Finance Department Guest Seminar Archives 2010-Present

Browse the archives below to find information and working papers from past guest seminars hosted by the department of finance.

Spring 2015 Seminar Schedule

Spring 2015 Seminar Schedule


Andrew Ang, Columbia University

"Esitmating Private Equity Returns from Limited Partner Cash Flows (433.61 KB)

We introduce a methodology to estimate the historical time series of returns to investment in private equity. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners, and is robust to sparse data. We decompose private equity returns into a component due to traded factors and a time-varying private equity premium. We find strong cyclicality in the premium component that differs according to fund type. The time-series estimates allow us to directly test theories about private equity cyclicality, and we find evidence in favor of the Kaplan and Strömberg (2009) hypothesis that capital market segmentation helps to determine the private equity premium.


Adriano Rampini, Duke University

"Household Risk Management (505.3 KB)"

Households' insurance against adverse shocks to income, expenditures for health and other spending needs, and the value of assets (that is, household risk management) is limited and at times completely absent, in particular for poor households. We explain this basic pattern in household insurance in an infinite horizon model in which households have access to complete markets subject to collateral constraints resulting in a trade-off between risk management concerns and the financing needs for consumption and durable goods purchases. Insurance, which is typically thought of as trade across states, is linked to intertemporal trade, that is, consumption smoothing and financing, when households' promises to pay are restricted by limited enforcement. Household risk management is increasing in household net worth and income, under quite general conditions, in economies with income risk and durable goods price risk. Household risk management is precautionary in the sense that an increase in uncertainty increases risk management; remarkably, risk aversion is sufficient for this result and no assumptions on prudence are required.


Guillermo Ordonez, Univeristy of Pennsylvania

"Debt Crises: For Whome the Bells Tolls (641.55 KB)"

What a country has done in the past, and what other countries are doing in the present can feedback for good or for ill. We develop a simple model that can address hysteresis and contagion in sovereign debt markets. When a country’s fundamentals change, those changes affect information acquisition about that country but also affect the allocation of investment funds worldwide, inducing changes in the dynamics of sovereign spreads in seemingly unrelated countries.


Lukas Schmid, Duke University

"Competition, Markups, and Predictable Returns (511.79 KB)"

Imperfect competition is an important channel for time-varying risk premia in asset markets. We build a general equilibrium model with monopolistic competition and endogenous firm entry and exit. Endogenous variation in industry concentration generates countercyclical markups, which amplifies macroeconomic risk. The nonlinear relation between the measure of firms and markups endogenously generates countercyclical macroeconomic volatility. With recursive preferences, the volatility dynamics lead to countercyclical risk premia forecastable with measures of competition. Also, the model produces a U-shaped term structure of equity returns.


Fall 2014 Seminar Schedule

Fall 2014 Seminar Schedule



Annette Vissing-Jorgensesn, University of California, Berkeley

Stock Returns over the FOMC Cycle (653.93 KB)


We document that since 1994 the US equity premium follows an alternating weekly pattern measured in FOMC cycle time, i.e. in time since the last Federal Open Market Committee meeting. The equity premium is earned entirely in weeks 0, 2, 4 and 6 in FOMC cycle time (with week 0 starting the day before a scheduled FOMC announcement day). We show that this pattern is likely to reflect a risk premium for news (about monetary policy or the macro economy) coming from the Federal Reserve: (1) The FOMC calendar is quite irregular and changes across sub-periods over which our finding is robust. (2) Even weeks in FOMC cycle time do not line up with other macro releases. (3) Volatility in the fed funds futures market and the federal funds market (but not to the same extent in other markets) peaks during even weeks in FOMC cycle time. (4) Information processing/decision making within the Fed tends to happen bi-weekly in FOMC cycle time: Before 1994, when changes to the Fed funds target in between meetings were common, they disproportionately took place during
even weeks in FOMC cycle time. In addition, after 2001 Board of Governors discount rate meetings (at which the board aggregates policy requests from regional federal reserve banks and receives staff briefings) tend to take place bi-weekly in FOMC cycle time. As for how the information gets from the Federal Reserve to the market, we rule out the Federal Reserve signaling policy via open market operations post-1994. Furthermore, the high return weeks do not systematically line up with official information releases from the Federal Reserve or with the frequency of speeches by Fed officials. We end with a discussion of quiet policy communications and unintended information flows.


