Summer School in Empirical Finance and Accounting Research IIM Calcutta, India, 1-9 May 2015 Introduction The Financial Research and Trading Laboratory of IIM Calcutta is organizing a summer school on Empirical Finance and Accounting Research during 1-9 May 2015. This is a fully residential Programme which will expose participants to ten classic papers published in top journals. These papers are carefully chosen by expert and contain the following two features: (a) talk about interesting problems and focus on strong methodology; and (b) replicable empirical findings. The participants will be guided by a team of eminent faculty from India and abroad to walk through these papers to understand the 'the art of writing' high quality papers and in the process learn some solid research methods. Content The ten selected papers will be sent to the registered participants in advance. The participants are supposed to study these papers before attending the school. These ten papers will be drawn from five broad topics in the area of empirical finance and accounting. Each topic will be anchored by an eminent faculty. Topics: 1. 2. 3. 4. 5. Capital Structure Asset Pricing Market Microstructure Earnings Quality Investments Methodology Each paper will be discussed in details highlighting the motivation, research questions, hypotheses building, methods used, and results. In the process of discussing a paper, participants will be given sufficient input on required methods and statistical package (SAS). The participants will be divided into groups to work on each paper and present a research proposal with a pilot study using database available at the Finance Lab of IIM Calcutta. Thus, each team will prepare and present a research proposal, which would contain problem statement, literature review, methodology suggested and results of the pilot study. Key Takeaways Each participant will have the following takeaways: (a) (b) (c) (d) Understand how to position a theme and identify valid research questions. Learn several research methods or concepts Empirically test hypotheses of a paper Learn the art of writing a paper Who Can Attend Assistant and Associate Professors in the area of Finance and Accounting and PhD students in relevant areas can apply for registration. Seats are limited. Maximum capacity for the summer school is thirty. Selection will be made by the organizers. Fees The course fee is ₹ 30,000 plus applicable service tax for participants from India. The course fee for overseas participants is US$ 500 per person. The fee would include course materials, accommodation on single occupancy basis, all meals and training on SAS. Last date of registration is 31st March, 2015 Mode of Payment Click here to make payment Refund Policy Please click here for the refund policy Venue The Financial Research and Trading Laboratory Indian Institute of Management Calcutta Diamond Harbour Road. Joka Kolkata 700104 INDIA Contact Ms. Priyanka Dasgupta Assistant Manager Financial Research and Trading Laboratory Indian Institute of Management Calcutta INDIA [email protected] SUMMER SCHOOL IN EMPIRICAL FINANCE & ACCOUNTING RESEARCH SPEAKERS: Vikas Agarwal Vikas Agarwal is Professor of Finance at Georgia State University’s J. Mack Robinson College of Business. Vikas received his Ph.D. in finance from the London Business School. He is a Research Fellow at the Centre for Financial Research, University of Cologne, Germany. He also holds a Research Associate position at EDHEC Risk and Asset Management Center, France. He has consulted for several hedge funds and currently serves on the board of the Southeastern Hedge Fund Association. His broad areas of research on various issues related to institutional investors such as hedge funds and mutual funds. His research on hedge funds include characterization of their risks, performance evaluation, determinants of money flows and risk-taking behavior, mutual funds mimicking hedge fund strategies, impact of managerial incentives and flexibility on performance, end-of-the-year returns management, self-reporting and delisting biases, portfolio disclosure issues, lending by hedge funds to corporations, higher moment and tail risks, institutional investment and intermediation. Sugata Ray Sugata Ray is an Assistant Professor of Finance at the University of Florida. His research interests include hedge funds and market microstructure. Prior to joining the finance