Working with the large FIRN member institutions we have developed a virtual seminar series where all FIRN members can participate. 

Please click on the links to register for the seminars. Once registered you will receive an email with the zoom code the day before the seminar.

Wednesday 12 August, 9am (AEST).   Redouane Elkamhi, University of Toronto
Seminar hosted by UTS
Title: The Jury is Still Out On the Performance of Naïve Diversification (1/N rule)
Abstract: DeMiguel et al. (2009b) made a compelling case that estimation error dwarfs any diversification benefits of mean-variance portfolios, making the naïve diversification (1/N) a dominating strategy. In this paper, we show that the jury is still out on the relative performance of 1/N. We evaluate risk-based allocations across fifteen empirical datasets and show that they outperform out-of-sample the 1/N rule in terms of Sharpe ratio, certainty-equivalent returns and turnover. Applying clustering further enhances their performance. We present simulation exercises to illustrate the source of the outperformance of risk-based diversification and show that clustering can uncover the risk factors driving asset returns.
Moderated by: Vitali Alexeev, University of Technology Sydney
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Friday 21 August, 1pm (AEST).   Min Zhu, UQ
Seminar hosted by FIRN Women
Title: Crowding: Evidence from Fund Managerial Structure
Campbell R. Harvey, Yan Liu, Eric K. M. Tan, Min Zhu
Abstract: Over the past 30 years, there has been a striking evolution in fund management structure with team-managed funds growing from 30% of funds to over 70% today. While much attention is focused on fund performance, our paper presents evidence that this transformation is likely a response to crowding: adding new managers brings fresh investment ideas meaning any particular idea is less likely to be crowded. Our results show that funds that transition from solo to team management have less concentrated portfolios and lower decreasing returns to scale. Consistent with the crowding of ideas, we show that diversification of team skills is important for reducing the impact of fund size on performance. We also find that the performance of managers that employ systematic investment processes are not as sensitive to inflows suggesting that discretionary managers with a limited number of ideas are more likely to run into capacity constraints.
Moderated by: Jacquie Humphrey, UQ
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Thursday 27 August, 10am (AEST).   Peter Cziraki (University of Toronto)
Seminar hosted by UNSW
Title: TBC
Moderated by: Yeejin Jang, UNSW
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Friday 28 August, 10am (AEST).   Constantine Yannelis (University of Chicago)
Seminar hosted by ANU
Title: TBC
Moderated by: Nhan Le, ANU
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Friday 4 September, 11am (AEST).   Stefan Schantl, Melbourne
Seminar hosted by University of Melbourne
Title: Mergers, Materiality, and Adverse Selection: Evidence on the Economic Consequences of IBP v. Tyson
Stefan F. Schantl (University of Melbourne), Christopher R. Stewart (University of Chicago)
Abstract: The landmark court ruling of IBP v. Tyson in New York in 2001 and its affirmation by the Hexion v. Huntsman ruling under Delaware law in 2007 led to a clarification of the scope of material adverse event provisions, which allow acquirers to terminate deals based on adverse events impacting target firms’ economic substance. Using a sample of mergers with large public targets between 1997 and 2018, we study the economic consequences of these rulings. We provide evidence consistent with the argument that the rulings tightened materiality standards and weakened acquirers’ ability to renegotiate and terminate mergers. Ex ante acquirers price protect more, leading them to improve contract completeness to reallocate deal risk. Adverse selection nevertheless worsens, resulting in a truncation of merger activity along the dimensions of target size, risk, and quality.
Moderated by: Zhuo Zhong, University of Melbourne
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Friday 18 September, 1pm (AEST).   Shushu Liao, AUT
Seminar hosted by FIRN Women
Title: The Joint Effect of Measurement Error in Q and Covariance Between Regressors on Coefficient Biases
Abstract: The effect of measurement error, which operates via the covariance between q and cash flow, plays an important part in explaining the time-series and cross-section of cash flow sensitivity. We find that the measurement error decreases investment-cash flow sensitivity in the recent decades because it biases cash flow sensitivity downward when q and cash flow are negatively covaried. The covariance structure also offers explanations for the perceived “wrong-way” differential investment-cash flow sensitivity between constrained and unconstrained firms (the perceived negative relationship between investment-cash flow sensitivity and constraints status) classified under the widely used a priori measures. Moreover, we show that even the higher-order moment-based GMM estimator cannot address the bias if the measurement error is not independent of q (a nonclassical error).
Moderated by: Jacquie Humphrey, UQ
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Friday 23 October, 1pm (AEST).   Marina Gertsberg, Monash
Seminar hosted by FIRN Women
Title: TBC
Moderated by: Jacquie Humphrey, UQ
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Friday 30 October, Time TBC.   David Solomon, Boston college
Seminar hosted by ANU
Title: TBC
Moderated by: Nhan Le, ANU