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 2013-2014 Seminars  

Date

Speaker

Title 

Sept. 6/13 Aytek Malkhozov McGill  Mortgage Hedging in Fixed Income Markets 
Sept. 13/13 Selale Tuzel USC  Local Risk, Local Factors, and Asset Prices
Sept. 20/13 Kent Daniel   Columbia U   Momentum Crashes                                                                                                               
Nov. 1/13 Héctor Pérez-Saiz Bank of Canada  Dealers' Competition and Control of a Central Counterparty:  When Lower Risk Increases Profit
Nov. 8/13 Stephen Brown NYU  Macroeconomic Risk and Hedge Fund Returns
Nov. 15/13 Terrance Odean UC Berkeley (Joint HEC/McGill Seminar)  Bubbling with Excitement: An Experiment
Nov. 22/13 Linda Tesar U Michigan

 Saving Europe? The Unpleasant Arithmetic of Fiscal Austerity in Integrated Economies

Nov. 29/13 Harjoat Bhamra Imperial College   Stochastic Idiosyncratic Operating Risk & Real Options:  Implications for Stock Returns
Jan. 10/14 Jonathan Reuter Boston College  Mutual Fund Advisers and Subadvisers
Jan. 31/14 Stijn Van Nieuwerburgh NYU  Firm Volatility in Granular Networks
Feb. 7/14 Jean-Sébastien Fontaine Bank of Canada  Funding Liquidity Risk and the Cross-Section of Stock Returns
Feb. 14/14 Alexandre Jeanneret HEC Montréal  The Dynamics of the Equity Risk Premium
Feb. 21/14 Guillermo Ordonez U Pennsylvania  Debt:  Deleveraging or Default
Feb. 28-Mar. 2/14 RISK MANAGEMENT CONFERENCE  Program
March 14/14 Sébastien Betermier McGill

 Who are the Value and Growth Investors?

March 21/14 Joao Cocco LBS  Reverse Mortgage Design

March 28/14 

Thomas Hellmann UBC (Joint HEC/McGill Seminar)  Angels and Venture Capitalists:  Complements or Substitutes?
April 4/14 Luigi Guiso EIEF, CEPR  Time Varying Risk Aversion

 

2012-2013 Seminars  

Date

Speaker

Title 

Sept. 7/12 Jonathan Lewellen
Dartmouth
The Cross Section of Expected Stock Returns
Sept. 14/12 Adrien Verdelhan
MIT
The Share of Systematic Variation in Bilateral Exchange Rates
Sept. 21/12 Maureen O'Hara
Cornell
Hidden Liquidity:  Some New Light on Dark Trading
Oct. 5/12 Saurin Patel
McGill
Economic Optimism, Information Uncertainty and Future Investment
Decisions: Evidence from the Mutual Fund Industry
Oct. 12/12 Andrea Vedolin
LSE
Hedging Activity in Fixed Income Markets
PLEASE NOTE THIS SEMINAR HAS BEEN CANCELLED.
Nov. 2/12 John Campbell 
Harvard        
An Intertemporal CAPM with Stochastic Volatility                
Nov. 9/12 Sara Holland
U Georgia
In Sickness and in Health:  Firm Performance and Managerial Health
Nov. 16/12 Harrison Hong
Princeton
Speculative Betas
Nov. 23/12 David Chambers
Cambridge
Keynes the Stock Market Investor
Nov. 30/12 Laurent Fresard
Maryland
Learning from Peers' Stock Prices and Corporate Investment
Dec. 7/12   Jason Chen
UBC
Do Cash Flows of Growth Stocks Really Grow Faster?
Jan. 11/13 Per Stromberg
SSE
Private Equity and the Resolution of Financial Distress
Mar. 1/13 Richard Stanton
Berkeley
Behavioral Factors in the Valuation of Employee Stock Options
Mar. 15/13 Jessica Wachter
Wharton
Rare Booms and Disasters in a Multi-Sector Endowment Economy
Mar. 22/13 Paolo Sodini
SSE
Household Finance:  An Emerging Field
Apr. 5/13 David Thesmar
HEC Paris
Banking Deregulation and the Rise in House Price Comovement
Apr. 12/13 Kent Daniel
Columbia

Momentum Crashes
PLEASE NOTE THIS SEMINAR HAS BEEN CANCELLED.

