Topics in Quantitative Finance, FIN 500R, Section 2

Philip H. Dybvig
Washington University in Saint Louis

syllabus

Welcome to Topics in Quantitative Finance! This course talks about ideas and situations that challenge our traditional understanding of quantitative finance.

As students sign up to present papers, the schedule will be posted here.

Papers Each week we will discuss, in my lectures or in the student presentations, interesting papers. I have some suggested papers you can choose; see http://dybfin.wustl.edu/teaching/topicsquantfin18-shared/index.html. Or, if you want to choose a topic not available there, let me know the topic or topics you are interested in, and the TAs and I will help you to find a suitable paper to present.

I will be posting the papers for this section on this web site. Many of the papers can be accessed on JSTOR ("Journal STORage"), an online repository for academic articles. The "Stable URLs" are links on JSTOR. To download the papers for free, you need to use this from a university IP address (or proxy server or VPN), or you can access the papers from other universities. Other links use the university's library proxy server so if you access them from off-campus you will need to use your WUSTL KEY.

The papers with dates were or will be presented in class and you should have some basic knowledge of those papers in the exam. Other papers are supplemental. Knowledge of those papers will be useful but not essential for the exam.

Topic 1 Bubbles, Doubling Strategies, Suicidal Strategies, and Verification

(Sept 4) Shell, Karl, 1971, "Notes on the Economics of Infinity," 1971, Journal of Political Economy 79. Stable URL: http://www.jstor.org/stable/1830269.

(Sept 4) Dybvig, Philip H. "Perpetual American Put: valuation and verification theorem," lecture notes, link

Topic 2 Side-stepping the Investment Banks

(Sept 11) Scholes, Myron and Mark Wolfson, "Decentralized Investment Banking: the Case of Discount Dividend-Reinvestment and Discount Dividend-Reinvestment and Stock-Purchase Plans," Journal of Financial Economics 23, 7-35. WashU link. slides by Wenlin Cai

Topic 3 P2P Lending and FinTech

(Sept 11) Tang, Huan, 2018, Peer-to-Peer Lenders versus Banks: Substitutes or Complements?" working paper http://huan-tang.com/wp-content/uploads/2018/08/P2P_lending_Tang.pdf slides by Vanessa Sun

(Sept 13) Liao, Li, Zhengwei Wang, Jia Xiang, Hongjun Yan, and Jun Yang, "Investment Under Fast-Thinking," https://ssrn.com/abstract=3197303. slides by Roger Shi

Topic 4 Blockchain

(Sept 13) Yermack, David, Corporate Governance and Blockchains, 2017, Review of Finance 21 Issue 1, 7-31 https://academic.oup.com/rof/article/21/1/7/2888422

Topic 5 Regional Economics

(Sept 18) Heniford, Davis, Junyan Pu, and James Loomis, US Regional Collaboration and Economic Growth: a Midwestern Case Study and a National Cross-Sectional Analysis, working paper WashU link

Topic 6 Finance in Africa

(Sept 18) Blavy, Rodolphe, Anupam Basu, and Murat A Yulek, 2004, Microfinance in Africa : Experience and Lessons From Selected African Countries, IMF Working paper, https://www.imf.org/en/Publications/WP/Issues/2016/12/31/Microfinance-in-Africa-Experience-and-Lessons-From-Selected-African-Countries-17710.

Topic 7 Anti-corruption Campaign

(Sept 20) Hung, Mingyi, T. J. Wong, and Tianyu Zhang, 2012, Political Considerations in the Decision of Chinese SOEs to List in Hong Kong, Journal of Accounting and Economics 53, 435-49 WashU link

Topic 8 Risk management

general ideas:

Philip H. Dybvig, Pierre Jinghong Liang, and William J. Marshall, 2013, "The New Risk Management: The Good, the Bad, and the Ugly," Federal Reserve Bank of Saint Louis Review, July/August 2013, 95(4) 273--91. http://research.stlouisfed.org/publications/review/article/9914.

failures:

(Sept 20) Ross, Stephen A., 2002, "Forensic Finance: ENRON and Others," Fourth Angelo Costa Lecture, http://www.rivistapoliticaeconomica.it/nov_dic02/rossengl.pdf

Topic 9 Understanding the financial crisis.

the run on the repo market:

(Sept 25) Gorton, Gary, and Andrew Metrick, Securitized Banking and the Run on Repo, 2012, Journal of Financial Economics 104, 425-51. WashU link.

Topic 10 Negative interest rates

(Sept 25) Heider, Florian, Farzad Saidi, and Glenn Schepens, 2017, Life Below Zero: Bank Lending Under Negative Policy Rates, working paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2788204.

Topic 11 Mutual Fund Performance

empirical evidence:

(Sept 27) Pastor, Lubos, and Robert Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy 120, No. 4 (August 2012), pp. 740-781. Stable URL: http://www.jstor.org/stable/10.1086/667987.

(Sept 25) Cremers, Martijn, and Antti Petajisto, 2009, "How Active Is Your Fund Manager? A New Measure That Predicts Performance," Review of Financial Studies 22, 3329-65, http://www.jstor.org/stable/1907042.

Topic 12 Chinese markets and FX

(Sept 27) Jin, Keyu, "Industrial Structure and Capital Flows," 2012, American Economic Review 102, 2111-2146. Stable URL: http://www.jstor.org/stable/41724616

Topic 12 Textual Analysis Tools

(Oct 2) Hanley, K. W., & Hoberg, G. (2010). The information content of IPO prospectuses. The Review of Financial Studies, 23(7), 2821-2864. https://www.jstor.org/stable/40782968

Topic 13 Indian Economy

(Oct 4) Rajan, Raghuram, "India in the global economy," First Ramnath Goenka Memorial Lecture. http://www.bis.org/review/r160316b.pdf.

Topic 14 Market manipulation

(Oct 4) Griffin, John M., and Amin Shams, "Manipulation in the VIX?" working paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2972979