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Finance Seminars

The Discipline of Finance seminar organiser is Elvis Jarnecic.

Seminars will typically be held 11:30am - 12:30pm on Fridays in Room 214/215 of the Economics and Business Building.

Upcoming Seminars

Thu 23rd April - 11:30 am Rm 214/215 Economics and Business Building (H69)

Speaker:

Professor Patrik Sandas, McIntire School of Commerce, University Of Virginia

Title:

Intraday evidence on international market integration

Description:

We study the integration of limit order books for equities that trade in parallel limit order books. The different markets trade the same securities in different currencies in parallel electronic limit order books. With two parallel books the inside quotes can essentially be in six different states. We document the frequency and duration of periods when the order books are in states deviating from the law of one price. On a typical day around ten of these states occurs and last for between less than ten seconds (Nokia) to close to two minutes (SAS). The typical deviations are less than 100 euros. Deviations from one price are correlated across all sample stocks indicating that FX movements play an important role in triggering these situations. Overall we find that the deviations from the law of one price are small and quickly disappearing despite occurring quite frequently. We take this as evidence of a high degree of market integration within the NASDAQ OMX Nordic exchanges.

Thu 14th May - 11:30 am Rm 214/215 Economics and Business Building (H69)

Speaker:

Professor Jonathan Berk, Stanford University

Title:

Matching capital and labor

Description:

We establish an important role for the firm by studying capital reallocation decisions of mutual fund firms.  At least 30% of the value mutual fund managers add can be attributed to the firm’s role in efficiently allocating capital amongst its mutual fund managers.  We hypothesize that an important reason why firms exist is the private information that derives from the firm’s ability to better assess the skill of its own employees.  Consistent with this hypothesis, we find no evidence that a firm adds value when it hires a manager from another firm and little evidence that publicly available information predicts the firm’s capital reallocation decisions.  Investors reward the firm following a capital reallocation decision by allocating additional capital to the firm’s funds.