ƽ��岻�� Desautels Faculty of Management - Finance News

Reproducibility in Management Science

ƽ��岻�� — Mon, 11 Mar 2024 14:33:29 +0000

Authors: Miloš Fišar, Ben Greiner, Christoph Huber, Elena Katok,
Ali I. Ozkes, and the Management Science Reproducibility Collaboration*

*Co-authors included among the Collaboration are four members of the Desautels community:
Ruslan Goyenko, Brian Rubineau, Chengyu Zhang and Yaping Zheng (now at U. of Alberta)

Learning from Biodiversity: Is Diversity in Financial Ecosystems Important for Economic Growth and Stability?

ƽ��岻�� — Fri, 09 Feb 2024 19:18:03 +0000

Authors:: Vihang R. Errunza, Basma Majerbi and Maxwell Tuuli

Publication: IMF Economic Review, Forthcoming

Thomas J. Rivera Assistant Professor in Finance winner of PBCSF Award - Best Paper in Fintech

ƽ��岻�� — Mon, 22 Jan 2024 20:24:52 +0000

Sebastien Betermier and David Schumacher winners of the Best Paper Using EUROFIDAI Daily Data Award

ƽ��岻�� — Mon, 22 Jan 2024 20:17:35 +0000

Sebastien Betermier and David Schumacher (both Associate Professors in Finance) along with their co-author Ali Shahrad (Assistant Professor, University of Saskatchewan) have won the “Best Paper Using EUROFIDAI Daily Data Award” in 2023 for their research paper titled “Mutual Fund Proliferation and Entry Deterrence”, published in the journal Review of Asset Pricing Studies.

Pension funds can drive greater returns by participating more directly in value creation

ƽ��岻�� — Wed, 10 Jan 2024 20:51:57 +0000

Pension funds manage enormous amounts of capital, but they don’t create as much value as other players in the financial sector. Entrepreneurs, venture capitalists and private equity funds all play a more direct role in launching projects and creating value. But some Canadian pension funds have taken control of the value-creation process with investments in real estate, natural resources, infrastructure, and private credit, writes Associate Professor Sebastien Betermier in Wealth Professional.

The Term Structure of Short Selling Costs, Review of Finance

ƽ��岻�� — Wed, 13 Dec 2023 13:07:56 +0000

Authors: Gregory Weitzner

Publication: Review of Finance
Volume 27, Issue 6, November 2023, Pages 2125–2161.

Ava Labs and CBER Forum launch new blockchain and crypto podcast series

ƽ��岻�� — Wed, 29 Nov 2023 14:14:15 +0000

Ava Labs, a software provider for the Avalanche blockchain network, has launched a new podcast series under its Owl Explains initiative. “Crafting the Crypto Economy” spotlights top researchers from leading academic institutions and features ƽ��岻�� Desautels Assistant Professor of Finance Thomas J. Rivera as part of the opening lineup.

Canadian pension funds divestment of private equity holdings rebalances portfolios

ƽ��岻�� — Tue, 21 Nov 2023 20:24:33 +0000

Canadian pension funds are strategically divesting from their private equity holdings to realign their portfolios. Recognizing the inherent lag in private equity valuations compared to publicly traded assets, the move aims to address potential overvaluations, particularly in the context of rising interest rates.

Public pension plans in Canada and Australia achieve efficiencies through professional asset management at scale

ƽ��岻�� — Mon, 20 Nov 2023 17:01:09 +0000

Canada and Australia are both examples of successful pension fund management, said Prof. Sebastien Betermier in a keynote presentation to the Government Employees Pension Fund (GEPF) Thought Leadership Conference in Cape Town, South Africa. While there are differences, both capture similar efficiencies: getting people to save money early, so they benefit from compounding. The assets in these funds are professionally managed, which provides multiple advantages.

Shadow banking is growing – and it’s a hidden risk to the stability of the financial system

ƽ��岻�� — Wed, 07 Jun 2023 17:51:11 +0000

Shadow banking is playing an increasing role in the financial system. Private equity firms, investment funds and mortgage finance companies all employ alternative lending strategies that are lightly regulated, and Canada’s Office of the Superintendent of Financial Institutions is concerned about how much exposure Canada’s banks have to this type of lender, who are collectively known as non-bank financial intermediaries. Their lending is sometimes backed by derivatives, and if their value falls, the loan collateral could be jeopardized.

Interaction with major crypto-asset platforms could benefit both CBDCs and cryptocurrencies

ƽ��岻�� — Thu, 25 May 2023 16:03:25 +0000

Cryptocurrencies are an unregulated, ethically dubious financial instrument used by criminal organizations, terrorists and war criminals, writes Andy Holloway in the FP Investor Newsletter. But central bank digital currencies (CBDC) are the right side of regulation. “A CBDC that offers maximal privacy of individuals' spending and is a legal tender would be a more compelling alternative to cryptocurrencies as a pure digital means of payments and money,” says Katrin Tinn, Assistant Professor of Finance at Desautels.

Delve: Cashing in or Losing Big on Cryptocurrency Yield Farms?

ƽ��岻�� — Wed, 17 May 2023 16:01:46 +0000

If something seems too good to be true, it probably is. Add cryptocurrency yield farms to that list. A complex investment strategy in decentralized finance markets, yield farming advertises eye-popping passively earned returns. While some investors boast impressive returns, for others the risks are unclear or even undisclosed before they invest, and the advertised returns never materialize.

Profs Beaumont, Schumacher and Weitzner awarded SSHRC Insight Development Grant

ƽ��岻�� — Fri, 14 Apr 2023 19:31:59 +0000

Congratulations to Paul Beaumont, David Schumacher and Gregory Weitzner, who were awarded a 2022-2023 SSHRC Insight Development Grant

“Call Me Maybe: Institutional Ownership and Corporate Call Policy”

Liquidity support for mid-sized US banks is a band-aid solution that masks underlying issues

ƽ��岻�� — Fri, 14 Apr 2023 15:53:52 +0000

In a five-day period in early March 2023, three mid-sized US banks collapsed: Silicon Valley Bank, Signature Bank, and Silvergate Bank. The United States Federal Reserve stepped in with an emergency lending program to support liquidity and mitigate the risk of contagion. While that will probably work in the short term, it doesn’t solve the problem, says Mo Chaudhury, an Associate Professor of Finance (Teaching) at Desautels.

Recap of DGFRC-sponsored finance workshop

ƽ��岻�� — Wed, 12 Apr 2023 15:49:50 +0000

The 10th HEC-ƽ��岻�� Winter Finance Workshop took place from March 26-28, 2023, in Ischgl, Austria, in collaboration with the Faculty of Law, Economics and Finance (FDEF) at the University of Luxembourg. This year’s conference, once again sponsored by the Desmarais Global Finance Research Centre (DGFRC), brought together academics and researchers from around the world to present their latest work in all areas of finance, including interdisciplinary work in law and finance, sustainability, and new financial technologies.

The future of commercial real estate belongs to those who can meet the evolving needs of the office

ƽ��岻�� — Thu, 23 Mar 2023 20:19:15 +0000

Lockdowns and remote work presented unique challenges for the commercial real estate sector. Vast amounts of office space were suddenly empty as people worked from home. But the sector is rebounding. There are projects underway in cities around the world are a testament to investors’ confidence in its outlook, says Sebastien Betermier, an Associate Professor of Finance at Desautels.

ƽ��岻�� Personal Financial Essentials course helps people understand common investing mistakes

ƽ��岻�� — Fri, 06 Jan 2023 20:37:21 +0000

Human instinct is not well-suited to making wise investments, says Prof. Benjamin Croitoru in an interview with Global News. Fear of missing out is just one example of this. Following the crowd can lead to bad investments, and the crash of cryptocurrency values in 2022 is only the latest example of this. ƽ��岻��’s Personal Finance Essentials helps people understand investing – and the common mistakes that people make managing their money.

Prof. Augustin's paper wins 2022 Global AI Finance Research Conference Best Paper Award

ƽ��岻�� — Fri, 06 Jan 2023 16:47:46 +0000

Congratulations to Patrick Augustin, Associate Professor in Finance, whose paper with co-authors Roy Chen-Zhang and Donghwa Shin (both with the University of North Carolina at Chapel Hill) titled “Reaching for Yield in Decentralized Financial Markets” has been awarded the 2022 Global AI Finance Research Conference Best Paper Award. The award was announced at the annual Global AI Finance Research Conference in Singapore on December 12th, 2022.

Delve: How Banks and Institutional Investment Funds Are Driving the Road to Net-Zero

ƽ��岻�� — Thu, 05 Jan 2023 21:58:16 +0000

One of the biggest challenges today for financial institutions is how to meet net-zero climate targets while achieving high returns on investment and satisfying the needs of various stakeholders. What does the road to net-zero look like in the realm of long-term investment, who are the players, and how should the inevitable roadblocks be overcome?

Central bank digital currencies could help improve financial inclusion

ƽ��岻�� — Wed, 21 Dec 2022 15:13:37 +0000

People are using cash less, and plastic more. But this presents a problem for unbanked and underbanked people. There are still a significant number of Canadians who don’t have a bank account. They can’t participate fully in the digital economy, but central bank digital currencies could help them do that. The Bank of Canada is one of the central banks considering a digital currency, and one of its main benefits is inclusion, says Katrin Tinn, an Assistant Professor of Finance at ƽ��岻��.

Crypto’s impressive returns led institutional investors to consider unconventional investments

ƽ��岻�� — Fri, 02 Dec 2022 15:17:18 +0000

Cryptocurrencies have always been volatile, but they have also generated some very impressive returns. Even large pension funds got in on the action, and some of them have been burned. By investing in the crypto exchange FTX, the Ontario Teachers’ Pension Plan (OTPP) hoped to avoid the risk of investing in individual cryptocurrencies. But that backfired spectacularly when FTX collapsed, and OTPP recently wrote down its entire $95 million (USD) investment.

A place to call home trumps portfolio diversification for some investors

ƽ��岻�� — Mon, 14 Nov 2022 21:34:57 +0000

Many households are heavily, or even exclusively, invested in real estate. That’s a lot of money to have tied up in a single type of investment, but people don’t think of houses like other investments, according to research from Associate Professor Sebastien Betermier. Whether they appreciate or not, they can still give you shelter, and some investors consider this more valuable than portfolio diversification.

Prof. Weitzner's paper wins research award

ƽ��岻�� — Mon, 14 Nov 2022 20:42:22 +0000

Congratulations to Gregory Weitzner, Assistant Professor in Finance, whose paper “Bank Loan Markups and Adverse Selection” has won the 2022 John W. Ryan Research Award.

Delve: Why digital currencies could change the future of central banking

ƽ��岻�� — Tue, 08 Nov 2022 14:41:35 +0000

Central Bank Digital Currencies (CBDC) represent a possible next step in the technological evolution of banking and the financial intermediation sector, with advances in privacy, fraud protection, and efficiency—but their roles and risks on the high-tech path forward are only now becoming clear.

Peer-to-peer lending platforms are a potential disruptor to a long-established industry

ƽ��岻�� — Wed, 02 Nov 2022 20:58:12 +0000

For small businesses – and aspiring businesspeople -- banks have been a financial gatekeeper. Without assets and a business credit profile, businesses are often out of luck. But peer-to-peer lending services are beginning to disrupt an industry that is very set in its ways. Fintech lending platforms like October assign businesses a credit score based on a company’s financial history, default probability, and projected profit margin. Then, they allow their users to participate in lending to the companies – and collecting interest.

Real estate investment helps Canadian pension plans outperform peers

ƽ��岻�� — Mon, 31 Oct 2022 19:59:41 +0000

Canada’s pension plans consistently outperformed their peers between 2004 and 2018, largely thanks to their diversified their assets, which include investments in real estate and infrastructure assets. “Here, the funds are doing it themselves,” says Professor Sebastien Betermier in an interview with Benefits Canada. “They are on the ground, building projects themselves in Toronto, in Montreal and abroad.”

Delve: How Barriers to Foreign Investments Affect Risk-Taking in International Markets, with Francesca Carrieri

ƽ��岻�� — Fri, 14 Oct 2022 17:52:52 +0000

What regulations are at play when financial institutions, hedge funds, mutual fund managers, and others invest in stocks and businesses in another country—and who do those regulations ultimately benefit? Despite protecting both foreign investors and countries’ domestic markets, regulatory constraints still present certain barriers to foreign investment, especially in times of market stress, inflation, and increased interest rates. What level of risk will foreign investors take today in the name of diversification of their portfolios?

It is never too early to take learn the basics of investing

ƽ��岻�� — Thu, 06 Oct 2022 14:57:36 +0000

Everyone should have basic financial knowledge, even if they have not yet accumulated much wealth, according to Benjamin Croitoru, Finance Professor and Associate Dean for Undergraduate Programs at Desautels. The ƽ��岻�� Personal Finance Essentials course is a good place to start, Croitoru told CTV News Edmonton.

Delve: How FinTech Lending to Small Businesses Opens the Door to Bank Loans, with Paul Beaumont

ƽ��岻�� — Fri, 30 Sep 2022 13:34:51 +0000

Bank loans are the typical first step for most small and medium-sized businesses, but another form of business lending has emerged: FinTech companies that use algorithms to determine whether a business is worth the risk.