Apr. 16/13
(Tuesday)
Erwan Morellec
EPFL
Capital Supply Uncertainty, Cash Holdings, and Investment

2011-2012 Seminars  

Date

Speaker

Title 

Sept. 2/11 Amit Goyal
U Lausanne
Cross-Sectional Asset Pricing with Individual Stocks
Sept. 9/11 Jack Favilukis
LSE
Foreign Ownership of U.S. Safe Assets:
Good or Bad?
Sept. 23/11 Alexi Savov
NYU
Free for a Fee:  The Hidden Cost of Index Fund
Investing
Sept. 30/11 Stavros Panageas
Chicago
Optimal Inattention to the Stock Market with
Information Costs and Transactions Costs
Oct. 14/11 Kathryn Dewenter
U Washington 
Estimates from Currency Exposure:  Evidence from
Shifts in Currency Risk
Oct. 28/11 Joey Engelberg
UCSD
Network Position and Productivity:  Evidence from
Journal Editor Rotations
Nov. 4/11 Charles Jones
Columbia
Revealing Shorts:  An Examination of Large Short
Position Disclosures
Nov. 11/11 Ulf Axelson
LSE
Investment Banking Careers:  An Equilibrium Theory
of Overpaid Jobs
Nov. 18/11 Raman Uppal
EDHEC
Asset Prices in General Equilibrium with Transactions
Costs and Recursive Utility
Dec. 2/11 Manuel Adelino
Dartmouth College
Credit Supply and House Prices:  Evidence from
Mortgage Market Segmentation
Jan. 20/12 Matthieu Bouvard
McGill U
Transparency in the Financial System:  Rollover
Risk and Crisis
Mar. 2/12 Alexander Ljungqvist
NYU
Shaping Liquidity:  On the Causal Effects of Voluntary
Disclosure
Mar. 8-11/12 RISK MANAGEMENT CONFERENCE Mont Tremblant
Mar. 23/12 Dimitris Papanikolaou
Northwestern U
A Theory of Firm Characteristics and Stock Returns:
The Role of Investment-Specific Shocks
Mar. 30/12 Karen K. Lewis
Wharton
Differences of Opinion and International Equity
Markets
Apr. 13/12 Peter Kondor
CEU
Inefficient Investment Waves

  

2010-2011 Seminars 

Date

Speaker

Title 

Sept. 10/10 Toni M. Whited
U of Rochester
Agency Conflicts and Cash: Estimates from a Structural Model
Sept. 17/10 Lu Zhang
Ohio State U & NBER
The Value Spread: A Puzzle
Sept. 24/10 Lemma Senbet
U of Maryland
Law, Organizational Form, and Taxes: Financial Crisis and Regulating through Incentives
Sept. 29/10 Franco Oboni KISS Approach to Risk Based Decision Making
Please register your attendance at PRMIA
A PRMIA (Professional Risk Managers' International Association) event in partnership with Desmarais Global Finance Research Centre
Oct. 1/10 Jiro Kondo
Northwestern University
Vagueness as Adjudicator Authority: Theory and Evidence on Contract Vagueness and Enforcement Evaluation
Oct. 8/10 Itay Goldstein
U of Pennsylvania
Self-Fulfilling Credit Market Freezes
Oct. 15/10 Laurent Calvet
HEC, Paris
Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios
Oct. 29/10 Duane Seppi
Carnegie Mellon U
Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change
Nov. 5/10 Uday Rajan
U of Michigan
Competition, Quality and Managerial Slack
Nov. 12/10 Adriano A. Rampini
Duke U
Collateral and Capital Structure
Nov. 19/10 Michael S. Weisbach
Ohio State U
Pay for Performance from Future Fund Flows: The Case of Private Equity
Nov. 26/10 Marcus M. Opp
U of California, Berkeley
Rating Agencies in the Face of Regulation - Rating Inflation and Regulatory Arbitrage
Thurs. Feb.10/11 John Scott, Chief Risk Officer, Zurich Global Corporate,
Zurich Financial Services (London, England);
Sylvie Hulin, Senior Manager, Deloitte Consulting LLP (Chicago);
Jack R. Buchmiller, Supervising Risk Management Specialist,
Capital Markets Bureau, New York State Insurance Department (Stamford, CT / New York)
Enterprise Risk Management for Insurance Companies
Please register your attendance at PRMIA

