Wharton_Logo.jpg

Main            Vitae            Research            Student Workshop       Macro Reading Group       Corporate Reading Group       Wharton Finance

Description

All Wharton Finance Ph.D. students are welcome to participate in this student workshop series.
The meetings will be held every Wednesdays from noon to 1pm. Pizza and colas will be served.
Each participant is required to attend every meeting and to present once per year. First year students do not have to present.
Faculty are welcome to attend.

Schedule - Fall 2009 - Meet Mondays @ 12pm - ROOM SH-DH 211

  1. 09/16/2009 - SH-DH 211
    Presentation by Marcelo Maia

  2. 09/21/2009 - SH-DH 211
    Presentation by James Park

    Title: Understanding Distress Risk : Value Premium, Distress Anomaly and Idiosyncratic Risk
    Area: Empirical Asset Pricing
    Abstract: This paper empirically measures the systematic and idiosyncratic risk component of revenue growth attempting to explain the two important distress related anomalies, the value premium and the distress anomaly. After correcting for the idiosyncratic component, revenue betas have a positive premium in both anomalies and does a good job in pricing the cross section of stock returns.

  3. 09/28/2009 - SH-DH 211
    Presentation by Edith Liu (Job Market Paper)

    Title: Corporate Bonds and International Portfolio Diversification
    Area: International Finance
    Abstract: This paper analyzes the degree of international diversification opportunities that exists in the corporate bond market. Using a newly compiled dataset of firm-level monthly corporate bond quotes for issues in Australia, Canada, UK, Europe, Japan, and the US, I examine the ability for a well-diversified US investor to achieve higher excess returns by investing in foreign corporate bond markets. In addition, this paper examines the degree to which these gains in foreign markets can be achieved by investing in corporate bonds from foreign issuers that trade in the US, known as Yankee bonds. This paper compares the optimal portfolios implied by classical mean-variance methods, as well as from, a Bayesian investor perspective.

  4. 10/07/2009 - SH-DH 209 - WEDNESDAY @ 1:30pm
    Presentation by Michael Michaux (Job Market Paper)

    Title: Foreign Exchange Rate Exposure and the Currency Composition of Corporate Debt
    Area: Corporate Finance, International Finance
    Abstract: In this paper I propose a model of currency composition for corporate debt based on: (i) imperfect competition in the domestic goods market and (ii) managerial risk aversion. The model quantifies firms' foreign exchange rate exposure, and derives the optimal currency composition of corporate debt. The optimal currency composition comes from the motive to hedge currency exposure, which arises from the industry equilibrium in the domestic goods market.
    Using a panel dataset of traded Mexican firms, I find evidence that firms manage their foreign exchange rate exposure. In accordance with the model, I also find support that industry-specific variables are good predictors for debt composition. Specifically, the data show that non-exporting firms have higher shares of foreign debt if they: (i) operate in industries where goods are more substitutable and (ii) have a smaller market share.
    [presentation]

  5. 10/12/2009 - SH-DH 211
    Presentation by Indraneel Chakraborty (Job Market Paper)

    Title: Investment and Financing under Reverse Asset Substitution
    Area: Corporate Finance, Financial Intermediation, Capital Structure and Investment Policy.
    Abstract: I show that banks place borrowing and investment restrictions on firms in an attempt to enjoy exclusive lending relationships. I use the term Reverse Asset Substitution (RAS) to express this partial transfer of control that benefits debt holders at the expense of equity holders when firm is not in danger of bankruptcy. While making the trade-off against tax shielding benefits, equity holders take this agency problem into account. I find that firms in perfect competition can invest 7.1% more in their PP E annually than firms facing a monopoly in credit supply by banks. Thus RAS leads to lower growth and lower leverage (upto 35% lower) than what would have been if bankruptcy costs were the only concern.
    [paper]

  6. 10/19/2009 - SH-DH 211
    Presentation by Oliver Levine

    Title: Merger Waves and the Value Premium
    Area: Corporate Finance
    Abstract: This preliminary work proposes an unexplored systematic risk exposure for a firm: time-varying conditions in the merger and used capital markets. When mergers are used to reallocate capital, the value of assets in place depends not only on its productive capacity but also its resale value, the market price of bundled capital. Correlation of merger value, or price of capital, with the aggregate state represents a systematic risk which effects value firms and growth firms in distinctive ways. A model with an endogenous market for capital reveals that a procyclical price of capital is able to explain the value premium observed in the data, as well as generate procyclical merger activity. The empirical implications are tested using merger transaction data.

