2013 Seminars


25th Jan 2013 -

Venue: Room 214/215 H69

Speaker: Antonio Miguel, ISCTE Universitaro de Lisboa Portugal

Title: What Explains Mutual Fund Performance Persistence? International Evidence.


25th Jan 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: Antonio F. Miguel, Lisbon University Institute

Title: Testing the Berk and Green model around the world

Abstract: The fund management model of Berk and Green predicts that fund performance will not persist. This is because when investment is channelled to the top performing funds, this reduces their future performance as the model assumes decreasing returns to scale in fund management. However, when we examine fund industries from 27 countries we find that in more than two thirds of the industries there is statistically significant persistence. We reconcile these findings in the following way. In our sample the majority of countries do not have decreasing returns to scale which is assumed by the Berk and Green model. If we allow the Berk and Green model to have constant or increasing returns to scale then persistence stays the same or is enhanced as funds grow. We show that such a Berk and Green model with a flexible returns to scale investment technology explains variation in the dynamics of persistence as funds grow across the countries in our sample. The majority of countries not having decreasing returns to scale explains why persistence is present in most countries in our sample. We show that returns to scale differences across countries may be explained by mutual fund industry development.


15th Feb 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: Chelsea Yaqiong Yao, Faculty of Economics & Business, University of Melbourne

Title: Momentum Profits and Microeconomic Risk: Revisited

Abstract: Macroeconomic risk continues to be proposed as a source of stock price momentum. For instance, Liu and Zhang (2008) claim that the growth rate of industrial production "plays an important role in driving momentum profits". This paper shows that the growth rate of industrial production is not the source of momentum profits. Because recent winners and recent losers have nearly identical loadings on the growth rate of industrial production outside of January, there is essentially a net zero factor loading in the 11 months of a year when momentum does exist, and a difference only in January, when losers massively outperform winners. We also document the fact that the growth rate of industrial production is not a priced risk factor outside of January. Moreover, application of the same methodology to all factors reveals no evidence that an explanation for momentum profits lies in macroeconomic risk.


22nd Feb 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: Andrew J. Patton, Duke University, North Carolina USA

Title: Change You Can Believe In? Hedge Fund Data Revisions

We analyze the reliability of  voluntary disclosures of financial information, focusing on widely-employed  publicly available hedge fund databases. Tracking changes to statements of  historical performance recorded at different points in time between 2007 and  2011, we find that historical returns are routinely revised. These revisions  are not merely random or corrections of earlier mistakes; they are partly  forecast-able by fund characteristics. Moreover, funds that revise their  performance histories significantly and predictably underperform those that  have never revised, sugges-ting that unreliable disclosures constitute a  valuable source of information for current and potential investors. These  results speak to current debates about mandatory disclosures by financial  institutions to market regulators.


8th Mar 2013 - 12:30 am

Venue: Room 214/215 H69

Speaker: PhD student Jiag (George) Wang, University of Melbourne (Booked for Graham Partington)

Title: On Market States and the Value of the Actively Managed Mutual Fund Industry


8th Mar 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: George Jiaguo Wang, University of Melbourne,

Title: On Market States and the Value of the Actively Managed Mutual Fund Industry

This paper presents a novel approach to quantify the economic value of mutualfunds' conditional performance in bear market states. In particularly, this approachjointly evaluates fund managers market timing and selectivity skills across marketstates.


22nd Mar 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Cary Frydman, University of Southern California Marshall School of Business Los Angeles USA

Title: Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility


26th Mar 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Jonathan Karpoff, Foster School of Business University of Washington USA

Title: The economics of bribery: Evidence from FCPA enforcement actions


5th Apr 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Prabhala Nagpurnanand, University of Maryland USA

Title: Customized Mutual Fund Peers


12th Apr 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: Nandini Srivastava, Christ's College, University of Cambridge

Title: Some Dynamic Models of UK Art Market Prices and their Dependence on UK Equity Prices