A PRMIA (Professional Risk Managers' International Association) event in partnership with Desmarais Global Finance Research Centre
Feb. 11/11 Laurent Barras
McGill U
Understanding the Relation between the Statistical and Economic Significance of Predictability
March 4/11 David Sraer
Princeton U
Going for Broke:  New Century Financial Corporation, 2004-2006
March 11/11 Neng Wang
Columbia U
The Economics of Hedge Funds: Alpha, Fees, Leverage, and Valuation
March 18/11 Lubos Pastor
U of Chicago
Uncertainty about Government Policy and Stock Prices
March 25/11 Jarrad Harford
U of Washington
Refinancing Risk and Cash Holdings
April 1/11 Jules van Binsbergen
Northwestern U
A Term Structure of Growth

 

2009-2010 Seminars 

Date

Speaker

Title 

Sept. 4/09 Christa Bouwman
MIT Sloan (Visiting) and Case Western Reserve U
Corporate Governance Contagion Through Overlapping Directors
Sept. 11/09 Jakub W. Jurek
Princeton U
The Pricing of Investment Grade Credit Risk during the Financial Crisis
Sept. 18/09 Lasse Pedersen
NYU
Margin-Based Asset Pricing and Deviations from the Law of One Price
Oct. 2/09 Samuel Lee
NYU
Liquidity Externalities and Markets for Information
Oct. 9/09 Viral Acharya
NYU
Liquidity Risk of Corporate Bond Returns
Oct. 16/09 Denis Gromb
INSEAD and CEPR
Financially Constrained Arbitrage and Cross-Market Contagion
Nov. 6/09 Michelle Lowry
Penn State U
When Do Banks Listen to Their Analysts? Evidence from Mergers and Acquisitions
Nov. 13/09 Gustavo Manso
MIT
Motivating Innovation
Feb. 12/10 Jan Ericsson
McGill U
Credit Default Swaps, Options and Systematic Risk
Feb. 17/10 Commodities/Energy Risk Management

A PRMIA (Professional Risk Managers' International Association) event in partnership with Desmarais Global Finance Research Centre at Desautels Faculty of Management, McGill University & CIRANO.
March 5/10 Ruslan Goyenko
McGill University
Mutual Fund's R2 as Predictor of Performance
March 9/10 Jeff Pontiff
Boston College
Do Managers Try to Mislead Investors? Evidence from Their Daily, Year-End Trades
March 12-14/10 Risk Management Conference - Mont Tremblant

In partnership with the Institut de Finance Mathématique de Montréal
March 19/10 Francesca Carrieri
McGill University
Do Implicit Barriers Matter for Globalization?
March 26/10 Leonard Kostovetsky
U of Rochester
Political Capital and Moral Hazard
April 9/10 Pierre Chaigneau
HEC Montréal
The Optimal Timing of Compensation with Managerial Short-termism
April 29/10 John M. Coates
University of Cambridge, UK
Fight or Flight on Wall Street: The Biology of Financial Risk-Taking (A MWP Brain-to-Society Research Center event in partnership with the Desmarais Global Finance Research Centre)

