Can university pension plans help tackle climate change?
In November 2019, teams in the McGill International Portfolio Challenge were asked to provide a solution for a fictional pension fund reassessing its investments in the interest of climate action.
In a piece for The Globe and Mail, Professor Sebastien Betermier considers the winning solution in the context of university pension plans.
Professor Betermier on the management of exchange-traded funds
Following the rise of personalized exchange-traded funds (ETFs), Professor Sebastien Betermier comments on the choice between active and passive management.
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Delve: Pension Plans for an Evolving World
Prof Sebastien Betermier explores the ways we can evolve from the old system of defined benefits pensions that will no longer meet the needs of tomorrow’s retirees.
This article is brought to you by Delve, the official thought leadership publication of McGill University's Desautels Faculty of Management.
Who stands to benefit when companies collapse?
Following the collapse of veteran tour operator Thomas Cook, Professor Patrick Augustin has co-authored an article that highlights the problem with “empty creditors”, a growing financial market phenomenon impacting distressed firms, and how hedge funds stand to benefit.
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Cross-Country Competitive Effects of Cross-Listings
Authors: Sergei Sarkissian and Yan Wang
Publication: Review of Corporate Finance Studies, Forthcoming
Abstract:
Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant
Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant
How BlackRock spooks markets
Professor David Schumacher pulls back the curtain on BlackRock’s oversized market influence in a new documentary produced by European television network ARTE.
He discusses his research paper, Who is afraid of BlackRock?, which links BlackRock’s acquisition of Barclays Global Investors to skittish investor behaviour and shock waves in the market.
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
Authors: Patrick Augustin, Mikhail Chernov and Dongho Song
Publication: Journal of Financial Economics, Forthcoming
Abstract:
Sovereign CDS quanto spreads tell us how financial markets view the interaction between a country’s likelihood of default and associated currency devaluations (the Twin Ds). A no-arbitrage model applied to the term structure of Eurozone quanto spreads can isolate the Twin Ds and gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted 1-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) countries. The weekly risk premium for Euro devaluation in case of default for the core (periphery) exceeds the regular currency premium by up to 18 (13) basis points.
Measuring sovereign bond market integration
Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon
Publication: The Review of Financial Studies, Forthcoming
Abstract:
There is significant heterogeneity in the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries. We show that better spanning can significantly enhance market integration through local risk premia dissipation. Integration of the sovereign bond markets increases on average by about 10%, when a country moves from the 25th percentile to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.
When the index fund bubble pops
Professor Mo Chaudhury weighs in on the market risks caused by the growing popularity of index funds.
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Weighing the value of cryptocurrency
Professor Fahad Saleh publishes a new paper that examines the social and political impact of bitcoin and other cryptocurrencies.
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Guillaume Roussellet awarded 2019 FRQSC New Academics Grant
Congratulations to Guillaume Roussellet, Assistant Professor in Finance, awarded 2019 FRQSC New Academics Grant (Soutien à la recherche pour la relève professorale) “Facteurs de volatilité et valorisation du VIX”
Meet the best MBA professors
Congratulations to Professor Sujata Madan who was named by Poets & Quants among the favorite MBA professors for 2019.
How do informed traders trade based on insider information?
If previous research has identified the existence of informed trading in the options markets, new work co-authored by Professor Patrick Augustin takes it a step further, offering insights into the actual strategies informed investors are likely to use.
Rethinking pensions for today
Professor Sebastien Betermier pens a piece for American Business Magazine in which he explores why the switch over to a Defined-Contribution pension might not be the best way to go and proposes other models that can better ensure a comfortable retirement for contributors.
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