EDHEC PhD IN FINANCE FORUM 2017

Transcription

1 EDHEC PhD IN FINANCE FORUM June 2017 EDHEC Business School 10 Fleet Place, Ludgate London Bringing Academic Research Insights and Creative Solutions to the Financial Industry

2 Welcome to the EDHEC PhD in Finance Forum 2017! Following the Make an Impact motto of EDHEC Business School, we launched a PhD in Finance programme ten years ago. The main objective was to train well established senior professionals in cutting edge research methods within different fields of finance. EDHEC Business School thus expects to make an educated and strong impact on practices within the financial industry. To date, we have 37 PhD graduates who have gone on to author over 20 publications in top academic journals and leading professional reviews. To broaden the audience of this wonderful collection of original contributions, we decided to create a forum where professionals from the industry will have first-hand access to new and stimulating results about the operation of financial markets and how they can be improved. In this EDHEC PhD in Finance Forum, we are happy to showcase the topics that our graduates and candidates have been working on. Chris Firth will open the floor and share ideas about financial skills and investment knowledge permits, Messaoud Chibane will assess the relevance of housing booms and crashes for asset prices, Stefano Dova will present a mean variance representation of opportunity sets when the call nature of stocks is explicitly taken into account and, finally, Jeroen Jansen will talk about volatility and default risk. Each of these presentations is based on the specific dissertation work of the speakers. The Academic Director of the programme, Professor Raman Uppal, will deliver the keynote speech looking at the multitude of firm characteristics from a portfolio perspective. Professor Uppal will provide some guidance on relevant characteristics and discuss how they relate to factors that drive stocks returns. We are delighted to welcome you to this event, which will take place on a yearly basis. We hope you enjoy the quality of the presentations and the industry relevance of the findings. Abraham Lioui Abraham Lioui, PhD (Essec & Paris I) is Professor of Finance at EDHEC Business School, Director of the EDHEC PhD in Finance programme and Head of the Finance Faculty. He was previously Professor at the department of economics at Bar Ilan University where he held the Vice Chair position. His research interests in finance revolve around the valuation of financial assets, portfolio management, and risk management. His economics research looks at the relationship between monetary policy and the stock market. He has published in leading journals, including Management Science and the Journal of Financial and Quantitative Analysis. He is regularly invited to the programme committee of the European Finance Association s annual conference.

3 13:15-13:45 Welcome Tea and Coffee 13:45-14:00 Introductory Speech 14:00-15:30 Research Presentations 15:30-16:00 Tea Break 16:00-17:30 Research Presentations 17:45-18:30 Keynote Speech From 18:30 Cocktail 13:45-14:00: Introduction by Abraham Lioui, Director of the PhD in Finance Programme 14:00-14:45 14:45-15:30 Speaker: Chris Firth, PhD (2015) Did a Financial Literacy Assessment Screen for Competent Investors? Speaker: Stephano Dova, PhD candidate From the CAPM to Fama-French: A Road Paved with Leverage > The empirical relationship between investor performance and the results of a regulator-imposed assessment. > Takeaways from a natural experiment that resulted from a regulation introduced in Singapore. > On average, householders who have made fewer basic mistakes in the past tend to pass the test. > The high misclassification rates suggests it is possible to pass (fail) the test with poor (good) investment skill. > CAPM provides the cost of equity, all inclusive. > Can we decompose this cost to isolate the impact of leverage? > Yes, resulting in a four-factor CAPM: the market excess return, leverage, debt maturity, and asset volatility. > Fama and French factors can finally be routed toward the fundamentals of traded firms. 16:00-16:45 16:45-17:30 Speaker: Messaoud Chibane, PhD (2016) Asset Pricing with Housing Crashes and Booms > The 2007 bust in housing led to the Great Recession (2008 financial crisis). > How do booms and busts in housing affect stock prices? > The trade-off between the housing and non-housing consumption of investors is the mechanism through which asset prices are affected. > Is the housing factor a short-term one or a long-run risk one? > Term structure evidence does show the long-term role of housing. Speaker: Jeroen Jansen, PhD (2016) Local Volatility and the Recovery Rate of Credit Default Swaps > Separation of default probabilities and recovery rates in a CDS contract is challenging. > Usually separating the two variables is done using historical equity volatilities. > What about including the full implied volatility surface and jump to default? > Estimates of the recovery rate are sensitive to the particular information used. 17:45-18:30 Keynote Speaker: Professor Raman Uppal, Academic Director of the PhD in Finance Programme A Portfolio Perspective on the Multitude of Firm Characteristics

