NEXT EVENTS
march, 2024
07mar13:0014:00FIN Seminar/ Webinar - Lira Mota
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – March 7th, 2024 at 1:00 p.m. | Room 305| Online "Service Flows in Euro Area Corporate Bonds" (joint work with Felix Corell and Melina Papoutsi) Lira
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CEF.UP – FIN Seminar/Webinar
Thursday – March 7th, 2024 at 1:00 p.m. | Room 305| Online
“Service Flows in Euro Area Corporate Bonds” (joint work with Felix Corell and Melina Papoutsi)
Lira Mota – MIT Sloan School of Management (United States of America)
Abstract:
“Investors place value on financial assets not only for their cash flows but also for the additional services they offer, such as acting as a reliable store of value, serving as collateral, and meeting capital and liquidity requirements. These services have traditionally been valued as “convenience yields,” a reduced-form measure that is silent about the potentially multifaceted nature of these service flows. By analyzing detailed price and holdings data of the euro area corporate bond market, this paper reveals the persistent variations in convenience yields across different sector portfolios, with banks, insurance companies, and pension funds leading, and the lowest yields noted in foreign-held portfolios. Notably, post-ECB corporate quantitative easing, the ECB’s portfolio emerged with the highest convenience yield. Our findings suggest that factors such as collateral value, regulatory capital requirements, and liquidity needs are primary drivers of convenience yields in Euro area corporate bonds. Furthermore, it highlights the importance of service flows for the transmission of monetary policy.”
Time
(Thursday) 13:00 - 14:00
21mar13:0014:00FIN Seminar/ Webinar - Diogo Mendes
Event Details
CEF.UP – FIN/ECO Seminar/Webinar Thursday – March 21st, 2024 at 1:00 p.m. | Room 305| Online "Information Frictions and Firm Take up of Government Support: A Randomised Controlled Experiment" Diogo Mendes
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CEF.UP – FIN/ECO Seminar/Webinar
Thursday – March 21st, 2024 at 1:00 p.m. | Room 305| Online
“Information Frictions and Firm Take up of Government Support: A Randomised Controlled Experiment”
Diogo Mendes – Stockholm School of Economics (Sweden)
Abstract:
“This paper studies whether informational frictions prevent firms from accessing government support using a randomised controlled trial. We focus on two Portuguese COVID-19 relief programs, providing (i) wage support for workers who are kept on payroll and (ii) credit lines backed by government guarantees. We randomly assign firms to a treatment providing either simplified information about a program, or a combination information and step-by-step application support. We find a significant treatment effect on take up of the wage support program. Our results constitute direct evidence that information frictions act as a barrier to comprehensive distribution of firm-level support measures.”
Time
(Thursday) 13:00 - 14:00
PAST EVENTS
february 2024
22feb13:0014:00FIN Seminar/ Webinar - Kazunori Suzuki
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – February 22nd, 2024 at 1:00 p.m. | Room 305| Online "Does Paying Passive Managers to Engage Improve ESG Performance?" (joint work with Marco Becht, Julian R.
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CEF.UP – FIN Seminar/Webinar
Thursday – February 22nd, 2024 at 1:00 p.m. | Room 305| Online
“Does Paying Passive Managers to Engage Improve ESG Performance?” (joint work with Marco Becht, Julian R. Franks and Hideaki Miyajima)
Kazunori Suzuki – Waseda Business School (Japan)
Abstract:
“The paper studies a natural experiment in responsible investment conducted by the Japanese Government Pension Investment Fund (GPIF). In 2018 GPIF gave its largest passive manager a remunerated mandate to engage with portfolio companies to improve ESG and adopted best-in-class indexes, rewarding high ESG score companies with additional equity investment. Using private data and difference-in-differences analysis we show that engagement by the asset manager has improved scores. In an event study, we find that the conditional portfolio tilt significantly impacts share prices. We also provide evidence that ESG scores for Japan increased significantly more than for companies in other countries.”
