Séminaires de Recherche

Information, Trading and Volatility: Evidence from Firm-specific news

Finance

Intervenant : Shimon Kogan
IDC - International Data Corporation

20 avril 2017 - T015 - De 14h00 à 15h15

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What moves stock prices? Systematic factors aside, prior literature concludes that the revelation of private information through trading, and not public news, is the primary driver. We revisit the question by utilizing new textual analysis tools that allow us to better-identify fundamental information in news. We find that such fundamental firm-level information is an important source for stock price volatility, accounting for 20%-40% of overnight volatility (compared to 5%-6% during trading hours). Moreover, we find that the percentages of news-explained variance varies across firm characteristics and industries.

Political rationalities of calculation: articulating sovereignty and governmentality

Comptabilité et Contrôle de Gestion

Intervenant : Rita Samiolo
University of Innsbruck

7 avril 2017 - HEC Paris - salle T004 - De 14h00 à 16h00


Drawing on studies of “governmentality” and “world society theory”, this paper revisits the theme of
calculation in government. Through the particular case of Italy and of a controversy which has divided the Italian state for decades – the safeguard of the city of Venice – it examines the relationship between specific notions of the state, ways of questioning and problematising it, and the use of numbers and technologies of calculation. More specifically, this paper traces the discursive conditions within which a calculative tools such as environmental impact assessment (EIA) and cost-benefit analysis (CBA) came to be seen as indispensable in order to decide upon the flood protection scheme for Venice. Enrolled in the effort to “rationalize” and “democratize” the state and to reform it “from the outside” by means of international expertise, EIA and CBA became the object of a fierce scientific and political controversy which was ultimately not resolved on the grounds of calculation. The paper shows how a specific way of reasoning about the state and its shortcomings – well established in the Italian political science literature and reflected in the specific debates revolving around the case of Venice – defeated the optimisation logic which the EIA and CBA were supposed to bring about. The paper concludes that calculation, seen as a core feature of contemporary governmentality, can find its limits at the intersection of different governmental strategies or “modes” of governmentality, whose historical roots may be found in what Foucault discussed as “the state of diplomacy” and “the state of police”.

The Economic Impact of Index Investing

Finance

Intervenant : Matthew Ringgenberg
The University of Utah

30 mars 2017 - T004 - De 14h00 à 15h15

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We examine the impact of index investing on rm performance by examining the link between commodity indices and rms that use index commodities. Starting in 2004 there was a dramatic increase in commodity index investing, an event referred to as the nancialization of commodity markets. After nancialization, rms that use index commodities make worse production decisions and earn lower pro ts. Consistent with a feedback channel in which market participants learn from prices, our results suggest that index investing in nancial markets distorts the price signal thereby generating a negative externality that impedes rms' ability to make production decisions.

Heterogeneity of Reference Effects in the Competitive Newsvendor Problem

Informations Systems and Operations Management

Intervenant : Anton Ovchinnikov
Associate Professor & Distinguished Professor of Management Science & Operations Management , Smith School of Business, Queen‘s University

24 mars 2017 - Salle Bernard Ramanantsoa (Bâtiment V) - De 11h00 à 12h30


​This paper examines two recently-proposed reference effect formulations for the newsvendor problem and extends them to a competitive setting. The analysis of the resultant game shows that the heterogeneity of newsvendors’ reference effects can explain multiple regularities observed in recent experimental studies of newsvendor competition. Specifically, the observations that a behavioral newsvendor may effectively ignore the orders of the competitor, receive a significantly smaller profit, and over-order when there is no expected demand overflow can all be attributed to the heterogeneous reference effects in our model’s equilibrium. ​

Opportunistic Proposals by Union Shareholders*

Finance

Intervenant : Oguzhan Ozbas
USC - University of Southern California

23 mars 2017 - T037 - De 11h00 à 12h15

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Co-Constructing Plural Leadership Dynamics Among Professional Peers

Stratégie et Politique d’Entreprise

Intervenant : Laura Empson
Cass Business School

23 mars 2017 - T020 - De 10h30 à 12h00


Bowing Before Dual Gods: How Structured Flexibility Sustains Organizational Hybridity

Management et Ressources Humaines

Intervenant : Marya L. Besharov
Associate Professor of Organizational Behavior , Cornell University

22 mars 2017 - T037 - De 10h00 à 11h30


The increasing prevalence and variety of hybrid organizations challenges scholars and practitioners. How do these organizations successfully sustain seemingly incompatible missions and goals over time? Mounting research emphasizes either stable organizational features or dynamic processes. Our in-depth, 10-year study of a social enterprise in Southeast Asia highlights the critical role of both, unfolding how consistent organizational features and shifting enactment processes interact to sustain seemingly incompatible dual missions. We capture these findings in a model of structured flexibility. The model shows how ongoing processual shifts in meanings and practices create flexibility in how leaders enact dual missions. Such flexibility, however, depends on consistent, stable organizational features—in particular, dedicated structures, roles, and relationships that serve as guardrails holding leaders accountable to each mission, as well as leaders’ paradoxical cognitive frames that accommodate both contradictory and interdependent relationships between dual missions. By unpacking the interplay between stable and dynamic aspects of dual missions, our structured flexibility model offers new insight into how hybridity unfolds and is sustained over time.

5th annual HEC/ESSEC joint research workshop organized by HEC Paris

Comptabilité et Contrôle de Gestion

17 mars 2017 - HEC Champerret - salle 293 - De 09h30 à 16h00


Improving Environment, Health and Safety in Supply Chains: Some Preliminary Studies

Informations Systems and Operations Management

Intervenant : Christopher S. Tang
Carter Professor of Business Administration, , UCLA Anderson School

17 mars 2017 - Salle Bernard Ramanantsoa - De 11h00 à 12h30


Many factories in developing countries have serious Environment, Health and Safety (EHS) issues. Due to inconsistent law enforcement, limited progress has been made. What can be done? This is an open research topic that operations management and supply chain researchers should explore. I plan to share some of my preliminary studies in this presentation.

An Information-Theoretic Asset Pricing Model

Finance

Intervenant : Christian Julliard
LSE - The London School of Economics

9 mars 2017 - T015 - De 14h00 à 15h15


We show that a non-parametric estimate of the pricing kernel, extracted using an information-theoretic approach, delivers out-of-sample smaller pricing errors and better cross-sectional fit than leading factor models, and identifies the maximum Sharpe ratio portfolio. This information SDF identifies a novel source of risk not captured by Fama-French and momentum factors, revealing an ‘information anomaly’ that generates annualized alphas of about 9%–24%. A tradable information portfolio that mimics this kernel has high out-of-sample Sharpe ratio (about 1 or more), outperforming both the 1/N benchmark and Value and Momentum strategies combined. These results hold for wide cross-sections of test portfolios.


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