2010 Seminars


5th Mar 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Mark Seasholes, HKUST

Title: Venture Capital Distrinutions, Stock Price Reactions, and Information Incorporation


12th Mar 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Abhishek Das, USyd

Title: Detecting Fraudulent Performance Reporting by Hedge Fund Managers


18th Mar 2010 - 10:30 am

Venue: Darlington Centre, Meeting room 11

Speaker: Dirk Hackbarth, University of Illinois

Title: Optimal Priority Structure, Capital Structure, and Investment *


19th Mar 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Steve Satchell, Trinity College, Cambridge University

Title: Issues with Smoothed Financial Data, A TAR Approach to Hedge Fund and to Real Estate Return Unsmoothing


16th Apr 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Associate Professor Ron Kaniel, Fuqua School of Business Duke University and CEPR

Title: Equilibrium Prices in the Presence of Delegated Portfolio Management


23rd Apr 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Ilan Guedj, UT Austin

Title: Are ETFs Replacing Index Mutual Funds?


30th Apr 2010 - 10:30 am

Venue: Room 214/215, H69 - Economics and Business Building

Speaker: Allaudeen Hameed, National University of Singapore

Title: Industries and Stock Return Reversals


7th May 2010 - 10:30 am

Venue: Darlington Board Room

Speaker: Peter Pham, The University of Sydney

Title: Do Private Equity Managers Strategically Inflate Performance? Evidence from Sequential Fund Raisings


14th May 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: FengHua Song, Penn State University

Title: Do Credit Rating Agencies Underestimate Liquidity Risk?


21st May 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Thomas McInish, University of Memphis

Title: Worldwide short selling: Regulations and activity


28th May 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Masahiro Watanabe, University of Alberta

Title: Procyclical Stocks Earn Higher Returns


4th Jun 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Zhi Da, University of Notre Dame

Title: Decomposing Short-Term Return Reversal


11th Jun 2010 - 10:30 am

Venue: Room 215, H69 - Economics and Business Building

Speaker: Stephen Brown, Stern School of Business, NYU

Title: Trust and Delegation

Due to imperfect transparency and costly auditing, trust is an essential component offinancial intermediation. In this paper we study a sample of 444 due diligence (DD)reports from a major hedge fund DD firm, many of which indicate a lack of transparencyabout past legal and regulatory problems, failure to use a major auditing firm and the useof internal pricing. Previous studies have examined the empirical correlates of the limitedinformation revealed in the mandated hedge fund disclosures of 2006. This study usesevidence of inadequate or failed internal processes to derive a simple and direct measureof operational risk that is consistent with the Basel definition. Exposure to this riskincreases the likelihood of subsequent poor performance. Since these DD reports areperformed after positive performance it is important to control for potential bias due tothis and other conditioning factors. Although our sample is not sufficiently large todetermine whether this is a priced source of risk, it does not appear that exposure tooperational risk influences in any way the tendency of hedge fund investors to invest onthe basis of past high returns. Our study emphasizes the importance of informationverification in the context of financial intermediation.

23rd Jul 2010 - 10:30 am

Venue: Meeting Room 7, Darlington Centre School Building

Speaker: Hong Zhang, INSEAD

Title: Mutual Fund Flow Timing and External Growth

The literature documents a convex relationship between performance and subsequent fund flows and argues that this convexity helps managers to attract more flows by raising fund level risk. Due to an adding-up constraint which aggregates flow-performance relationship at the industry level, however, empirically estimated convexity must be correlated with aggregate flows. This correlation provides incentives for managers to pursue a time-varying "flow timing" strategy, that is, to increase risk only when they forecast a big, positive aggregate flow, in order to benefit from the flow-performance convexity in periods when its value is the highest. Empirically, superior flow timing ability helps funds to attract additional external flows. In contrast, increasing fund risk without timing ability does not appeal to new flows.

6th Aug 2010 - 11:00 am

Venue: The Boardroom, Darlington Centre

Speaker: Ekkehart Boehmer, John B. Rogers Professor of Banking and Finance
Charles H. Lundquist School of Business
University of Oregon

Title: What do short sellers know?

Using a five-year panel of proprietary NYSE short sale order data, the authors investigate the sources of short sellers' informational advantage.

11th Aug 2010 - 11:00 am

Venue: Meeting Room 3 Darlington centre

Speaker: Byoung U. Kang, School of Accounting and Finance, The Hong Kong Polytechnic University

Title: Multiscale Explanations of the Size and Value Premia



20th Aug 2010 - 11:00 am

Venue: The Boardroom, Darlington Centre

Speaker: Eric Hughson, Don and Lorraine Freeberg Professor of Economics and Finance; Claremont McKenna College

Title: Funding Constraints, Market Liquidity, and Financial Crises: Lessons from an Historical Experiment

We use the nineteenth and early twentieth century as a randomized historical experimentto examine the effect of funding liquidity on financial markets from 1815-1925.

22nd Sep 2010 - 11:00 am

Venue: Darlington Centre School Building Meeting Room 10

Speaker: Anna Scherbina, Davis Graduate School of Management; University of California

Title: Real Estate Prices during the Roaring Twenties and the Great Depression

Using unique data on real estate transactions, we construct a hedonic price index for Manhattan
from 1920 to 1939.

1st Oct 2010 - 11:00 am

Venue: The Boardroom, Darlington Centre

Speaker: Kasper Meisner Nielsen, Hong Kong University of Science and Technology

Title: What Death Can Tell: Are Executives Paid for Their Contributions to Firm Value?

An efficient managerial labor market should compensate executives according to theircontribution to shareholder value. We provide novel empirical evidence about the relationshipbetween executive pay and managerial contribution to value by exploiting the exogenousvariation resulting from stock price reactions to sudden deaths.

29th Oct 2010 - 11:00 am

Venue: Darlington Centre, The Boardroom

Speaker: Wayne Ferson, University of Southern California

Title: Alpha and Performance Measurement: The Effect of Investor Heterogeneity


19th Nov 2010 - 11:00 am

Venue: Room 214/215 H69

Speaker: Kalok Chan, Hong Kong University of Science and Technology

Title: When the Tail Wags the Dog: Industry Leaders, Limited Attention and Spurious Cross-Industry Information Diffusion