Archives for LFIN
November 08, 2019
Finance Seminar
Finance Seminar: Victor DeMiguel
Crowding and Trading Diversification in Factor Investing
Victor DeMiguel, London Business School
Abstract: The growing number of institutions exploiting smart-beta strategies raises concerns that crowding may increase price-impact costs and thus erode their pro ts. We identify a mechanism,...
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October 25, 2019
Finance Seminar
Finance Seminar: Stefan Palan
Earnings Autocorrelation and the Post-Earnings-Announcement Drift
Stefan Palan, University of Graz
Abstract : Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies in the literature. This paper presents the first investigation into...
Click to know more October 18, 2019
Louvain Finance Seminar
Finance Seminar: Yang Lu
Joint ISBA/LFIN Statistics Seminar
Noncausal Affine Process with Appliations to Derivative Pricing
Yang Lu, Université Paris 13
Abstract: Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the...
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From 16 to 20/09/2019
SoFiE Financial Econometrics School Brussels 2019
The 2019 SoFiE Financial Econometrics School will be held in Brussels on September 16-20. This year's topic is Dynamic Pricing with Discrete Time Affine Processes
The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new...
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May 24, 2019
Finance Seminar
Janet Gao, Kelley School of Business, Indiana University
Overreaction in Credit Spreads: The Role of Lenders' Personal Economic Experiences
Janet Gao, Kelley School of Business, Indiana University
We provide micro-level evidence that credit spreads overreact to lenders’ recent personal economic experiences. Using unique data on the location of...
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