Abstract

It is well known that there are linkages between art market prices and equity prices. However, less is known about the details of the dynamic dependence of the two variables. We analyse art prices, initially using Granger causality and error correction models (ECM) to understand the long term dynamics of price movements with respect to equity markets and investor sentiment and to identify what drives these prices. The dataset we use is new and covers British art prices from 1895 to the present; a period which, we would argue, coincides with the time when art has become an investment good. Our preliminary results do not give a complete picture of price movements or a suitable description of wealth effects; to rectify this we need to look at short term dynamics in the art market. We use a regime switching model (from Knight, Satchell and Srivastava (2012)) to describe the dynamics of prices using a threshold variable that drives the prices into possibly locally explosive regimes. These results indicate a dynamic wealth effect in that high/low stock prices lead to subsequent increases/decreases in art prices. This is further explored by directly calculating elasticities from our model and its variants to analyse further properties of art as a luxury good. The magnitude of these gains and falls are quite different. Generally, a threshold approach gives deeper insight into market conditions than conventional ECM and cointegration modelling.


19th Apr 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Simon Gervais, Duke University North Carolina USA

Title: The Industrial Organization of Money Management

Abstract: We construct and analyze a model of delegated portfolio management in which money managers signal their investment skills via their choice of transparency for their fund. We show that a natural equilibrium is one in which high- and low-skill managers pool in opaque funds, while medium-skill managers separate in transparent funds. In this equilibrium, high-skill managers rely on their eventual performance to separate from low-skill managers over time, saving the monitoring costs associated with transparency. In contrast, medium-skill managers rely on transparency to separate from low-skill managers, especially when it is difficult for investors to tell them apart through performance alone. Low-skill managers prefer mimicking high-skill managers in opaque funds in the hope of replicating their performance and compensation. The model yields several novel empirical predictions that contrast transparent funds (e.g., mutual funds) and opaque funds (e.g., hedge funds).


26th Apr 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Adlai Fisher, University of British Columbia Vancouver USA

Title: Leveraged Noise and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia


3rd May 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Seoyoung Kim, Santa Clara University California USA

Title: Credit Spreads with Dynamic Debt

Abstract: We provide a framework to analyze debt where there is a latent option to alter the underlyingprincipal. Specifically, we extend the Merton (1974) model for static debt guarantees in a setting with dynamic debt, where leverage can be ratcheted up as well as written down through pre-specified policies. We show that for many dynamic debt covenants, ex-antecredit spread term structures may be derived in closed-form using modified barrier optionmathematics, a class of exotic derivatives that are activated or de-activated upon accessing a pre-determined barrier. We observe that principal write-down covenants decrease the magnitude of credit spreads but increase the slope of the credit curve, transforming downward sloping curves into upward sloping ones. On the other hand, ratchet covenants increase the magnitude of ex-ante spreads without dramatically altering the slope of the credit curve. Overall, explicitly modeling this latent option to alter debt leads to term structures of credit spreads that are more consistent with observed empirics.

Venue

Friday 3rd May 2013
11.30am - 12.30pm
Room 214/215 Economics and Business Building

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10th May 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Slava Fos,

Title: Do prices reveal the presence of informed trading?

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several measures of adverse selection reveal the presence of informed trading. The evidence suggests that when Schedule 13D filers accumulate shares, both high-frequency and low-frequency measures of stock liquidity and adverse selection indicate higher stock liquidity and lower adverse selection, even though prices are positively affected. We document three channels that help explain this phenomenon: (a) informed traders select times of higher liquidity when they trade, (b) liquidity increases in response to informed traders' trades, (c) informed traders use limit orders.


14th May 2013 - 11:15 am

Venue: Room 214/215 Economics and Business Building

Speaker: Associate Professor Maros Servátka, University of Canterbury, Christchurch New Zealand

Title: Experimental Methods in Economics and Finance Research


17th May 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Alexi Savov, Stern New York University USA

Title: Have Financial Markets Become More Informative?