Time
(Thursday) 13:00 - 14:00
january 2024
25jan13:0014:00FIN Seminar/Webinar - Daniel Carvalho
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – January 25th, 2024 at 1:00 p.m. | Room 305| Online "Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum"
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CEF.UP – FIN Seminar/Webinar
Thursday – January 25th, 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)
Abstract:
“We study euro area investors’ portfolio adjustment since the Brexit referendum in terms of securities issued in the UK or denominated in pound sterling, in the context of heightened policy uncertainty surrounding the exit process of the UK from the EU. Our sector-level analysis “looks-through” holdings of investment fund shares to gauge euro area sectors’ full exposures to debt securities and listed shares. Our key finding is the absence of a negative “Brexit-effect” for euro area investors, which would have rendered UK-issued and pound-denominated securities generally less attractive. Instead, we observe that euro area investors increased their absolute and relative exposures to UK-issued and pound-denominated debt securities since the Brexit referendum. The analysis also reveals an increase in the euro area’s exposure to listed shares issued by UK non-financial corporations, while the exposures to shares issued by UK banks declined. These findings should be seen against the backdrop of low yields on euro area debt securities and a strong recovery in UK share prices since the Brexit referendum, which appear to have largely outweighed the uncertainties associated with Brexit.”
Time
(Thursday) 13:00 - 14:00
18jan13:0014:00FIN Seminar/Webinar - Fernando Anjos
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – January 18th, 2024 at 1:00 p.m. | Room 305| Online "Do Specialized Distress Investors Undermine Upstream Lending?" (joint work with Irem Demirci and Miguel Oliveira)
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CEF.UP – FIN Seminar/Webinar
Thursday – January 18th, 2024 at 1:00 p.m. | Room 305| Online
“Do Specialized Distress Investors Undermine Upstream Lending?” (joint work with Irem Demirci and Miguel Oliveira)
Fernando Anjos – Nova School of Business and Economics, Universidade Nova de Lisboa
Abstract:
“A growing class of investors specializes in funding distressed firms. Specialization allows these investors to develop valuable expertise, which in principle can contribute to overall economic efficiency. Notwithstanding this argument, we show that specialized distress investors (SDIs) can inadvertently worsen borrower moral hazard, since these downstream financiers rescue firms after poor performance (bailout effect). Moreover, SDI presence can make upstream lenders develop a counter-intuitive preference towards projects with lower continuation value and/or worse agency problems, in order to reduce SDI entry. In contrast to these results, we show that from a longer-run perspective SDIs can actually help in managing borrower moral hazard. This occurs in the model when SDI entry makes it easier for upstream lenders to sustain a reputation of toughness, which can in turn be critical for disciplining borrowers.”
Time
(Thursday) 13:00 - 14:00
december 2023
14dec13:0014:00FIN Seminar/ Webinar - Ania Zalewska
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – December 14th, 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
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CEF.UP – FIN Seminar/Webinar
Thursday – December 14th, 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.”
Time
(Thursday) 13:00 - 14:00
november 2023
30nov13:0014:00FIN Seminar/ Webinar - Raquel Gaspar
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – November 30th, 2023 at 1:00 p.m. | Room 305| Online Design risk: the curse of CPPIs Raquel Gaspar– ISEG, Universidade de Lisboa Abstract: "This study underscores the notion
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CEF.UP – FIN Seminar/Webinar
Thursday – November 30th, 2023 at 1:00 p.m. | Room 305| Online
Design risk: the curse of CPPIs
Raquel Gaspar– ISEG, Universidade de Lisboa
Abstract:
“This study underscores the notion that inadequately designed structured products or investment strategies have the potential to expose investors to unintended risks. Within this context, we introduce the concept of design risk into the portfolio insurance literature.
Specifically, our analysis focuses on Constant Proportion Portfolio Insurance (CPPI) structures and draws comparisons with classical Option-Based Portfolio Insurance (OBPI) as well as naive strategies like Stop-Loss Portfolio Insurance (SLPI) or CPPI with a multiplier set at one.
To assess the effectiveness of these strategies, we employ conditional Monte Carlo simulations to control the terminal value of the underlying asset. Our findings reveal a noteworthy phenomenon: even in scenarios where the terminal value of the underlying asset exceeds several times its initial value, CPPI strategies can lead to a cash-lock situation. The probability of getting cash-locked is influenced more by the multiplier’s magnitude and the investment horizon than by the dynamics of the underlying asset.”