  7. 10/26/2009 - SH-DH 211
    Presentation by Marie-Hélène Gagnon

    Title: The Impact of Political Convergence on Financial Integration
    Abstract: In this paper, we study the implications of controlling for the political environment on financial market integration in North America from 1950 to 2004 using two international asset pricing models. We find that controlling for American political parties and the Republican–Liberal combination impacts financial market integration. We also find that North American markets are integrated, but that their degree of integration depends on the incumbent parties and on political convergence. Our results suggest that the "presidential puzzle" (Santa-Clara and Valkanov (2003)) is a political puzzle that not only affects American domestic returns, but also returns in foreign markets.
    [paper]

  8. 11/02/2009 - SH-DH 211
    Presentation by Brent Glover

    Title: Expected Cost of Financial Distress
    Area: Corporate Finance
    Abstract: A firm's expected cost of financial distress (COFD) is an unobservable determinant of its leverage choice and cost of capital. Previous studies have concluded that ex post measures of these costs are small on average. Due to both the infrequency of defaults as well as a potential sample selection problem, existing estimates of ex post costs may not accurately reflect firms' expected COFD. This work proposes using a structural model of credit risk to estimate firm-specific expected distress costs.

  9. 11/09/2009 - SH-DH 211
    Presentation by Robert Ready

    Title: Oil Prices, the Stock Market, and the State of Oil Production
    Area: Asset Pricing
    Abstract: This paper builds on recent research quantifying the reaction of oil to different types of structural shocks and the relation of oil prices to the stock market. I focus on the joint behavior of oil prices, oil producers equity prices, and the aggregate U.S. stock market to identify shocks from differing sources. More specifically, I argue that under certain conditions, the change in the price of oil orthogonal to the change in the equity value of oil producers represents an exogenous shock to the price of oil. I examine data from 1990 to 2008, and find that over the first half of the sample, this measure of exogenous oil shocks explains 13% of the variance in contemporaneous monthly return on the S&P 500, while the second half of the sample shows only marginal statistical and economic significance. I propose an elementary model of oil production at and below capacity and argue that it is consistent with the observed behavior of oil and stock prices.

  10. 11/16/2009 - SH-DH 211
    Presentation by Jiyoun An (visiting from Cornell) (Job Market Paper)

    Title: Can the Long-Run Risks Model Explain the International Value Premium? : Evidence Using Last Century Data
    Area: Asset pricing
    Abstract: The value premium refers to the fact that firms with high book-to-market equity ratios have higher average returns than firms with low book-to-market equity ratios. Recent papers propose that the long-run risks model of Bansal and Yaron (2004) can explain the value premium. This paper provides out-of-sample test for such a proposal through an examination of international data. I estimate the long-run consumption risk and consumption volatility risk in 17 industrial countries with a sample period including three major economic disasters: World War I, the Great Depression, and World War II. I then examine whether these estimated consumption risk factors explain the value premium observed in these countries in recent decades. The long-run risks model produces positive implied value premiums in 10 markets under the market integration assumption and only 7 countries under the market segmentation assumption. After breaking down the implied value premium into different components, I find that, outside of the U.S., the long-run consumption risk fails to explain the value premium in almost all other countries, while the predicted consumption volatility risk helps to explain the value premium in 14 countries. I conclude that while the time-varying concern for future consumption is a driver of the value premium, the long-run consumption risk is only weakly related to the value premium outside of the U.S.

  11. ****** EXTRA PRESENTATION *** TUESDAY at noon ******
    11/17/2009 - SH-DH 211
    Presentation by Mehmet Calgan

    Title: Contagion Cycles
    Area: Corporate Finance, Empirical Macroeconomics
    Abstract: We study a contagion channel in the real sector whereby interactions at the firm level amplify the impact of aggregate shocks to the economy. In particular, a nonlinear relationship exists between default rates, aggregate shocks and contagion intensity. The analytical results also allows us to express the relationships between fundamentals, aggregate outcomes and contagion in a convenient state space form.

  12. 11/23/2009 - SH-DH 211
    Presentation by Thomas Plank (joint with Stephan Dieckmann)

    Title: Sovereign CDS Spreads during the Financial Crises of 2007-–2009
    Area: Empirical Corporate Finance
    Abstract: In this paper we analyze sovereign credit default swap (CDS) spreads for developed countries for a period covering the recent financial crisis. We document an important link between European sovereign CDS spreads and the performance of countries' financial sectors. This co-movement may be due to a private-to-public transfer of credit risk during the recent financial crisis and is related to the local and global performance of the financial system and market expectations of government intervention. We find that the magnitude of the credit risk transfer depends on the relative importance of countries' financial system pre-crisis, but differs across countries that are in the European Monetary Union. This finding may explain why sovereign CDS spreads of developed nations have increased during the crisis and remain at elevated levels.