 

2008-2009 Seminars 

Date

Speaker

Title 

Sept. 19/08 Stylianos Perrakis
Concordia U
Can the Black-Scholes-Merton Model Survive Under Transaction Costs?  An Affirmative Answer
Sept. 26/08 Kerry Back
Texas A&M U
Open Loop Equilibria and Perfect Competition in Option Exercise Games
Oct. 3/08 Karl Lins
U of Utah
What Drives Corporate Liquidity?  An International Survey of Cash Holdings and Lines of Credit
Oct. 24/08 Michael Johannes
Columbia U
Shocks to Asset Pricing Factors:  Understanding the Risks and Realized Returns of Common Asset Pricing Factors
Oct. 31/08 Guofu Zhou
Washington U
How Predictable are Components of the Aggregate Market Portfolio?
Nov. 7/08 Jacob Sagi
Vanderbilt U
Do Fund Managers Make Informed Aset Allocation Decisions?
Nov. 14/08
(co-hosted with CIREQ)
Kristian Miltersen
Norwegian School of Economics & Business Admin.
Risky Corporate Debt with Finite Maturity
Nov. 21/08 Jay Hartzell
U of Texas
Is a Higher Calling Enough?  Incentive Effects in the Church
Nov. 28/08 Chayawat Ornthanalai
McGill
A New Class of Asset Pricing Models with Levy Processes:  Theory and Applications

Mar 13/09
(Co-hosted with CIREQ)

Gurdip Bakshi
U of Maryland
Viability of U-Shaped Pricing Kernels:  An Appraisal
Mar 20/09 Ronnie Sadka
Boston C

Intraday Patterns in the Cross-Section of Stock Returns

Mar 27/09 Kee-Hong Bae
York U
Do Foreigners Facilitate Information Transmission in Emerging Markets

2007-2008 Seminars 

Date

Speaker

Title 

Oct. 12/07 Lorenzo Garlappi
University of Texas - Austin
Financial Distress and the Cross Section of Equity Returns
Oct. 26/07 Vojislav Maksimovic
University of Maryland
Formal versus Informal Finance:  Evidence from China
Nov. 2/07 Chris Lundblad
University of North Carolina
What Segments Equity Markets?
Nov. 9/07 Amy Dittmar
University of Michigan
Why Do Firms Use Private Equity to Opt Out of Public Markets?
Nov. 16/07 Mara Faccio
Purdue University
Sudden Deaths:  Taking Stock of Geographic Ties
Nov. 30/07

Montreal Finance Day
TIME: 10:00-12:00 noon
LOCATION:  HEC Montréal
3000 Chemin de la Côte-Sainte-Catherine
Room - Société Canadienne Des Postes (Section Yellow)

Feb. 1/08 Christopher Parsons
McGill
Strike Three:  Umpires' Demand for Discrimination
Feb. 15/08 Mike Chernov
LBS
The Term Structure of Inflation Forecasts
Feb. 22/08 Amrita Nain
McGill
Horizontal Acquisitions and Buying Power:  A Product Market Analysis
Mar. 7/08 Robert Grauer
Simon Fraser University
Cross-sectional Tests of the CAPM and Fama-French Three-factor Model
Mar. 13-16/08 Second Risk Management Conference.
Mar. 28/08 Andrew Ang
Columbia University
Monetary Policy Shifts and the Term Structure
Apr. 4/08 Tarun Chordia
Emory University
Why Has Trading Volume Increased?
Apr. 11/08 Kalok Chan
HKUST
Why Foreign Investors Trade More Frequently?

