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, 麻豆AV, and Catherine Casamatta, Toulouse School of Economics, that investigates the stability of the blockchain protocol in a game-theoretic approach.
Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice
Authors: David Schumacher
Publication: Review of Financial Studies, Forthcoming
Abstract:
Citron hits Shopify in short attack, Professor Lester weighs in
Shopify recently came out in defense of its business model following an attack on the company by short seller Andrew Left of Citron. According to Desautels professor Kenneth Lester, short sellers actually do an investigative service by exposing information about companies that might have otherwise been strategically concealed; though he remains wary of the insider trading sometimes tied to shorts.
Scenario generation for long run interest rate risk assessment
Authors: Robert Engle, Guillaume Roussellet, Emil Siriwardane
Publication: Journal of Econometrics, Vol. 201, No. 2, December 2017
Abstract:
Staying at zero with affine processes: An application to term structure modelling
Authors: Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
Publication: Journal of Econometrics, Vol. 201, No. 2, 2017, pp. 348-366.
Abstract:
Professor Chaudhury on the new Rohingya approach
In a blog post for bdnews24.com, Desautels professor Mo Chaudhury assesses the Bangladesh Government鈥檚 response to the humanitarian crisis in Myanmar concerning the Rohingyas, asserting that the current response contrasts with past related policy.
Mo Chaudhury on the Rohingya crisis, Bangladesh and the West
In a recent op-ed for Bangladeshi online newspaper bdnews24.com, Desautels Professor Mo Chaudhury explores the unfolding Rohingya humanitarian disaster in Myanmar, then outlines the corruption at the heart of the crisis and the players who stand to benefit from it.
Professor Vihang Errunza named a Fellow of the Royal Society of Canada
The Desautels Faculty of Management is pleased to congratulate Professor Vihang Errunza, Associate Dean, Research, on being named a Fellow of the Royal Society of Canada鈥檚 Social Sciences Academy.
Investment, overconfidence and the female edge
A piece in Les Affaires looks at how our emotions and confidence can get the better of us when it comes to our investment practises, citing the panic in 2008 as proof that the markets are ruled more by investor emotion than by rationality.
Stock overreaction to extreme market events
Authors: Pedro Piccolia, Mo Chaudhury, Alceu Souza and Wesley Vieirada Silvaa
Publication: The North American Journal of Economics and Finance, Vol. 41, July 2017
Abstract:
The paper investigates the behavior of individual US stocks during the 21 trading days following the event of extreme movement in the market index on a day.
Leverage and asymmetric volatility: The firm-level evidence
Authors: Jan Ericsson, Xiao Huang, Stefano Mazzotta
Publication: Journal of Empirical Finance, Volume 38, Part A, September 2016, Pages 1-21
Abstract:
Inflation or recession? The US Fed tries to untangle a financial mystery
A Weekly Standard op-ed examines the way the Fed is trying to tame a $4-trillion quantitative easing problem in case another recession hits.
Ottawa鈥檚 pot pricing plan likely to be affected by low rates in Quebec
Ottawa is going to have to find a way to keep legalized cannabis on the affordable side, thanks to the already low prices in Quebec. A new Public Safety Canada report states that, for comparable quality marijuana, Quebec pot consumers pay about $5.33 per gram, while non-Quebecers average $7.04.
