Volatility and expected option returns: A note

Authors: Mo Chaudhury

Publication: Economics Letter, Vol. 152, March 2017

Abstract:

We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.

Still room for improvement for empowering women in finance

Professor Francesca Carrieri sits down with La Presse to talk about the hurdles that women in finance still face and the initiatives in place at the Desautels Faculty of Management to improve this reality.

For example, the Faculty has launched a task force that aims to show undergraduate women that a career in finance is indeed a viable path through mentorship and internship opportunities.

Professor Brenner on how Asian countries can overcome democratic deficits

In a piece for Asia Times, Professor Reuven Brenner points to history and other geographic contexts to demonstrate how Asian countries, such as Hong Kong and Taiwan, can redress democratic deviances.

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Professor Brenner invited to prestigious panel

Professor Reuven Brenner was invited to present on a panel that discussed venture capital in Quebec’s biotech and life sciences industry. The high-profile event was attended by Quebec Ministers Mr. Gaétan Barrette and Ms. Dominique Anglade, while the discussion was moderated in part by Mr. Pierre-Marc Johnson, former Premier of Quebec. 

Does marijuana legalization open the door to organized crime?

Following the revelation that many Canadian marijuana producers benefit from offshore financing, Desautels Professor and President of Lester Asset Management, Ken Lester, shares his perspective on marijuana legalization and organized crime, stating that the union of the two is entirely possible.

Business schools and the Fourth Industrial Revolution

In a world destabilised by rapid technological advancement, Dean Bajeux shares how business education can help us thrive amid such unprecedented change.

Professor Betermier on the value of MIPC

Following the inaugural McGill International Portfolio Challenge (MIPC), Professor Betermier reflects on how the event provided an important opportunity of self-reflexivity for Canadian pension organizations, while also contributing fresh perspectives on how to address a growing crisis.

His hope is that events like the MIPC might also inspire Finance students to delve deeper into pension management during their studies and to eventually follow this career path.

The banking system turns its back on emerging marijuana business

Many banks in Canada are refusing to offer any banking services to companies engaged in the production and distribution of marijuana. Desautels Finance Professor and Investment Management Specialist, Ken Lester comments on the hypocrisy of this situation.

“If you call your broker at one of the major Canadian banks to buy the shares of an authorized [marijuana] producer, he will not refuse.”

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.

Sovereign to Corporate Risk Spillovers

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

Publication: Journal of Money, Credit and Banking, Forthcoming

Abstract:

Canada is not facing a mortgage crisis

The Laurentian Bank of Canada recently revealed that they will have to buy back up to $300 million in loans issued to clients, realising that its vetting practices were not applied thoroughly enough.

A token of appreciation

Thanks to a student-led fundraiser, a group of BCom students recently presented a Catchbox to the Desautels Faculty of Management in honour of Professor Sujata Madan.

Catchbox is a soft microphone that is designed to be thrown among an audience to increase engagement and participation.

This initiative was a way for students to thank a professor who continually inspires them.

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.

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.