 

2006-2007 Seminars

Date

Speaker

Title 

Oct. 6/06 Bo Becker
U. of Illinois at Urbana-Champaign
Local Dividend Clienteles
Oct. 20/06
(joint with CIREQ
Alan White
U. of Toronto 
Valuing Credit Derivatives Using an Implied Copula Approach 
Oct. 27/06 Andrei Simonov
SSE
Shareholder Homogeneity & Firm Value:  The Disciplining Role of Non-Controlling Shareholders
Nov. 3/06
(joint with CIREQ
Suresh Sundaresan
Columbia
Lending Without Access to Collateral - A Theory of Micro-Loan Borrowing Rates
Nov. 17/06 Doron Avramov
U. of Maryland
Dispersion in Analysts' Earnings Forecasts & Credit Rating
Dec. 1/06 Matthew Rhodes-Kropf
Columbia
The Market for Mergers and the Boundaries of the Firm
Feb. 9/07 Ruslan Goyenko
McGill
Synchronization Risk and the NASDAQ Technology Bubble
Mar. 2/07
(joint with CIREQ
Zeigham Khokher
Univ. of Western Ontario

Scarcity and Risk Premiums in Commodity Futures

Mar. 16/07 A. Subrahmanyam
UCLA

Theory-Based Illiquidity and Asset Pricing

Mar 23/07 Geert Rouwenhorst
Yale
The Fundamentals of Commodity Futures
Mar. 30/07
(joint with CIREQ
Raghu Rau
Purdue

Corporate Event Waves

June 7 & 8/07 Third Biennial McGill Conference on Global Asset Management.

2005-2006 Seminars

Dat

Speaker

Title 

Sep. 9/05

Gordon Phillips
Maryland

Why Do Public Firms Issue Private & Public Securities?
Sep. 16/05

Tarun Chordia
Emory

Momentum and Credit Rating
Sep. 23/05 Laura Starks
UT Austin
Conflicts of Interest in Sell-side Research and the Moderating Role of Institutional Investors
Oct. 7/05 Marcin Kacperczyk
UBC
The Price of Sin:  The Effects of Social Norms on Markets
Oct. 21/05 Michael Cooper
Purdue & Utah
The Other January Effect
Oct. 28/05
(joint with CIREQ)
Martin Lettau
NYU

Reconciling the Return Predictability Evidence
In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

Nov. 4/05
(joint with CIREQ)
Aydogan Alti
UT Austin
Why Do Investors Chase Return Trends?
Nov. 18/05 Ingrid Werner
Ohio State
Can Short-sellers Predict Returns?  Daily Evidence
Dec. 2/05
(joint with CIREQ
Utpal Bhattacharya
Indiana
The Role of the Media in the Internet IPO Bubble
Jan-Feb/06 Recruiting Seminars
Mar. 3/06 Diane DelGuercio
Oregon
Shareholder Activism & the Market for Directors:  Do Vote No Campaigns Damage Directors' Reputations?
Mar. 10/06 Dimitri Vayanos
LSE
A Search-Based Theory of the On-the-Run Phenomenon
Mar. 17/06

Anil Shivdasani
UNC

Financial Fraud, Director Reputation, and Shareholder Wealth
Mar. 31/06
(joint with CIREQ)
Hank Bessembinder
Utah
Liquidity Biases in Asset Pricing Tests
Apr. 7/06 Ivo Welch
Yale & Brown
Equity Premium Prediction