department at the University of Florida, he worked as a consultant for financial institutions with Oliver Wyman. Dr. Ray’s research has been published in a number of peer-reviewed journals including the Journal of Investment Management, and the Journal of Financial Markets. He has presented his research to regulators (e.g. the SEC and the Fed), academics (at conferences such as the American Finance Association and European Finance Association), and industry participants. Dr. Ray’s research specialties include alternative investments, extracting actionable information from market data, and the creation of quantitative models for cyclical analysis and factor based trading. Dr. Sugata Ray received his Ph.D. from the Wharton School at the University of Pennsylvania. Dr. Ray also earned his Masters and undergraduate degrees from Wharton. Ashok Banerjee Ashok Banerjee joined the IIM Calcutta as Professor (Finance and Control) in August 2004. Prior to joining IIM Calcutta, he was a Professor at IIM Lucknow. He is a Postgraduate in Commerce from University of Calcutta and a qualified Chartered Accountant. He obtained his Ph.D. for his thesis on Economic Value Added as a Performance Measure. Prof. Banerjee, has taught at the School of Management, Asian Institute of Technology (AIT), Bangkok, Thailand. During his stay at AIT, he was also involved in a consulting project that AIT was doing for Electricity Generating Authority of Thailand (EGAT). He was a member of one of the task forces constituted by Power Grid Corporation of India Ltd. (PGCIL) to study “ESI Restructuring and Power Trading” in India. He has been instrumental in setting up the state-of-the-art Financial Research and Trading Laboratory (Finance Lab) at IIM Calcutta. The Finance Lab is a repository of high frequency data from Indian financial markets and it also has WRDS, Bloomberg terminals, Thomson Reuters, Compustat and CRSP databases. Prof. Banerjee was the main force behind holding India Finance Conference since 2009. He has published in peer-reviewed journals and has also written teaching cases. Manju Jaiswall Dr. Manju Jaiswall is a faculty member in the Finance and Control area at Indian Institute of Management Calcutta. She has done her M.Phil. in Commerce from University of Calcutta and doctorate in Management from Indian Institute of Management Bangalore. Her research interests are in the areas of Corporate Governance, Financial Reporting, Earnings Management and Executive Compensation. She teaches courses in corporate financial reporting, cost management and financial statement analysis. Vivek Rajvanshi Vivek Rajvanshi is a faculty member in the Finance and Control group at Indian Institute of Management Calcutta. He joined IIM Calcutta in April 2015. Prior to joining IIM Calcutta, he was an Assistant Professor at IIM Lucknow. He has done his masters in Statistics and is a fellow of IIM Calcutta. His teaching areas include Corporate Finance, Derivatives and Fixed Income Markets. His research areas are Derivatives, Market Microstructure, Portfolio Management and Volatility Modeling. His Current Research Interests are Market Microstructure and Futures Markets and Current Consulting Interests is Commodity Futures Markets. Sahadeb Sarkar Dr. Sahadeb Sarkar is a Professor in the Operations Management Group at Indian Institute of Management Calcutta. He is a Ph.D. from Iowa State University (USA) and a Master in Statistics from Indian Statistical Institute, Calcutta. He has extensive teaching experience at IIM Calcutta, Lafayette, Oklahoma State University and Iowa State University. His research areas are Business Forecasting, Financial Market Models, Marketing Research, Business Analytics and Robust inference. His Current Research Interests is intervention analysis of Indian economic and stock market data and his Current Consulting Interests are Business Forecasting, Financial Data Analytics and Marketing Data Analytics. Summer School in Empirical Finance and Accounting Research Organizer: The Financial Research and Trading Laboratory (Finance Lab) Date: May 1, 2015 – May 9, 2015 Venue: Finance Lab, IIM Calcutta Program Schedule Day 1: May 1, 2015 (Friday) 9:30 am – 10 am Registration and Inauguration 10 am -11:30 am Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance Vikas Agarwal Georgia State University 11:30 am – 12 noon Coffee Break 12 noon – 1:30 pm Window Dressing in Mutual Funds Vikas