| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |
About / Prezentare
Forthcoming seminars / Seminare viitoare Archive / Arhivă 2024-2025 Premiere 2024-2025
Multi-Asset Market Making
Marți, 13 mai 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Ioanid Roșu
HEC Paris; rosu@hec.fr
Abstract:
We study how risk-averse market makers manage inventory by setting quotes in multiple assets. As the correlation between assets increases, an inventory shock in one asset causes the market maker to quote more in other assets but less in the affected asset. We predict that a more risk-averse market maker reaches zero inventory more often in each asset, engages less in hedging inventory across assets, and causes a lower asset return correlation at higher frequencies: the Epps effect. Ignoring inventory cross-hedging by restricting analysis to a single asset leads to the underestimation of market maker risk aversion.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Taproom – Hop Hooligans
Democracy, Pandemic Crisis, and Dividend Policy
Marți, 27 mai 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Victor Dragotă
Bucharest University of Economic Studies; victor.dragota@fin.ase.ro
Abstract:
Using as data 116750 firm-year observations from 11675 companies from 46 countries, for the period 2013-2022, we have found democracy has a positive impact on dividend payments. The COVID-19 pandemic (analyzed globally, but also through proxies counting for 3 perspectives – epidemiological, governmental measures and level of panic) has determined a decrease in dividend payments. Democracy moderates the impact of pandemic crisis on dividend payments only for the case of emerging and developing countries. Conversely, in developed economies, democracy exacerbates the economic impact of pandemic crises. Our findings remain robust across a series of additional analyses. These results offer valuable insights for forecasting dividend payments and contribute to explaining cross-country variations in dividend policies. Furthermore, our study advances the literature on the interplay between democracy and dividend payments in the context of pandemic crises.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: J’ai Bistrot