Ratio”

Autumn 2004

20th October
Robert Chirinko (Emory University)
“Value vs. Glamour: The Real Story” (pdf)

26th October
Josef Zechner (University of Vienna)
“Mutual Fund Flows and Optimal Manager Replacement” (pdf)

3rd November
David Stolin (Toulouse Business School)
“Intra-firm Market Integration”

10th November
Steven Young (University of Lancaster)
“Corporate Taxation, Surplus Cash and Agency Problems: the Impact of Advance Corporation Tax on Cash Disbursements by UK firms” (pdf)

17th November
Valentina Corradi (Queen Mary, University of London)
"Testing for One-Factor Models vs Stochastic Volatility Models” (pdf)

24th November
Viral Acharya (London Business School)
“Too-Many-To-Fail” (pdf)

1st December
Anna Pavlova (MIT)
“Asset prices and exchange rates” (pdf)

8th December
Jean Pierre Zigrand (London School of Economics)
"A Theory of Strategic Intermediation and Endogenous Liquidity"

Summer 2004

29th April
Peter Carr (NYU & Bloomberg)
"Robust Replication of Volatility Derivatives"

5th May
Robin Chatterjee (University of Cambridge)
"Can accounting information be used to reduce the contracting costs associated with mergers and acquisitions? - evidence from the use of earnouts in merger and acquisition agreements in the U.K "
Download Paper

12th May
Michael Brennan (UCLA)
"The Dynamics of International Equity Market Expectations"

19th May
Roger Bowden (University of Wellington)
"An overview of ordered mean difference portfolio technology"

26th May
Söhnke Bartram (University of Lancaster)
"The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures"
Download Paper

2nd June
Turalay Kenc (Imperial College)
"Real Options under Regime Switching"

9th June
Brian Kluger (University of Cincinnati)
"Judgment Error and Speculation in Laboratory Financial Markets"
Download Paper

16th June
Thomas Hall (University of Alabama)
"Law, Finance, and Innovation: The Cost of Capital for High-Technology Start-Ups"
Download Paper

Sping 2004

21st January
Simone Varotto (University of Reading)
' Ex-ante versus Ex-Post Regulation of Bank Capital'
Download Paper

28th January
Helyette Geman (University of Paris Dauphine and ESSEC)
'Levy Processes with Stochastic Volatility for Asset Price Modelling'
Download Paper

4th February
Ana Paula Serra (University of Porto)
'Risk and Return in Emerging Markets: Family Matters'
Download Paper

11th February
Professor Ken Peasnell (University of Lancaster)
 'Employee Stock Option Accounting in a Residual Income Framework'
Download Paper

18th February
Paolo Zaffaroni (Bank of Italy)
'Estimating & Forecasting Volatility with Large Scale Models: Theoretical Appraisal of Professional Practice'
Download paper

25th February
David Hendry (University of Oxford)
'The Econometrics of PcGets'

3rd March
Mark Wohar (University of Nebraska-Omaha)
'In-Sample vs. Out-of-Sample Tests of Stock Return Predictability in the Context of Data Mining'
Download Paper

10th March
'Legal risk in International Financing Transactions' (Joint with Faculty of Actuarial Science & Statistics)
Michael Kenny (Watson, Farley & Williams)

17th March
Joao Cocco (London Business School)
Lending Relationships in the Interbank Market
Download Paper

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