2004-2005 Seminars

Date

Speaker

Title 

Sep. 7/04
(Joint with
IFM2)
Hayne Leland
UC Berkeley
On Purely Financial Synergies & the Optimal Scope of the Firm:  Implications for Mergers, Spin-Offs, and Structured Finance
Sep. 10/04 Joshua Coval
Harvard
Corporate Financing Decisions When Investors Take the Path of Least Resistence
Sep. 24/04 Espen Eckbo
Dartmouth
Bidding in Mandatory Bankruptcy Auctions:  Theory and Evidence
Oct. 1/04 Bilge Yilmaz
Wharton
Asymmetric Information & Financing with Convertibles
Oct. 15/04 J.P. Danthine
Lausanne
The Macroeconomics of Delegated Management
Oct. 22/04 Will Goetzmann
Yale
Sharpening Sharpe Ratios
Oct. 29/04
(Joint with
CIREQ)
Adlai Fisher
UBC
Corporate Investment & Asset Price Dynamics:  Implications for SEO Event Studies and Long-Run Performance
Nov. 5/04 Andrew Winton
U. of Minnesota
Booms, Busts, and Fraud
Nov. 12/04 Angelo Melino
U. of Toronto
Measuring the Cost of Business Cycles with Preferences that Rationalize the Equity Premium
Nov. 26/04 Yintian Wang
McGill University
Option Valuation with Long-run and Short-run Volatility Components
Dec. 3/04 Jan Ericsson
McGill University
Can Structural Models Price Default Risk?  Evidence from Bond and Credit Derivative Markets
Jan. 21/05
(Joint with
CIREQ)
Geert Bekaert
Columbia
The Real Effects of Equity Liberalization
Mar. 11/05 Tan Wang
UBC
A Simple Theory of  Asset Pricing Under Model Uncertainty
Mar. 18/05

Adolfo De Motta
McGill

Attracting Attention:  Cheap Managerial Talk & Costly Market Monitoring
Apr. 1/05
(Joint with
CIREQ)
Wuolin Suo
Queen's
An Empirical Study on Credit Rating Change Behavior

2003-2004 Seminars

Date

Speaker

Title 

Sep. 5/03 Russell Wermers
Maryland
Is Money Really "Smart"?  New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistance
Sep. 12/03 Raman Uppal
LBS
Ambiguity Aversion and the Puzzle of Own-Company Stock in Pension Plans
Sep. 19/03 Jun Pan
MIT
The Information in Option Volume For Stock Prices
Sep. 26/03 Marcelo Dos Santos
McGill
Does Corporate International Diversification
Destroy Value?  Evidence from Cross-Border Mergers & Acquisitions
Oct. 10/03 Jay Shanken
Emory
Mutual Fund Performance with Learning Across Funds
Oct. 17/03 
(joint with IFM2)
Isabelle Bajeux-Besnainou
GWU
Dynamic Asset Allocation with Benchmarking
Oct. 24/03 Antonio Mello
Wisconsin
 Arbitraging Arbitrageurs
Nov. 14/03 Terrence Odean
Berkeley
All that Glitters:  The Effect of Attention & News on the Buying Behavior of Individual & Institutional Investors
Nov. 21/03
(joint with CIREQ)
Matthew Pritsker
Federal Reserve Board
Large Investors:  Implications for Equilibrium Asset Returns, Shock Absorption, and Liquidity
Jan. 9/04

Oleg Bondarenko
Illinois at Chicago

Why are Put Options So Expensive?
Jan. 16/04 Kjell Nyborg
UCLA
Bidding and Performance in Repo Auctions:  Evidence from ECB Open Market Operations
Jan. 23/04 Yasushi Hamao
USC
Unique Symptoms of Japanese Stagnation:  An Equity Market Perspective
Jan. 30/04 Marie-Claude Beaulieu
Laval
The Impact of Political Risk on the Volatility of Stock Returns:  The Case of Canada
Feb. 6/04 Sanjay Banerji
McGill
Asymmetric Information, Choice of Workout Under Financial Distress, and Absolute Priority Violations
Feb. 13/04
(joint with CIREQ)

Nicholas Polson Chicago

MCMC Methods for Continuous-Time Financial Econometrics
Mar. 5/04
(joint with CIREQ)

Warren Bailey
Cornell

Stock Market Liberalization and the Information Environment

Mar. 12/04
(joint with
IFM2)

Franklin Allen
Wharton

Law, Finance & Economic Growth in China

Mar. 19/04
(joint with CIREQ)

Robert Dittmar
Michigan

Basis Assets
Mar. 26/04
(joint with CIREQ)

