Who stands to benefit when companies collapse?
Following the collapse of veteran tour operator Thomas Cook, Professor Patrick Augustin has co-authored an article that highlights the problem with 鈥渆mpty creditors鈥�, a growing financial market phenomenon impacting distressed firms, and how hedge funds stand to benefit.
Read more
Cross-Country Competitive Effects of Cross-Listings
Authors: Sergei Sarkissian and Yan Wang
Publication: Review of Corporate Finance Studies, Forthcoming
Abstract:
Professor Ruslan Goyenko awarded 2019 SSHRC Insight Grant
Ruslan Goyenko, Associate Professor in Finance, awarded 2019 SSHRC Insight Grant
How BlackRock spooks markets
Professor David Schumacher pulls back the curtain on BlackRock鈥檚 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鈥檚 acquisition of Barclays Global Investors to skittish investor behaviour and shock waves in the market.
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
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鈥檚 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
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
Professor Mo Chaudhury weighs in on the market risks caused by the growing popularity of index funds.
Read more
Weighing the value of cryptocurrency
Professor Fahad Saleh publishes a new paper that examines the social and political impact of bitcoin and other cryptocurrencies.
Read more
Guillaume Roussellet awarded 2019 FRQSC New Academics Grant
Congratulations to聽Guillaume Roussellet,聽Assistant Professor in Finance,聽awarded 2019 FRQSC New Academics Grant (Soutien 脿 la recherche pour la rel猫ve professorale) 鈥淔acteurs de volatilit茅 et valorisation du VIX鈥�
Meet the best MBA professors
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?
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
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.
Read more
Cross-Listings and the Dynamics between Credit and Equity Returns
Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, and Michael J. Schill
Publication: The Review of Financial Studies, Forthcoming
Abstract:
Cannabis legalization: Six months later
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.
Read more
Desautels students take home top prize at PRMIA
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.