Why the CAQ’s proposed economic incentives may not be all they cracked up to be

ƽ��岻�� — Wed, 28 Sep 2022 14:34:13 +0000

“Many of the drivers of the inflation we are seeing today are coming from the supply and production side of the economy,” says Associate Professor of Finance Sebastien Betermier in an interview with CTV News. The war in Ukraine, post-pandemic recovery and supply side frictions are all factors outside our control contributing to inflation. The CAQ promises tax cuts and one-time payments to deal with inflation, to the tune of $600 if you earn less than $50,000 a year.

Personal Financial Essentials course teaches key investment concepts concisely

ƽ��岻�� — Wed, 28 Sep 2022 14:25:16 +0000

Personal finances should be important to everyone, and over the past three years, more than 200,000 people have signed up for ƽ��岻��’s free Personal Financial Essentials online course. Desautels’ Associate Dean of Undergraduate Programs Benjamin Croitoru spoke with The Just Word podcast about how the course fills an unmet need.

When a recession is coming, investors need to keep a level head

ƽ��岻�� — Wed, 28 Sep 2022 14:21:26 +0000

How should investors react to a looming market downturn? Don’t panic, says Prof. Sebastien Betermier, an Associate Professor of Finance at Desautels. This sounds simple enough, but it’s easier said than done. When a recession is coming, investors tend to think of all of the things that could go wrong, Betermier told Beyond the Headlines, a podcast produced by the University of Toronto’s Munk School of Global Affairs and Public Policy.

Alberta politician who is spreading conspiracy theories could become premier

ƽ��岻�� — Fri, 16 Sep 2022 18:22:48 +0000

Danielle Smith is running for the leadership of Alberta’s United Conservative Party, and could become Alberta’s next premier. But Smith is campaigning on a platform that includes internet conspiracy theories. In a newsletter, she cautioned that Canada’s currency could be replaced with an international common digital currency, and the federal government could use it to “punish and reward” Canadians. But that’s not very likely, according to Mo Chaudhury, an Assistant Professor of Finance at Desautels.

Inflation is a major challenge for seniors on fixed incomes

ƽ��岻�� — Wed, 07 Sep 2022 16:05:40 +0000

When food prices rise, seniors on fixed incomes pay a heavy price. Seniors living on federal pensions have lost $1,600 in purchasing power, according to Pierre Lynch, the president of the Association québécoise de défense des droits des personnes retraitées et préretraitées. And it’s difficult to predict when those costs could come down, says Associate Professor of Finance Sebastien Betermier. Geopolitical issues like the war in Ukraine are exacerbating the factors causing inflation.

Countries with high debt and a reliance on imports could face tough times

ƽ��岻�� — Thu, 25 Aug 2022 19:03:16 +0000

Sri Lanka is facing down a liquidity crisis. It has $50 billion in debt to foreign creditors, but no foreign currency reserves. The country foreign currency was depleted when pandemic-related travel restrictions undermined its thriving tourism industry. It also imports many goods, and costs soared as energy prices rose.

Higher interest rates are already packing a punch

ƽ��岻�� — Tue, 02 Aug 2022 19:03:38 +0000

Payments on variable rate mortgages have gone up, and house prices have gone down. We are already seeing the impact of higher interest rates, and we are not done yet, according to Prof. Sebastien Betermier. “I expect to see a continuation of what we are already seeing,” Betermier told CTV News. “An increase in the cost of credit, and a decrease in the use of credit.” Labour shortages are an added complication in guiding Canada’s economy through this rough patch.

FIRM Labs seeks to make AI tools more accessible to individual investors

ƽ��岻�� — Tue, 12 Jul 2022 19:12:54 +0000

Artificial intelligence (AI) has changed the way the way that equities are managed – but it has mostly been used by institutions. Prof. Ruslan Goyenko wants to change that. Goyenko is the Scientific Director of Finance Innovation and Risk Management (FIRM) Labs, which brings together financial economists and computer scientists to develop AI-driven portfolio management models that it will distribute to the public.

Persistent inflation could contribute to a recession, but there are steps that can take to ease the pain

ƽ��岻�� — Wed, 06 Jul 2022 18:22:52 +0000

The recovery from the pandemic created strong demand for products and services, but supply remained weak as a result of supply chain disruptions, labour shortages, and the rising cost of food and oil. Together, these factors have contributed to high inflation, which central banks are fighting by raising interest rates. But some of these factors are beyond the reach of central bank’s efforts, like rising energy prices caused by the war in Ukraine, said Prof.

More efficient capital management could help pension funds strained by longer life expectancy

ƽ��岻�� — Wed, 22 Jun 2022 14:18:56 +0000

Canadians are living longer than ever. Life expectancy at retirement has increased by about four years since 1980. This creates a cash crunch for pension funds. Increasing current plan members contributions is one way to address this, but more efficient capital management can help too. Pension funds have a distinct advantage over other investors, argues Prof. Sebastien Betermier in Policy Options.

Delve: Can Loyalty in Investor Relationships Calm the Competitive Disruption of ETFs?

ƽ��岻�� — Thu, 09 Jun 2022 16:45:46 +0000

On the surface, the Exchange Traded Fund or ETF is a relatively straightforward concept, but it has become a major disruptor in the sphere of money management. In the past few years, mutual fund managers started to also manage ETFs for their clients—a way to potentially alleviate competition, maintain client loyalty, and keep institutional money within a growing family of funds.

Prof. Betermier lands new role as Director of ICPM

ƽ��岻�� — Wed, 08 Jun 2022 19:49:38 +0000

Sebastien Betermier, Associate Professor of Finance and Finance Area Coordinator at the Desautels Faculty of Management at ƽ��岻�� has been appointed as the new Executive Director of The International Centre for Pension Management (ICPM).

Investing experience can help navigate market downturns

ƽ��岻�� — Thu, 02 Jun 2022 20:29:58 +0000

Many young investors have never lived through a major market downturn, and some novices could overreact as markets fall, according to Sebastien Betermier, an Associate Professor of Finance at Desautels. Analysis has shown that novice investors sold their holdings in greater numbers following the recession of 2008, and saw their portfolios perform more poorly than experienced investors, who were more likely to have bought in while prices were low and to stay the course.

Desautels’ event highlights innovative research and recognizes scholars

ƽ��岻�� — Fri, 20 May 2022 19:17:35 +0000

On Friday, May 13, members of the Desautels Faculty of Management gathered to celebrate the innovative and impactful research conducted by its scholars.

Fifteen professors were on hand to deliver two-minute presentations of their most interesting and research.

Before jumping into the presentations, Dean Yolande Chan took the time to highlight this year's Desautels Faculty Scholar awardees. Congratulations to this year's awardees!

Canada’s largest pension plans are driving green development through real estate investments

ƽ��岻�� — Wed, 11 May 2022 15:59:05 +0000

The skyscrapers of Toronto’s financial district house Canada’s largest banks, and some of its most successful companies. The buildings themselves are largely owned by Canada’s largest pension funds, which have directly developed real estate across major Canadian cities. This approach has generated high returns for the funds over the past two decades, but it has also allowed the pension funds to be leaders in the implementation of Leadership in Energy and Environmental Design (LEED) standards. Prof.

Supply chain disruptions caused inflation, and the war in Ukraine is making it worse

ƽ��岻�� — Wed, 04 May 2022 15:13:58 +0000

Inflation is up. Way up. In March 2022, Canada experienced its biggest increase in inflation in more than three decades. The oft-cited monthly inflation figure represents the rate of change in the consumer price index, and many consumers are already feeling the pinch in their pocketbooks.

But why is it happening? Inflation is typically caused by either increased consumer demand in a strong economy, or by supply shortages that drive prices higher.

Prof. Sebastien Betermier talks investment strategies with Rational Reminder podcast

ƽ��岻�� — Fri, 22 Apr 2022 14:59:52 +0000

Stocks with high expected return appeal to many new investors, but can be exposed to high risks. Investors must consider how these risks can impact their overall financial situation, Prof. Sebastien Betermier tells the Rational Reminder podcast. Dual-income families might be able to accept a higher degree of risk, while single-income earners with a mortgage could experience cascading impacts when a high-risk security goes south.

Professor Augustin receives Bank of Canada Governor’s Award

ƽ��岻�� — Mon, 04 Apr 2022 15:34:41 +0000

Congratulations to Patrick Augustin, Associate Professor of Finance, who received the Bank of Canada Governor’s Award.

DGFRC-sponsored finance workshop concludes successfully

ƽ��岻�� — Fri, 01 Apr 2022 19:36:58 +0000

The 9th edition of HEC-ƽ��岻�� Winter Finance Workshop as a special edition in collaboration with Goethe University successfully concluded on March 29, 2022. The conference, sponsored by the Desmarais Global Finance Research Centre, took place March 27-29 in Ischgl, Austria, and featured presentations of academic papers in all areas of finance, including interdisciplinary work in law and finance.

The Russian economy has cratered – but most Canadian investors are unlikely to have much exposure to it

ƽ��岻�� — Wed, 23 Mar 2022 20:23:19 +0000

Russia produces about 10 per cent of the world’s oil, but the rest of its economy is more of a lightweight. Before it attacked Ukraine, and had its financial system crippled by severe sanctions, Russia accounted for about three per cent of global GDP. Because Russian stock markets were closed after the invasion, investors have been unable to sell their holdings.

Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

ƽ��岻�� — Wed, 23 Mar 2022 18:34:12 +0000

Authors: A. Akbari, Francesca Carrieri and A. Malkhozov

Publication: The Review of Financial Studies, Volume 35, Issue 1, January 2022, Pages 394–437

Abstract:

The potential long-term impact of unprecedented economic sanctions on Russia

ƽ��岻�� — Thu, 17 Mar 2022 20:25:51 +0000

While the use of economic sanctions for political means is no new strategy, the magnitude of the sanctions imposed on Russia in the wake of Putin’s invasion of neighbouring Ukraine is unprecedented, says Professor Sebastien Betermier in an interview with CTV Montreal. Perhaps most impactful is the freeze on Russian Central Bank assets and SWIFT, a financial messaging platform used by banks to make international transactions.

The truth behind divestment at public and private firms

ƽ��岻�� — Thu, 17 Mar 2022 20:09:19 +0000

The transition to a clean energy economy is only beginning, but its reverberations are already being felt in global markets. Institutional investors like the Caisse de dépot et placement du Quebec are divesting from fossil fuel companies, and divestment strategies are one factor in the drop in the share prices of fossil fuel companies, according to Sebastien Betermier, Associate Professor of Finance at Desautels.

Three tips for going green

ƽ��岻�� — Thu, 24 Feb 2022 18:48:15 +0000

On a recent segment of CTV News Montreal, Professor Sebastien Betermier shared three key takeaways from the 5th annual ƽ��岻�� International Portfolio Competition, an event designed to help guide corporate and political leaders toward a greener economy. First, managers should create clear milestones, he says. Second, they must integrate change across industries. Finally, they should develop proactive stakeholder policies.

Keeping cryptocurrency alive

ƽ��岻�� — Fri, 04 Feb 2022 15:52:34 +0000

Wealthsimple, a Toronto-based financial services company, recently announced plans to push for digital currencies to be used in day-to-day transactions beyond trading. Professor Katrin Tinn says the recent downturn in cryptocurrency use emphasizes the need for stakeholders to innovate cryptocurrency for real-world applications.

How is Liquidity Priced in Global Markets?

ƽ��岻�� — Thu, 27 Jan 2022 23:31:32 +0000

Investors pay a premium for liquidity, but exactly how much do they pay and how does that vary? Desautels Professor Vihang Errunza investigates that question with a new international asset pricing model.

Professor Augustin appointed Associate Editor of the Journal of Banking and Finance

ƽ��岻�� — Thu, 27 Jan 2022 23:27:00 +0000

Congratulations to Patrick Augustin, Associate Professor of Finance, for his appointment as Associate Editor of the Journal of Banking and Finance.

Plans for Canadian digital currency remain on hold

ƽ��岻�� — Fri, 21 Jan 2022 22:19:27 +0000

With digital currencies like Bitcoin gaining traction in the e-commerce space, banks are considering the challenge of integrating digital and paper currencies while protecting user privacy. Although the Bank of Canada has no immediate plans to implement a government-backed digital currency, Professor Katrin Tinn wouldn't rule out a shift to cryptocurrency in the future.

Putting ESG front and center

ƽ��岻�� — Fri, 21 Jan 2022 22:10:35 +0000

Meeting environmental, social, and governance (ESG) standards continues to weigh heavily on the agenda for Canadian companies across industries. As Desautels strives to prepare students to meet evolving demands, Professor Sebastien Betermier highlights the importance of integrating ESG considerations into coursework--but not at the expense of fundamental concepts.

Bridging generational gaps through pension reform

ƽ��岻�� — Tue, 11 Jan 2022 19:27:13 +0000

In light of ongoing Dutch pension reforms, Professor Sebastien Betermier underscores the need for successful pension funds to balance individual and collective responsibility for risk-taking. From his perspective, a hybrid plan is crucial to meet stakeholder needs across generational lines.

Q&A with Professor Katrin Tinn

ƽ��岻�� — Wed, 22 Dec 2021 18:55:23 +0000

Get to know Assistant Professor Katrin Tinn, who teaches in the Finance area, in a new Q&A. She discusses her research on digital currencies and stock trading, her teaching style - including how she integrates her research - and her interest in art.

