Desautels makes strides to support gender equality
In a recent interview with La Presse, Dean Bajeux talks about the lack of female representation in the finance industry and how the Desautels Faculty of Management is tackling these prejudices at the university level.
Along the way, she recounts her experience while pursuing her doctorate in mathematics and makes a point to mention the opportunities that were available to her irrespective of her gender.
The Term Structure of CDS Spreads and Sovereign Credit Risk
Author: Patrick Augustin
Publication: Journal of Monetary Economics, Forthcoming
础产蝉迟谤补肠迟:听
Ruslan Goyenko paper "Illiquidity Premia in Equity Option Markets" selected Editor's Choice in Review of Financial Studies
Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.
Asset Pricing with Countercyclical Household Consumption Risk
Authors: George M. Constantinides and Anisha Ghosh
Publication: Journal of Finance, Vol. 72, No. 1, February 2017
Abstract:
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model 铿乼s well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.
Read article: Journal of Finance
What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
Authors:聽Anisha Ghosh, Christian Julliard, Alex P. Taylor
笔耻产濒颈肠补迟颈辞苍:听The Review of Financial Studies, Volume 30, No. 2, February 2017
础产蝉迟谤补肠迟:听
We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.
Read article: The Review of Financial Studies
How do stocks react to extreme market events? Evidence from Brazil
Authors:聽Pedro Piccoli, Mo Chaudhury, Alceu Souza
笔耻产濒颈肠补迟颈辞苍:听Research in International Business and Finance,聽Vol.聽42,聽December 2017
Abstract:
Volatility and expected option returns: A note
Authors: Mo Chaudhury
Publication: Economics Letter, Vol. 152, March 2017
Abstract:
We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.
Still room for improvement for empowering women in finance
Professor Francesca Carrieri sits down with La Presse to talk about the hurdles that women in finance still face and the initiatives in place at the Desautels Faculty of Management to improve this reality.
For example, the Faculty has launched a task force that aims to show undergraduate women that a career in finance is indeed a viable path through mentorship and internship opportunities.
Professor Brenner on how Asian countries can overcome democratic deficits
In a piece for Asia Times, Professor Reuven Brenner points to history and other geographic contexts to demonstrate how Asian countries, such as Hong Kong and Taiwan, can redress democratic deviances.
Read more
Professor Brenner invited to prestigious panel
Professor Reuven Brenner was invited to present on a panel that discussed venture capital in Quebec鈥檚 biotech and life sciences industry. The high-profile event was attended by Quebec Ministers Mr. Ga茅tan Barrette and Ms. Dominique Anglade, while the discussion was moderated in part by Mr. Pierre-Marc Johnson, former Premier of Quebec.聽
Does marijuana legalization open the door to organized crime?
Following the revelation that many Canadian marijuana producers benefit from offshore financing, Desautels Professor and President of Lester Asset Management, Ken Lester, shares his perspective on marijuana legalization and organized crime, stating that the union of the two is entirely possible.
Business schools and the Fourth Industrial Revolution
In a world destabilised by rapid technological advancement, Dean Bajeux shares how business education can help us thrive amid such unprecedented change.
Professor Betermier on the value of MIPC
Following the inaugural 捆绑SM社区 International Portfolio Challenge (MIPC), Professor Betermier reflects on how the event provided an important opportunity of self-reflexivity for Canadian pension organizations, while also contributing fresh perspectives on how to address a growing crisis.
His hope is that events like the MIPC might also inspire Finance students to delve deeper into pension management during their studies and to eventually follow this career path.
The banking system turns its back on emerging marijuana business
Many banks in Canada are refusing to offer any banking services to companies engaged in the production and distribution of marijuana. Desautels Finance Professor and Investment Management Specialist, Ken Lester comments on the hypocrisy of this situation.
鈥淚f you call your broker at one of the major Canadian banks to buy the shares of an authorized [marijuana] producer, he will not refuse.鈥
Who will solve the pension crisis
Students participating in the 捆绑SM社区 International Portfolio Challenge presented hypothetical portfolios believed to achieve solvency to address the crisis that has been affecting Canadian pension funds.