Topics in Quantitative Finance, FIN 500R, Section 3

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 Textual Analysis Tools

Antweiler, W., & Frank, M. Z. (2004). Is all that talk just noise? The information content of internet stock message boards. The Journal of finance, 59(3), 1259-1294. https://www.jstor.org/stable/3694736

(Sept 13) Kelly, Bryan, Manela, Asaf, & Moreira Alan (2018) Text Selection, Working paper http://apps.olin.wustl.edu/faculty/manela/kmm/textselection/textselection.pdf

(Sept 6) Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of finance, 62(3), 1139-1168. https://www.jstor.org/stable/4622297. slides by Jackie Yichuan Yan

(Oct 2) Hanley, K. W., & Hoberg, G. (2016). Dynamic interpretation of emerging systemic risks, working paper. https://ssrn.com/abstract=2792943

Topic 3 Macroeconomic Growth

(Sept 11) Acemoglu, Doron, David Autor, David Dorn, Gordon H. Hanson, and Brendan Price, 2014, Return of the Solow Paradox? IT, Productivity, and Employment in US Manufacturing, American Economic Review 104, 394-99. WashU link online appendix. slides by Eric Chen

Topic 4 P2P Lending and FinTech

(Sept 18) Chava, Sudheer and Nikhil Paradkar, "Winners and Losers of Marketplace Lending: Evidence from Borrower Credit Dynamics," working paper http://www.cafr-sif.com 18 18selected/87. Winners and Losers of Marketplace Lending_ Evidence from Borrower Credit Dynamics.pdf

Topic 5 High frequency trading

(Sept 20) O'Hara, Maureen, "High Frequency Market Microstructure, Journal of Financial Economics 116, Issue 2, May 2015, Pages 257-270 WashU link.

Topic 6 Picking Stocks and accounting numbers

(Sept 18) Ghosh, Aloke, Zhaoyang Gu, and Prem C. Jain, 2005, "Sustained Earnings and Revenue Growth, Earnings Quality, and Earnings Response Coefficients," Review of Accounting Studies 10, 33-57. WashU link.

Topic 7 Understanding the financial crisis.

(Sept 13) Gorton, Gary, and Andrew Metrick, 2012, "Getting Up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide," Journal of Economic Literature 50, 128-150. Link: WashU link. slides by Harrison Li

Topic 8 Finance in Africa

(Sept 20) Gokcekus, Omer and Yui Suzuki, 2016, Mixing Washington Consensus with Beijing Consensus and Corruption in Africa, Singapore Economic Review 61. WashU link.

Topic 9 Anti-corruption Campaign

(Sept 25) Lin, Chen, Randall Morck, Bernard Yeung, and Xiaofeng Zhao, 2016, Anti-Corruption Reforms and Shareholder Valuations: Event Study Evidence from China, 2016 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2729087.

(Sept 27) Wang, Qian, T. J. Wong, Lijun Xia, 2008, Journal of Accounting and Economics 46, 112-134 WashU link

Topic 10 Picking Stocks and accounting numbers

(Sept 25) Sloan, Richard G., 1998, "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?" Accounting Review 71, 289-315. http://www.jstor.org/stable/248290.

Topic 11 Employee Stock Options

(Sept 27) Dybvig, Philip H. and Mark Loewenstein, 2003, "Employee Reload Options: Pricing, Hedging, and Optimal Exercise," Review of Financial Studies 16, 2003, 145-171. Stable URL: http://www.jstor.org/stable/1262728