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Prof Sebastien Betermier's paper wins the 2021 Morgan Stanley Best Paper Award in Investments

ƽ��岻�� — Sun, 19 Dec 2021 22:34:47 +0000

Congratulations to Sebastien Betermier, Associate Professor of Finance, whose paper “What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?” is the winner of the 2021 Morgan Stanley Best Paper Award in Investments.

The Center for Financial Planning (CFP) announced the best paper awards for the fifth annual Academic Research Colloquium (ARC) for Financial Planning and Related Disciplines, which was held virtually on November 11 – 16, 2021.

Q&A with Professor David Schumacher

ƽ��岻�� — Wed, 01 Dec 2021 16:57:39 +0000

Get to know Associate Professor David Schumacher, who teaches in the ƽ��岻�� Desautels Master of Management in Finance, in a new Q&A. He discusses his research on institutional investment, his teaching style, his love of road biking and more!

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Delve: Why Ultra-Low Yields Don’t Mean the End of Sustainable Pension Funds

ƽ��岻�� — Fri, 26 Nov 2021 14:30:10 +0000

Retirement systems around the world, from public pension plans to private funds, are weathering a storm of ultra-low bond yields that threaten not only adequate returns for pensioners but the sustainability of the systems themselves. Designing retirement systems that are resilient to low yields requires balancing risk with resilience and innovative approaches.

Desmarais Faculty Scholar Awards reward leading finance research

ƽ��岻�� — Mon, 22 Nov 2021 21:27:58 +0000

First awarded in 2007 and generously supported by Paul Desmarais, Jr., the Desmarais Faculty Scholar Awards are given in three year cycles to leading Desautels finance researchers.

Putting QE in the rearview mirror

ƽ��岻�� — Fri, 19 Nov 2021 15:44:20 +0000

With the winding down of Canadian quantitative easing policies, announced recently by the Bank of Canada’s Governor Tiff Macklem, Professor Sebastien Betermier comments on the effects of rising bond yields on pension plans. Yields across the Canadian economy currently remain at historically low levels due to inflation and supply shortages amid the COVID-19 pandemic.

New Sujata Madan Award recognizes community-minded students

ƽ��岻�� — Wed, 10 Nov 2021 14:54:49 +0000

Eleven Desautels alumni have banded together to establish a new student award in honor of Professor of Practice Sujata Madan. Rather than being based on academic merit, the scholarship will be awarded to students who demonstrate outstanding collaboration, empathy, kindness, and respect toward their peers and wider communities.

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Delve: A Digital Currency for the Public by the Public

ƽ��岻�� — Mon, 01 Nov 2021 15:10:32 +0000

Could a Central Bank Digital Currency ensure privacy and transparency for every transaction? A new model of digital currency by Desautels Professor Katrin Tinn proposes a secure yet anonymous “asymmetric privacy” alternative to cash, traditional bank transactions, and cryptocurrency. “A public institution is in a better position to design a digital currency that has the correct incentives,” says Tinn.

Professor Betermier’s paper awarded by NFA

ƽ��岻�� — Thu, 23 Sep 2021 12:37:38 +0000

Congratulations to Sebastien Betermier, Associate Professor of Finance, whose paper “What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns” is the Winner of Best Paper in Asset Pricing and Market Microstructure at the 2021 Northern Finance Association (NFA) Meeting.

Digital currency a solution to dwindling cash transactions?

ƽ��岻�� — Thu, 09 Sep 2021 20:37:41 +0000

Over the last ten years, cash payments have been in a free fall and experts predict that by 2030, they could make up for just 10% of monetary transactions.

Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios

ƽ��岻�� — Wed, 08 Sep 2021 15:42:35 +0000

Authors: Sébastien Betermier, Nicholas Byrne, Jean-Sébastien Fontaine, Hayden Ford, Jason Ho, Chelsea Mitchell

Publication: Bank of Canada, Staff Analytical Note 2021-20, August 2021

Going green in the concrete jungle

ƽ��岻�� — Mon, 30 Aug 2021 15:19:05 +0000

Professor Sebastien Betermier and his co-researchers published a paper on financial and environmental solutions for sustainable urban development. Canadian pension funds are doing something right, and they outline strategies for other funds and investors to follow suit.

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Professor of Practice Sujata Madan Receives Prestigious Academy of Finance Excellence in Teaching Award

ƽ��岻�� — Thu, 19 Aug 2021 18:31:13 +0000

The Desautels Faculty of Management is pleased to announce that Professor of Practice Sujata Madan is the recipient of the 2021 Academy of Finance Excellence in Teaching Award. This prestigious award is given annually to recognize excellence in teaching, to encourage teachers to share experiences that have led to them becoming great educators and how they continue to improve their teaching skills.

The rise of passive fund investments

ƽ��岻�� — Thu, 05 Aug 2021 20:50:24 +0000

Professor Laurent Barras joins the hosts of RikaTillsammans, a Swedish podcast and video series that provides followers with weekly financial insights. In this episode, Professor Barras discusses his research on the correlation between manager performance and fund performance. Whether a fund is actively or passively managed, its success does not necessarily reflect the skill of the manager, he finds.

Taking a deep dive into pension plans

ƽ��岻�� — Thu, 05 Aug 2021 20:47:27 +0000

In a Q&A for the Montreal Gazette, Professor Sebastien Betermier takes a closer look at the terms and metrics related to the funding status of a pension plan. The growth rates and termination costs of a fund, he emphasizes in the piece, largely depend on the type and risk level of assets owned.

Learn more

Canada emerges as a leader in green bonds

ƽ��岻�� — Thu, 22 Jul 2021 18:05:41 +0000

Canadian retirement pensions are shaping up to be global leaders in issuing green bonds, or funds designated for environmental initiatives. Professor Sebastien Betermier views Canada’s commitment to sustainability as an advantage over other countries in growing both pensions and sustainability projects in the long term. Despite issuing debt, pensions will see increased returns as Canada moves to decrease emissions and create other green solutions to technology, transportation, and real estate.

A new act for Cirque du Soleil

ƽ��岻�� — Thu, 22 Jul 2021 18:02:58 +0000

At the end of 2020, a creditor consortium led by Catalyst Capital became the new owner of Cirque du Soleil only months after the famed circus producer made a failed bid for bankruptcy protection. While Catalyst Capital has been plagued by controversy in the past, according to a new investigative article from La Presse, it offered a way out for a company that has endured a catastrophic year.

Predicting the future of digital currency

ƽ��岻�� — Thu, 15 Jul 2021 15:15:56 +0000

A recent survey found that Canada has the most cashless economy in the world, with most consumers using the credit card system. Professor Katrin Tinn joined CTV News Montreal to share her insights on the potential for the Bank of Canada to approve other forms of digital currencies, such as Bitcoin. She explains how new digital currencies could be used concurrently with physical cash and credit cards, giving consumers greater choice and control over their spending preferences.

The pros and cons of digital currency

ƽ��岻�� — Thu, 08 Jul 2021 13:02:47 +0000

Professor Katrin Tinn weighs in on the ongoing debate about the sustainability of digital currency in Canada. In her view, consumers would benefit from a more up-to-date understanding of their spending habits, and the lending process could be streamlined. But the picture isn’t entirely rosy. Adopting digital currencies presents an inevitable security risk. As an added concern, it would be easy for digital providers and lenders to be biased against customers based on their spending activity.

Building the digital currency space

ƽ��岻�� — Thu, 17 Jun 2021 14:29:57 +0000

Professor Katrin Tinn is at the forefront of the effort to reimagine Canada’s monetary backing system.

With the right innovations in central bank digital currencies, she believes, everything from paying taxes to earning income as an independent artist could become more reliable and more efficient.

Patrick Augustin, Associate Professor of Finance, awarded Canada Research Chair in Macrofinance and Derivatives

ƽ��岻�� — Wed, 16 Jun 2021 16:14:12 +0000

Professor Patrick Augustin’s research program seeks to foster our understanding of financial markets and public institutions, focusing on sovereign and corporate credit risk, insider trading, and new financial technologies. As these subjects are fundamental to the stability of financial markets and modern economic society, the proposed research is instrumental in guiding public policy design.

Volmageddon and the Failure of Short Volatility Products

ƽ��岻�� — Tue, 08 Jun 2021 13:58:04 +0000

Authors: Patrick Augustin, I-H. Cheng and L. Van den Bergen

Publication: Financial Analysts Journal, Forthcoming; First published online May 20, 2021

Abstract:

The future of ETF regulation

ƽ��岻�� — Thu, 13 May 2021 14:43:23 +0000

Professor Patrick Augustin provides an expert perspective on questions surrounding the regulation of a Bitcoin-traded fund (ETF) proposed by VanEck Associates Group. While the Securities and Exchange Commission (SEC) deliberates, it runs the risk of making space for a digital shadow finance industry to emerge, says Augustin.

Learn more

When sovereign debt becomes a problem

ƽ��岻�� — Wed, 28 Apr 2021 20:21:34 +0000

Professor Patrick Augustin and three other North American economists are ringing an alarm bell about the increasing risks associated with heavy borrowing at the state level. In their recent study of 30 developed countries and 30 U.S. states, they measure the effect of the spread of the COVID-19 pandemic on the borrowing costs of governments.

Trust, Collaboration, and Economic Growth

ƽ��岻�� — Wed, 24 Mar 2021 18:01:50 +0000

Authors: Jiro Kondo, D. Li, and D. Papanikolaou

Publication: Management Science, Volume 67, Issue 3, March 2021, Pages 1825-1850.

Abstract:

Rogers purchases Shaw, erases competition

ƽ��岻�� — Thu, 18 Mar 2021 18:35:50 +0000

Following its $26 billion acquisition of Shaw, Rogers has been criticized for eliminating regional competition. If the sale is approved by the Trudeau government, the company would become the second-largest telecom provider in Canada.

Professor Paul Beaumont joins the conversation to discuss the continuing importance of keeping the telecom industry competitive.

Professor Katrin Tinn proposes unique design for digital currency

ƽ��岻�� — Mon, 22 Feb 2021 13:52:06 +0000

Professor Katrin Tinn recently teamed up with Professor Christophe Dubach from the Faculty of Engineering to propose a new design for the Bank of Canada’s digital currency. By protecting the identity and transactions of individual spenders, their design would address ongoing privacy and compliance concerns with Central Bank digital currency (CBDC).

In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk?

ƽ��岻�� — Tue, 09 Feb 2021 20:01:22 +0000

Authors: Patrick Augustin, V. Sokolovski, M.G. Subrahmanyam, and D. Tomio

Publication: Journal of Financial Economics, Forthcoming

Abstract:

Learning Through Crowdfunding

ƽ��岻�� — Tue, 09 Feb 2021 19:40:05 +0000

Authors: G. Chemla and Katrin Tinn

Publication: Management Science, Volume 66, Issue 5, May 2020, Pages 1783-1801.

Abstract:

Desautels professor lends expertise to Exchange Traded Funds (ETF) study

ƽ��岻�� — Fri, 05 Feb 2021 16:19:37 +0000

One of Wall Street’s least-known trading companies, Jane Street has quietly become a global market-maker. With a niche in the world of exchange traded funds (ETFs), the company was well-positioned to weather the COVID-19 crisis. Professor Sebastien Betermier recently entered the conversation with a new report that connects fixed-income ETFs to market liquidity during the pandemic.

Small investors change the game, but it won’t last

ƽ��岻�� — Fri, 05 Feb 2021 15:27:55 +0000

Earlier this month, a Reddit-driven investor coup sent shockwaves through the market as heavily shorted stocks skyrocketed in price. Professor Mo Chaudhury weighs in on the mania, attributing the rising number of new investors to the COVID-19 pandemic.

Investors anticipate low-carbon economy

ƽ��岻�� — Wed, 20 Jan 2021 03:24:32 +0000

As the renewable energy sector grows in leaps and bounds; pension funds, banks, investment companies, and insurance companies are waking up to the risk of devaluation in fossil fuel investments.

Delve: The Divided State of American Public Health

ƽ��岻�� — Tue, 12 Jan 2021 21:33:33 +0000

Even as the pandemic radically reshaped American life, the federal government failed to provide strong and consistent guidance about how best to manage this public health crisis. Not surprisingly, individual states diverged in what they chose to do, and when they chose to do it

Prevent members of U.S. Congress from trading individual stocks

ƽ��岻�� — Fri, 18 Dec 2020 21:17:21 +0000

Professor Patrick Augustin wades into the debate over the heated race to fill Georgia’s two Senate seats in a runoff and special election scheduled for January. From his perspective, Senator David Perdue’s stock-trading activities illustrate the hazards of allowing sitting members of Congress to trade individual stocks and highlight the need for legislative reform. Learn more

The upside of financial fragility

ƽ��岻�� — Fri, 11 Dec 2020 19:00:59 +0000

In two recent studies, Professor David Schumacher charts the rise of large asset managers and examines their effect on financial market stability. While market participants have a good reason to be concerned about financial fragility, Professor Schumacher finds that this fragility can actually increase corporate investment. Learn more

Prime Minister Trudeau encourages Desautels finance class to stay positive

ƽ��岻�� — Fri, 04 Dec 2020 21:42:39 +0000

When Professor of Practice Sujata Madan noticed that her finance students seemed overwhelmed in the final weeks of a difficult semester, she recruited help from Prime Minister Justin Trudeau and ƽ��岻��’s Principal Suzanne Fortier, among others, to lift their spirits. The students left class with a renewed sense of optimism for a post-pandemic future.

