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Finance Research Seminars supported by Unigestion

The Swiss Finance Institute at EPFL and the University of Lausanne organize joint research seminars in finance. The seminars attract speakers from academic institutions around the world and cover a variety of topics of interest to both academics and research-oriented professionals.

Unigestion, an independent asset manager, is pleased to support this series of seminars. By encouraging academic research, the firm's aim is to foster innovation in the financial industry.

Information on the seminars is sent regularly via our mailing-list. Do not hesitate subscribe to our mailing-list if you would like to be informed about future seminars.

The seminars usually take place on Fridays from 10:30 am to 12:00 pm in room 126 at Extranef on the campus of the University of Lausanne. Please visit planete.unil.ch/plan for directions

 

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Johan HOMBERT (HEC Paris)

March 3, 2017  -  10:30-12:00, room Extranef 126

We analyse a one-period general equilibrium asset pricing model with standard corporate finance frictions (cash-diversion). Incentive compatibility constraints imply that the market is endogenous incomplete. They also induce endogenous segmentation, as different types of investors hold different assets in equilibrium, and co-movements in asset prices. Equilibrium expected excess returns reflect two premia: a risk premium, which is positive if the return on the asset is large when the pricing kernel is low, but which does not reflect aggregate or individual consumption due to incentive compatibility constraints; and a divertibility premium, which is positive if the return on the asset large when incentive-compatibility constraints bind. This divertibility premium is inverse-U shaped with betas, in line with the empirical findings that the security market line is flat at the top.

List of next sessions

March 3, 2017 Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing
Johan HOMBERT (HEC Paris)
10:30-12:00, room Extranef 126

More details
March 17, 2017 Wei JIANG (Columbia Business School)
10:30-12:00, room Extranef 126
March 24, 2017 Aydogan ALTI (University of Texas, McCombs School of Business)
10:30-12:00, room Extranef 126
April 7, 2017 Xavier GIROUD (Massachusetts Institute of Technology)
10:30-12:00, room Extranef 126
April 28, 2017 Jianqing FAN (Princeton University)
10:30-12:00, room Extranef 126
May 5, 2017 Guillaume ROCHETEAU (University of California at Irvine, Department of Economics)
10:30-12:00, room Extranef 126
May 12, 2017 Annette VISSING-JORGENSEN (University of California at Berkeley, Haas School of Business)
10:30-12:00, room Extranef 126
May 19, 2017 Stijn VAN NIEUWERBURGH (New York University, Stern School of Business)
10:30-12:00, room Extranef 126
June 2, 2017 David BATES (University of Iowa, Henry B. Tippie College of Business)
10:30-12:00, room Extranef 126
June 9, 2017 Kent DANIEL (Columbia Business School)
10:30-12:00, room Extranef 126
>> List of past sessions
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