Risk Exposure to Investment Shocks: A New Approach

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group 
Research Seminars in Finance
 
Topic: Risk Exposure to Investment Shocks: A New Approach Based on Investment Data
 
Speaker: Lorenzo Garlappi, University of British Columbia
 
Abstract:      
We propose a new approach to determine firms’ return exposure to investment-specific technology (IST) shocks. Based on the idea that IST shocks affect firms through their cost of investment, we show analytically that firms’ return exposure to IST shocks can be estimated from observable investment data. We apply our investment-based approach to the cross-section of book-to-market portfolios and find that value firms have higher exposure to IST shocks than growth firms, in contrast to the pattern estimated from IST proxies. The empirical findings provide an independent perspective on the economic mechanism through which IST shocks affect asset prices.
 
A light lunch will be provided at 1 p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday, 16th April 2018.
 
Date: Wednesday, 18th April  2018     
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
             Building 8, Room 8.002, Dr Chau Chak Wing Building
             Dr Chau Chak Wing Building
            14 - 28 Ultimo Road, Ultimo
 
Co-ordinator: Kris Glover  (Ph: +61 2 9514 7778)
 
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777
Back to Finance seminars
Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.