Dmitriy Kokorev to speak on ‘ Portfolio Firms Performance: Do Private Equity Funds Matter on Emerging Markets? ’
On November 30, 2015 a research seminar of the Department of Finance on ‘Empirical Corporate Finance’ will be held at HSE. Dmitriy Kokorev, Research Assistant of the Corporate Finance Laboratory, Head of Global Markets Department Analytics Division, Sberbank CIB, will speak on ‘Portfolio Firms Performance: Do Private Equity Funds Matter on Emerging Markets?’
Opponent:
Stepanov Sergey, PhD: Université libre de Bruxelles, Associate Professor at the Department of Finance of the Faculty of Economics
Abstract:
I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside market betas than losers. As a result, the winner-minus-loser momentum portfolios are exposed to the downside market risk, but hedge against the upside market risk. Such asymmetry in the upside and downside risks is a mechanical consequence of rebalancing momentum portfolios. But it is unattractive for an investor because both positive relative downside betas and negative relative upside betas carry positive risk premiums according to the Downside-Risk CAPM. Hence, the high returns to momentum strategies are a mere compensation for their upside and downside risks. The Downside Risk-CAPM is a robust unifying explanation of returns to momentum portfolios, constructed for different geographical and asset markets, and it outperforms alternative multi-factor models.
Venue: 26 Shabolovka, Room 3211 (Hall of the Academic Council)
Time: 16:00 - 18:00
Working language: English
Live broadcast:
If you need a pass to HSE, please email df@hse.ru with note 'November 30 seminar entry pass'