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SEMINÁRIO | Disclosure of income taxes taxes and firm value: a cross country comparison of IFRS adopters

SEMINÁRIO ISEG 2S | Financial markets and cliometrics

  

» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

Speaker
Larry Neal – University of Illinois

Presentation
Financial markets and cliometrics

Abstract

The study of financial markets is a growing part of cliometrics for at least three reasons.
First, appreciation of the role financial markets played in the rise and spread of capitalism has grown, along with concerns about financial crises. Second, accessibility to the immense amount of data generated by financial markets keeps improving thanks to continued advances in digital communications technology. Third, analytical techniques for determining the behavioral patterns of time series have advanced.
While typically only price data for financial assets are available without the corresponding volume of the assets being traded, the consequences of sharp, or sustained, changes in the price of financial assets can be detected in other economic data.
Interesting insights on fundamental historical issues are also possible by applying economic and political theory to cliometric studies of financial markets.		  
 
Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

Parking
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.
  

SEMINÁRIO | As práticas de Governance das empresas nas associações mutualistas – especificidades, justificações e consequências: um possível modelo de equilíbrio.

SEMINÁRIO ISEG 2S | Nonparametric Estimation of Fixed Effects Panel Data Varying Coefficient Models

  

» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

Speaker
Juan Rodriguez-Poo – Universidad de Cantabria

Presentation
Nonparametric Estimation of Fixed Effects Panel Data Varying Coefficient Models

Abstract

In this paper, we consider the estimation of a panel data model where the heterogeneity term is arbitrarily correlated with the covariates and the coefficients are unknown functions of some explanatory variables. The estimator is based in a deviation from the mean transformation of the regression model and then a local linear regression is applied to estimate the unknown varying coefficient functions. It turns out that the standard use of this technique rends a non-negligible asymptotic bias. In order to avoid it, in the estimation procedure, we introduce a high dimensional kernel weight. As a consequence, the resulting estimator shows a bias that asymptotically tends to zero at usual nonparametric rates. However, the variance is enlarged,
and therefore the estimator shows a very slow rate of convergence. In order to achieve the optimal rate, we propose a one-step backfitting algorithm. The resulting two step estimator is shown to be asymptotically normal and its rate of convergence is optimal within its class of smoothness functions. Furthermore, the estimator is oracle efficient. Finally, we show some Monte Carlo results that confirm the theoretical findings.		  
 
Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

Parking
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.
  

SEMINÁRIO ISEG 2S | Network externalities and imperfect competition

  

» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

Speaker
Rabah Amir – University of Iowa

Presentation
Network externalities and imperfect competition

  
 
Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

Parking
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.
  

SEMINÁRIO | A Inconstitucionalidade do Despedimento por Inadaptação

    

SEMINÁRIO ISEG 2S | Random Choice Under Risk

  

» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

Speaker
Miguel A. Ballester – Universitat Autònoma de Barcelona

Presentation
Random Choice Under Risk

Abstract

In this paper we study the compatibility of stochastic models of choice with the expected utility treatment of individual risk aversion. We start by showing that the stochastic counterpart of the classical notion of `being more risk averse than' is not feasible if expected utility is used. Furthermore, this negative result is pervasive, it is present everywhere and leads to substantial problems of identification and interpretation of risk parameters in empirical applications. But we also bring positive results. We show that a simple and natural transformation of utilities, the certainty equivalent representation, is free from this problem. Motivated by this positive result, in the last part of the paper we provide axiomatic foundations for the classical stochastic Luce model that uses the certainty equivalent transformation.		  
 
Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

Parking
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.
  

SEMINÁRIO | Ágora e Agón ou o debate do Público e do Privado: cenas e atores

SEMINÁRIO ISEG 2S | Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles

  

» Click here to visit the ISEG 2S webpage and view the complete programme for the Seminar Series.

Speaker
Rudiger Frey – Vienna University 

Presentation
Structural Credit Risk Models under Incomplete Information and the Pricing of Contingent Convertibles

 

Abstract

The talk is concerned with structural credit risk models with incomplete information of the asset value in the spirit of Duffie Lando (2001). It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. We briefly explain how to solve this problem. 

This permits to   characterize the default intensity under incomplete information and to give an explicit description of the dynamics of corporate security prices. Finally, we explain how the model can be applied to the pricing of bond and equity options, we present results from a number of numerical experiments and we discuss the pricing of contingent convertibles.

  
 
Organizing Team
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).

Meeting the Speaker
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

Mailing list
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

Parking
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.
  

SEMINÁRIO | Parlamento Europeu e Políticas de Cooperação Intermacional: desafios e oportunidades