Research seminars


Speaker: Sabrina Howell
NYU Stern School of Business

9 November 2017 - T017 - From 11:00 am to 12:15 pm

Finance in a Time of Disruptive Growth


Speaker: Nicolae Garleanu
Berkeley Haas School of Business

21 September 2017 - From 11:00 am to 12:15 pm

Expected Stock Returns and the Correlation Risk Premium


Speaker: Grigory Vilkov
Frankfurt School of Finance & Management

14 September 2017 - T017 - From 2:00 pm to 3:15 pm


In a general equilibrium model with stochastic variance and correlation, we decompose the equity risk premium into compensations for variance, correlation and consumption risks. Based on this decomposition, we develop and test a new methodology for out-of-sample forecasts of the market excess return. Estimating contemporaneous variance and correlation betas from the joint dynamics of option-implied variables and index returns, we find significant out-of-sample R2’s of 10.4% and 7.0% for 3- and 12-months forecast horizons, respectively. While the predictability
of the variance risk premium is strongest at the intermediate (quarterly) horizon, the correlation risk premium dominates at longer horizons. In line with a risk-based explanation for the existence of a correlation risk premium, we document that expected correlation predicts future diversification risks.

What Prevents Female Executives from Reaching the Top?


Speaker: Matti Keloharju
Aalto University

7 September 2017 - T004 - From 2:00 pm to 3:15 pm


Exceptionally rich data from Sweden makes it possible to study the gender gap in executives’ career progression and to investigate its causes. In their forties, female executives are about one-half as likely to be large-company CEOs and about one-third less likely to be high earners than male executives. Abilities, skills, and education likely do not explain these gaps because female executives appear better qualified than males. Instead, slow career progression in the five years after the first childbirth explains most of the female disadvantage. During this period, female executives work on average shorter hours than male executives and are more often absent from work. These results suggest that aspiring women may not reach the executive site without trading off family life.

Performance Isn’t Everything: Personal Characteristics and Career Outcomes of Mutual Fund Managers


Speaker: Anna Scherbina
UC Davis

8 June 2017 - From 2:00 pm to 3:15 pm


We find that mutual fund managers’ career outcomes are largely determined by past performance, measured by returns and fund flows. However, managers’ personal attributes also factor in. All else equal, female managers are less likely to be promoted and have shorter tenures than male fund managers. This finding largely applies to women who co-manage funds with other managers, which suggests that working in teams negatively affects women’s careers compared to men’s. Restricting the sample of managers to those that co-manage the same fund and have identical track records, we provide further evidence that female managers are significantly more likely to leave the job than male managers. After controlling for workload and performance, we show that young managers are more likely to be promoted and less likely to be demoted or fired than their older peers.