21st May 2013 - 11:20 am

Venue: Room 214/215 Economics and Business Building

Speaker: Dr Jongmoo Jay Choi, Temple University, Department of Finance

Title: Cash Holdings in Private and Public Firms: Evidence from Europe

In this paper, we examine the differences in cash holdings between publicly and privately held firms in 33 European countries during 2002-2011 and shed light on the cash holding behaviors of private firms in Europe. We find that European public firms on average hold more cash than private firms. This finding is robust in various model settings. We also show that during the recent European financial crisis, firms in Euro-zone countries increased their cash holdings, whereas firms in non-Euro countries decreased their cash holdings.

This signifies the presence of Euro policy coordination risk. Furthermore, we find that public firms hold more cash than private firms in Euro-zone countries than in non-Euro countries, indicating greater precautionary demand for cash by public firms in Euro countries. We also find that firms in countries with better shareholder protection hold less cash. Moreover, we show that both public and private firms in Europe actively adjust to target levels of cash, and both public and private firms show significant cash flow sensitivity to cash holdings.


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24th May 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Emilio Osambela, Carnegie Mellon University Pittsburgh USA

Title: Disagreement, Speculation, and Aggregate Investmen


31st May 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Vivian Fang, Carlson School of Management University of Minnesota USA

Title: Equity Vesting and Managerial Myopia


14th Jun 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Chair and Professor Alexandra Niessen-Ruenzi, University Mannheim Germany

Title: What is in a Name? Mutual Fund Flows When Managers Have Foreign-Sounding Name


21st Jun 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Chair and Professor Stefan Ruenzi, University Mannheim Germany

Title: Crash Sensitivity and the Cross-Section of Expected Stock Returns & Extreme Downside Liquidity Risk


27th Jun 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Professor Geert Bekaert, Columbia Business School USA

Title: Asset Return Dynamics under Habits and Bad-environment-Good Environment Fundamentals


28th Jun 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Vikas Agarwal, Georgia State University Atlanta USA

Title: Mandatory portfolio disclosure and stock, and Mutual Fund Performance liquidity


2nd Aug 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building (H69)

Speaker: Assistant Professor Mike Simuntin, University of Toronto Canada

Title: Plan Sponsor Oversight and Benchmarking: Effects on Fund Risk-taking and Activeness


9th Aug 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building (H69)

Speaker: Andrew Ainsworth ; Adrian D. Lee,

Title: The Influence of Individual Investors on Ex-Dividend Returns

Abstract:¿¿

This study documents that individual investors increase buy-initiated trades prior to ex-dividend days and increase sell-initiated trades after the ex-day. Institutions supply liquidity to individual investors by increasing their use of sell limit orders in the cum-dividend period and increasing their usage of buy limit orders in the ex-dividend period. Stocks that experience higher net purchases from individual investors operating through discount brokers in the cum-dividend period have lower ex-day returns in the order of 25 basis points. This difference is as large as 44 basis points for high yield securities. This contrasts with the average excess ex-day return of 24 basis points. The results indicate that individual investors play an influential role in ex-dividend pricing.


14th Aug 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: Professor Chu Zhang, Hong Kong University of Science and Technology

Title: Unenforced or Flawed? The Case of China's Regulation on Insider Trading of Unlocked Restricted Stocks

Abstract:

We examine the effectiveness of a regulation in China that requires insiders who want to sell a large amount of unlocked restricted stocks to do so through the block trading system, which only institutions and wealthy individuals can use, in a bid to deter insiders' informed trading and to protect the average investors. We show that the regulation has failed to a large extent to achieve its goal. We hypothesize that the failure is not due to enforcement issues, which are well documented for other emerging markets. Instead, the regulation contains a loophole which provides a disincentive for the counterparties of insiders' block trades to safeguard the interests of the average investors. As a result, the insiders are able to evade the regulation. Evidence shows that, consistent with our hypotheses, the retail market returns after insider sales are much worse for the block trades than for the retail trades, insider block sales signal poorer future earnings of their firms, and the counterparties of the insider block sales gain from their trades with the insiders.