Delve: Canada’s Pension Plan Is the Envy of the World, and Now We Know Why

ƽ��岻�� — Mon, 09 Nov 2020 20:23:47 +0000

A new study by Prof Sebastien Betermier is the first to use real data to do a quantitative analysis of asset allocation strategies and cost structures for hundreds of pension, endowment, and sovereign wealth funds across 11 countries. The results hold valuable lessons not only for financial planners, but also working Canadians dreaming of retirement.

The case for a long-term divestment strategy

ƽ��岻�� — Thu, 05 Nov 2020 21:39:00 +0000

Pressure is on the Canada Pension Plan Investment Board (CPPIB) to divest from fossil fuel companies in support of Canada’s transition to a low-carbon economy. Professor Sebastien Betermier comments.

Advocacy for a second Caisse de dépôt

ƽ��岻�� — Thu, 24 Sep 2020 19:27:00 +0000

An article in La Presse features Sebastien Betermier’s research that reveals the superiority of Canadian pension funds. Using the Canadian pension funds as a model for success, the article proposes a second institution be introduced in Quebec for employees of cities and universities.

The Canadian Pension Fund Model: A Quantitative Portrait

ƽ��岻�� — Thu, 10 Sep 2020 19:59:11 +0000

Authors:Alexander Beath, Sebastien Betermier, Chris Flynn, Quentin Spehner

Published: July 21, 2020. Available at SSRN

Abstract:

Banks turn to selfies to simplify identity verification

ƽ��岻�� — Thu, 10 Sep 2020 19:01:30 +0000

Banks have turned to selfies for facial recognition to help simplify identity verification methods. Professor Mo Chaudhury joins Bank Innovation to discuss the prospects and risks of facial recognition technology in mortgage applications.

Canada is a global leader in pension funds

ƽ��岻�� — Fri, 21 Aug 2020 20:50:27 +0000

Canada’s pension funds are outperforming global peers in investment performance and are stronger at hedging against liability risks, according to research co-authored by Professor Sebastien Betermier.

Potential insider trading following landmark Kodak loan

ƽ��岻�� — Fri, 21 Aug 2020 20:39:57 +0000

In July, the U.S. International Development Finance Corporation (DFC) provided a $765 million loan to support Kodak’s transition from photo giant to producing drugs for the U.S. domestic market. The first loan of its kind under the Defense Production Act, it is not surprising that ensuing events have hinted at the possibility of illegal insider trading, writes Professor Patrick Augustin.

How large investment firms impact financial markets

ƽ��岻�� — Wed, 12 Aug 2020 17:04:52 +0000

The mergers and acquisitions of major asset management firms send shockwaves through the financial market, says Assistant Professor David Schumacher.

The politics behind the stock market

ƽ��岻�� — Wed, 29 Jul 2020 14:52:53 +0000

Professor Sebastien Betermier weighs in on the link between politics and stock returns, noting that while there is indeed a correlation, buying shares as a political statement isn’t a “sound investment strategy”.

U.S. states facing financial hardship need unity

ƽ��岻�� — Tue, 07 Jul 2020 18:04:29 +0000

As the pandemic takes its financial toll on states across the U.S., Professor Patrick Augustin suggests that compromise and unity from the federal government could provide a lifeline for those facing economic harship.

Desautels professors celebrated for their teaching excellence

ƽ��岻�� — Thu, 02 Jul 2020 16:54:51 +0000

Congratulations to Sebastien Betermier, Professor of Finance, and Wei Qi, Professor of Operations Management, who were honoured at ƽ��岻��’s Management Convocation ceremony for their excellence in teaching.

Delve: Insider Trading by Congress? It's Time to Fix the Law

ƽ��岻�� — Thu, 14 May 2020 22:52:15 +0000

The “coronavirus trades” made by Sen. Richard Burr (R-N.C.) and his wife just prior to the March ’20 market crash raise these questions and signal the need for changes to the law. Some proposals go as far as banning stock trading by members of congress outright. The other extreme is to allow full discretion. The right solution, according to ƽ��岻��’s Patrick Augustin and co-authors, is in between: Only allowing public officials to trade securities based on broad market indices.

Business schools to lend a hand in economic recovery

ƽ��岻�� — Tue, 05 May 2020 19:49:54 +0000

Isabelle Bajeux-Besnainou, Dean of the Desautels Faculty of Management, looks at how business schools are providing community outreach to reduce the economic burden of COVID-19.

COVID-19 reveals European Union in discord

ƽ��岻�� — Tue, 05 May 2020 19:45:27 +0000

The COVID-19 pandemic has revealed economic weaknesses in some EU countries, with the stronger members reluctant to provide assistance.

Professor Patrick Augustin warns of the economic storm ahead if the EU does not reach solidarity.

Insider trading by Congress reveals need for policy change

ƽ��岻�� — Fri, 24 Apr 2020 16:31:55 +0000

Trading by members of Congress shortly before the March 2020 market crash signals the need for policy change. In an op-ed for The Hill, Professor Patrick Augustin calls for a policy that only allows public officials to trade securities based on broad market indices.

Professor Sebastian Betermier on sustainable investing

ƽ��岻�� — Fri, 28 Feb 2020 20:19:29 +0000

Professor Sebastien Betermier sits down with the ƽ��岻�� Reporter to talk about sustainable investment strategies. According to Professor Betermier, progressive divestment strategies offer the best of both worlds for investors: they create positive environmental change while respecting the needs of all stakeholders.

However, for progressive strategies to be effective, Professor Betermier says that companies need to clearly communicate the strategy and set tangible milestones.

Desautels professor Sujata Madan receives prestigious 3M National Teaching Fellowship

ƽ��岻�� — Tue, 25 Feb 2020 20:02:01 +0000

Professor of Practice Sujata Madan was named one of ten 2020 3M National Teaching Fellows—the highest recognition of individual teaching excellence and educational leadership at the university level. The Fellowship is
jointly managed by the Society for Teaching and Learning in Higher Education (STLHE) and 3M Canada.

The complex nature of investment strategies

ƽ��岻�� — Tue, 18 Feb 2020 21:24:22 +0000

Professor Sebastien Betermier uses winning student proposals from the 2019 ƽ��岻�� International Portfolio Challenge as the model for sustainable investment strategies of university endowment funds, suggesting that divestment strategies should go beyond a simple yes or no response.

A shift to cash in fixed-income exchange-traded funds

ƽ��岻�� — Tue, 18 Feb 2020 19:59:14 +0000

Financial Times has published an article featuring Professor Sebastien Betermier’s research on the increasingly common practice of creating fixed-income exchange-traded fund (FI-ETF) shares in cash.

Desautels team takes first place at Quebec CFA Research Challenge

ƽ��岻�� — Wed, 12 Feb 2020 14:45:33 +0000

Congratulations to Desautels students Olivier Arsenault (MMF’20), Pier-Olivier Laflèche (MMF’20), Sai Kanthasamy (BCom’20), and Mitch McEwen (MMF’20) for placing first in the Quebec regional CFA Research Challenge.

“It was a great experience and privilege to represent ƽ��岻�� and the MMF program,” says McEwen. “We owe a great deal to our advisors Professor Vadim di Pietro and Rebeca Yang, CFA.”

The team will head to New York in April to compete in the North America finals.

Should you borrow money to invest in your future?

ƽ��岻�� — Fri, 07 Feb 2020 14:59:27 +0000

In an article in La Presse, Professor Sebastien Betermier cautions readers against the risk of borrowing money to invest.

Understanding negative swap rates

ƽ��岻�� — Fri, 17 Jan 2020 18:54:40 +0000

A paper from Professor Patrick Augustin featured in voxEU looks at how the emergence of US default risk can help to explain the pattern of negative swap rates.

The cash trend in fixed-income exchange-traded funds

ƽ��岻�� — Fri, 17 Jan 2020 16:47:41 +0000

Bloomberg has published an opinion piece featuring Professor Sebastien Betermier’s research on the shift from bonds to cash in fixed-income exchange-traded funds (FI-ETF).

Cross-Listings and the Dynamics between Credit and Equity Returns

ƽ��岻�� — Wed, 15 Jan 2020 21:09:06 +0000

Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, Michael J Schill

Publication: The Review of Financial Studies, Vol. 33, Issue 1, January 2020

Abstract:

We study how listing in multiple markets affects the dynamics between firms’ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm’s presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions.

Insider trading rarely leads to prosecution, study shows

ƽ��岻�� — Mon, 06 Jan 2020 20:49:41 +0000

A recent article in Belgium’s L’Echo explores Professor Patrick Augustin’s 2019 research looking at the low prosecution rates following unexplained trading activity in the leadup to company takeovers.

Can university pension plans help tackle climate change?

ƽ��岻�� — Mon, 06 Jan 2020 19:50:35 +0000

In November 2019, teams in the ƽ��岻�� International Portfolio Challenge were asked to provide a solution for a fictional pension fund reassessing its investments in the interest of climate action.

In a piece for The Globe and Mail, Professor Sebastien Betermier considers the winning solution in the context of university pension plans.

Professor Betermier on the management of exchange-traded funds

ƽ��岻�� — Fri, 29 Nov 2019 14:23:23 +0000

Following the rise of personalized exchange-traded funds (ETFs), Professor Sebastien Betermier comments on the choice between active and passive management.

Delve: Pension Plans for an Evolving World

ƽ��岻�� — Mon, 18 Nov 2019 20:03:41 +0000

Prof Sebastien Betermier explores the ways we can evolve from the old system of defined benefits pensions that will no longer meet the needs of tomorrow’s retirees.

This article is brought to you by Delve, the official thought leadership publication of ƽ��岻��'s Desautels Faculty of Management.

Who stands to benefit when companies collapse?

ƽ��岻�� — Thu, 17 Oct 2019 19:59:56 +0000

Following the collapse of veteran tour operator Thomas Cook, Professor Patrick Augustin has co-authored an article that highlights the problem with “empty creditors”, a growing financial market phenomenon impacting distressed firms, and how hedge funds stand to benefit.

Cross-Country Competitive Effects of Cross-Listings

ƽ��岻�� — Thu, 10 Oct 2019 14:35:29 +0000

Authors: Sergei Sarkissian and Yan Wang

Publication: Review of Corporate Finance Studies, Forthcoming

Abstract:

Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant

ƽ��岻�� — Thu, 10 Oct 2019 14:30:02 +0000

Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant

How BlackRock spooks markets

ƽ��岻�� — Wed, 18 Sep 2019 19:05:28 +0000

Professor David Schumacher pulls back the curtain on BlackRock’s oversized market influence in a new documentary produced by European television network ARTE.

He discusses his research paper, Who is afraid of BlackRock?, which links BlackRock’s acquisition of Barclays Global Investors to skittish investor behaviour and shock waves in the market.

Learn more
(Watch Professor Schumacher from 17:00 onwards.)

Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads

ƽ��岻�� — Thu, 12 Sep 2019 18:58:50 +0000

Authors: Patrick Augustin, Mikhail Chernov and Dongho Song

Publication: Journal of Financial Economics, Forthcoming

Abstract:

Sovereign CDS quanto spreads tell us how financial markets view the interaction between a country’s likelihood of default and associated currency devaluations (the Twin Ds). A no-arbitrage model applied to the term structure of Eurozone quanto spreads can isolate the Twin Ds and gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted 1-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) countries. The weekly risk premium for Euro devaluation in case of default for the core (periphery) exceeds the regular currency premium by up to 18 (13) basis points.

Measuring sovereign bond market integration

ƽ��岻�� — Thu, 12 Sep 2019 18:17:40 +0000

Authors: Ines Chaieb, Vihang Errunza, and Rajna Gibson Brandon

Publication: The Review of Financial Studies, Forthcoming

Abstract:

There is significant heterogeneity in the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries. We show that better spanning can significantly enhance market integration through local risk premia dissipation. Integration of the sovereign bond markets increases on average by about 10%, when a country moves from the 25th percentile to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum.

When the index fund bubble pops

ƽ��岻�� — Tue, 10 Sep 2019 20:40:41 +0000

Professor Mo Chaudhury weighs in on the market risks caused by the growing popularity of index funds.

Weighing the value of cryptocurrency

ƽ��岻�� — Fri, 23 Aug 2019 14:43:52 +0000

Professor Fahad Saleh publishes a new paper that examines the social and political impact of bitcoin and other cryptocurrencies.

Guillaume Roussellet awarded 2019 FRQSC New Academics Grant

ƽ��岻�� — Fri, 26 Jul 2019 17:44:37 +0000

Congratulations to Guillaume Roussellet, Assistant Professor in Finance, awarded 2019 FRQSC New Academics Grant (Soutien à la recherche pour la relève professorale) “Facteurs de volatilité et valorisation du VIX”

Meet the best MBA professors

ƽ��岻�� — Tue, 04 Jun 2019 17:44:07 +0000

Congratulations to Professor Sujata Madan who was named by Poets & Quants among the favorite MBA professors for 2019.

How do informed traders trade based on insider information?

ƽ��岻�� — Fri, 03 May 2019 15:18:00 +0000

If previous research has identified the existence of informed trading in the options markets, new work co-authored by Professor Patrick Augustin takes it a step further, offering insights into the actual strategies informed investors are likely to use.

Rethinking pensions for today

ƽ��岻�� — Fri, 03 May 2019 15:12:59 +0000

Professor Sebastien Betermier pens a piece for American Business Magazine in which he explores why the switch over to a Defined-Contribution pension might not be the best way to go and proposes other models that can better ensure a comfortable retirement for contributors.

