Séminaires de recherche

Finance

Intervenant : Andrea Vedolin
LSE

23 novembre 2017 - T004 - De 14h00 à 15h15


Team Stability and Performance: Evidence from Private Equity

Finance

Intervenant : Francesca Cornelli
London Business School

16 novembre 2017 - T004 - De 14h00 à 15h15

Télécharger

We examine the relation between team turnover and firm performance
studying the private equity industry. Using a unique data set that tracks over
time teams in 138 PE managers and their performance, we uncover a positive
relation between turnover and fund performance. We propose and confirm in
the data two channels that explain our findings: i) in the short-run, performance
improves when bad performers are fired, ii) in the long-run, turnover
helps teams to adapt and replenish their skills in response to shifting external
demand. Our findings suggest that frictions coming from informational
asymmetries may deter optimal turnover. These findings are surprising given
the common belief among PE investors that team stability is key to long-term
success.

Finance

Intervenant : Sabrina Howell
NYU Stern School of Business

9 novembre 2017 - T017 - De 11h00 à 12h15


Finance in a Time of Disruptive Growth

Finance

Intervenant : Nicolae Garleanu
Berkeley Haas School of Business

21 septembre 2017 - De 11h00 à 12h15


Expected Stock Returns and the Correlation Risk Premium

Finance

Intervenant : Grigory Vilkov
Frankfurt School of Finance & Management

14 septembre 2017 - T017 - De 14h00 à 15h15

Télécharger

In a general equilibrium model with stochastic variance and correlation, we decompose the equity risk premium into compensations for variance, correlation and consumption risks. Based on this decomposition, we develop and test a new methodology for out-of-sample forecasts of the market excess return. Estimating contemporaneous variance and correlation betas from the joint dynamics of option-implied variables and index returns, we find significant out-of-sample R2’s of 10.4% and 7.0% for 3- and 12-months forecast horizons, respectively. While the predictability
of the variance risk premium is strongest at the intermediate (quarterly) horizon, the correlation risk premium dominates at longer horizons. In line with a risk-based explanation for the existence of a correlation risk premium, we document that expected correlation predicts future diversification risks.


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