SEM217: Dangxing Chen, UC Berkeley: Does the Leverage Effect Affect the Distribution of Return?
Tuesday, September 3rd @ 11:00-12:30 PM (1011 Evans Hall)
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.
SEM217: Xiaowu Dai, UC Berkeley: Towards theoretical understanding of large batch training in stochastic gradient descent
Tuesday, September 10th @ 11:00-12:30 PM (1011 Evans Hall)
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.
SEM217: Martin Lettau, UC Berkeley: Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
Tuesday, September 17th @ 11:00-12:30 PM (1011 Evans Hall)
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.
SEM217: Alec Kercheval, Florida State University: Self-excited Black-Scholes models for option pricing
Tuesday, September 24th @ 11:00-12:30 PM (1011 Evans Hall)
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.
SEM217: Ayako Yasuda, UC Davis: Private Company Valuations by Mutual Funds
Tuesday, October 1st @ 11:00-12:30 PM (1011 Evans Hall)
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.
SEM217: Bryan Graham, UC Berkeley: Testing for strategic interaction in social and economic network formation
Tuesday, October 15th @ 11:00-12:30 PM (1011 Evans Hall)
SEM217: Frank Partnoy, UC Berkeley: The Ratio Problem
Tuesday, November 19th @ 11:00-12:30PM (1011 EvansHall)
ABSTRACT: We describe two problems – omitted variable bias and measurement error – that arise when a ratio is the dependent variable in a linear regression. First, we show how bias can arise from the omission of two variables based on a ratio’s denominator, and we describe tests for the degree of bias.