Geoffrey Tate, Univeristy of North Carolina – Chapel Hill

Do Credit Analysts Matter? The Effect of Analysts on Ratings, Prices, and Corporate Decisions (492.23 KB)

We find evidence of systematic optimism and pessimism among credit analysts, comparing contemporaneous ratings of the same firm across rating agencies. These biases carry through to debt prices and negatively predict future changes in credit spreads, consistent with mispricing. Moreover, they affect corporate policies: firms covered by more pessimistic analysts issue less debt, use more equity financing, and experience slower revenue growth. We find that MBAs provide higher quality ratings; however, optimism increases and accuracy decreases with tenure covering the firm. Our analysis uncovers a novel mechanism through which debt prices become distorted and demonstrates its effect on corporate decisions.


Lucian Taylor, Wharton, Univeristy of Pennsylvania

Intangible Capital and the Investment-q Relation (352.62 KB)

Including intangible capital in measures of investment and Tobin’s q produces a stronger investment-q relation. Specifically, regressions of investment on q produce higher R2 values and larger slope coefficients, both in firm-level and macroeconomic data. Including intangible capital also produces a stronger investment-cash flow relation. These results hold across a variety of firms and periods, but some results are even stronger where intangible capital is more important. These findings change our assessment of the classic q theory of investment, and they call for the inclusion of intangible capital in proxies for firms’ investment opportunities.


Howard Kung, London Business School

Government Maturity Structure Shocks (414.34 KB)

This paper examines the impact of government debt maturity restructuring on inflation and the real economy using a New Keynesian model that features a stochastic maturity structure of nominal debt and allows for changes in the monetary/fiscal policy mix. The irrelevance of open market operations changing the duration of government liabilities (holding the market value constant) is violated when the slope of the yield curve is nonzero in a fiscally-led policy regime. When the yield curve is downward-sloping, shortening the maturity structure increases the government discount rate, which generates fiscal inflation and an expansion in output. The opposite results obtain when the yield curve is upward-sloping. Conditional maturity restructuring policies depending on the slope of the yield curve can smooth macroeconomic fluctuations and over substantial welfare benefits. In a liquidity trap, lengthening the maturity structure can be effective in attenuating deflationary pressure and output losses. In short, this paper highlights the importance of bond risk premia, in conjunction with the government debt valuation equation, as a transmission channel for open market operations.


Tyler Muir, Yale

Financial Crises and Risk Premia (606.92 KB)

I analyze the behavior of risk premia in financial crises, wars, and recessions in an international panel spanning over 140 years and over 14 countries. I document that risk premia increase substantially in financial crises, but not in the other episodes. However, drops in consumption and consumption volatility are fairly similar across financial crises and recessions and are largest during wars, so standard macro asset pricing models will have trouble matching this variation. Comparing crises to “deep” recessions strengthens these findings further. I also find the equity of the financial sector forecasts returns. Taken together, the results suggest that the health of the financial sector is important for understanding why aggregate risk premia vary. I calibrate an intermediary asset pricing model and show it can match the data.


Jonathan Karpoff, University of Washington

"The Value of Foreign Bribery to Bribe Paying Firms (333.23 KB)

We examine foreign bribery and its enforcement using data from enforcement actions initiated under the U.S. Foreign Corrupt Practices Act (FCPA) from 1978 through May 2013.  We estimate that 22.9% of Compustat-listed firms with foreign sales engaged in a program of prosecutable bribery at least once during our sample period, and that the probability a bribe-paying firm will face bribery charges is 6.4%.  Bribes tend to be paid for important contracts, as the average ex ante NPV of a bribe-related contract is 2.6% of the firm’s market capitalization.  The costs for firms that are prosecuted for bribery depend on whether the bribery is comingled with charges of financial fraud.  Firms with comingled fraud charges face large fines, investigation costs, and reputational losses, such that the ex post NPV is negative.  Bribe-paying firms without comingled fraud charges face significant fines and investigation costs, but do not, on average, lose reputation in a way that impedes future operations or profitability.



