Finance

Finance Area Seminar: Laurent Calvet

john.sawaya@mcgill.ca — Tue, 22 Apr 2025 17:46:45 +0000

Laurent Calvet SKEMA Business School

How Do Households Suppress The Price Of Tail Risk?

Finance Area Seminar: Ellen Quigley

john.sawaya@mcgill.ca — Fri, 21 Mar 2025 19:38:01 +0000

Dr. Ellen Quigley University of Cambridge

The University of Cambridge bond index project

PhD Thesis Defense Presentation: Nan Ma

john.sawaya@mcgill.ca — Wed, 26 Feb 2025 16:33:50 +0000

Finance Area Seminar: Piotr Orłowski

john.sawaya@mcgill.ca — Tue, 11 Feb 2025 17:00:11 +0000

Piotr Orłowski HEC Montréal

SDF Bounds

Finance Area Seminar: Xinwei Li

john.sawaya@mcgill.ca — Wed, 05 Feb 2025 17:33:53 +0000

Xinwei Li INSEAD Business School

The Cross-Section of Dividend Discount Rates

Finance Area Seminar: Noémie Bucourt

john.sawaya@mcgill.ca — Fri, 31 Jan 2025 18:15:06 +0000

Noémie Bucourt University of Toronto

Real Effects of Personal Liability:
Evidence from Industrial Pollution

Finance Area Seminar: Valentina Rutigliano

john.sawaya@mcgill.ca — Fri, 31 Jan 2025 18:13:13 +0000

Valentina Rutigliano University of British Columbia

Minding Your Business or Your Child?
Motherhood and the Entrepreneurship Gap

Finance Area Seminar: Sun Yong Kim

john.sawaya@mcgill.ca — Thu, 23 Jan 2025 21:09:02 +0000

Sun Yong Kim Northwestern University

Global Footprint of US Fiscal Policy

Finance Area Seminar: Basile Dubois

john.sawaya@mcgill.ca — Tue, 14 Jan 2025 19:06:00 +0000

Basile Dubois Toulouse School of Economics

Banking under large excess reserves

Crypto ETFs: Mitigating fraud risk through regulated institutions

arsh.prakash@mcgill.ca — Wed, 11 Dec 2024 19:12:36 +0000

Cryptocurrency exchange-traded funds (ETFs) allow investors to hold a variety of cryptocurrencies in a single investment product. While all of Canada’s Big Six banks now include some crypto ETFs in their portfolios, these investments represent only a small fraction of their holdings. A major advantage of ETFs is their ability to offer protection from market volatility. However, given the speculative nature of crypto means it can still be extremely volatile, even within an ETF structure.

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

thao.nguyen3@mail.mcgill.ca — 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:

Stock overreaction to extreme market events

julie.lapalme@mcgill.ca — 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.

Overreaction to extreme market events and investor sentiment

thao.nguyen3@mail.mcgill.ca — Fri, 31 Mar 2017 16:38:38 +0000

Authors: Piccoli, P., Chaudhury, M.

Publication: Applied Economics Letters

Abstract:

Canada is not facing a mortgage crisis

julie.lapalme@mcgill.ca — 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.

Volatility and expected option returns: A note

thao.nguyen3@mail.mcgill.ca — 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.