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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

 

A Dynamic Model of Characteristic-Based Return Predictability

Aydogan ALTI (University of Texas, McCombs School of Business)

March 24, 2017  -  10:30-12:00, room Extranef 126

We present a model where the “climate of disruptive innovation,” which determines the arrival rate of new projects and the exit rate of existing businesses, is a source of systematic risk that influences the returns of portfolios sorted on value, profitability, and asset growth. These characteristic-sorted portfolios generate abnormal returns along finite sample paths too frequently, relative to the rational benchmark, when investors exhibit biases in processing information about the disruption climate. In simulations of the calibrated model we quantify the ex-ante likelihood of observing the historical evidence on characteristic-based return predictability.

List of next sessions

May 12, 2017 Annette VISSING-JORGENSEN (University of California at Berkeley, Haas School of Business)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
May 19, 2017 Stijn VAN NIEUWERBURGH (New York University, Stern School of Business)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
June 2, 2017 David BATES (University of Iowa, Henry B. Tippie College of Business)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
June 9, 2017 Kent DANIEL (Columbia Business School)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
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