Calendar

Mai
5
ven
Research Seminar, ReFi – Yannick Malevergne – Université Paris 1 Panthéon-Sorbonne
Mai 5 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

Yannick Malevergne

Université Paris 1 Panthéon-Sorbonne

(CV & Bio here)

 

A model of bubbles and crashes with non-local behavioral self-referencing

 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 5 mai 2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.

Registration

Deadline : 3 mai  2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Abstract :

Most existing models of financial bubbles and crashes, in particular the class of rational-expectation bubble models, derive the conditional expected return as being proportional to the contemporaneous crash hazard rate as a consequence of the standard risk-return relationship.  We argue that the condition matching instantaneously return and risk is unrealistic and unlikely to be true in times of exuberant bubbles and of punishing crashes. We propose a class of models in which the hazard rate of jumps is determined by a non-local estimation of mispricing. Specifically, the mispricing is captured by a function of the difference between the present and the past prices over a long time scale, typically one year or more. This specification is rooted in behavioral finance, exploiting in particular the traits of « anchoring » on past price levels and on « probability judgement » about the likelihood of a correction as a function of the amplitude of the self-referential mispricing.
The insights obtained from numerical simulations of the model and estimation on market data are threefold : (i) In addition to the standard stylized facts, rising markets are understood as transient regimes when the risk of negative jumps is under-sampled while the investors expect a sufficiently large remuneration to compensate for the risk they anticipate. This makes quantitative the adage that « markets climb a wall of worry »; (ii) Reciprocally, the model cures a major problem of most crash jump models, which are in general rejected by data because they assume that crashes occur in a single large negative jump, by describing correctly that correction regimes and crashes are also phases with a significant duration, with inter-dependence between the sequences of corrections mediated by the interplay between the price and jump hazard rate dynamics; (iii) As a bonus, the model provides robust estimates of the risk premium, event in bearish markets, which is generally hidden. Our model provides a novel understanding of the risk-return relationship resulting from the entanglement of diffusion and jump risks.
 
 (Past and coming events)
Mai
23
mar
Research Seminar, ReFi – Why does fast loan growth predict poor performance for banks? – Ruediger Fahlenbrach – EPFL Swiss Finance Institute
Mai 23 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

 

Ruediger Fahlenbrach

EPFL Swiss Finance Institute

(CV & Bio here)

 

Why does fast loan growth predict poor performance for banks?

 
(Consult the paper)
 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 23 mai 2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.
Deadline : 22 mai  2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

Abstract : From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperforms the common stock of banks with loan growth in the bottom  quartile over the next three years. After the period of high growth, these banks have a lower return on assets and increase their loan loss reserves. The poorer performance of fast growing banks is not explained by merger activity. The evidence is consistent with banks, analysts, and investors being overoptimistic
about the risk of loans extended during bank-level periods of high loan growth
 (Past and coming events)
Mai
26
ven
Research Seminar, ReFi – Corporate short-termism, by Mark Roe, Corporate short-termism
Mai 26 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

Mark Roe

Harvard Law School

(cv & bio)

Corporate short-termism

(Consult the paper tbc)

Abstract :

tbc

 

ESCP EUROPE
79 avenue de la République 75011 Paris
Friday 26 May  2017
12:00am  to  13:30pm, Room 4310
For security reason, please register before the deadline.
Deadline: 25 mai 2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
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