David Chapman
Boston College

Heterogeneity, Aggregation, and Behavioral Asset Pricing
Apr. 2/04

Steve Foerster
UWO

Do Dividends Matter?  A Firm-Level Study From the Nineteenth to the Twenty-First Century

Apr. 16/04 
(joint with CIREQ)

Andrew Karolyi
Ohio State

Multi-Market Trading & Arbitrage

2002-2003 Seminars

Date

Speaker

Title

Oct. 4/02 

Paola Sapienza 
Northwestern 

The Real Effects of Investor Sentiment

Oct. 11/02 

Andres Almazan 
Texas

Capital Structure & Transparency

Oct. 25/02 

Markus Brunnermeier 
Princeton

Predatory Trading

Nov. 1/02 

Erwan Morellec
Rochester

Irreversible Investment with Regime Shifts

Nov. 8/02 

Arturo Bris 
Yale

Corporate Governance Convergence by Contract:  Evidence from Cross-Border Mergers

Nov. 22/02 

Jonathan Berk 
Berkeley

Mutual Fund Flows and Performance in Rational Markets

Dec. 6/02

Allan Timmermann 
UCSD

Properties of Optimal Forecasts

Jan. 10/03

Sergei Sarkissian
McGill

The Valuation Effects of Overseas Listing:  Market Sequencing and Selection

Jan. 17/03

George Allayannis 
Virginia

Earnings Volatility, Cash Flow Volatility, and Firm Value

Jan. 24/03

Kristian Rydqvist
Binghamton

How Do Buyers and Sellers Divide the Surplus?  Evidence From Tax Arbitrage

Jan. 31/03

Eric Renault
Montréal

Affine Fractional Stochastic Volatility Models

Feb. 7/03

Kris Jacobs 
McGill

Which Volatility Model for Option Valuation?

Feb. 14/03

Fan Yu
UC Irvine

Accounting Transparency and the Term Structure of Credit Spreads

Mar. 7/03

Thomas  Noe
Tulane University

Crushed by a Rational Stampede:  Strategic Share Dumping and Shareholder Insurrections

Mar. 14/03

Pierre Collin-Dufresne
CMU

Identification and Estimation of 'Maximal' Affine Term Structure Models:  An Application to Stochastic Volatility

Mar. 21/03

Luis M. Viceira
Harvard

Foreign Currency for Long-Term Investors

Mar. 28/03

Tyler Shumway
Michigan

Can Individual Investors Beat the Market?

Apr. 4/03

Bernard Dumas
INSEAD

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium

2001-2002 Seminars

Date

Speaker

Title

Sep. 7/01

Greg Bauer
Rochester

Characterizing Asymmetric Information in International Equity Markets

Sep. 14/01

Martin Boyer
HEC, Montreal

The Demand for Directors' and Officers' Insurance

Sep. 21/01

Michael Schill
Virginia

Long-run Seasoned Equity Offering Returns:  Data Snooping, Model Misspecification, or Mispricing?  A Costly Arbitrage Approach

Oct. 5/01

Jorge Roldos 
IMF

Monetary Policy in a Financial Crisis

Oct. 12/01

Gordon Fisher
Concordia

Style Index Investment, Margin-of-Safety, & Robustness:  A Test for Myopic Loss Aversion

Oct. 26/01

Per Strömberg
Chicago

How Do Venture Capitalists Choose &
Monitor Investments?

Nov. 16/01

René Garcia
Montréal

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables

Nov. 30/01

Pietro Veronesi
Chicago

Habit Formation and the Cross Section of Stock Returns

Jan. 11/02

Michel Robe
American

The Impact of I llegal Insider Trading in Dealer and Specialist Markets

Jan. 18/02

Susan Christoffersen
McGill

The Market for Legal Ownership

Jan. 25/02

Mo Chaudhury
McGill 

Efficiency Tests of the French Index (CAC 40) Options Market & Upper Bounds for American Options

Feb. 8/02

Robert Marquez
Maryland

Flight to Quality or to Captivity? Information & Credit Allocation

Mar. 8/02

Fernando Zapatero
USC

Executive Stock Options with Effort Disutility and Choice of Volatility

Mar. 15/02

Francesca Cornelli
LBS

Bookbuilding:   How Informative is the order book?

