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April 2019

Tingyue Gan, UC Berkeley: Linking 10-K and the GICS – through Experiments of Text Classification and Clustering

April 16 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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A 10-K is an annual report filed by a publicly traded company about its financial performance and is required by the U.S. Securities and Exchange Commission (SEC). 10-Ks are fairly long and tend to be complicated. But this is one of the most comprehensive and most important documents a public company can publish on a yearly basis. The Global Industry Classification Standard (GICS) is an industry taxonomy developed in 1999 by MSCI and S&P Dow Jones Indices and is designed…

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CANCELLED

April 23 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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Senyang Zhao, SWUFE: The Implication of Information Network in Market Quality and Market Reaction to Public Announcements

April 30 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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This research studies the role of information network in market quality and market reaction to public announcements. We propose in this article a three-period rational noisy expected equilibrium model by taking both public and private information into account with an embedded information network structure among market traders. Closed form expressions for market reaction and market quality are derived as a function of topological structure of the network and several novel results are revealed. The trading volume and price change have…

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September 2019

Dangxing Chen, UC Berkeley: Does the Leverage Effect Affect the Distribution of Return?

September 3 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

The leverage effect refers to the generally negative correlation between the return of an asset and the changes in its volatility. There is broad agreement in the literature that the effect should be present, and it has been consistently found in empirical work. However, a few papers have pointed out a puzzle: the return distribution of many assets do not appear to be affected by the leverage effect.  We analyze the determinants of the return distribution and find that it is driven primarily by an interaction effect involving both…

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Xiaowu Dai, UC Berkeley: Towards theoretical understanding of large batch training in stochastic gradient descent

September 10 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

Stochastic gradient descent (SGD) is almost ubiquitously used in training non-convex optimization tasks. Recently, a hypothesis by Keskar et al. (2017) that large batch SGD tends to converge to sharp minima has received increasing attention. We justify this hypothesis by providing new properties of SGD in both finite-time and asymptotic regimes, using tools from Partial Differential Equations. In particular, we give an explicit escaping time of SGD from a local minimum in the finite-time regime.  We prove that SGD tends…

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Martin Lettau, UC Berkeley: Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

September 17 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

This paper provides a comprehensive analysis of portfolios of active mutual funds, ETFs and hedge funds through the lens of risk (anomaly) factors. We show that these funds do not systematically tilt their portfolios towards profitable factors, such as high book-to-market (BM) ratios, high momentum, small size, high profitability and low investment growth. Strikingly, there are almost no high-BM funds in our sample while there are many low-BM “growth” funds. Portfolios of “growth” funds are concentrated in low BM-stocks but…

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Alec Kercheval, Florida State University: Self-excited Black-Scholes models for option pricing

September 24 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

Beginners first learn to price stock options with a simple binomial tree model for random price changes.  It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit.  Actual stock prices changes occur not at regular times but at random times according to the order flow in an electronic limit order book (LOB), and these are observed to have heteroscedastic and self-exciting characteristics. In this talk, we consider random walks…

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October 2019

Ayako Yasuda, UC Davis: Private Company Valuations by Mutual Funds

October 1 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

Mutual funds that invest in private securities value those securities at stale prices. Prices change on average every 2.5 quarters, vary across fund families, and are revised upward dramatically at follow-on funding events. The infrequent, but dramatic price changes yield predictably large fund returns. Fund investors can exploit the stale pricing by buying (selling) before (after) the follow-on funding events (though we find little evidence of this behavior to date). Fund families can opportunistically save up and unleash dry powder…

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CANCELLED

October 8 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States
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Bryan Graham, UC Berkeley: Testing for strategic interaction in social and economic network formation

October 15 @ 11:00 am - 12:30 pm
1011 Evans Hall, 1011 Evans Hall
Berkeley, CA 94720 United States

Seminar slides

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