Am Dienstag, den 18.07.2017 findet ein Vortrag im Rahmen des Finance and Insurance Seminars statt.
Das Seminar beginnt um 16:15 h, J 253, Universitätsstr. 14-16.

Frau

Elisabeth Kempf
Assistant Professor of Finance
University of Chicago
Booth School of Business

mit dem Thema:
Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds

Canary in a Coalmine: Securities Lending Predicting Securitized Bonds' Performance (with Alberto Manconi and Massimo Massa)

We examine the market for lending and borrowing of structured finance products ("securitized bonds"). We find strong evidence that changes in the amounts available for securities lending predict future performance. In contrast, we do not find any evidence of predictability from changes in the amounts on loan. While investor trades have comparable predictive power to changes in lendable amounts in general, lendable amounts are a better predictor in illiquid markets. Overall, these findings are consistent with the hypothesis that securities holders (lenders) possess material information in this segment.

Über eine rege Teilnahme freuen wir uns sehr.

Prof. Dr. Nicole Branger
Prof. Dr. Nadja Günster
Prof. Dr. Thomas Langer
Prof. Dr. Andreas Pfingsten
Jun.-Prof. Dr. Simon Rottke
Jun.-Prof. Dr. Judith Schneider
Jun.-Prof. Dr. Weiqi Zhang