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  • Jan Ericsson
  • Jiro Kondo
  • Laurent Barras
  • Matthieu Bouvard
  • Patrick Augustin
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  • Ruslan Goyenko
  • Sebastien Betermier
  • Sergei Sarkissian
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Who will solve the pension crisis

Students participating in the McGill International Portfolio Challenge presented hypothetical portfolios believed to achieve solvency to address the crisis that has been affecting Canadian pension funds.

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Published: 19 Jan 2018

Sovereign to Corporate Risk Spillovers

Authors: Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schinitzler

Publication: Journal of Money, Credit and Banking, Forthcoming

Abstract:

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Published: 19 Jan 2018

Are intelligent machines the new and improved investment managers?

An article for The Globe and Mail examines the emerging trend among investment firms to integrate artificial intelligence (AI) in their daily operations.

These new systems can identify various patterns and then make increasingly accurate predictions based on this information.

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Published: 23 Nov 2017

The education reformation

In a piece for American Affairs, Professor Reuven Brenner takes a pulse of contemporary U.S. education and outlines some of the key challenges in this area, including skewed high school graduation rates and the lack of rigorous training to develop skills and discipline.

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Published: 20 Nov 2017

Technological advancement means the rethinking of language

As society continues to embrace technological advancement, we tend to overlook how the words that our ancestors used have lost their meaning. In an article for Asia Times, Desautels professor Reuven Brenner explores what happens when the words used for the physical realm are applied to a digitized society, and how the fit is not always a natural one. Prof....

Published: 14 Nov 2017

McGill launches first-ever competition on pension asset allocation

McGill hosted the world’s first business-school competition focused on the asset allocation of pension funds on November 3–4.

The inaugural McGill International Portfolio Challenge (MIPC) welcomed 25 finalist student teams from leading institutions around the world, with some traveling from as far away as Australia, Hong Kong and Switzerland to pitch their proposals to a panel of judges from several of Canada’s largest asset managers.

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Published: 10 Nov 2017

Congratulations to Faculty Award recipients

The Desautels Faculty of Management congratulates the following individuals who are the latest to be granted a Faculty Award for the period of September 1, 2017-August 31, 2020. The Faculty Awards recognise demonstrated research achievement and encourage the pursuance of future academic endeavors.

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Published: 10 Nov 2017

Desautels Global Expert: Mark Taborsky

Mark Taborsky, BCom’88, Managing Partner and Founder, MarkerTree Capital Monday, November 6, 2017

8:30 AM – 10:00 AM Guest Lecture in Alternative Investments (FINE 455) with Prof. Jan Ericsson

1:00 PM – 2:30 PM Guest Lecture in Derivatives (MMF Class - FINE 682) with Prof. Jan Ericsson

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Published: 8 Nov 2017

Is bitcoin the new gold?

Bitcoin has been the target of much speculation among financial circles with some experts alleging that it has the potential to become comparable to gold, a currency legitimized through social convention.

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Published: 7 Nov 2017

Desautels inaugurates world’s first pension portfolio challenge

This weekend, twenty-five student teams from Berkeley, Chicago, Sydney, Hong Kong, and Geneva, amongst others will participate in the final round of the McGill International Portfolio Challenge.

Organized by Desautels BCom students under the guidance of Professor Sebastien Betermier, this is the world’s first pension asset allocation competition.

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Published: 3 Nov 2017

Desautels 22: top-tier management journals

Desautels prides itself on being a research-intensive management faculty that brings together scholars with a broad range of expertise, including mathematics, economics, psychology, sociology, and technology. Together, they address in their work issues of great importance to not only the business community, but also to society.

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Published: 27 Oct 2017

Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization

Authors: David Chambers, Sergei Sarkissian and Michael J. Schill

Publication: Review of Financial Studies, Forthcoming

Abstract:

We study market segmentation effects using data on U.S. railroads that list their bonds in New York and London between 1873 and 1913. This sample provides a unique setting for such analysis because of the precision offered by bond yields in cost of capital estimation, the geography-specific nature of railroad assets, and ongoing substantial technological change. We document a significant reduction in market segmentation over time. Whilst New York bond yields exceeded those in London in the 1870s, this premium disappeared by the early 1900s. However, the segmentation premium persisted in the more remote regions of the United States.

Read full article: Review of Financial Studies

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Published: 18 Oct 2017

Two-Sided Reputation in Certification Markets

Authors: Matthieu Bouvard and Raphaël Levy

Publication: Management Science, Forthcoming

Abstract:

In a market where sellers solicit certification to overcome asymmetric information, we show that the profit of a monopolistic certifier can be hump-shaped in its reputation for accuracy: a higher accuracy attracts high-quality sellers but sometimes repels low-quality sellers. As a consequence, reputational concerns may induce the certifier to reduce information quality, thus depressing welfare. The entry of a second certifier impacts reputational incentives: when sellers only solicit one certifier, competition plays a disciplining role and the region where reputation is bad shrinks. Conversely, this region may expand when sellers hold multiple certifications.

Read full article: Management Science

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Published: 18 Oct 2017

Illiquidity Premia in the Equity Options Market

Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, Mehdi Karoui

Publication: Review of Financial Studies, Forthcoming

Abstract:

Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3:4% per day for at-the-money calls and 2:5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.

Read full article: Review of Financial Studies

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Published: 17 Oct 2017

Mathieu Bouvard wins SFI Outstanding Paper Award 2017

The Swiss Finance Institute (SFI) has attributed its Outstanding Paper Award to "The Blockchain Folk Theorem," a research paper by Bruno Biais, Toulouse School of Economics, Christophe Bisière, Toulouse School of Economics, Matthieu Bouvard, McGill University, and Catherine Casamatta, Toulouse School of Economics, that investigates the stability of the blockchain protocol in a game-theoretic approach.

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Published: 13 Oct 2017

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