EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Advances in Asset Allocation Blended Learning Programme 2017-2018 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 5-7 February, 2018 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
Risk Management Funding Liquidity Risk and the Cross-Section of Stock Returns 20 May, 2014 - London, United Kingdom
An evening presentation with Professor René Garcia

At a special presentation in London on 20 May, 2014, René Garcia, Academic Director of the EDHEC-Risk Institute PhD in Finance and Dean of Graduate Studies at EDHEC Business School, will be presenting his recent empirical work on the relationship between the liquidity, volatility and returns of equity and funding scarcity and its implications for asset pricing.

Theory predicts that frictions in the funding markets of financial intermediaries should transmit to the cross-section of equities. Stocks that experience low returns when funding becomes scarce should exhibit higher illiquidity, higher volatility and ultimately higher risk premium.

In previous work, Professor Garcia developed a measure of funding liquidity (based on deviations from arbitrage in a panel of U.S. Treasury bond pairs with similar cash flows but different ages) which was shown to affect asset growth in the shadow banking sector and found to be a predictor of risk premia across a wide range of fixed income markets. Professor Garcia’s new research empirically explores the role of funding liquidity on the illiquidity, volatility and returns of individual portfolios. It also looks at what happens to the cross-section dispersion of these portfolio characteristics when funding conditions deteriorate and whether this risk is priced and how it explains the returns across liquidity-, volatility-, and size-sorted portfolios. The study also investigates the interaction between the funding liquidity measure and broker-dealer leverage and whether they can be combined to give a better picture of the state of funding conditions. Finally, it looks at the link between momentum profits and liquidity risk.

  • 5:45pm

  • 6:0pm
    Presentation: Funding Liquidity Risk and the Cross-Section of Stock Returns
    René Garcia, Dean of Graduate Studies and Professor of Finance, EDHEC Business School and Academic Director of the PhD in Finance programme, EDHEC-Risk Institute
    • Understanding the relationship between funding liquidity and asset pricing
    • Funding liquidity, market liquidity, volatility and flight to quality
    • Funding Liquidity and Fama-French size and value portfolios
    • Funding Liquidity and Carhart momentum portfolios

  • 7:30pm
    Question & Answer Session

  • 8.00pm
About the Speaker

Professor Garcia’s research interests lie in the fields of asset pricing, portfolio and risk management and financial econometrics. Prior to joining EDHEC Business School, he was a professor at Université de Montréal and the scientific director of the interuniversity research centre CIRANO. He has published in leading journals including Econometrica, Journal of Econometrics, Journal of Finance, Management Science, and Review of Financial Studies. He is a co-founder of the Journal of Financial Econometrics. Professor Garcia has received numerous research grants, including a recent endowment by the AXA Research Fund. He holds a PhD in Economics from Princeton University.
Event Details
  When   Between 20/05/2014 05:30 PM and 20/05/2014 09:00 PM
Where   EDHEC Risk Institute—Europe, 10 Fleet Place, Ludgate, London EC4M 7RB, United Kingdom
Contact Details
  Name   Brigitte Bogaerts
E-mail   brigitte.bogaerts@edhec-risk.com