Complete seminar program is available at:
sydney.edu.au/business/finance/research/seminars

Venue
Room 214/215
Economics and Business Building (H69)
The University of Sydney Business School

Wednesday 14 August 2013
11.30am - 12.30pm

MORE INFORMATION
Elvis Jarnecic
T +61 2 9351 8708
E elvis.jarnecic@sydney.edu.au
W sydney.edu.au


19th Aug 2013 - 11:30 am

Venue:

Speaker: Dr Motohiro Yogo, Federal Reserve Bank of Minnesota USA

Title: The Cost of Financial Frictions for Life Insurers

Abstract:

During the financial crisis, life insurers sold long-term policies at deep discounts relative to actuarial value. In December 2008, the average markup was âˆ19 percent for annuities and âˆ57 percent for universal life insurance. This extraordinary pricing behavior was a consequence of financial frictions and statutory reserve regulation that allowed life insurers to record far less than a dollar of reserve per dollar of future insurance liability. We identify the shadow cost of financial frictions through exogenous variation in required reserves across different types of policies. The shadow cost was $2.32 per dollar of statutory capital for the average insurance company from November 2008 to February 2009.


5th Sep 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: Professor Paul Dunmore, Massey University, Wellington New Zealand

Title: Some Models for the Evolution of Financial Statement Data


6th Sep 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building (H69)

Speaker: Assistant Professor Mark Maffett, University of Chicago USA

Title: "Default Prediction Around the World: The Effect of Constraints on Pessimistic Trading"

Abstract:

Research examining cross-country differences in the ability of market participants to accurately assess a firm's likelihood of default using publicly available sources of information is virtually non-existent. This paper examines one potential source of such variation, constraints on pessimistic trading (i.e., trades made in anticipation of future price declines). On average, predictive accuracy is significantly greater in countries where pessimistic trading is less constrained. This relation is further identified using time-series variation in restrictions on short selling and the introduction of put option trading. Consistent with trading constraints limiting the extent to which prices reflect publicly available default risk information, the direct incorporation of accounting information in the default prediction model leads to a larger improvement in accuracy where pessimistic trading is limited. Finally, although fewer constraints consistently lead to more accurate identification of actual defaults, during periods of heightened macroeconomic uncertainty, default prediction models in countries with fewer¿¿ pessimistic trading constraints inaccurately classify a greater proportion of non-default observations.


10th Sep 2013 - 11:15 am

Venue: Room 214/215 Economics and Business Building

Speaker: Dr Thomas McInish, The University of Memphis, USA

Title: Reverse Splits: Misfortune or Complex Shenanigans


13th Sep 2013 - 11:30 am

Venue: Room 214/215 Economics and Business Building

Speaker: PhongT. H. Ngo, College of Business and Economics, ANU Canberra

Title: How to break bad news: Strategic corporate press releases and media coverage around earnings announcements

Abstract:
We document that firms issue simultaneous corporate press releases when delivering extreme earnings news (i.e. significantly negative/positive earnings surprises) in an attempt to minimise bad earnings news. Simultaneous, earnings-related press releases are concentrated in extremenegative earnings announcements, whereas non-earnings press releases are used for both extreme positive and extreme negative earnings events. Both earnings-related and non-earnings press releases are distracting, and appear to contain little value relevant information. Earnings related announcements lead to an increase in the announcement day return for negative earnings surprises but a reversal in the long-run. Media coverage of earnings-related releases reinforces this effect. Non-earnings press releases also reduce the magnitude of announcement day returns for negative earnings surprises however there is no reversal in the long-run. Rather, media coverage of non-earnings releases appears to help investors resolve non-earnings information, having the complete opposite impact on the announcement day and long-run returns to that of the press releases.


20th Sep 2013 - 11:30 am

Venue: Economics and Business Building (H69)

Speaker: Assistant Professor Jerry Cao, Singapore Management University

Title: Patent and Innovation-Driven Performance in Venture Capital-Backed IPOs

Abstract

We study the effect of patents as a proxy for innovation on the long-run performance of Venture Capital (VC)-backed initial public offerings (IPOs). VC-backed IPOs with successful patent filings prior to the IPO substantially outperform those without patent filings. Patents act as the dominant factor leading to superior long-run performance for VC-backed IPOs, especially in high-tech sectors, and in large size and high book-to-market deciles. On the other hand, VC-backed IPOs without successful patent filings perform similarly to non-VC-backed IPOs. Overall, this paper suggests that patents and innovations in general are critical in understanding the performance of VC-backed IPO firms.