Agarwal Georgia State University 1:30 pm – 2:30 pm Lunch Break 2:30 pm – 4:00 pm Informational linkages between dark and lit trading venues Sugata Ray University of Florida 4:00 pm – 4:30 pm Tea Break 4:30 pm – 6:00 pm Continuous Auctions and Insider Trading Sugata Ray University of Florida 6:00 pm – 7:00 pm Session on STATA Day 2: May 2, 2015 (Saturday) 9:30 am – 11 am Presentation on Database in Finance Lab and access (Bloomberg, Compustat, ACE Equity) 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Formation of Groups and Discussion on topic proposal (Group 1 & 2) Sugata Ray and Vikas Agarwal University of Florida and Georgia State University 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Formation of Groups and Discussion on topic proposal (Group 3 & 4) Sugata Ray and Vikas Agarwal University of Florida and Georgia State University 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm Discussion on Project Day 3: May 3, 2015 (Sunday) 9:30 am – 11 am Interim Presentation by Group 1 Comments by the instructor (Vikas Agarwal) 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Interim Presentation by Group 2 Comments by the instructor (Vikas Agarwal) 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Interim Presentation by Group 3 Comments by the instructor (Sugata Ray) 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm Interim Presentation by Group 4 Comments by the instructor (Sugata Ray) Day 4: May 4, 2015 (Monday) 9:30 am – 11 am The conservatism principle and the asymmetric timeliness of earnings Manju Jaiswall Indian Institute of Management Calcutta 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Accounting conservatism and board of director characteristics: An empirical analysis Manju Jaiswall Indian Institute of Management Calcutta 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Stock return variation and expected dividends Ashok Banerjee Indian Institute of Management Calcutta 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm The conditional CAPM does not explain asset pricing anomalies Ashok Banerjee Indian Institute of Management Calcutta 5:30 pm – 6 pm Tea Break 6 pm – 7 pm Formation of Groups and Discussions (Group 5 to 8) Ashok Banerjee and Manju Jaiswall Indian Institute of Management Calcutta Day 5: May 5, 2015 (Tuesday) 9:30 am – 11 am Discussion on project (Group 5-8) and Revisions (Group 1-4) Ashok Banerjee and Manju Jaiswall Indian Institute of Management Calcutta 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Discussion on project (Group 5-8) and Revisions (Group 1-4) (Contd.) Ashok Banerjee and Manju Jaiswall Indian Institute of Management Calcutta 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Measuring Volatility Ashok Banerjee Indian Institute of Management Calcutta 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm ARIMA Models Sahadeb Sarkar Indian Institute of Management Calcutta Day 6: May 6, 2015 (Wednesday) 9:30 am – 11 am The Determinants of Capital Structure Choice Vivek Rajvanshi Indian Institute of Management Calcutta 11 am – 11:30 am Coffee Break 11:30 am – 1 pm What Do We Know about Capital Structure? Some Evidence from International Data Vivek Rajvanshi Indian Institute of Management Calcutta 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Formation of Groups and Discussions (Group 9 and 10) Vivek Rajvanshi Indian Institute of Management Calcutta 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm Session on STATA Day 7: May 7, 2015 (Thursday) 9:30 am – 11 am Work on Research Proposal 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Work on Research Proposal (Contd.) Interim Presentation by Group 5 & 6 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Work on Research Proposal (Contd.) Interim Presentation by Group 7 & 8 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm Work on Research Proposal (Contd.) Day 8: May 8, 2015 (Friday) 9:30 am – 11 am Final Presentation: Team 1 and 2 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Final Presentation: Team 3 and 4 Interim Presentation by Group 9 & 10 1 pm – 2 pm Lunch Break 2 pm – 3:30 pm Final Presentation: Team 5 and 6 3:30 pm – 4 pm Tea Break 4 pm – 5:30 pm Final Presentation: Team 7 and 8 Day 9: May 9, 2015 (Saturday) 9:30 am – 11 am Final Presentation: Team 9 and 10 11 am – 11:30 am Coffee Break 11:30 am – 1 pm Concluding session and Final Remarks
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