Professor Betermier on the value of MIPC
Following the inaugural 成人VR视频 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 成人VR视频 International Portfolio Challenge presented hypothetical portfolios believed to achieve solvency to address the crisis that has been affecting Canadian pension funds.
Sovereign to Corporate Risk Spillovers
Authors: Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schinitzler
Publication: Journal of Money, Credit and Banking, Forthcoming
Abstract:
Canada is not facing a mortgage crisis
The Laurentian Bank of Canada recently revealed that they will have to buy back up to $300 million in loans issued to clients, realising that its vetting practices were not applied thoroughly enough.
Nevertheless, experts, such as Desautels Professor Mo Chaudhury, maintain that these issues are not rampant in the Canadian banking system and that the country is not on the brink of a mortgage crisis comparable to what unfolded in the U.S. 聽聽
A token of appreciation
Thanks to a student-led fundraiser, a group of BCom students recently presented a Catchbox to the Desautels Faculty of Management in honour of Professor Sujata Madan.
Catchbox is a soft microphone that is designed to be thrown among an audience to increase engagement and participation.
This initiative was a way for students to thank a professor who continually inspires them.
Are intelligent machines the new and improved investment managers?
An article for The Globe and Mail examines the emerging trend among investment firms to integrate artificial intelligence (AI) in their daily operations.
These new systems can identify various patterns and then make increasingly accurate predictions based on this information.
The education reformation
In a piece for American Affairs, Professor Reuven Brenner takes a pulse of contemporary U.S. education and outlines some of the key challenges in this area, including skewed high school graduation rates and the lack of rigorous training to develop skills and discipline.
Technological advancement means the rethinking of language
As society continues to embrace technological advancement, we tend to overlook how the words that our ancestors used have lost their meaning. In an article for Asia Times, Desautels professor Reuven Brenner explores what happens when the words used for the physical realm are applied to a digitized society, and how the fit is not always a natural one. Prof.
Is bitcoin the new gold?
Bitcoin has been the target of much speculation among financial circles with some experts alleging that it has the potential to become comparable to gold, a currency legitimized through social convention.
Desautels inaugurates world鈥檚 first pension portfolio challenge
This weekend, twenty-five student teams from Berkeley, Chicago, Sydney, Hong Kong, and Geneva, amongst others will participate in the final round of the 成人VR视频 International Portfolio Challenge.
Organized by Desautels BCom students under the guidance of Professor Sebastien Betermier, this is the world鈥檚 first pension asset allocation competition.
Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization
Authors: David Chambers, Sergei Sarkissian and Michael J. Schill
Publication: Review of Financial Studies, Forthcoming
Abstract:
We study market segmentation effects using data on U.S. railroads that list their bonds in New York and London between 1873 and 1913. This sample provides a unique setting for such analysis because of the precision offered by bond yields in cost of capital estimation, the geography-specific nature of railroad assets, and ongoing substantial technological change. We document a significant reduction in market segmentation over time. Whilst New York bond yields exceeded those in London in the 1870s, this premium disappeared by the early 1900s. However, the segmentation premium persisted in the more remote regions of the United States.
Read full article: Review of Financial Studies
Two-Sided Reputation in Certification Markets
Authors: Matthieu Bouvard and Rapha毛l Levy
Publication: Management Science, Forthcoming
Abstract:
In a market where sellers solicit certification to overcome asymmetric information, we show that the profit of a monopolistic certifier can be hump-shaped in its reputation for accuracy: a higher accuracy attracts high-quality sellers but sometimes repels low-quality sellers. As a consequence, reputational concerns may induce the certifier to reduce information quality, thus depressing welfare. The entry of a second certifier impacts reputational incentives: when sellers only solicit one certifier, competition plays a disciplining role and the region where reputation is bad shrinks. Conversely, this region may expand when sellers hold multiple certifications.
Read full article: Management Science
Illiquidity Premia in the Equity Options Market
Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, Mehdi Karoui
Publication: Review of Financial Studies, Vol. 31, No. 3, March 2018
Abstract:
Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3:4% per day for at-the-money calls and 2:5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.
Read full article: Review of Financial Studies
Mathieu Bouvard wins SFI Outstanding Paper Award 2017
The Swiss Finance Institute (SFI) has attributed its Outstanding Paper Award to "The Blockchain Folk Theorem," a research paper by Bruno Biais, Toulouse School of Economics, Christophe Bisi猫re, Toulouse School of Economics, Matthieu Bouvard, 成人VR视频, and Catherine Casamatta, Toulouse School of Economics, that investigates the stability of the blockchain protocol in a game-theoretic approach.