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4th Oct 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Professor Ralph Walkling, Drexel University Philadelphia USA

Title: The Price of Street Friends: Social Networks, Informed Trading, and Shareholder Costs


11th Oct 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Ran Duchin, Universtiy of Washington

Title: "Looking in the Rear View Mirror: The Effect of Managers' Professional Experience on Corporate Financial Policy"


18th Oct 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Jun Yang, Indiana University Bloomington USA

Title: An Empirical Examination of Executive Signing Bonuses: An Incentive Mechanism


25th Oct 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Professor Bill Wilhelm, University of Virginia USA

Title: Investment-Banking Relationships: 1933-2007


7th Nov 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Yaxuan Qi, City University of Hong Kong

Title: Can Bankruptcy Laws Mitigate Business Cycles? Evidence from Creditor Rights, Debt Financing and Investment


8th Nov 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Professor Mariassunta Giannetti, Stockholm School of Economics Sweden

Title: Compensation and Competition for Talent: Talent Scarcity or Incentives

Abstract: We show that long-term compensation is associated with higher pay in the financial industry and the legal sector. Then, using a detailed survey of law school graduates, we explore why firms use long-term compensation. We find that individuals with jobs that make them highly visible and that allow them to shift effort from tasks that are value-enhancing for the employer to tasks that are self-enhancing are more likely to receive long-term compensation, especially in markets with high competition for talent. High-ability individuals receive higher pay, but are not more likely to be awarded long-term compensation. These findings suggest that long-termcompensation arises in an optimal contract, because competition for talent accentuates agency problems in the allocation of effort and may create retention problems.

Venue
Room 214/215
Economics and Business Building (H69)
The University of Sydney Business School

MORE INFORMATIONElvis Jarnecic
T +61 2 9351 8708
E elvis.jarnecic@sydney.edu.au W sydney.edu.au


15th Nov 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Huasheng Gao, Nanyang Technological University Singapore

Title: "Ownership Concentration and CEO Pay-Performance Sensitivity: New Evidence from Privately-Held Firms"

Abstract:

In this paper we study CEO contract design employing a unique dataset on privately-held and public firm CEO annual compensation over the period 1999-2011. Compared to public firms, privately-held firms have less diffuse ownership and stronger shareholder monitoring. We show that both private and public firm CEO pay is positively and significantly related to firm accounting performance, and that the pay-performance link is much stronger in public firms. Reconciling prior mixed evidence, we show that there is an overall negative relation between ownership concentration and CEO performance-based pay, while at the low end of ownership concentration, there is a positive relation between the two. Our main findings are robust to accounting for firms' self-selection into different ownership structures and todifferent measures of firm accounting performance. We conclude that concentrated ownership structure substitutes for CEO performance-based compensation contracts.

MORE INFORMATION
Elvis Jarnecic
T +61 2 9351 8708
E elvis.jarnecic@sydney.edu.au
W sydney.edu.au

Download the paper


22nd Nov 2013 - 11:30 am

Venue: Room 214/215 H69

Speaker: Associate Professor Angie Low, Nanyang Technological University Singapore

Title: The dark side of outside directors: Do they quit ahead of trouble?"

Abstract:

Outside directors have incentives to resign to protect their reputation or to avoid an increase in their workload when they anticipate that the firm on whose board they sit will perform poorly or disclose adverse news. We call these incentives the dark side of outside directors. We find strong support for the existence of a dark side. Following surprise director departures, affected firms have worse stock and operating performance, are more likely to suffer from an extreme negative return event, are more likely to restate earnings, have a higher likelihood of being named in a federal class action securities fraud lawsuit, and make worse mergers and acquisitions. Consistent with the market inferring bad news from surprise departures, the announcement return for surprise director departures is negative.

Venue

Room 214/215
Economics and Business Building (H69)
The University of Sydney Business School

MORE INFORMATION

Elvis Jarnecic
T +61 2 9351 8708
E elvis.jarnecic@sydney.edu.au
W sydney.edu.au