Finance research workshops
Spring Term 2019
28 January: “The Contribution of Frictions to Expected Returns”
Kazuhiro Hiraki, Queen Mary University of London and George Skiadopoulos, Queen Mary University of London and University of Piraeus; also Honorary Senior Visiting Fellow at Cass Business School
4 March: “A New Measure of Diversification: the QDX Index”
Gianluca Fusai, Cass Business School and Domenico Mignacca, Qatar Investment Authority
Autumn Term 2019
5 November: "Strategic Disclosure, Primary Market Uncertainty, and Informed Sales"
Xingchen Zhu, Cass Business School
12 November: "Millenial Homeownership Paradox in the Immigration Nation"
Yi Wu, Cass Business School, Alan Tidwell, University of Alabama and Vivek Sah, University of Nevada
19 November: "Estimating Private Benefits of Control from a Dynamic Model of Shareholding"
Raffaelle Corvino, Cass Business School
26 November: "Differences in Institutional Blockholders and Corporate Voluntary Disclosure"
Xiaochi Ge, Cass Business School, Pawel Bilinski, Cass Business School and Arthur Kraft, Cass Business School
3 December: "What Drives the Disposition Effect?"
Simon Hayley, Cass Business School, Malvina Marchese, Cass Business School, Ian Marsh, Cass Business School and Richard Payne, Cass Business School
Summer Term 2018
14 May: "Foreign Ties that Bind: Cross-border Firm Expansions and Fund Portfolio Allocation around the World"
Eliza Wu (University of Sidney Business School and Cass Visiting Researcher), Fariborz Moshirian (University of New South Wales, Sidney), Peter Pham (UNSW Sydney), Shu Tian (Asian Development Bank)
11 June: "Whittle estimation of multivariate GARCH models with long memory"Malvina Marchese, University of Genoa, Cass Visiting Lecturer, Paolo Zaffaroni, Imperial College Business School
18 June: "The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets"
Alvaro Cartea (Mathematical Institute, University of Oxford), Leandro Sanchez-Betancourt (Mathematical Institute, University of Oxford)
25 June: "Dealer Leverage and Market Liquidity"
Max Bruche (Cass Business School), John C.F. Kuong (INSEAD)
Spring Term 2018
5 February: "Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models"
Jonathan Jona, University of Melbourne, Khai Lim University of Melbourne, Naomi Soderstrom, University of Melbourne and Henk Berkman, University of Auckland Business School
12 February: "Whittle Estimation of Multivariate GARCH Models with Long Memory"
Malvina Marchese, Cass Business School and University of Genoa, and Paolo Zaffaroni, Imperial College Business School
27 February: "Dissecting Announcement Returns"
Mamdouh Medhat, Cass Business School and Maik Schmeling, Cass Business School
26 March: “Access to Banking and its Value in Developed Countries: Evidence from the U.S. Marijuana Industry”
Markus Merz (Eberhard-Karls' University of Tuebingen and Visiting Researcher, Cass Business School) and Jan Riepe (Eberhard-Karls' University of Tuebingen)
Autumn Term 2017
16 October: "Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models"
Fa Wang, School of Economics, Shangai University of Finance and Economics, China
23 October: "Extrapolative Expectations and the Second-Hand Market for Ships"
Ioannis Moutzouris, Cass Business School, Nikos Nomikos, Cass Business School
30 October: "Fire-Sale Spillovers in a Network Perspective"
Christina Hans, Universitat Pompeu Fabra and Deutsche Bundesbank
06 November: "Volatility and the Cross-Section of Returns on FX Options"
Ian Marsh, Cass Business School, Jessica James, Cass Business School and Commerzbank
13 November: "Prudential Regulation and the OTC Derivatives Market"
Francesc Rodriguez-Tous, Cass Business School. Jonathan Acosta-Smith, Bank of England, Gerardo Ferrara, Bank of England, Samin Ghamami, Office of Financial Research.
20 November: "Depositors Disciplining Banks: The Impact of Scandals"
Mikael Homanen, Cass Business School
27 November: "Do Independent Advisers Improve IPO Outcomes?"
Emmanuel Pezier, Cass Business School
04 December: "Asset Encumbrance and Bank Risk: First Evidence from Public Disclosures in Europe"
Albert Banal-Estanol, Universitat Pompeu Fabra and Barcelona GSE, Enrique Benito, City, University of London, Dimitry Khametshin, Universitat Pompeu Fabra.
11 December: “Testing for Regime Changes in Large Dimensional Factor Models”
Daniele Massacci, Bank of England
Unless otherwise stated workshops will take place in Room 2005