Research seminars

Harnessing the Wisdom of Crowds*


Speaker: Zhi Da
University of Notre Dame - Mendoza College of Business

3 November 2016 - T004 - From 2:00 pm to 3:15 pm

We examine the negative information externality associated with herding on a crowd-based earnings forecast platform ( By tracking user viewing activities, we monitor the amount of information a user views before she makes an earnings forecast. We find that the more public information a user views, the less weight she will put on her private information. While this improves the accuracy of each individual forecast, it reduces the accuracy of the consensus forecast, since useful private information is prevented from entering the consensus. Predictable errors made by “influential users” early on persist in the consensus forecast and result in return predictability at earnings announcements. To address endogeneity concerns related to information acquisition choices, we collaborate with to run experiments where we restrict the information set for randomly selected stocks and users. The experiments confirm that “independent” forecasts lead to a more accurate consensus and convince to switch to a “blind” platform from November 2015. Overall, our findings suggest that the wisdom of crowds can be better harnessed by encouraging independent voices from the participants.

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”


21 October 2016 - Bâtiment S - Salle S227


9:00–10:15 Session 1: Banking & the Real Economy
Tomasz Michalski (HEC Paris) – “Testing the Rybczynski effect” paper
José-Miguel Gaspar (ESSEC) - “Short sales manipulation and product market relationships”
Neeltje Van Horen (Bank of England) – “The role of foreign banks in trade”

10:45–12:00 Session 2: Finance & the Real Economy
Thorsten Martin (HEC Paris) – “Hold-up and investment: Empirical evidence from tariff changes”
Miguel Ferreira (Nova University) – “Can credit rating agencies affect election outcomes?”
George Pennacchi (University of Illinois - Urbana Champaign) – “Syndicated loan risk: The effects of covenants and collateral”

14:00–15:15: Session 3: Macro-Finance

Pierpaolo Benigno (LUISS and EIEF) – “Private money creation and equilibrium liquidity”
Kalin Nikolov (European Central Bank) – “Equity versus bail-in debt in banking: An agency perspective”
Eric Mengus (HEC Paris) – “The South of Europe's institutional decline”

15:30–16:20 Session 4: Funding and Lending during the European Banking Crisis
Florian Heider (ECB) – “Life below zero: Bank lending under negative policy rates”
Guillaume Vuillemay– “Wholesale funding runs”

Fostering Entrepreneurship: Promoting founding or funding?


Speaker: Thomas Hellmann
Oxford Saïd Business School

30 September 2016 - T004 - From 2:00 pm to 3:15 pm

Governments across the globe are eager to foster entrepreneurial ecosystems, yet there is no consensus on what policies to use. We develop a theory about the equilibrium consequences of two canonical types of entrepreneurship policies: policies that encourage entrepreneurs to found new ventures, and policies that encourage investors to fund new ventures. We distinguish between a short-term impact on current market activity, versus a long-term impact on future activity. Investing in entrepreneurial ventures requires tacit knowledge that is mainly acquired through prior entrepreneurial experience, implying that the supply of capital depends on successful ntrepreneurs from prior generations. Recognizing this intergenerational linkage has a profound impact on the market equilibrium, and the effect of entrepreneurship policies. Our analysis identifies a rationale for using funding polices.

Competitive Off-equilibrium: theory and experiment


Speaker: Peter Bossaerts
The University of Melbourne

8 September 2016 - T201 - From 2:00 pm to 3:15 pm

Competitive Off-equilibrium: Theory and Experiment∗



We propose a Marshallian model for price and quantity adjustment in parallel continuous double auctions. Investors submit orders only for small quantities, and at prices that max-imize the local utility improvements. Pareto optimality, on which equilibrium asset pricing theory is built, is eventually reached. Experiments designed with the CAPM in mind show that, consistent with the theory (i) contrary to the standard Walrasian price adjustment model, price changes cross-autocorrelate with excess demands depending on covariances of liquidating dividends; (ii) a risk-weighted endowment portfolio is closer to mean-variance optimality than the market portfolio; (iii) individual portfolios are under-diversified, and more so when dividend covariances are positive.

JEL Classification: G11, G12, G14

Keywords: Asset pricing theory, Experimental Finance, Walrasian Equilibrium, Local
Marshallian Equilibrium, Price Discovery.

Stock duration, analyst recommendations and overvaluation


Speaker: Martijn Cremers
Mendoza College of Business

23 June 2016