Cross-Listings and the Dynamics between Credit and Equity Returns

ƽ��岻�� — Tue, 23 Apr 2019 14:17:26 +0000

Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, and Michael J. Schill

Publication: The Review of Financial Studies, Forthcoming

Abstract:

Cannabis legalization: Six months later

ƽ��岻�� — Tue, 16 Apr 2019 18:40:39 +0000

Desautels Faculty Lecturer Ken Lester joins Breakfast Television to explore how the legalization of marijuana has taken hold over the past six months and what the next chapter holds, including the rise of edibles and the further streamlining of distribution.

Desautels students take home top prize at PRMIA

ƽ��岻�� — Tue, 16 Apr 2019 18:18:34 +0000

Congratulations to the Desautels Capital Management Team comprised of BCom students Ludovic Van den Bergen, Emilie Granger, Ian Jiang, and Roy Chen Zhang who won first place and $10,000 in prize money at the 2019 PRMIA Risk Management competition.

Still an uphill battle for women in finance

ƽ��岻�� — Tue, 26 Mar 2019 18:21:49 +0000

Following the release of the American Economic Association’s survey results revealing the predominance of discrimination against women in the world of finance, Professor Francesca Carrieri affirms that the findings are not surprising.

Tricks of the trade: Unmasking insider trading tactics

ƽ��岻�� — Wed, 06 Mar 2019 15:54:43 +0000

A new paper co-authored by Professor Patrick Augustin spotlights some of the strategies that insider traders in the options market might use, as well as provides insight into where regulators might start to detect illegal trading activities – a daunting task given the magnitude of the stocks and bonds being traded.

Reflecting on MIPC 2018

ƽ��岻�� — Fri, 07 Dec 2018 17:50:02 +0000

Avantages reports on the 2018 ƽ��岻�� International Portfolio Challenge (MIPC), which saw 90 teams from around the world compete for a $25,000 grand prize.

Organized by Desautels BCom students under the guidance of Prof. Sebastien Betermier, this year’s MIPC addressed the severe underfunding of U.S. state pensions – a grand challenge that presents no simple solution.

Students to the rescue of a U.S. pension system in peril

ƽ��岻�� — Fri, 30 Nov 2018 15:19:34 +0000

The U.S. pension plan shortfall has the makings of a perfect storm – so who is heeding the call to help remedy a seemingly insurmountable problem?

Enter Professor Sebastien Betermier, a group of Desautels BCom students and the ƽ��岻�� International Portfolio Challenge (MIPC).

Retirement planning is easier than you think

ƽ��岻�� — Tue, 27 Nov 2018 17:55:06 +0000

Planning for retirement is a daunting undertaking for many – but it does not have to be.

Professor Sebastien Betermier sits down with La Presse to share ten practical tips that individuals can adopt to ensure a comfortable lifestyle well into their old age.

Among the advice shared, Professor Betermier underscores the importance of starting to invest early, diversifying your portfolio, and finding a savvy financial advisor.

Money management with Prof. Vadim di Pietro

ƽ��岻�� — Wed, 21 Nov 2018 15:37:03 +0000

In collaboration with ƽ��岻��’s “Boost Your Health” lecture series, Professor Vadim di Pietro will offer expert tips to relieve financial stress – one of the greatest threats to personal health & wellness.

Students respond with answers to looming U.S. pension crisis

ƽ��岻�� — Tue, 13 Nov 2018 17:27:47 +0000

Professor Sebastien Betermier sits down with La Presse to discuss the second annual ƽ��岻�� International Portfolio Challenge (MIPC), which brought forward the fresh perspectives of 25 international student teams as they attempted to solve the severe underfunding of U.S. state pensions.

Along the way, Prof. Betermier shares insights into why the looming pension crisis in the U.S. is so complex and difficult to solve, as well as some of the novel ideas proposed at the MIPC.

Looking closer at Italy’s economy

ƽ��岻�� — Wed, 07 Nov 2018 16:45:27 +0000

With the release of Italy’s new budget law, Professor Francesca Carrieri explores the current state of the country’s economy, emphasizing that any economic growth must come with structural reform to ensure sustainability.

Learn more

Professor Augustin to speak at high-profile conference

ƽ��岻�� — Tue, 23 Oct 2018 18:26:00 +0000

Professor Patrick Augustin will be joining the Canadian Association of Alternative Strategies & Assets (CAASA) as a speaker at their annual conference in November.

Taking place in Montreal, the CAASA Annual Conference brings together institutional investors, central bankers, investment managers, and service providers from across Canada, the U.S., Europe, the Middle East, and Asia.

Quebec trails in cannabis industry

ƽ��岻�� — Mon, 15 Oct 2018 20:05:57 +0000

As the legalization of cannabis approaches, La Presse reports that Quebec is trailing other Canadian provinces where the industry has flourished comparatively faster.

Professor Ken Lester comments on some of the obstacles that might be at play, mentioning Quebec’s religious heritage as contributing factor.

Prof. Betermier awarded funding from National Pension Hub

ƽ��岻�� — Tue, 09 Oct 2018 18:20:56 +0000

Professor Sebastien Betermier has been awarded $70,000 over two years by the National Pension Hub (NPH), a consortium of Canada’s leading pension funds that is seeking to promote academic research in this field.

The NPH will support Professor Betermier’s research proposal entitled, “Drivers of Successful Pension Investing: Lessons from the Canadian Model.”

Quebec’s upcoming election and legalized marijuana

ƽ��岻�� — Tue, 25 Sep 2018 19:06:02 +0000

Much has been debated over the course of Quebec’s electoral campaign, including the minimum age for legalized marijuana consumption.

Professor Ken Lester argues that the CAQ’s stance is far from responsible, alleging that a 21-year-old minimum age will not prevent usage among those below the cut-off.

CPPIB goes green

ƽ��岻�� — Fri, 21 Sep 2018 15:05:11 +0000

With news that the Canada Pension Plan Investment Board (CPPIB) became the first pension fund in the world to issue a green bond, thereby facilitating investment in cleaner technologies, Professor Sebastien Betermier comments on the implications, as well as the success of defined benefit (DB) pensions in Canada.

Danger still looms a decade after financial crash

ƽ��岻�� — Thu, 13 Sep 2018 14:53:25 +0000

Despite improvements made to manage risk better, experts such as Desautels Professor Mo Chaudhury warn that the US financial system remains dangerously vulnerable to future crashes.

“What is good for Wall Street and banks is not always good for the general citizenship,” explains Prof. Chaudhury.

A report to navigate the future financial landscape

ƽ��岻�� — Thu, 28 Jun 2018 18:51:01 +0000

Professor Patrick Augustin, together with a think tank from the World Economic Forum, authored a report entitled, GFC on Financial and Monetary Systems, which lays out the risks and challenges facing the increasingly disrupted financial domain.

Will Quebec’s black market stymie marijuana business ventures?

ƽ��岻�� — Wed, 30 May 2018 16:45:47 +0000

A vote on the federal government’s cannabis bill, C-45, is scheduled in the Senate for June 7 — bringing the country closer to legalization.

In the midst of this, experts such as Professor Ken Lester are weighing in about whether legalized marijuana can thrive in Quebec where the black market is known to be pervasive.

“Quebec has some of the biggest smokers in the world and yet, unlike in Ontario or B.C., you barely see any dispensaries or shops,” says Professor Lester.

Duped by the promise of riches, investors are left in the cold

ƽ��岻�� — Tue, 29 May 2018 20:01:20 +0000

Graphite Energy Corp (GRXXF), a Vancouver company with a mining operation in the Laurentians, was believed to be the next big thing among investors.

With news that their stock has crashed, Professor Ken Lester shares his commentary on the turn of events.

The so-called pump and dump phenomenon is not unusual, according to Prof. Lester, especially in emerging industries like marijuana and cryptocurrencies.

Professor Patrick Augustin wins 2018 Arthur Warga Award for Best Paper in Fixed Income

ƽ��岻�� — Fri, 25 May 2018 14:10:10 +0000

Assistant Professor in Finance, Patrick Augustin, recently received the 2018 Arthur Warga Award for Best Paper in Fixed Income at the Society for Financial Studies (SFS) Calvalcade North America 2018 with co-authors Mikhail Chernov and Dongho Song.

Informed Options Trading Prior to Takeover Announcements: Insider Trading?

ƽ��岻�� — Thu, 24 May 2018 20:24:27 +0000

Authors: Patrick Augustin, Menachem Brenner, Marti G. Subrahmanyam

Publication: Management Science, May 21, 2019

Abstract:

We quantify the pervasiveness of informed trading activity in target companies' equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the SEC for alleged illegal insider trading. While the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it.

Diversity in the workplace is essential for Desautels Dean

ƽ��岻�� — Tue, 15 May 2018 15:22:00 +0000

Dean Isabelle Bajeux was invited by the Canadian Chamber of Commerce in Japan (CCCJ) to share her thoughts on the value of a diverse workplace that incorporates the perspective of women at higher levels, particularly in the finance sector.

While women are increasingly represented at universities, in the business world, they tend to hold positions at lower levels and are underrepresented in high-ranking roles, remarks Dean Bajeux.

A Large-Scale Approach for Evaluating Asset Pricing Models

ƽ��岻�� — Tue, 01 May 2018 14:49:57 +0000

Author: Laurent Barras

Publication: Journal of Financial Economics, Forthcoming

Abstract:

Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover striking performance differences between them. In particular, the human capital and conditional CAPMs largely outperform the CAPM which suggests that labor income and time-varying recession risks are primary concerns for investors.

Desautels makes strides to support gender equality

ƽ��岻�� — Wed, 11 Apr 2018 13:40:08 +0000

In a recent interview with La Presse, Dean Bajeux talks about the lack of female representation in the finance industry and how the Desautels Faculty of Management is tackling these prejudices at the university level.

Along the way, she recounts her experience while pursuing her doctorate in mathematics and makes a point to mention the opportunities that were available to her irrespective of her gender.

Delve further into the article to learn more about Dean Bajeux’s journey.

The Term Structure of CDS Spreads and Sovereign Credit Risk

ƽ��岻�� — Fri, 06 Apr 2018 19:52:14 +0000

Author: Patrick Augustin

Publication: Journal of Monetary Economics, Forthcoming

Abstract:

Ruslan Goyenko paper "Illiquidity Premia in Equity Option Markets" selected Editor's Choice in Review of Financial Studies

ƽ��岻�� — Thu, 29 Mar 2018 18:22:34 +0000

Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.

Asset Pricing with Countercyclical Household Consumption Risk

ƽ��岻�� — Thu, 29 Mar 2018 17:39:11 +0000

Authors: George M. Constantinides and Anisha Ghosh

Publication: Journal of Finance, Vol. 72, No. 1, February 2017

Abstract:

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model ﬁts well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.

Read article: Journal of Finance

What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

ƽ��岻�� — Thu, 29 Mar 2018 17:02:10 +0000

Authors: Anisha Ghosh, Christian Julliard, Alex P. Taylor

Publication: The Review of Financial Studies, Volume 30, No. 2, February 2017

Abstract:

We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.

Read article: The Review of Financial Studies

How do stocks react to extreme market events? Evidence from Brazil

ƽ��岻�� — Thu, 29 Mar 2018 16:18:52 +0000

Authors: Pedro Piccoli, Mo Chaudhury, Alceu Souza

Publication: Research in International Business and Finance, Vol. 42, December 2017

Abstract:

Volatility and expected option returns: A note

ƽ��岻�� — Thu, 29 Mar 2018 16:14:39 +0000

Authors: Mo Chaudhury

Publication: Economics Letter, Vol. 152, March 2017

Abstract:

We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.

Still room for improvement for empowering women in finance

ƽ��岻�� — Thu, 08 Mar 2018 20:55:49 +0000

Professor Francesca Carrieri sits down with La Presse to talk about the hurdles that women in finance still face and the initiatives in place at the Desautels Faculty of Management to improve this reality.

For example, the Faculty has launched a task force that aims to show undergraduate women that a career in finance is indeed a viable path through mentorship and internship opportunities.

Professor Brenner on how Asian countries can overcome democratic deficits

ƽ��岻�� — Mon, 05 Mar 2018 21:13:49 +0000

In a piece for Asia Times, Professor Reuven Brenner points to history and other geographic contexts to demonstrate how Asian countries, such as Hong Kong and Taiwan, can redress democratic deviances.

Professor Brenner invited to prestigious panel

ƽ��岻�� — Mon, 12 Feb 2018 16:41:32 +0000

Professor Reuven Brenner was invited to present on a panel that discussed venture capital in Quebec’s biotech and life sciences industry. The high-profile event was attended by Quebec Ministers Mr. Gaétan Barrette and Ms. Dominique Anglade, while the discussion was moderated in part by Mr. Pierre-Marc Johnson, former Premier of Quebec.

Does marijuana legalization open the door to organized crime?

ƽ��岻�� — Tue, 06 Feb 2018 15:42:31 +0000

Following the revelation that many Canadian marijuana producers benefit from offshore financing, Desautels Professor and President of Lester Asset Management, Ken Lester, shares his perspective on marijuana legalization and organized crime, stating that the union of the two is entirely possible.

Business schools and the Fourth Industrial Revolution

ƽ��岻�� — Wed, 31 Jan 2018 15:45:44 +0000

In a world destabilised by rapid technological advancement, Dean Bajeux shares how business education can help us thrive amid such unprecedented change.