Time
(Thursday) 13:00 - 14:00
october 2023
26oct13:0014:00FIN Seminar/ Webinar - Annika Bacher
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – October 26th, 2023 at 1:00 p.m. | Room 305| Online "Housing and Savings Behavior Across Family Types" Annika Bacher– BI Norwegian Business School
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CEF.UP – FIN Seminar/Webinar
Thursday – October 26th, 2023 at 1:00 p.m. | Room 305| Online
“Housing and Savings Behavior Across Family Types“
Annika Bacher– BI Norwegian Business School
Abstract:
“Does marital status affect households’ investment choices? Is accounting for distinct family types necessary for the correct evaluation of policies that aim at stimulating housing demand? To answer these questions, I develop a life-cycle model of housing and financial portfolio choice with dynamic and heterogeneous family types. I find that divorce risk encourages couples to accumulate liquid financial assets and reduces their demand for illiquid housing. Expected marriage, low income levels, and larger exposure to income fluctuations prevent singles from becoming homeowners. Abstracting from distinct family types amplifies the attractiveness of housing and, as a result, overstates the effectiveness of housing policies such as lowering property taxes and reducing transaction costs. Importantly, this misspecification is largest for young households who are often directly targeted by policies that aim at increasing homeownership rates.”
Time
(Thursday) 13:00 - 14:00
12oct13:0014:00FIN Seminar/ Webinar - Nelson Areal
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – October 12th, 2023 at 1:00 p.m. | Room 305| Online Title - The World’s Most Ethical Companies financial performance Nelson Areal – Universidade do Minho “The
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CEF.UP – FIN Seminar/Webinar
Thursday – October 12th, 2023 at 1:00 p.m. | Room 305| Online
Title – The World’s Most Ethical Companies financial performance
Nelson Areal – Universidade do Minho
“The financial consequences of embracing ethical conduct in business remain a point of contention in the literature. We discuss why ethical companies can have advantages over others by exploring three concurrent dimensions: organizational values, stakeholder management, and good reputation. We evaluate the long-term financial performance of the World’s Most Ethical Companies, a list devised by Ethisphere, using a calendar time portfolio returns. We compare the performance of these companies to a matching sample and, following Mitton (2022), perform a large study to examine the impact of methodological choices when constructing the matching sample on the results. We show that these choices can have a significant impact on results. Overall, the portfolio of these companies overperform the market, but their performance is not different from matched samples.”
Time
(Thursday) 13:00 - 14:00
september 2023
28sep13:0014:00FIN Seminar/ Webinar - Peter Kort
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – September 28th, 2023 at 1:00 p.m. | Room 305| Online "First and Second Mover Advantages in Strategic Investment under Uncertainty" Peter Kort – Tilburg University (joint
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CEF.UP – FIN Seminar/Webinar
Thursday – September 28th, 2023 at 1:00 p.m. | Room 305| Online
“First and Second Mover Advantages in Strategic Investment under Uncertainty”
Peter Kort – Tilburg University (joint work with Berend J. Stofferis, and Jacco J.J. Thijssen)
Abstract:
“We study a strategic duopoly investment game in which two firms decide on timing and size of an investment under iso-elastic demand. We find that, in equilibrium, investment can be preemptive or resulting from a war of attrition. This contrasts with existing literature that only finds preemptive investment. We show numerically that the presence of a second mover advantage can delay investment inefficiently long from a social welfare perspective.”
Time
(Thursday) 13:00 - 14:00
august 2023
No Events
july 2023
No Events
june 2023
15jun13:0014:00FIN Seminar/ Webinar - Conrado García-Gómez
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – June 15th, 2023 at 1:00 p.m. | Room 305| Online "M&A premiums: do Asian companies bid higher?" Conrado García-Gómez – Cef.up and University of Valladolid (joint
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CEF.UP – FIN Seminar/Webinar
Thursday – June 15th, 2023 at 1:00 p.m. | Room 305| Online
“M&A premiums: do Asian companies bid higher?”
