Desautels team takes first place at Quebec CFA Research Challenge
Congratulations to Desautels students Olivier Arsenault (MMF鈥�20), Pier-Olivier Lafl猫che (MMF鈥�20), Sai Kanthasamy (BCom鈥�20), and Mitch McEwen (MMF鈥�20) for placing first in the Quebec regional CFA Research Challenge.
Should you borrow money to invest in your future?
In an article in La Presse, Professor Sebastien Betermier cautions readers against the risk of borrowing money to invest.
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Understanding negative swap rates
A paper from Professor Patrick Augustin featured in voxEU looks at how the emergence of US default risk can help to explain the pattern of negative swap rates.
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The cash trend in fixed-income exchange-traded funds
Bloomberg has published an opinion piece featuring Professor Sebastien Betermier鈥檚 research on the shift from bonds to cash in fixed-income exchange-traded funds (FI-ETF).
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Cross-Listings and the Dynamics between Credit and Equity Returns
Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, Michael J Schill
Publication: The Review of Financial Studies, Vol. 33, Issue 1, January 2020
Abstract:
We study how listing in multiple markets affects the dynamics between firms鈥� credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm鈥檚 presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions.
Insider trading rarely leads to prosecution, study shows
A recent article in Belgium鈥檚 L鈥橢cho explores Professor Patrick Augustin鈥檚 2019 research looking at the low prosecution rates following unexplained trading activity in the leadup to company takeovers.
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Can university pension plans help tackle climate change?
In November 2019, teams in the 捆绑SM社区 International Portfolio Challenge were asked to provide a solution for a fictional pension fund reassessing its investments in the interest of climate action.
In a piece for The Globe and Mail, Professor Sebastien Betermier considers the winning solution in the context of university pension plans.
Professor Betermier on the management of exchange-traded funds
Following the rise of personalized exchange-traded funds (ETFs), Professor Sebastien Betermier comments on the choice between active and passive management.
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Delve: Pension Plans for an Evolving World
Prof Sebastien Betermier explores the ways we can evolve from the聽old system of defined benefits pensions that will no longer meet the needs of tomorrow鈥檚 retirees.
This article is brought to you by Delve, the official thought leadership publication of 捆绑SM社区's Desautels Faculty of Management.
Who stands to benefit when companies collapse?
Following the collapse of veteran tour operator Thomas Cook, Professor Patrick Augustin has co-authored an article that highlights the problem with 鈥渆mpty creditors鈥�, a growing financial market phenomenon impacting distressed firms, and how hedge funds stand to benefit.
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Cross-Country Competitive Effects of Cross-Listings
Authors: Sergei Sarkissian and Yan Wang
Publication: Review of Corporate Finance Studies, Forthcoming
Abstract:
Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant
Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant
How BlackRock spooks markets
Professor David Schumacher pulls back the curtain on BlackRock鈥檚 oversized market influence in a new documentary produced by European television network ARTE.
He discusses his research paper, Who is afraid of BlackRock?, which links BlackRock鈥檚 acquisition of Barclays Global Investors to skittish investor behaviour and shock waves in the market.
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
Authors: Patrick Augustin, Mikhail Chernov and Dongho Song
Publication: Journal of Financial Economics, Forthcoming
Abstract:
Sovereign CDS quanto spreads tell us how financial markets view the interaction between a country鈥檚 likelihood of default and associated currency devaluations (the Twin Ds). A no-arbitrage model applied to the term structure of Eurozone quanto spreads can isolate the Twin Ds and gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted 1-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) countries. The weekly risk premium for Euro devaluation in case of default for the core (periphery) exceeds the regular currency premium by up to 18 (13) basis points.
Measuring sovereign bond market integration
Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon
Publication: The Review of Financial Studies, Forthcoming
Abstract:
There is significant heterogeneity in the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries. We show that better spanning can significantly enhance market integration through local risk premia dissipation. Integration of the sovereign bond markets increases on average by about 10%, when a country moves from the 25th percentile to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.
