25 июня - семинар Лаборатории финансовой экономики
Начало семинара в 14.30 ауд. 3402 (Шаболовка)
Программа семинара:
2.30 - 3.15 Anatoly Peresetsky
What factors drive the Russian banks license withdrawal
PeresetskyAnatoly_RussianBanks
Abstract: The binary and multinomial logit models are applied for prediction of the Russian banks defaults (license withdrawals) using data from bank balance sheets and macroeconomic indicators. Significantly different models correspond to the two main grounds for license withdrawal: financial insolvency and money laundering. Analysis of data for the period 2005.2–2008.4 for accurate prediction of a bank’s financial insolvency, which is the focus of interest for the Russian Deposit Insurance Agency, demonstrates that the multinomial model doesn’t outperform the binary model.
3.15 - 4.00 Sergey Gelman (joint with Dmitry Borisenko)
Idiosyncratic risk and indirect transaction costs: enhancement of the Lesmond, Ogden and Trzcinka (1999) measure
GelmanSergey_Idiosyncratic risk and indirect transaction costs
Abstract: A popular measure of liquidity – the indirect measure of full transaction costs introduced in Lesmond et al. (1999) – is known to be significantly upward biased. We show that the bias stems from the mistreatment of large countercyclical idiosyncratic shocks in individual stock returns. We suggest a modification, which applies a Generalized Extreme Value distribution to capture such shocks, and, with help of Monte-Carlo simulations, find that our approach fully eliminates bias under a normal distribution assumption and significantly diminishes bias under fatter tails. Using a sample of S&P 500 constituent stocks we show that our modified estimate is much more precise than the Lesmond et al. measure (1999).
4.00 - 4.30 Coffee break
4.30 - 5.15 Dmitry Makarov (joint with Suleyman Basak, Alex Shapiro, and Marti Subrahmanyam)
A Status-based Explanation for Convertible Securities in Venture Capital Financing
Abstract from the Introduction: We develop a continuous time framework to analyze the interaction between two parties: an entrepreneur with a promising idea but no own money to start the project, and a
financier who has the required capital. After the entrepreneur obtains the initial investment allowing her to launch the project, she can control the project's development by dynamically choosing the mean growth rate and volatility of the project value. In return for the initial investment, the entrepreneur offers the financier a contract, or a sharing rule, specifying how the future profits from the project will be divided between the two parties (e.g., after the company undertakes an IPO or after the trade sale, i.e., when another company buys it). Our goal is to address fundamental issues such as: (i) what is the optimal sharing rule, and how its characteristics depend on fundamental economic parameters, and (ii) can the model explain financial contracts observed in reality.
We look at the above issue from a new angle by recognizing that the desire to achieve a higher status in society can be a key force driving the entrepreneur's behavior. To model status concerns, we follow the classical insight of Friedman and Savage (1948) who propose using a concave-convex-concave utility function to capture the crave for higher status. Preliminary analysis of our baseline model indicates that it is able to explain the use of convertible securities in venture capital financing, with status concerns being the key ingredient underlying this result.
5.15 - 6.00 Patrick Kelly (joint with Mikael C. Bergbrant)
Impact of Macroeconomic News on Stock Returns and the Implications for Asset Pricing
KellyPatrick_FactorRisk
Abstract: This paper examines the impact of macroeconomic news on stock prices in XX emerging and YY developed markets around the world. We examine whether investors demand compensation for these risks, a la Savor and Wilson (JFQA, 2011 and WP,2011), and whether factor returns are at least in part compensation for exposure to these systematic risks. We (expect to) find that standard asset pricing models, in particular the CAPM, are most successful (only) on days with macroeconomic news and perform poorly on other days (except perhaps the HML factor). We find (in a EGARCH framework, a la Flannery and Protopapadakis, RFS, 2002) that a given list of macroeconomic announcements affects market returns in the mean and a different list affects market volatility. We run similar tests on daily factor returns and (expect to) find that SMB returns behave much like the market factor, while HML is largely insensitive to macroeconomic risks.
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e-mail: vzheleznov@hse.ru
contact: Slava Zheleznov