Mar. 22/02

Robert Bliss
Federal Reserve of Chicago

Option-Implied Risk Aversion Estimates:  Robustness and Patterns

Apr. 5/02

Rossen Valkanov
UCLA

The Fed's Effect on Excess Returns & Inflation is Bigger Than You Think

Apr. 10/02

Suleyman Basak
LBS

A Model of Credit Risk, Optimal Policies, & Asset Prices

Apr. 12/02

Raymond Kan
Toronto

Hansen-Jagannathan Distance

Apr. 19/02

Gilles Chemla
UBC

An Analysis of Shareholder Agreements

2000-2001 Seminars

Date

Speaker

Title

Sep. 22/00

Giovanni Barone-Adesi
Lugano

Backtesting Derivative Portfolios with FHS

Sep. 25/00 

Marc Potters 
Capital Fund Management

Historical Option Pricing:  Smile, Skew & Volatility Correlations

Sep. 29/00 

D. Dejong
Pittsburgh

The Cyclical Behavior of Skill Acquisition

Oct. 6/00 

Roger Edelen
Wharton

On the Perils of Security Pricing by Financial Intermediaries:  The Case of Open-end Mutual Funds

Oct. 20/00 

Wayne Ferson
Washington

Testing Portfolio Efficiency with Conditioning Information

Nov. 3/00 

Jean-Guy Simonato
HEC, Montreal

Pricing Discretely Monitored Barrier Options by a Markov Chain

Nov. 10/00 

Simon Gervais
Wharton

The Role of Trading Halts in Monitoring a Specialist Market

Nov. 17/00 

Thomas Chemmanur
Boston College

Corporate Control Contests and the Disciplining Role of Spin-offs:  A Theory of Performance and Value Improvements Following Spin-offs

Nov. 22/00 

Monique Jeanblanc
Université D'Evry

Default Risk & Hazard Process

Dec. 1/00 

Tobias Moskowitz
Chicago

The Private Equity Premium Puzzle

Dec. 8/00 

Ulf Axelson
Chicago

Pooling, Splitting, and Security Design in the Auctioning of Financial Assets

Jan. 12/01 

Sergei Sarkissian
McGill

The Overseas Listing Decision:  New Evidence of Proximity Preference

Jan. 15/01 

Jason Draho
Yale

The Timing of Initial Public Offerings:  A Real Option Approach

Jan. 17/01 

Vikas Agarwal 
LBS

I ntertemporal Variation in the Performance of Hedge Funds Employing a Contingent-Claim-Based Benchmark

Jan. 19/01 

Soeren Hvidkjaer
Cornell

A Trade-based Analysis of Momentum

Jan. 22/01 

Pierre Ruiz
HEC - France

Domestic & Global Factors in Individual Stock Returns

Jan. 24/01 

Hazem Daouk
Indiana 

The World Price of Insider Trading

Jan. 26/01 

Antoine Renucci
Toulouse

Optimal Relationships Between Entrepreneurs and Value-Enhancing Financiers

Feb. 2/01 

Bjorn Eraker
Chicago

Do Stock Prices & Volatility Jump?  Reconciling Evidence from Spot & Option Prices

Feb. 9/01 

Sergey Tsyplakov
Texas

A Dynamic Model of Optimal Capital Structure

Mar. 2/01 

Mark Kamstra
Simon Fraser

Forecasting Fundamental Stock Price Distributions

Mar. 30/01 

Bruno Gerard
Michigan

International Portfolio Diversification:  Industrial Structure, Country & Currency Effects Revisited

Apr. 11/01 

Alessandro Citanna
HEC - Paris

Taxation of Asset Trades

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