Liyan Yang, Rotman School of Management, University of Toronto

Good Disclosure, Bad Disclosure (452.97 KB)

We study the implications of public information in a model where market prices convey information to relevant decision makers and the fluctuation of market prices is driven by multiple factors. Disclosure has a positive direct effect of providing new information and an indirect effect of changing the price informativeness. If disclosure is about a variable of which real decision makers are well informed, then the indirect effect is also positive, so that the direct effect is amplified, leading to a positive overall effect on real efficiency. If disclosure is about a variable that real decision markers care to learn much, then the indirect effect is negative and the direct effect is attenuated. Moreover, in markets which aggregate private information effectively, the negative indirect effect can dominate, so that disclosure can harm real efficiency.


Shmuel Baruch,  The University of Utah

"Fleeting Orders (350.84 KB)

We study a dynamic limit order market with a finite number of strategic liquidity suppliers who post limit orders. Their limit orders are hit by either news (i.e. informed) traders or noise traders. We show that repeatedly playing a mixed strategy equilibrium of a certain static game is a subgame perfect equilibrium with fleeting orders and flickering quotes. Furthermore, regardless of the distributions of the liquidation value and noise trade quantity, we always find a sequence of equilibria in mixed strategies such that the resulting random supply schedule converges in mean square, as the number of liquidity suppliers increases to infinity, to the deterministic competitive supply function.


Barney Hartman-Glaser, University of California, Los Angeles

"Dynamic Agency and Real Options (437.06 KB)"

We analyze how dynamic moral hazard affects corporate investment. In our model, the owners of a firm hold a real option to increase capital. They also employ a manager who controls the firm's productivity, but is subject to moral hazard. Although this conflict reduces capital productivity, both over- and under-investment can occur. When moral hazard is severe, the firm invests at a lower threshold in productivity than in the first-best because investment is a substitute for effort. When the growth option is large, the investment threshold is higher than in the first-best. We also discuss how investment affects pay-performance sensitivity.


Bill Wilhelm, University of Virginia

Investment-Banking Relationships: 1933-2007 (1.51 MB)

We study the evolution of investment bank relationships with issuers from 1933–2007. The degree to which issuers conditioned upon prior relationship strength when selecting an investment bank declined steadily after the 1960s. The issuer’s probability of selecting a bank with strong relationships with its competitors also declined after the 1970s. In contrast, issuers have placed an increasing emphasis upon the quantity and the quality of their investment bank’s connections with other banks. We relate the structural changes in bank-client relationships beginning in the 1970s to technological changes that altered the institutional constraints under which security issuance occurs.


Spring 2014 Seminar Schedule

Spring 2014 Seminar Schedule

Date Presentation

Michael Roberts, Wharton School of Business, University of Pennsylvania

"How Does Government Debt Affect Corporate Financial and Investment Policies?"

Co-authored by John R. Graham, Fuqua School of Business, and Mark T. Leary, Olin School of Business

Using a novel dataset of accounting and market information that spans most publicly traded nonfinancial firms over the last century, we find an economically large and robust negative relation between government debt and corporate debt and investment. A one standard deviation increase in treasury debt is associated with a one third standard deviation reduction in corporate debt issuances, a one third standard deviation increase in liquid assets, no significant change in corporate equity issuances, and a one third standard deviation reduction in corporate investment. These relations are more pronounced in larger, less risky firms whose debt is a closer substitute for treasuries. The channel through which this effect operates is financial intermediaries, whose balance sheets reveal a substitution between lending to the federal government and lending to the corporate sector. The relations between government debt and corporate policies, as well as the substitution between government and corporate lending by intermediaries, are stronger after 1970 when foreign demand increased competition for treasury securities. In concert, our results suggest that large, financially healthy corporations act as liquidity providers by supplying relatively safe securities to investors when alternatives are in short supply, and that this financial strategy influences marginal investments.


