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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

September 8, 2017 Stefan NAGEL (University of Chicago, Booth School of Business)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
September 22, 2017 Ashwini AGRAWAL (London School of Economics)
10:30-12:00, room Extranef 126

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September 29, 2017 Christopher HENNESSY (London Business School)
10:30-12:00, room Extranef 126

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October 6, 2017 Lu ZHANG (The Ohio State University, Fisher College of Business)
10:30-12:00, room Extranef 126

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October 27, 2017 Francesca CORNELLI (London Business School)
10:30-12:00, room Extranef 126

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November 10, 2017 Jessica JEFFERS (University of Pennsylvania, The Wharton School)
10:30-12:00, room Extranef 126

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November 17, 2017 Gerard HOBERG (University of Southern California, Marshall School of Business)
10:30-12:00, room Extranef 126

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January 12, 2018 Benjamin HEBERT (Stanford University, Graduate School of Business)
10:30-12:00, room Extranef 126

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March 2, 2018 Michael SCHWERT (The Ohio State University, Fisher College of Business)
10:30-12:00, room Extranef 126

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March 16, 2018 Amiyatosh PURNANANDA (University of Michigan, Ross School of Business)
10:30-12:00, room Extranef 126

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April 20, 2018 Igor MAKAROV (London School of Economics)
10:30-12:00, room Extranef 126

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April 27, 2018 Nadya MALENKO (Boston College, Carroll School of Management)
10:30-12:00, room Extranef 126

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May 18, 2018 Frederico BELO (University of Minnesota, Carlson School of Management)
10:30-12:00, room Extranef 126

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May 25, 2018 Andrew ABEL (University of Pennsylvania, The Wharton School)
10:30-12:00, room Extranef 126

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June 1er, 2018 Monika PIAZZESI (Stanford University, Department of Economics)
10:30-12:00, room Extranef 126

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