CEF.UP – FIN Seminar/Webinar

Thursday – December 14^th, 2023 at 1:00 p.m. | Room 305| Online

“The effectiveness of monetary incentives of independent directors in retail and in institutional mutual funds”

Ania Zalewska  – Leicester University

Abstract:

“Using a hand–collected data for boards from over 10,000 U.S. mutual funds in the 2002–2020 period, we document (studying fund liquidations) that the directors’ remuneration received from fund families aligns directors with fund families’ preferences in retail funds, whereas shares held by directors do not align them with shareholders’ preferences. The opposite effects are found for institutional funds. Our results indicate that when shareholders’ monitoring is weak (retail funds), directors’ share–ownership is ineffective in representing shareholders’ interests, and the size of directors’ remuneration signals poor governance. In contrast, directors’ remuneration signals pay–for–performance in institutional funds.”

CEF.UP – FIN Seminar/Webinar

Thursday – January 25^th, 2024 at 1:00 p.m. | Room 305| Online

“Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum“

Daniel Carvalho  – Banco de Portugal (joint work with Martin Schmitz)

CEF.UP – FIN Seminar/Webinar

Thursday – February 8^th, 2024 at 1:00 p.m. | Room 305| Online

“Pricing ambiguity in the cross-section” (joint work with Sujoy Mukerji, Erkan M. Savran and Jean-Marc Tallon)

Han N. Ozsoylev– Özyeğin University

Abstract:

“We empirically test the implications of the theory of ambiguity aversion for the cross-section of stock returns. Our main findings indicate that exposure to systematic ambiguity is priced in the cross-section of stocks and that this pricing becomes more pronounced during times of high uncertainty, such as the days preceding the FOMC meeting announcements. We also find that ambiguity pricing can largely account for the beta anomaly. Our findings complement the recent developments in the macro-finance literature where ambiguity aversion has been shown to successfully address aggregate pricing puzzles such as the dynamics of equity premium and excess volatility.”