  13. 11/30/2009 - SH-DH 211
    Presentation by Dieter Vanwalleghem

    Title:
    Area:
    Abstract:

  14. 12/07/2009 - SH-DH 211
    Presentation by Myat Mon

    Title:
    Area: Corporate Finance
    Abstract:

  15. 12/14/2009 - SH-DH 211
    Presentation by Efstathios Avdis

    Title: Moral Hazard in Dynamic Information Acquisition
    Area: Corporate Finance
    Abstract:

Archive - Summer 2009 - Meet Wednesdays @ 12pm - ROOM SH-DH 211

  1. 07/29/2009 - SH-DH 211
    Presentation by Oliver Levine/Brent Glover
  2. 08/05/2009 - SH-DH 211
    Presentation (JMP) by Indraneel Chakraborty
    Indraneel Chakraborty, Investment and Financing under Reverse Asset Substitution
    [paper]
  3. 08/12/2009 - SH-DH 211
    Presentation (JMP) by Michael Michaux
    Michael Michaux, Foreign Exchange Rate Exposure
    [presentation]
  4. 08/19/2009 - SH-DH 211
    Presentation by Andrew MacKinlay
  5. 08/26/2009 - SH-DH 211
    Presentation by Rob Ready
  6. 09/02/2009 - SH-DH 211
    Presentation by Efstathios Avdis
    Efstathios Avdis, Topics in Delegated Portfolio Management

Archive - Spring 2009 - Meet Wednesdays @ 12pm - SH-DH 209

  1. 01/21/2009 - SH-DH 209
    Presentation by Oliver Levine
  2. 01/28/2009- SH-DH 1201
    Presentation by Lucy Jin
    Lucy Jin, Investment and Uncertainty
    [presentation]
  3. 02/04/2009 - SH-DH 209
    Presentation by Indraneel Chakraborty
    Indraneel Chakraborty, Investment and Financing under Reverse Asset Substitution
    [paper]
  4. 02/11/2009 - SH-DH 209
    Presentation by Michael Michaux
    Michael Michaux, Balance Sheet Effects and Capital Structure
    [presentation]
  5. 02/18/2009 - SH-DH 209
    Presentation by Andrew MacKinlay
    Andrew MacKinlay, How Correlated are Equity and Commodity Returns?
    02/25/2009 - Cancelled
  6. 03/04/2009 - SH-DH 209
    Presentation by James Park
    James Park, The Distress Anomaly and the Value Premium
    03/11/2009 - No meeting (Spring Break)
  7. 03/18/2009 - SH-DH 209
    Presentation by Brent Glover
  8. 03/25/2009 - SH-DH 209
    Presentation by Michael Michaux
    Michael Michaux, Balance Sheet Effects and Capital Structure
    [presentation]
  9. 04/01/2009 - SH-DH 209
    Presentation by Efstathios Avdis
    Sannikov's Continuous-Time Version of the Principal-Agent Problem
  10. 04/08/2009 - SH-DH 209
    Presentation by Tom Plank
    Adrien Verdelhan, A Habit-Based Explanation of the Exchange Rate Risk Premium
    [presentation]
  11. 04/15/2009 - SH-DH 209
    Presentation by Rob Ready
  12. 04/22/2009 - SH-DH 209
    Presentation by Michael Michaux
    Michael Michaux, Balance Sheet Effects and Capital Structure
    [paper] [presentation]
    04/29/2009 - Cancelled
  13. 05/06/2009 - SH-DH 209
    Presentation by Oliver Levine
  14. 05/13/2009 - SH-DH 209
    Presentation by Lucy Jin
  15. 05/20/2009 - SH-DH 209
    Presentation by Roy Shashua

Archive - Fall 2008 - Meet Wednesdays @ 12pm - SH-DH 211

  1. 10/08/2008
    Presentation by Michael Michaux
    Michael Michaux, Capital Structure: An International Perspective
    [presentation]
  2. 10/15/2008
    Presentation by Indraneel Chakraborty
    Indraneel Chakraborty, Investment and Financing under Reverse Asset Substitution
    [paper] [presentation]
  3. 10/22/2008
    Presentation by Andrew MacKinlay
    Andrew MacKinlay, Testing the Pecking Order Theory
    [presentation]
  4. 10/29/2008
    Presentation by Brent Glover
  5. 11/05/2008
    Presentation by James Park
    James Park, Financial Distress Anomaly
  6. 11/12/2008
    Presentation by Roy Shashua
  7. 11/19/2008
    Presentation by Michael Michaux
    François Gourio and Michael Michaux, The Q Theory of Investment with Stochastic Volatility
    [presentation]
    11/26/2008 - No meeting (Thanksgiving)
  8. 12/03/2008
    Presentation by Efstathios Avdis
    Efstathios Avdis, Does Time Matter? The Role of High-Frequency Time Patterns in Stock Returns
  9. 12/10/2008
    Presentation by Tom Plank
    Tom Plank, Some Aspects of Credit Default Swaps
    [presentation]
  10. 12/17/2008
    Presentation by Rob Ready
    Rob Ready, Commodities Basics
    [presentation]


File translated from TEX by TTH, version 3.77.
On 22 Nov 2009, 00:34.