�山ǿ�� News - Anisha Ghosh

�山ǿ�� Desautels professor founds diversified biotech company with over US$25M funding

webfull — Tue, 23 Apr 2024 19:36:50 +0000

As investors search for new investment vehicles to create value due to ever-increasing competition in the financial markets, the ability to identify sources of potential value creation by addressing society’s most pressing economic needs has attracted significant attention. Collaboration between experts in finance and technology has emerged as a fertile arena for such value creation. However, the traditional approach to investing in technology has often underperformed, often due to a lack of sufficient diversification and capital efficiency.

Published: 23 April 2024

Desautels’ event highlights innovative research and recognizes scholars

webfull — Fri, 20 May 2022 19:17:35 +0000

On Friday, May 13, members of the Desautels Faculty of Management gathered to celebrate the innovative and impactful research conducted by its scholars.

Fifteen professors were on hand to deliver two-minute presentations of their most interesting and research.

Before jumping into the presentations, Dean Yolande Chan took the time to highlight this year's Desautels Faculty Scholar awardees. Congratulations to this year's awardees!

Published: 20 May 2022

Asset Pricing with Countercyclical Household Consumption Risk

webfull — Thu, 29 Mar 2018 17:39:12 +0000

Authors: George M. Constantinides and Anisha Ghosh

Publication: Journal of Finance, Vol. 72, No. 1, February 2017

Abstract:

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model ﬁts well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.

Read article: Journal of Finance

Published: 29 March 2018

What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

webfull — Thu, 29 Mar 2018 17:02:11 +0000

Authors: Anisha Ghosh, Christian Julliard, Alex P. Taylor

Publication: The Review of Financial Studies, Volume 30, No. 2, February 2017

Abstract:

We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.

Read article: The Review of Financial Studies

Published: 29 March 2018