Finance research workshops
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
27 February: "Dissecting Announcement Returns"
Mamdouh Medhat, Cass Business School and Maik Schmeling, Cass Business School
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