Mark Leary, Olin Business School, Washington University in St. Louis

"Do Investors Value Dividend Smoothing Stocks Differently?" (763.94 KB)

Co-authored with Yelena Larkin (Penn State) and Roni Michaely (Cornell)

It is almost an article of faith that managers have a preference for smooth dividends. Yet, it is not clear if this reflects investors' preferences. In this paper, we study whether investors indeed value dividend smoothing stocks differently by exploring the implications of dividend smoothing for firms' stock prices and cost of capital. Using over 80 years of data, we find no robust relationship between the smoothness of a firm's dividends and the expected return or market value of its stock. Similarly, we find no association between the path of dividend changes and firms' value. The asymmetric reaction to dividend increases and decreases is largely attributable to the first time the firm cuts its dividend. Finally, we find that retail investors are less likely to hold dividend smoothing stocks, while institutional investors, and especially mutual funds, are more likely. This evidence for a smoothing clientele offers a potential reconciliation of our findings with the prevalent use of dividend smoothing.


Robert Novy-Marx, Simon Business School, University of Rochester



Neng Wang, Columbia Business School

"Investment, Liquidity, and Financing under Uncertainty" (760.13 KB)

Co-authored with Patrick Bolton (Columbia) and Jinqiang Yang (Shanghai University of Finance and Economics)


Igor Makarov, London Business School

"Arbitrage Trading with Marking-to-market and Price Impact"

The paper studies trading decisions of money managers whose profit is marked- to-market and who trade in markets with price impact. I show that in their chase after good performance record managers may accumulate excessively large arbitrage positions and therefore, push prices above their fundamental levels. This may result in very large losses for investors.


Harrison Hong, Princeton

"Count Models of Social Networks in Finance" (1.33 MB)

Co-authored with Jiangmin Xu (Princeton)


Fall 2013 Seminar Schedule

Fall 2013 Seminar Schedule

Date Presentation

Yuri Tserlukevich, Arizona State University

"Idiosyncratic Cash Flows and Systematic Risk" (534.7 KB)


Utpal Bhattacharya, Kelley School of Business, Indiana University

"The Dark Side of ETFs and Index Funds" (325.4 KB)


Dean Corbae, Wisconsin School of Business, University of Wisconsin

"Capital Requirements in a Quantitative Model of Banking Industry Dynamics" (496.56 KB)


Bryan Kelly, Booth School of Business, University of Chicago

"Firm Volatility in Granular Networks" (503.59 KB)

10/10/13 (Thu) Matteo Maggiori, Stern School of Business, NYU

Vito Gala, London School of Business

"Measuring Marginal q"


Alexander Gorbenko, London School of Business

"Means of Payment and Timing of Mergers and Acquisitions in a Dynamic Economy" (445.33 KB)

12/4/13 (Wed)

RM L-114

Peter DeMarzo, Stanford Business School

"Risking Other People's Money: Gambling, Limited Liability, and Optimal Incentives"


Adair Morse, Booth School of Business, University of Chicago

"Lawyers in the Executive Suite: The Value of Gatekeepers as Internal Governance"


Spring 2013 Guest Seminars

Spring 2013 Guest Seminars

1/11/13 Michael Gofman, University of Wisconsin-Madison
"Efficiency and Stability of a Financial Architecture with Too Interconnected To Fail Institutions" (951.65 KB)
3/08/13 Konstantin Milbradt, Massachusetts Institute of Technology
3/29/13 Vincenzo Quadrini, University of Southern California
4/10/13 Kai Li, University of British Columbia
4/12/13 Ian Martin, Stanford
4/19/13 Charlie Hadlock, Michigan State
4/26/13 Kent Daniel, Columbia University
5/3/13 Jeff Brown, University of Illinois


