Seminar "Selected Topics from Finance"

Important: From now on, we will use the Moodle page of the seminar to provide you with updated information. The information on this page will no longer be updated.

 

The seminar is open to Master students.

In this seminar, we will study research from asset pricing and investing. 

To successfully pass the seminar you need to write a paper and give a presentation. Papers can be written in either German or English and should have a length of 15-20 (team of two) or 20-25 pages (team of three). For hints on how to write a paper see our guidelines. You need to hand in a printed and a digital version (pdf) of your paper, as well as data and code for your empirical analysis. The seminar talks should be given in English.

Please contact your supervisor to discuss the outline of your paper, your empirical part , and any questions that you may have. For organizational questions, please ask Christoph Beder.

 

• Do we get a grade? Yes. Your paper and your presentation will be graded and lead to one grade (equally weighted). Both the paper and presentation have to be passed.
• What do we have to hand in? An outline of your paper to discuss the content of your paper and your final paper one week before the presentation.
• Who is responsible? For content-related questions, please contact your supervisor. For organizational questions, please ask Christoph Beder. 

• Mon. 29.01.2024 - Thu. 01.02.2024 Students must submit their preferences over seminars for the first matching round. Link to platform for submission of preferences:  English     German

• Fri. 02.02.2024 1st round of seminar matching. The matching algorithm runs during that day.
• Wed. 07.02.2024 2nd round of seminar matching. 
• Cancelled: Introductory meeting.  
• Fri. 16.02.2024 - Fri. 23.02.2024 Submit your topic preferences on Taddle.
• Mon. 01.04.2024 - Sun. 21.04.2024 Registration at the Higher Services Portal.
• Until Fri. 26.04.2024 Contact your supervisor to discuss the outline of the paper
• tba Submission of the paper
• 07.06.2024  Trip to Frankfurt with visit of a bank and some presentations. 
• 08.06.2024  Presentations (in Villa Eberhardt in Ulm).

General Remark: All topics include an empirical part for which you will prepare and analyze data. We will provide you with hints on how to download or obtain the data. You can choose which software to use to analyze the data. In your presentation, you shall also give an insight into your data preparation and coding. Do  n o t  ask the authors of the original papers if they can provide you with their code. We expect you to do the coding yourself, and we expect all members of a team to be familiar with the coding and data preparation. 

 

 

1. Streaks in returns

Your task is, first, to summarize the results of a paper in which the authors show that stocks with a streak of negative (positive) daily returns exhibit a higher (lower) subsequent performance. Second, you shall repeat core parts of the analysis for a universe of stocks that we will specify.

Literature:  Klos, A., Koehl, A., & Rottke, S. (2023). Streaks in Daily Returns. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3626770

 

2. Modifying the momentum strategy

You shall first summarize a paper that modifies the standard momentum strategy as follows: the past performance that forms the basis for the momentum strategy is split at the highest stock price within the period over which past performance is computed. Then, you shall redo core parts of the analysis for a universe of assets that we will specify.

Literature: Büsing, P., Mohrschladt, H., & Siedhoff, S. (2022). Decomposing Momentum: The Forgotten Component  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3887512

 

3. How to get better betas                                                                                                    

Your task is, first, to summarize the results of a paper in which the author proposes a new way of estimating betas, i.e., sensitivites to market returns. Second, you shall repeat core parts of the analysis for a universe of stocks that we will specify.

Literature: Welch, I. (2021). Simply better market betas. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3371240

 

4. Has the value effect declined?

Your task is, first, to summarize the results of a paper in which Fama and French examine the empirical evidence for a decline in the magnitude of the value effect. Second, you shall update core parts of the analysis.

Literature: Fama, E. F., & French, K. R. (2021). The value premium. The Review of Asset Pricing Studies, 11(1), 105-121.

 

5. Improving the value factor

You shall first summarize a paper that suggests to modifiy the book-to-market ratio such that it also reflects the value of intangible assets. Different to machines or buildings, intangible assets are not physical. Examples are brand names and the skill and experience of employees. In an empirical part, you shall compute and compare the modified and traditional book-to-market ratios for a set of firms.

Literature:  Eisfeldt, A. L., Kim, E. T., & Papanikolaou, D. (2022). Intangible Value. Critical Finance Review, 11(2), 299-332. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3720983

 

6. Academic Research and Return Predictability
Numerous cross-sectional relationships between variables and future stock returns have been proposed in finance research, enhancing our comprehension of returns' cross-section and enabling trading strategies with significant abnormal returns. Mclean and Pontiff (2016) show that the profitability of the anomaly-based strategy declines after such relationships are published in academic journals. This suggests that investors learn from academic publications.

Your task is, first, to summarise the results of the paper by Mclean and Pontiff (2016). In an empirical part, you shall repeat core parts of the analysis using a larger and more recent dataset provided by Chen and Zimmermann (2021).

Literature:

McLean, R. D., & Pontiff, J. (2016). Does academic research destroy stock return predictability?. The Journal of Finance, 71(1), 5-32. https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.12365

Chen, A. Y., & Zimmermann, T. (2021). Open source cross-sectional asset pricing. Critical Finance Review, Forthcoming. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626

Gunter Löffler

Christoph Beder

 

see timetable

This seminar is open for Master students.