Conrado García-Gómez – Cef.up and University of Valladolid (joint work with Jorge Farinha, Ender Demir and José María Díez-Esteban)
Abstract:
“This study aims to investigate whether Asian companies pay higher premiums in cross-border M&A. We uniquely compare whether the cultural origin of the acquirer firm is a relevant determinant of the premium paid, namely for cross-border operations generated in Asia, Europe, and the United States. Using a large sample of cross-border M&A during the period 2003 to 2021, our baseline results suggest that the average premiums paid by Asian companies are double the size of the European or USA acquisition premiums. Our results are robust when considering some deal characteristics and for the case of Chinese and Japanese acquirers. We also find support for considering that, besides of economic motives, state-owned Chinese acquirers play a relevant role when involved in cross-border M&A, namely offering higher bids. Our research has some relevant implications not only for practitioners, but also for policy-makers.”
Time
(Thursday) 13:00 - 14:00
01jun13:0014:00FIN Seminar/ Webinar - Marcin Kacperczyk
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – June 1st, 2023 at 1:00 p.m. | Room 305| Online "Carbon Transition Risk and Net-Zero Portfolios" Marcin Kacperczyk – Imperial College London and CEPR Abstract: “Net-zero portfolios are
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CEF.UP – FIN Seminar/Webinar
Thursday – June 1st, 2023 at 1:00 p.m. | Room 305| Online
“Carbon Transition Risk and Net-Zero Portfolios”
Marcin Kacperczyk – Imperial College London and CEPR
Abstract:
“Net-zero portfolios are becoming a popular vehicle to align investors’ incentives with climate scenarios. We show that the decision and timing to divest companies from NZ portfolios has a strong economic implication for their stock returns. This divestment process is captured in our new, forward-looking measure, distance-to-exit (DTE), which measures the distance in years until company gets excluded from the NZ portfolio. We show that companies with greater values of DTE have higher valuation ratios and higher expected returns consistent with the idea that DTE captures transition risk. The effect is robust to different specifications of divestment hierarchy and holds after controlling for alternative measures of transition risk, such as emission levels, their growth, and intensity. Overall, we conclude that institutional investors’ pressure is already priced in stock returns.”
Time
(Thursday) 13:00 - 14:00
may 2023
25may13:0014:00FIN Seminar/ Webinar - Florencio Lopez-de-Silanes
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – May 25th, 2023 at 1:00 p.m. | Room 305| Online "Private Equity Debt Funds: Who Wins and Who Loses?" Florencio Lopez-de-Silanes – SKEMA Business School
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CEF.UP – FIN Seminar/Webinar
Thursday – May 25th, 2023 at 1:00 p.m. | Room 305| Online
“Private Equity Debt Funds: Who Wins and Who Loses?”
Florencio Lopez-de-Silanes – SKEMA Business School – Université Côte d’Azur, and NBER (joint work with Axel Buchner and Armin Schwienbacher)
Abstract:
“We exploit a unique data set to provide the first analysis of the structure, performance and gain distribution of deals financed by the same private equity firm on the equity and debt sides (related deals). Most related deals are carried out by a few large and experienced PE firms. In support of the conflict of interest hypothesis, we document a transfer of value from debt to equity funds in related transactions relative to unrelated transactions. Yet, the overall value impact of related deals (debt and equity combined) is positive and limited partners of PE-affiliated debt funds do not loose overall. Related deals generate sizable gains for PE firms, most likely through the better ex-post incentives of these deals.”
Time
(Thursday) 13:00 - 14:00
04may13:0014:00FIN Seminar/ Webinar - Rik Frehen
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – May 4th, 2023 at 1:00 p.m. | Room 305| Online "Macroeconomic Announcements and the News that Matters Most to Investors" Rik Frehen – Tilburg University
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CEF.UP – FIN Seminar/Webinar
Thursday – May 4th, 2023 at 1:00 p.m. | Room 305| Online
“Macroeconomic Announcements and the News that Matters Most to Investors“
Rik Frehen – Tilburg University (joint work with Samia Badidi and Martijn Boons)
Abstract:
“We study a large set of macroeconomic announcements (MAs), disentangle their news content, and estimate risk premia for each type of news in the cross-section of stocks. Our most interesting finding is that a portfolio that pays off around MAs that negatively impact the stock market commands a large and positive risk premium. Adding this portfolio to a position in the stock market substantially increases the Sharpe ratio, while reducing price impact exposure to MAs. We argue that this portfolio is risky, consistent with models of reinvestment risk. Our findings challenge equilibrium models predicting a negative relation between shocks to discount rates and marginal utility as well as stories of cash ow news arriving on MA days.”