Fall 2012 Guest Seminars

Fall 2012 Guest Seminars

9/14/12 Avri Ravid, Yeshiva University
"Intellectual Property Contracts: Theory and Evidence from Screenplay Sales" (469.94 KB)
9/21/12 Mike Weisbach, Ohio State
"Financing-Motivated Acquisitions" (576.32 KB)
10/05/12 Hamid Mohtadi, University of Wisconsin
10/12/12 Rui Albuquerque, Boston University
"Understanding the Equity-premium and Correlation Puzzles"
10/19/12 David Frankel, Iowa State
"Securitization and Banking Competition" (987.22 KB)
11/16/12 Paolo Pasquariello, University of Michigan 
"Financial Market Dislocations" (464.87 KB)
11/30/12 Carola Frydman, Boston University 
"Economic Effects of Runs on Early 'Shadow Banks': Trust Companies and the Impact of the Panic of 1907" (463.2 KB)


Spring 2012 Guest Seminars

Spring 2012 Guest Seminars


Andrey Malenko, MIT

"Optimal Design of Internal Capital Markets" (423.79 KB)


Lars Lochstoer, Columbia

"Parameter Learning in General Equilibrium: The Asset Pricing Implications" (403.26 KB)


Simon Gervais, Duke University

"The Industrial Organization of Money Management" (194.53 KB)


Annamaria Lusardi, Dartmouth University

"Financial Literacy Around the World" (56.96 KB)


Radha Gopalan, Washington University

"The Optimal Duration of Executive Compensation: Theory and Evidence" (553.84 KB)


Stefan Nagel, Stanford University

"Sizing Up Repo" (584.34 KB)


Ross Levine, Brown University

"Does Entrepreneurship Pay?"


Fall 2011 Guest Seminars

Fall 2011 Guest Seminars

9/9/11 Paola Sapienza, Northwestern University
"Time Varying Risk Aversion" (417.42 KB)

Andrew Hertzberg, Columbia University

"Exponentia Individuals, Hyperbolic Households" (484.86 KB)


David Backus, NYU

"Sources of Entropy in Representative Agent Models" (285.93 KB)


Raman Uppal, London Business School

"Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility" (392.52 KB)


Arthur Korteweg, Stanford University

"Structural Models of Capital Structure: A Framework for Model Evaluation and Testing"


Sergei Davidenko, Rotman

"A Market-Based Study of the Cost of Default" (463.41 KB)


Spring 2011 Guest Seminars

Spring 2011 Guest Seminars


Florian Heider

"Risk-sharing or risk-taking? Hedging, margins and incentives" (264.96 KB)


Han Ozsoylev

"Asset Pricing in Large Information Networks" (374.05 KB)


Effi Bemelech

"The Adjustment of Labor and Capital to Financial Constraints" (1.63 MB)


Bruce Carlin

"Competition and Transparency in Financial Markets" (1.16 MB)


Ralph Koijen

"Equity Yields" (472.37 KB)


Phillip Illeditsch

"Beliefs about Inflation and the Term Structure of Interest Rates" (830.44 KB)


Fall 2010 Guest Seminars

Fall 2010 Guest Seminars


Ivo Welch

"Why I do not Understand Capital Structure Research"


Jeffrey Wurgler

"The Effect of Reference Point Prices on Mergers and Acquisitions" (646.7 KB)


Richmond Mathews

"Doing Battle with Short Sellers: The Role of Blockholders in Bear Raids" (648.21 KB)


Scott Joslin

"Rare Disasters and Risk Sharing with Heterogeneous Beliefs" (566.04 KB)


Daniel Paravisini

"Dissecting the Eect of Credit Supply on Trade: Evidence from Matched Credit-Export Data" (400.12 KB)


Viral Acharya, NYU

"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk" (451.79 KB)


Spring 2010 Guest Seminars