“In a society disrupted by rapid technological advancement, a new skillset is sought – one that includes an interdisciplinary mindset, a global outlook, as well as analytical and critical thinking skills. This will be our golden compass for navigating the next phase of the Fourth Industrial Revolution and, ultimately, for establishing a stabilized world order.”

Professor Betermier on the value of MIPC

ƽ��岻�� — Wed, 24 Jan 2018 15:21:41 +0000

Following the inaugural ƽ��岻�� International Portfolio Challenge (MIPC), Professor Betermier reflects on how the event provided an important opportunity of self-reflexivity for Canadian pension organizations, while also contributing fresh perspectives on how to address a growing crisis.

His hope is that events like the MIPC might also inspire Finance students to delve deeper into pension management during their studies and to eventually follow this career path.

The banking system turns its back on emerging marijuana business

ƽ��岻�� — Tue, 23 Jan 2018 17:39:10 +0000

Many banks in Canada are refusing to offer any banking services to companies engaged in the production and distribution of marijuana. Desautels Finance Professor and Investment Management Specialist, Ken Lester comments on the hypocrisy of this situation.

“If you call your broker at one of the major Canadian banks to buy the shares of an authorized [marijuana] producer, he will not refuse.”

Who will solve the pension crisis

ƽ��岻�� — Fri, 19 Jan 2018 20:18:44 +0000

Students participating in the ƽ��岻�� International Portfolio Challenge presented hypothetical portfolios believed to achieve solvency to address the crisis that has been affecting Canadian pension funds.

Sovereign to Corporate Risk Spillovers

ƽ��岻�� — Fri, 19 Jan 2018 16:23:14 +0000

Authors: Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schinitzler

Publication: Journal of Money, Credit and Banking, Forthcoming

Abstract:

Canada is not facing a mortgage crisis

ƽ��岻�� — Tue, 12 Dec 2017 20:46:17 +0000

The Laurentian Bank of Canada recently revealed that they will have to buy back up to $300 million in loans issued to clients, realising that its vetting practices were not applied thoroughly enough.

Nevertheless, experts, such as Desautels Professor Mo Chaudhury, maintain that these issues are not rampant in the Canadian banking system and that the country is not on the brink of a mortgage crisis comparable to what unfolded in the U.S.

A token of appreciation

ƽ��岻�� — Fri, 08 Dec 2017 17:11:38 +0000

Thanks to a student-led fundraiser, a group of BCom students recently presented a Catchbox to the Desautels Faculty of Management in honour of Professor Sujata Madan.

Catchbox is a soft microphone that is designed to be thrown among an audience to increase engagement and participation.

This initiative was a way for students to thank a professor who continually inspires them.

Are intelligent machines the new and improved investment managers?

ƽ��岻�� — Thu, 23 Nov 2017 21:57:36 +0000

An article for The Globe and Mail examines the emerging trend among investment firms to integrate artificial intelligence (AI) in their daily operations.

These new systems can identify various patterns and then make increasingly accurate predictions based on this information.

As this shift suggests uncertainty in the job market, Professor Sebastien Betermier comments on further implications of the rise of AI in the financial domain.

The education reformation

ƽ��岻�� — Mon, 20 Nov 2017 20:35:46 +0000

In a piece for American Affairs, Professor Reuven Brenner takes a pulse of contemporary U.S. education and outlines some of the key challenges in this area, including skewed high school graduation rates and the lack of rigorous training to develop skills and discipline.

As a solution, Prof. Brenner proposes an accelerated education program that is complemented by new institutions to better prepare students for their lives and careers.

Technological advancement means the rethinking of language

ƽ��岻�� — Tue, 14 Nov 2017 16:24:30 +0000

As society continues to embrace technological advancement, we tend to overlook how the words that our ancestors used have lost their meaning. In an article for Asia Times, Desautels professor Reuven Brenner explores what happens when the words used for the physical realm are applied to a digitized society, and how the fit is not always a natural one. Prof. Brenner illustrates his point by referring to the legal system’s struggles with interpreting Google’s business practices.

Is bitcoin the new gold?

ƽ��岻�� — Tue, 07 Nov 2017 17:32:13 +0000

Bitcoin has been the target of much speculation among financial circles with some experts alleging that it has the potential to become comparable to gold, a currency legitimized through social convention.

In a piece for Asia Times, Desautels professor Reuven Brenner explores what it takes for a new monetary yardstick to emerge, and argues that, historically, social convention must be combined with scarcity.

Desautels inaugurates world’s first pension portfolio challenge

ƽ��岻�� — Fri, 03 Nov 2017 14:57:26 +0000

This weekend, twenty-five student teams from Berkeley, Chicago, Sydney, Hong Kong, and Geneva, amongst others will participate in the final round of the ƽ��岻�� International Portfolio Challenge.

Organized by Desautels BCom students under the guidance of Professor Sebastien Betermier, this is the world’s first pension asset allocation competition.

Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization

ƽ��岻�� — Wed, 18 Oct 2017 18:27:44 +0000

Authors: David Chambers, Sergei Sarkissian and Michael J. Schill

Publication: Review of Financial Studies, Forthcoming

Abstract:

We study market segmentation effects using data on U.S. railroads that list their bonds in New York and London between 1873 and 1913. This sample provides a unique setting for such analysis because of the precision offered by bond yields in cost of capital estimation, the geography-specific nature of railroad assets, and ongoing substantial technological change. We document a significant reduction in market segmentation over time. Whilst New York bond yields exceeded those in London in the 1870s, this premium disappeared by the early 1900s. However, the segmentation premium persisted in the more remote regions of the United States.

Read full article: Review of Financial Studies

Two-Sided Reputation in Certification Markets

ƽ��岻�� — Wed, 18 Oct 2017 18:15:28 +0000

Authors: Matthieu Bouvard and Raphaël Levy

Publication: Management Science, Forthcoming

Abstract:

In a market where sellers solicit certification to overcome asymmetric information, we show that the profit of a monopolistic certifier can be hump-shaped in its reputation for accuracy: a higher accuracy attracts high-quality sellers but sometimes repels low-quality sellers. As a consequence, reputational concerns may induce the certifier to reduce information quality, thus depressing welfare. The entry of a second certifier impacts reputational incentives: when sellers only solicit one certifier, competition plays a disciplining role and the region where reputation is bad shrinks. Conversely, this region may expand when sellers hold multiple certifications.

Read full article: Management Science

Illiquidity Premia in the Equity Options Market

ƽ��岻�� — Tue, 17 Oct 2017 16:32:07 +0000

Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, Mehdi Karoui

Publication: Review of Financial Studies, Vol. 31, No. 3, March 2018

Abstract:

Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3:4% per day for at-the-money calls and 2:5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.

Read full article: Review of Financial Studies

Mathieu Bouvard wins SFI Outstanding Paper Award 2017

ƽ��岻�� — Fri, 13 Oct 2017 16:48:24 +0000

The Swiss Finance Institute (SFI) has attributed its Outstanding Paper Award to "The Blockchain Folk Theorem," a research paper by Bruno Biais, Toulouse School of Economics, Christophe Bisière, Toulouse School of Economics, Matthieu Bouvard, ƽ��岻��, and Catherine Casamatta, Toulouse School of Economics, that investigates the stability of the blockchain protocol in a game-theoretic approach.

Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice

ƽ��岻�� — Wed, 11 Oct 2017 19:24:49 +0000

Authors: David Schumacher

Publication: Review of Financial Studies, Forthcoming

Abstract:

Citron hits Shopify in short attack, Professor Lester weighs in

ƽ��岻�� — Wed, 11 Oct 2017 15:30:48 +0000

Shopify recently came out in defense of its business model following an attack on the company by short seller Andrew Left of Citron. According to Desautels professor Kenneth Lester, short sellers actually do an investigative service by exposing information about companies that might have otherwise been strategically concealed; though he remains wary of the insider trading sometimes tied to shorts.

Scenario generation for long run interest rate risk assessment

ƽ��岻�� — Tue, 03 Oct 2017 14:52:07 +0000

Authors: Robert Engle, Guillaume Roussellet, Emil Siriwardane

Publication: Journal of Econometrics, Vol. 201, No. 2, December 2017

Abstract:

Staying at zero with affine processes: An application to term structure modelling

ƽ��岻�� — Mon, 02 Oct 2017 21:03:48 +0000

Authors: Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet

Publication: Journal of Econometrics, Vol. 201, No. 2, 2017, pp. 348-366.

Abstract:

Professor Chaudhury on the new Rohingya approach

ƽ��岻�� — Tue, 26 Sep 2017 13:52:59 +0000

In a blog post for bdnews24.com, Desautels professor Mo Chaudhury assesses the Bangladesh Government’s response to the humanitarian crisis in Myanmar concerning the Rohingyas, asserting that the current response contrasts with past related policy.

Mo Chaudhury on the Rohingya crisis, Bangladesh and the West

ƽ��岻�� — Tue, 19 Sep 2017 14:08:05 +0000

In a recent op-ed for Bangladeshi online newspaper bdnews24.com, Desautels Professor Mo Chaudhury explores the unfolding Rohingya humanitarian disaster in Myanmar, then outlines the corruption at the heart of the crisis and the players who stand to benefit from it.

Professor Vihang Errunza named a Fellow of the Royal Society of Canada

ƽ��岻�� — Fri, 08 Sep 2017 21:05:11 +0000

The Desautels Faculty of Management is pleased to congratulate Professor Vihang Errunza, Associate Dean, Research, on being named a Fellow of the Royal Society of Canada’s Social Sciences Academy.

Investment, overconfidence and the female edge

ƽ��岻�� — Thu, 24 Aug 2017 16:27:41 +0000

A piece in Les Affaires looks at how our emotions and confidence can get the better of us when it comes to our investment practises, citing the panic in 2008 as proof that the markets are ruled more by investor emotion than by rationality.

Stock overreaction to extreme market events

ƽ��岻�� — Thu, 17 Aug 2017 13:21:59 +0000

Authors: Pedro Piccolia, Mo Chaudhury, Alceu Souza and Wesley Vieirada Silvaa

Publication: The North American Journal of Economics and Finance, Vol. 41, July 2017

Abstract:

The paper investigates the behavior of individual US stocks during the 21 trading days following the event of extreme movement in the market index on a day.

Leverage and asymmetric volatility: The firm-level evidence

ƽ��岻�� — Wed, 12 Jul 2017 13:34:18 +0000

Authors: Jan Ericsson, Xiao Huang, Stefano Mazzotta

Publication: Journal of Empirical Finance, Volume 38, Part A, September 2016, Pages 1-21

Abstract:

Inflation or recession? The US Fed tries to untangle a financial mystery

ƽ��岻�� — Tue, 11 Jul 2017 15:13:24 +0000

A Weekly Standard op-ed examines the way the Fed is trying to tame a $4-trillion quantitative easing problem in case another recession hits.

Ottawa’s pot pricing plan likely to be affected by low rates in Quebec

ƽ��岻�� — Wed, 28 Jun 2017 14:34:05 +0000

Ottawa is going to have to find a way to keep legalized cannabis on the affordable side, thanks to the already low prices in Quebec. A new Public Safety Canada report states that, for comparable quality marijuana, Quebec pot consumers pay about $5.33 per gram, while non-Quebecers average $7.04. Émilie Dansereau, of the Association pour la santé publique du Québec, suggests that Ottawa should pay attention to how the government of Uruguay killed off its black market with a low tax rate.

Cannabis legalization and private enterprise in Quebec

ƽ��岻�� — Tue, 20 Jun 2017 14:08:28 +0000

This summer, the Quebec government will be running consultations into how legalized cannabis will be sold in Quebec. For Ottawa, the aim is that the provinces will regulate sales, hopefully with public health as the ultimate goal.

Female deans share advice for young women graduating from business schools

ƽ��岻�� — Fri, 09 Jun 2017 21:04:38 +0000

For convocation season, Poets & Quants asked several female deans of business schools what the current crop of new female grads should think about as they start out in the high-octane world of business, whether they’re entering the workforce or striking out on their own.

Desautels professor on Bangladesh Government’s bank-deposits tax

ƽ��岻�� — Thu, 08 Jun 2017 14:48:12 +0000

In a recent piece for The Daily Star, Desautels professor Mo Chaudhury calls the tax on bank deposits in the Government of Bangladesh’s 2017-18 budget a bad call, and gives six examples that outline exactly why. He acknowledges the ongoing budgetary challenges faced by the country, but counters that taxing bank deposits may send savers towards stocks, real-estate or even the black market, which will just compound the problem.

Short seller’s morning tweet seems to sink shares of two Canadian companies

ƽ��岻�� — Fri, 02 Jun 2017 15:27:45 +0000

After of a sell-off of shares in two Canadian companies was apparently triggered by a short seller’s morning tweet, Desautels professor Ken Lester derided the tweet, saying that “There’s no recourse. People can just put out whatever they want on the Internet.”

He goes on to say that there is a general uncertainty about Canadian financial firms, thanks in large part to the legal problems faced by Home Capital Group.

Toward a New Bretton Woods Agreement

ƽ��岻�� — Tue, 23 May 2017 14:40:26 +0000

Desautels Professor of Finance, Reuven Brenner, was recently published in American Affairs Journal, a quarterly journal of public policy and political thought.