Time
(Thursday) 13:00 - 14:00
april 2023
20apr13:0014:00FIN Seminar/ Webinar - Anders Löflund
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – April 20th, 2023 at 1:00 p.m. | Room 305| Online "Political connections and shareholder support" Anders Löflund – Hanken School of Economics (joint work with
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CEF.UP – FIN Seminar/Webinar
Thursday – April 20th, 2023 at 1:00 p.m. | Room 305| Online
“Political connections and shareholder support“
Anders Löflund – Hanken School of Economics (joint work with Magnus Blomkvist, Eva Liljeblom and Etienne Redor)
Abstract:
“We study investors’ preferences for corporate political connections in the U.S. using a novel measure; shareholder votes given to individual directors. We find that, after fully accounting for all firm-year specific information and a wide range of director characteristics, that politically connected directors on average do not obtain significantly greater shareholder support. However, during the time-period 2010 to 2016 the board elections echo the nationwide political climate, as directors with ties to the Democratic party receive more shareholder votes. We also find that shareholders have a stronger preference for politically connected directors in heavily regulated industries, suggesting that board members closer to the incumbent government can alleviate regulatory risk. Our study has implications for director selection and the role of political connections in shaping corporate governance practices.”
Time
(Thursday) 13:00 - 14:00
13apr13:0014:00FIN Seminar/ Webinar - Nickolay Gantchev
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – April 13th, 2023 at 1:00 p.m. |Room 305| Online "Sustainability or Performance: Ratings and Fund Managers’ Incentives" Nickolay Gantchev – Warwick Business School (joint work with Mariassunta
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CEF.UP – FIN Seminar/Webinar
Thursday – April 13th, 2023 at 1:00 p.m. |Room 305| Online
“Sustainability or Performance: Ratings and Fund Managers’ Incentives”
Nickolay Gantchev – Warwick Business School (joint work with Mariassunta Giannetti and Rachel Li)
Abstract:
“We explore how mutual fund managers and investors react when the tradeoff between a fund’s sustainability and performance becomes salient. Following the introduction of Morningstar’s sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks to attract flows. Such sustainability-driven trades, however, underperformed, impairing the funds’ overall performance. Consequently, a tradeoff between sustainability and performance emerged. In the new equilibrium, the globe ratings do not affect investor flows and funds no longer trade to improve their globe ratings.”
Time
(Thursday) 13:00 - 14:00
march 2023
09mar13:0014:00FIN Seminar/ Webinar - Julien Sauvagnat
Event Details
CEF.UP – FIN Seminar/Webinar Thursday – March 9th, 2023 at 1:00 p.m. |Room 305| Online "Corporate Taxation and Carbon Emissions" Julien Sauvagnat - Bocconi University (joint work with Luigi Iovino and
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CEF.UP – FIN Seminar/Webinar
Thursday – March 9th, 2023 at 1:00 p.m. |Room 305| Online
“Corporate Taxation and Carbon Emissions“
Julien Sauvagnat – Bocconi University (joint work with Luigi Iovino and Thorsten Martin)
Abstract:
“We study the relationship between corporate taxation and carbon emissions in the U.S. We show that dirty firms pay lower profit taxes. This relationship is driven by dirty firms benefiting disproportionately more from the tax shield of debt due to their higher leverage. In addition, we document that the higher leverage of dirty firms is fully accounted for by the larger share of tangible assets owned by such firms. We build a general-equilibrium multi-sector economy and show that a revenue-neutral increase in profit taxation could lead to large decreases in aggregate carbon emissions without any noticeable change in GDP.”
Time
(Thursday) 13:00 - 14:00