4 Keynote Speaker: Professor Raman Uppal, A Portfolio Perspective on the Multitude of Firm Characteristics* > What characteristics matter jointly for an investor? > Amongst the hundreds of characteristics identified in the finance literature, only a small number (six) are significant. > When transaction costs are accounted for, the number of significant characteristics increases to 15. > The identified combinations of characteristics with abnormal out-of-sample returns net of transaction costs are not fully explained by standard factor models. * Authors: Victor DeMiguel, Alberto Martin-Utrera, Francisco J. Nogales and Raman Uppal Raman Uppal is Professor of Finance at EDHEC Business School. He holds a bachelor s degree in Economics (Honors) from St. Stephen's College, Delhi University, and M.A., M.B.A and Ph.D. degrees from The Wharton School of the University of Pennsylvania. Prior to working at EDHEC Business School, he was at London Business School and the University of British Columbia. He has held visiting positions at the Catholic University (Leuven), the MIT Sloan School of Management, and the London School of Economics and Political Science. His research focuses on optimal portfolio selection and asset allocation in dynamic environments, valuation of securities in capital markets, risk management, and exchange rates. This research has been published in The Journal of Finance, The Review of Financial Studies, Journal of Economic Theory, Journal of Financial and Quantitative Analysis, Journal of International Money and Finance, and Management Science. He is currently an editor of The Review of Asset Pricing Studies and an associate editor of The Critical Finance Review. In the past, he has served as an editor of the The Review of Financial Studies and the Review of Finance, and as an associate editor of Management Science. He has received several awards for his research and teaching, including the 1995 Sanwa Monograph Award from New York University, the Dean's Advisory Board's Outstanding Teaching Award for 1988 at The Wharton School, the Teaching Excellence Award for undergraduate teaching in 2000 at the Sauder School of Business at The University of British Columbia, the General Excellence Teaching Award for 2001/2002 at London Business School, the inaugural Excellence in Teaching Award in 2008 at London Business School, and the Prize for Pedagogical Excellence at EDHEC Business School in 2015.

5 Christopher P. Firth, PhD (2015) Dr Firth is a Senior Lecturer in Banking and Finance at Lincoln International Business School. Previously he spent 25 years in financial services in Asia where he was most recently the co-founder and Chief Executive of a regulated financial adviser company. Chris has a PhD in Finance from EDHEC Business School, an MSc in Financial Engineering from the National University of Singapore and an SM in Management of Technology from MIT Sloan School of Management. He has published a number of refereed journal articles, and has over 700 citations according to Google Scholar. Stefano Dova, PhD candidate Stefano Dova is Managing Director - Head of Capital Market Solutions and Trading at Mediobanca. Previously Managing Director - European Co-Head of Structuring for Structured Finance at Deutsche Bank for 5 years, he has also held positions in different asset classes including equities, fixed income products, derivatives, and cash in a number of investment banks (JP Morgan, Merrill Lynch and Deutsche Bank). He is a graduate in Economics from the Bocconi University and is currently a PhD in Finance candidate at EDHEC Business School. Messaoud Chibane, PhD (2016) Prior to joining the ESSEC Finance Chair as lead researcher, Messaoud Chibane headed Shinsei Bank's cross-asset quantitative research team in Tokyo. He began his career at JP Morgan in Since then, he has held several senior quantitative analyst positions in London and Tokyo, specialising in the valuation and hedging of exotic interest rate and FX options. He is a graduate of Ecole Centrale Paris, the University of Paris 1 Panthéon- Sorbonne and holds a PhD in Finance from EDHEC Business School. Jeroen Jansen, PhD (2016) Jeroen Jansen is Fixed Income and Convertible specialist at Palladyne International Asset Management in the Netherlands, where he is responsible for developing quantitative asset management strategies. He is also Lecturer in Finance and Investments at the RSM Erasmus University in Rotterdam, Netherlands, and an EDHEC-Risk Institute Research Associate. Previously he worked at BNP Paribas, ABN Amro and Lombard Odier. Jeroen obtained a PhD in Finance from EDHEC Business School in 2016 and in April 2017 he published an article based on his thesis in the Journal of Fixed Income. His research interests include fixed income smart beta benchmarking and fixed income factor investing.

6 Founded in 1906, EDHEC Business School offers management education at undergraduate, graduate, post-graduate and executive levels designed to meet the full spectrum of business needs. Holding the AACSB, AMBA and EQUIS accreditations and regularly ranked among Europe s leading institutions, EDHEC Business School delivers degree courses to over 7,000 students from the world over and trains professionals yearly through executive courses and research events. EDHEC Business School believes that academic research has a vital role to play in promoting innovation and constantly raising professional standards. With a centurylong tradition of serving the needs of the community, it has defined a Research for Business orientation and has spelled out its educational credo as Professional Development through Research-Based Excellence. Since 2008, EDHEC Business School has been offering an original PhD in Finance programme allowing outstanding professionals to acquire the background and skills required to conduct research and development projects that advance knowledge and practices in the financial industry. The programme, which benefits from the worldclass expertise of the EDHEC Business School centres of excellence, is taught by EDHEC Business School s top economics and finance scholars and leading experts drawn from the world s best institutions. Upon Invitation Only - Complimentary Attendance Please register here Enquiries: phd.info@edhec.edu Website: phd.edhec.edu EDHEC Business School London Campus 10 Fleet Place, Ludgate London EC4M 7RB United Kingdom