Séminaires de recherche

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”


21 octobre 2016 - Bâtiment S - Salle S227


9:00–10:15 Session 1: Banking & the Real Economy
Tomasz Michalski (HEC Paris) – “Testing the Rybczynski effect” paper
José-Miguel Gaspar (ESSEC) - “Short sales manipulation and product market relationships”
Neeltje Van Horen (Bank of England) – “The role of foreign banks in trade”

10:45–12:00 Session 2: Finance & the Real Economy
Thorsten Martin (HEC Paris) – “Hold-up and investment: Empirical evidence from tariff changes”
Miguel Ferreira (Nova University) – “Can credit rating agencies affect election outcomes?”
George Pennacchi (University of Illinois - Urbana Champaign) – “Syndicated loan risk: The effects of covenants and collateral”

14:00–15:15: Session 3: Macro-Finance
Pierpaolo Benigno (LUISS and EIEF) – “Private money creation and equilibrium liquidity”
Kalin Nikolov (European Central Bank) – “Equity versus bail-in debt in banking: An agency perspective”
Eric Mengus (HEC Paris) – “The South of Europe's institutional decline”

15:30–16:20 Session 4: Funding and Lending during the European Banking Crisis
Florian Heider (ECB) – “Life below zero: Bank lending under negative policy rates”
Guillaume Vuillemay– “Wholesale funding runs”

Operating Leverage, Risk Taking and Coordination Failures


Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - S125 - De 14h00 à 15h15


We study an economy with demand spillovers where firms' decisions to produce are strategic complements. Firms have access to an increasing returns to scale technology and choose their operating leverage trading off higher fixed costs for lower variable costs. Operating leverage raises the sensitivity of firms' profits to an aggregate labor productivity shock, thereby magnifying systematic risk. We show that firms take excessive risk as they do not internalize that higher operating leverage increases the likelihood of a coordination failure where output is infficiently depressed across the economy. More generally, our analysis suggests that individual risk-taking decisions aggregate into excessive output volatility in the presence of strategic complementarities among agents.

The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years∗


Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - T004 - De 10h00 à 12h30


CEOs allocate more investment capital to male than female division managers. Using data from individual Census records, we find that this gender gap is driven by CEOs who grew up in male-dominated families—those where the father was the only income earner and had more education than the mother. The gender gap also increases for CEOs who attended all-male high schools and grew up in neighborhoods with greater gender inequality. The effect of gender on capital budgeting introduces frictions and erodes investment efficiency. Overall, the gender gap originates in CEO preferences developed during formative years and produces significant real effects.

Disclosure, Competition, and Learning from Asset Prices


Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - T027 - De 14h00 à 15h15


This paper studies the classic information-sharing problem in a duopoly setting in which firms learn information from a financial market. By disclosing information, a firm incurs a proprietary cost of losing competitive advantage to its rival firm but benefits from learning from a more informative asset market. Firms' disclosure decisions can exhibit strategic complementarity, which is strong enough to support both a disclosure equilibrium and a nondisclosure equilibrium. Allowing minimal learning from asset prices dramatically changes firms' disclosure behaviors: without learning from prices, firms do not disclose at all; but with minimal learning from prices, firms can almost fully disclose their information. Learning from asset prices benefits firms, consumers, and liquidity traders, but harms financial speculators.

Alpha Decay


Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - T020 - De 14h00 à 15h15


Using a novel sample of professional asset managers, we document positive incremental alpha on newly purchased stocks that decays over twelve months. While managers are successful forecasters at these short-to-medium horizons, their average holding period is substantially longer (2.2 years). Both slow alpha decay and the horizon mismatch can be explained by strategic trading behavior. Managers accumulate positions gradually and unwind gradually once the alpha has run out; they trade more aggressively when the number of competitors and/or correlation among information signals is high, and do not increase trade size after unexpected capital flows. Alphas are lower when competition/correlation increases.

What is the Expected Return on a Stock?


Intervenant : Ian Martin

17 mai 2018 - De 14h00 à 15h15


We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk-neutral variance relative to the average stock. These quantities can be computed fromindex and stock option prices; the formula has no free parameters. We run panel regressions of realized stock returns onto risk-neutral variances, and find that the theory performs well at 6-month, 1-year, and 2-year forecasting horizons. The formula drives out beta, size, book-to-market and momentum, and outperforms a range of competitors in forecasting stock returns out of sample. Our results suggest that there is considerably more variation in expected returns, both over time and across stocks, than has previously been acknowledged.