2016-17 Desautels Teaching Awards

ƽ��岻�� — Wed, 17 May 2017 16:27:51 +0000

Congratulations to Professor Juan Serpa and Professor Sujata Madan who have been selected as the recipients of the 2016-17 Desautels Faculty Teaching Award for Undergraduate and Graduate teaching, respectively.

Movies that MBAs can learn from: professors have their say

ƽ��岻�� — Tue, 25 Apr 2017 15:42:05 +0000

Poets and Quants recently asked business educators to name their top picks for films from which MBAs could learn a lesson or two. The range of movies mentioned was wide, and included some films that do not, at first, seem to be obvious choices. So, while films like The Wolf of Wall Street, 1986’s Gung-Ho, and Margin Call show up on the list, some professors give the nod to movies like Zootopia and The Godfather.

Metaphor, literacy and ‘fake news’

ƽ��岻�� — Thu, 20 Apr 2017 15:23:02 +0000

Desautels Professor Reuven Brenner writes in a recent Asia Times op-ed that, as societies become literate, earlier metaphors become codified as literal truths, much to the detriment of those societies and the cultures that exist within them. There are parallels between the “fake news” of today and analogues in early societies, where one people’s superstitions about another group could bring the two into conflict.”

As feds unveil pot legalization plans, producers’ shares slip

ƽ��岻�� — Wed, 19 Apr 2017 16:40:35 +0000

Ottawa has released its plan to legalize marijuana, and the hit on big cannabis shares has been heavy. Concerns about how fast the government is moving to squeeze out illegal producers, a law-enforcement-heavy public announcement and a feeling that the government is stepping back from its plans for an industrial-scale market are leaving investors with questions.

Desautels achieves second consecutive win at PRMIA

ƽ��岻�� — Wed, 12 Apr 2017 15:44:30 +0000

Congratulations to Desautels undergraduate students: Evan Coulter, Valentyn Litvin, Meagan Prins, and Marina Simonian who won the top prize at the prestigious PRMIA International Risk Management Challenge- marking a second consecutive victory for the Faculty at this competition.

Marijuana sector likely to constrict as it matures

ƽ��岻�� — Fri, 07 Apr 2017 16:28:13 +0000

Desautels Professor Ken Lester was interviewed on BNN about the commodification of marijuana post-legalization. He discussed product choice, the question of how branding might be constrained by the impending legislation, and the tricky taxation line that the governments will have to trace in order to not send consumers back to the black market.

James Rickards and the end of the economy

ƽ��岻�� — Tue, 04 Apr 2017 16:15:24 +0000

A recent Forbes book review delves into James Rickards’ The Road to Ruin: The Global Elites’ Secret Plan For The Next Financial Crisis, which makes the case that there is a big-ticket financial collapse coming, one that dwarfs the 2008 recession. Rickards lays much of the blame on macroeconomics, drawing a parallel between it and astrology.

Les prédictions économiques prospèrent sur des modèles qui ne fonctionnent pas

ƽ��岻�� — Mon, 03 Apr 2017 15:45:56 +0000

The permanent forecasting market and its fallout

A piece in Contrepoints takes the whole practise of regular GDP forecasting to task for being based on flawed economic models, referencing Desautels Professor Reuven Brenner’s article in the inaugural issue of American Affairs, in which he calls for the abandonment of macroeconomics in favour of a more accountability-based model. Greater accountability would result in maximized potential and fewer squandered resources.

Desautels Assistant Professor named to prestigious list

ƽ��岻�� — Mon, 03 Apr 2017 15:39:02 +0000

The 2017 edition of Poets and Quants’ Best 40 Under 40 Professors list is out, and on it are four teachers at Canadian institutions — including Desautels Assistant Professor Sebastien Betermier. Professor Betermier teaches investment management and has been nominated for the Desautels Distinguished Teaching Award four times.

Overreaction to extreme market events and investor sentiment

ƽ��岻�� — Fri, 31 Mar 2017 16:38:38 +0000

Authors: Piccoli, P., Chaudhury, M.

Publication: Applied Economics Letters

Abstract:

The pursuit of happiness through the ages

ƽ��岻�� — Thu, 30 Mar 2017 16:43:05 +0000

Desautels Professor Reuven Brenner gave a lecture as part of the Centre for the Thought of John Paul II’s series on Moral Capitalism, in which he explored the concept of the pursuit of happiness, as first codified in the US’s 1776 Declaration of Independence. He goes into the fact that the Declaration’s use of the term was no more than a promise to set up a legal framework that would let people try their luck or live happily — without even trying to classify just what that happiness meant.

Improving innovation policy

ƽ��岻�� — Thu, 30 Mar 2017 16:32:25 +0000

During a debate hosted in part by the Centre for the Thought of John Paul II in Warsaw, Poland, Desautels Professor Reuven Brenner explores the military origins of venture capital, as well as the associated National Defence Education Act, which he blames for starting the decline he sees in the quality of university education.

Shoes, economics and entrepreneurship: Shoe Dog by Phil Knight

ƽ��岻�� — Thu, 30 Mar 2017 15:29:44 +0000

John Tamny starts his review of Nike founder Phil Knight’s eminently enjoyable memoir, Shoe Dog, with a quote by Desautels Professor Reuven Brenner that macroeconomics is a “tautology and a myth, a dangerous one at that, sustaining that prosperity is necessarily linked to territory, national units and government spending in general.” He then goes into why the book’s author would likely agree with Professor Brenner. Indeed, Nike’s continued existence is partly a product of an integrated global economy.

Canada stagnates while the US charges ahead: why VC in Canada is doing so poorly

ƽ��岻�� — Thu, 30 Mar 2017 15:22:56 +0000

In a recent piece for Asia Times, Desautels Professor Reuven Brenner shines a light on Canada’s VC culture, contrasting its sluggish returns with those of the US, which outstrips its northern neighbour across the border. Professor Brenner lays the blame on everything from Canada’s taxation schemes (which he says reduce the incentive to invest and sap the necessary capital that angel investors could put toward nascent entrepreneurs) to a weakened state of academia in this country.

Among Best 40 Professors Under 40

ƽ��岻�� — Mon, 27 Mar 2017 16:45:50 +0000

For his engaging teaching and excellence in research, Professor Sebastien Betermier has been named by Poets & Quants as one of this year’s Best 40 Under 40 Professors.

Bannon, Plato and the decline of America

ƽ��岻�� — Tue, 07 Mar 2017 16:16:33 +0000

In a piece for the Asia Times, Desautels Professor Reuven Brenner looks at Trump aide Stephen K. Bannon’s view of history and how it forms his domestic and foreign strategy. Professor Brenner says that Bannon’s “generational view of history” can be traced back to analogues in the ancient world, specifically those of Aristotle and Plato, not to mention the US founding fathers.

Desautels undergraduates secure a win at PRMIA Risk Management Challenge

ƽ��岻�� — Fri, 03 Mar 2017 16:47:36 +0000

Congratulations to Desautels BCom students Evan Coulter, Valentyn Litvin, Meagan Prins, and Marina Simonian for winning the PRMIA Risk Management Challenge, marking a third consecutive victory for the Faculty. The team will advance to the International Risk Management Challenge in London, UK on April 7th, 2017 for a chance to win the grand prize of $10,000 USD.

Canada’s new ‘green’ economy

ƽ��岻�� — Wed, 01 Mar 2017 16:02:56 +0000

In Smiths Falls, Ontario, a former chocolate factory houses one of Canada’s biggest marijuana producers. Canopy Growth and its competitors are in a headlong rush to increase production and market share, and they will likely soon exceed the market for medical marijuana in Canada. But that’s no problem; the industry is looking ahead, toward the legalized recreational marijuana market promised by the Liberal Government.

Corruption, accountability and a bridge in Bangladesh

ƽ��岻�� — Tue, 28 Feb 2017 16:24:46 +0000

Desautels Faculty of Management Finance Professor Mo Chaudhury writes for The Daily Star that the court case surrounding the Padma Bridge project in Bangladesh —which has snared the World Bank, SNC-Lavalin and the Bangladeshi government —has only served to highlight the need for greater accountability across the board in large development projects.

The philosopher and the tycoon, how Eric Hoffer Predicted the last election

ƽ��岻�� — Tue, 28 Feb 2017 16:14:31 +0000

In an opinion piece for the Wall Street Journal, Desautels Finance Professor Reuven Brenner examines the 1970 essay Whose Country Is America? by Eric Hoffer. Professor Brenner looks at how the essay seems to have predicted the tenor of the last US presidential election, as well as the histrionics that have rocked America since.

Macroeconomics, accountability and the 2008 financial crisis

ƽ��岻�� — Fri, 24 Feb 2017 17:01:59 +0000

In a recent essay for the inaugural issue of American Affairs, Desautels Faculty of Management professor Reuven Brenner writes that it is time to drop the macroeconomic myths that have been damaging us for decades, and put accountability back at the centre of our economy. Against the backdrop of the 2008 financial crisis, he examines the practices and theories that took hold in the 1930s, and how they have affected everything from democracy to the basic assumptions we make about economics.

Professor Brenner marks launch of American Affairs

ƽ��岻�� — Thu, 23 Feb 2017 17:15:41 +0000

Professor Reuven Brenner of the Desautels Faculty of Management was in Manhattan, NY on February 21 to mark the inauguration of American Affairs, a quarterly journal of public policy and political thought for which he is a contributing writer and serves on the Advisory Board. The launch was hosted at the Harvard Club with guests such as Peter Thiel, former CEO and Co-Founder of PayPal.

An immigration amnesty could be a real problem-solver for the US

ƽ��岻�� — Fri, 17 Feb 2017 17:09:49 +0000

It’s difficult to get a handle on how many illegal immigrants there are in the US, but the estimated number is around 12 million, with just over half being from Mexico. Yes, there is a criminal element hidden in these numbers, but it is safe to say that the majority are working and may even have families. Rounding them up and shipping them home would be a major undertaking, and could cause friction with Mexico.

When statistics lie: politics and the US education system

ƽ��岻�� — Fri, 10 Feb 2017 16:49:32 +0000

For 2014-15, the graduation rate from US high schools hit a record 83%. As far as statistics go, that’s one that anyone would love, but there’s more going on than you’d think — and, according to Professor Reuven Brenner, politicians and bureaucracies can make a statistic say nearly anything.

Exotic Interest Rate Swaps: Snowballs in Portugal

ƽ��岻�� — Wed, 08 Feb 2017 16:12:00 +0000

Authors: Vallee, B., Augustin, P., Rich, P.

Publications: Harvard Business Publishing

Abstract:

Légalisation du cannabis: un appel à Québec pour qu’il assure la distribution

ƽ��岻�� — Mon, 30 Jan 2017 16:39:13 +0000

A call for Quebec to get into pot distribution by academics and business people

Who Are the Value and Growth Investors?

ƽ��岻�� — Fri, 13 Jan 2017 18:05:45 +0000

Authors: Betermier, S., Calvet, L.E., Sodini, P.

Publication: The Journal of Finance, Vol. 72, No. 1, 2017

Abstract:

To Group or Not to Group? Evidence from Mutual Fund Databases

ƽ��岻�� — Thu, 06 Oct 2016 18:12:20 +0000

Authors: Saurin Patel and Sergei Sarkissian

Publication: Journal of Financial and Quantitative Analysis, Vol. 52, No. 5, 2017, pp. 1989-2021.

Abstract:

Congratulations to Assistant Professor David Schumacher of Finance on receiving NFA 2016 Best Paper Award on ETFs in Asset Management

ƽ��岻�� — Thu, 06 Oct 2016 17:58:49 +0000

Congratulations to Assistant Professor David Schumacher of Finance on receiving NFA 2016 Best Paper Award on ETFs in Asset Management for "Who is afraid of BlackRock?".

Authors: Schumacher, D., Wang, Y., Massa, M.

Publication: Social Science Research Network

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Real Economic Shocks and Sovereign Credit Risk

ƽ��岻�� — Mon, 08 Aug 2016 17:39:58 +0000

Authors: Augustin, P., Tédongap, R.

Publication: Journal of Financial and Quantitative Analysis, Vol. 51, No. 2, 2016

Abstract:

Les touristes évitent la France

ƽ��岻�� — Mon, 18 Jul 2016 16:13:15 +0000

L’attaque de Nice a eu un effet immédiat sur les touristes, qui ont été nombreux vendredi à annuler leur voyage en France.

Des événements tragiques comme celui survenu sur la Côte d'Azur donnent toujours un dur coup au tourisme pendant quelques mois.

«On se rend compte qu’avec ce nouvel événement, la France est devenue une cible. C’est donc évident que, s’ils ont à choisir, les touristes iront à un endroit plus sécuritaire à leurs yeux», mentionne Ken Lester, professeur à l’Université ƽ��岻��.

Les touristes évitent la France

ƽ��岻�� — Mon, 18 Jul 2016 16:02:03 +0000

L’attaque de Nice a eu un effet immédiat sur les touristes, qui ont été nombreux vendredi à annuler leur voyage en France.

Des événements tragiques comme celui survenu sur la Côte d'Azur donnent toujours un dur coup au tourisme pendant quelques mois.

Lors des attentats du 11 septembre 2011, les visiteurs internationaux avaient attendu neuf mois avant de retourner en plus grand nombre à New York. Mais la crainte des touristes ne perdure pas non plus pendant plusieurs années, selon ce qui a été constaté par le passé.

