Upcoming

 

  • The Turn-of-the-Year Effect before Income Taxes or Modern Institutional Investors
    • Speaker: Vikas Mehrotra, Alberta School of Business, University of Alberta
    • Date: Wednesday, November 13th, 2019
    • Time: 3:30 PM to 5 PM.
    • Venue: Seminar Room 2
    • Abstract
      Favoured explanations for the large and persistent turn-of-the-year effect in stock returns are tax-loss selling and institutional investor window-dressing. A new dataset of pre-CRSP NYSE daily stock-level total returns reveals a statistically significant 2.2 percent turn-of-the-year market return between 1874 and 1917, a period preceding income taxes and modern institutional investors in the U.S. The turn-of-the-year return is higher for small, growth and extreme winner and loser stocks. Our evidence implies that taxes cannot be the sole explanation for the turn-of-the-year effect. Either some form of window-dressing predates modern institutional investors, or other explanations for the anomaly must be sought.
  • Equity Pricing New Keynesian Models with Nominal Rigidities and Investment
    • Speaker: Rahul Nath, Ashoka University
    • Date: Friday, 24th January, 2020
    • Time: 11:30 AM to 1 PM.
    • Venue: Seminar Room 2
    • Abstract
      This paper derives explicitly an equity pricing relationship in a New Keynesian model. This relationship is used to study the equity pricing implications of New Keynesian models. I find that New Keynesian models suffer from the same asset pricing shortcomings as more traditional RBC versions. This is attributed to the presence of a new `forward looking’ channel induced by the presence of nominal rigidities. However, once capital adjustment costs are introduced I find that the presence of nominal rigidities leads to a significant quantitative improvement in the equity return and equity premium. Thus this paper shows that what matters for equity pricing, and asset pricing more broadly, in models with nominal rigidities are the general equilibrium interactions with other rigidities via the forward looking channel.
  • TBA
    • Speaker: Sonia Bhalotra, University of Essex
    • Date: Thursday, 20th February, 2020
    • Time: 11:30 AM to 1 PM.
    • Venue: Seminar Room 2
    • Abstract
      TBA
  • TBA
    • Speaker: Kavita Sardana, Teri University
    • Date: Friday, 28th February, 2020
    • Time: 11:30 AM to 1 PM.
    • Venue: Seminar Room 2
    • Abstract
      TBA