CTV Montreal: Understanding Tax Invasion

ƽ��岻�� — Fri, 08 Apr 2016 16:56:46 +0000

Ken Lester, Desautels Faculty of Management, was interviewed by Mutsumi Takahashi on Panama Papers.

Watch full video: CTV News, 8 April, 2016

The Green Bond: Coupling Sustainability with Finance

ƽ��岻�� — Fri, 18 Dec 2015 15:42:43 +0000

Usman W. Chohan has an MBA from Desautels (2014) in Strategy and Leadership. He has served as a consultant at the World Bank Institute (WBI), and as Special Situations Analyst in Global Equities at Natcan Investment Management, investment arm of the National Bank of Canada. He has been a participant in various important climate initiatives in 2015 including the Pacific Island Development Forum (PIDF) 3rd Summit in Suva, Fiji.

Debt, labor markets, and the creation and destruction of firms

ƽ��岻�� — Wed, 02 Dec 2015 15:28:08 +0000

Authors: Almazan, A., De Motta, A., and Titman, S.ac

Publication: Journal of Financial Economics, Vol. 118, No. 3, 2015

Corporate venture capital portfolios and firm innovation

ƽ��岻�� — Wed, 02 Dec 2015 15:24:47 +0000

Authors: Wadhwa, A., Phelps, C. and Kotha, S.c

Publication: Journal of Business Venturing

Credit Default Swaps: Past, Present, and Future

ƽ��岻�� — Fri, 16 Oct 2015 17:23:18 +0000

Authors: Augustin, P., Subrahmanyam, M. G., Tang, D. Y., and Wang, S. Q.

Publications: Annual Review of Financial Economics

Professor Sebastien Betermier wins CFR Best paper award

ƽ��岻�� — Fri, 24 Apr 2015 17:42:41 +0000

Professor Sebastien Betermier wins 2015 CFR Best Paper Award at the 14th Colloquium on Financial Markets

“Who are the Value and Growth Investors?”

Authors: Sebastien Betermier, Laurent Calvet and Paolo Sodini

Insider Trading Investigators Have a Blind Spot

ƽ��岻�� — Mon, 16 Mar 2015 17:31:36 +0000

Over the past year, a record 266 companies have spun off divisions in a trend bankers are calling “Spinmania.” If history is any guide, about 35 of those deals will have leaked undetected to inside traders.

A new study by a team of finance professors suggests one in eight corporate spinoffs and divestments in the U.S. between 1996 and the end of 2013 was preceded by suspicious trading in options markets. The Securities and Exchange Commission hasn’t brought a single case relating to such trading then or since, according to the report, due to be published later this month.

Unwanted life insurance can be a valuable asset for seniors’ retirement

ƽ��岻�� — Mon, 24 Nov 2014 19:27:31 +0000

Seniors looking for an additional source of income should think twice about letting unwanted life insurance lapse, because these policies may be sold for substantial value to help fund a better quality of life in their retirement.

... Ken Lester, a professor at ƽ��岻��’s Desautels Faculty of Management and CEO of Lester Asset Management Inc. in Montreal, says life settlements are a bit like reverse mortgages, which allow homeowners to take out a loan against the equity in their home to receive cash payments.

Approche toujours controversée

ƽ��岻�� — Mon, 17 Nov 2014 19:23:51 +0000

Le débat continue de faire rage : l'anticipation des marchés, communément appelée «market timing», est-elle une approche payante ou au contraire, nuisible et dangereuse ? Les avis sont partagés. Il y a plusieurs définitions du market timing. Le plus fréquemment, le market timing consiste à «tenter de prédire la direction future du marché en ayant recours, le plus souvent, à des indicateurs techniques ou à des données économiques», comme l'indique le site Investopedia.

Êtes-vous valeur ou croissance?

ƽ��岻�� — Thu, 13 Nov 2014 17:28:55 +0000

Préférez-vous les valeurs sous-évaluées, voire délaissées, ou les titres qui croissent plus rapidement que le marché? Valeur ou croissance? Vos choix d'investissement trahissent probablement votre âge et votre sexe.

The boom-and-bust Fed's rental society

ƽ��岻�� — Sat, 18 Oct 2014 15:54:02 +0000

Article By Reuven Brenner

Now, as during World War II and up to 1951, the US Federal Reserve practiced what is now called quantitative easing (QE). Then, as now, nominal interest rates were low and the real ones negative: The Fed’s policy did not so much induce investments as it allowed the government to accumulate debts, and prevent default.

... Reuven Brenner holds the Repap Chair at ƽ��岻��’s Desautels Faculty of Management. The article draws on his Force of Finance (2002).

Personnalité de la Semaine: Olivier Babin

ƽ��岻�� — Tue, 30 Sep 2014 14:48:20 +0000

À 19 ans, Olivier Babin possède déjà une impressionnante feuille de route, où foisonnent prix, mentions, bourses et honneurs. Retour sur le parcours fulgurant d’une jeune étoile de la finance.

...Le jeune homme poursuit maintenant ses études à la faculté de gestion Desautels de l’Université ƽ��岻��, où il est inscrit au baccalauréat conjoint, économie et finance. Il est le lauréat de la prestigieuse bourse d’admission Greville Smith, l’une des plus importantes bourses d’entrée à ƽ��岻��.

Brave hearts and wise heads

ƽ��岻�� — Mon, 29 Sep 2014 18:50:15 +0000

Demography is not destiny, but it sheds light on the events leading to these two referenda, the Quebec one taking place in 1995, and the Scottish one last week, and has also implications concerning the changing voting ages around the world. In most countries the voting age is 18. However, the Scottish National Party's voted unanimously in October 2007 to lower it to 16, which subsequently became law. Argentina's Cristina Kirchner's party did the same in 2012, in preparation for the 2013 elections.

Third Annual OptionMetrics Research Conference Brings Together International Academia, Financial Professionals to 'Convene' on October 20th in New York City

ƽ��岻�� — Tue, 23 Sep 2014 15:13:49 +0000

OptionMetrics, a leading source for quality historical option price data, tools and analytics, has announced the upcoming OptionMetrics Research Conference (ORC2014). The conference will be held on October 20th at Convene, located at 810 Seventh Avenue in Times Square. It will bring together financial professionals and researchers from academia and business to share ideas and increase understanding of the options markets.

Study: Lots of suspicious trading, but not many convictions

ƽ��岻�� — Thu, 24 Jul 2014 17:28:08 +0000

According to a new study, insider trading often occurs during merger and acquisitions and is rarely punished. BNN takes a closer look with one of the report's co-authors, Patrick Augustin, Assistant Professor of Finance, Desautels Faculty of Management, ƽ��岻��.

Watch full video: Business News Network

Lettre Ouverte aux Investisseurs Irresponsables

ƽ��岻�� — Thu, 17 Jul 2014 19:01:03 +0000

J’ai toujours considéré l’investissement et la Bourse comme l’une des activités humaines parmi les plus stimulantes qui soient.

... Comme le dit l’économiste canadien Reuven Brenner, le progrès économique et social repose d’abord et avant tout sur notre capacité à marier le talent et le capital.

Read full article: Orientation Finance

Two Groundbreaking Academic Mergers & Acquisitions Studies Win IRRC Institute Investor Research Award at Millstein Governance Forum

ƽ��岻�� — Thu, 12 Jun 2014 19:31:55 +0000

Two academic research papers that promise to spark new scrutiny of corporate actions such as mergers and acquisitions have won the prestigious Investor Responsibility Research Center Institute (IRRCi) annual investor research competition that focuses on the interaction of the real economy with investment theory. The winning research teams will be presented with a $10,000 award for each paper:

A Europe losing cohesion

ƽ��岻�� — Wed, 04 Jun 2014 18:30:33 +0000

Ever since France's defeat in 1870-1 in the Franco-Prussian war, when military strength was identified with numerical superiority, demography, language and culture have become permanent parts of, and, at times, the focus of French politics.

And the Next Star Fund Manager Is…

ƽ��岻�� — Tue, 21 Jan 2014 17:07:29 +0000

Finding a mutual-fund manager who can beat the market is tough. Winners flame out. Losers revive. The resurgent losers flame out again.

No wonder low-cost index-based exchange-traded funds and mutual funds—which seek only to mimic the return of a designated slice of the market—have eclipsed actively managed funds as the investment of choice for many people.

... One problem: Over long periods, few fund managers continue to outperform, says Laurent Barras, a finance professor at ƽ��岻�� in Montreal.

"Incentives, Capital Budgeting, and Organizational Structure," Journal of Economics and Management Strategy

ƽ��岻�� — Fri, 08 Nov 2013 17:31:53 +0000

Authors: De Motta, Adolfo; Ortega, Jaime A.

Publication: Journal of Economics and Management Strategy, December 2013

Abstract:

ƽ���岻�� Desautels Faculty of Management - Finance News

Reproducibility in Management Science

Learning from Biodiversity: Is Diversity in Financial Ecosystems Important for Economic Growth and Stability?

Thomas J. Rivera Assistant Professor in Finance winner of PBCSF Award - Best Paper in Fintech

Sebastien Betermier and David Schumacher winners of the Best Paper Using EUROFIDAI Daily Data Award

Pension funds can drive greater returns by participating more directly in value creation

The Term Structure of Short Selling Costs, Review of Finance

Ava Labs and CBER Forum launch new blockchain and crypto podcast series

Canadian pension funds divestment of private equity holdings rebalances portfolios

Public pension plans in Canada and Australia achieve efficiencies through professional asset management at scale

Shadow banking is growing – and it’s a hidden risk to the stability of the financial system

Interaction with major crypto-asset platforms could benefit both CBDCs and cryptocurrencies

Delve: Cashing in or Losing Big on Cryptocurrency Yield Farms?

Profs Beaumont, Schumacher and Weitzner awarded SSHRC Insight Development Grant

Liquidity support for mid-sized US banks is a band-aid solution that masks underlying issues

Recap of DGFRC-sponsored finance workshop

The future of commercial real estate belongs to those who can meet the evolving needs of the office

ƽ���岻�� Personal Financial Essentials course helps people understand common investing mistakes

Prof. Augustin's paper wins 2022 Global AI Finance Research Conference Best Paper Award

Delve: How Banks and Institutional Investment Funds Are Driving the Road to Net-Zero

Central bank digital currencies could help improve financial inclusion

Crypto’s impressive returns led institutional investors to consider unconventional investments

A place to call home trumps portfolio diversification for some investors

Prof. Weitzner's paper wins research award

Delve: Why digital currencies could change the future of central banking

Peer-to-peer lending platforms are a potential disruptor to a long-established industry

Real estate investment helps Canadian pension plans outperform peers

Delve: How Barriers to Foreign Investments Affect Risk-Taking in International Markets, with Francesca Carrieri

It is never too early to take learn the basics of investing

Delve: How FinTech Lending to Small Businesses Opens the Door to Bank Loans, with Paul Beaumont

Why the CAQ’s proposed economic incentives may not be all they cracked up to be

Personal Financial Essentials course teaches key investment concepts concisely

When a recession is coming, investors need to keep a level head

Alberta politician who is spreading conspiracy theories could become premier

Inflation is a major challenge for seniors on fixed incomes

Countries with high debt and a reliance on imports could face tough times

Higher interest rates are already packing a punch

FIRM Labs seeks to make AI tools more accessible to individual investors

Persistent inflation could contribute to a recession, but there are steps that can take to ease the pain

More efficient capital management could help pension funds strained by longer life expectancy

Delve: Can Loyalty in Investor Relationships Calm the Competitive Disruption of ETFs?

Prof. Betermier lands new role as Director of ICPM

Investing experience can help navigate market downturns

Desautels’ event highlights innovative research and recognizes scholars

Canada’s largest pension plans are driving green development through real estate investments

Supply chain disruptions caused inflation, and the war in Ukraine is making it worse

Prof. Sebastien Betermier talks investment strategies with Rational Reminder podcast

Professor Augustin receives Bank of Canada Governor’s Award

DGFRC-sponsored finance workshop concludes successfully

The Russian economy has cratered – but most Canadian investors are unlikely to have much exposure to it

Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

The potential long-term impact of unprecedented economic sanctions on Russia

The truth behind divestment at public and private firms

Three tips for going green

Keeping cryptocurrency alive

How is Liquidity Priced in Global Markets?

Professor Augustin appointed Associate Editor of the Journal of Banking and Finance

Plans for Canadian digital currency remain on hold

Putting ESG front and center

Bridging generational gaps through pension reform

Q&A with Professor Katrin Tinn

Prof Sebastien Betermier's paper wins the 2021 Morgan Stanley Best Paper Award in Investments

Q&A with Professor David Schumacher

Delve: Why Ultra-Low Yields Don’t Mean the End of Sustainable Pension Funds

Desmarais Faculty Scholar Awards reward leading finance research

Putting QE in the rearview mirror

New Sujata Madan Award recognizes community-minded students

Delve: A Digital Currency for the Public by the Public

Professor Betermier’s paper awarded by NFA

Digital currency a solution to dwindling cash transactions?

Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios

Going green in the concrete jungle

Professor of Practice Sujata Madan Receives Prestigious Academy of Finance Excellence in Teaching Award

The rise of passive fund investments

Taking a deep dive into pension plans

Canada emerges as a leader in green bonds

A new act for Cirque du Soleil

Predicting the future of digital currency

The pros and cons of digital currency

Building the digital currency space

ƽ��岻�� Desautels Faculty of Management - Finance News

ƽ��岻�� Personal Financial Essentials course helps people understand common investing mistakes