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Cambridge Finance Workshop - Mara Faccio

Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
When May 30, 2019
from 12:30 PM to 01:30 PM
Where Room W4.03 Cambridge Judge Business School
Contact Name
Contact Phone 01223768129
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Mara Faccio (Purdue)A professor of finance and the Hanna Chair in Entrepreneurship at Purdue’s Krannert School.

Title: Business Groups and the Incorporation of Firm-specific Shocks into
Stock Prices

Abstract: 

In lower income economies, stocks exhibit less idiosyncratic volatility and business groups are more prevalent. This study connects these two findings by showing that business group affiliated firms’ stock returns exhibit less idiosyncratic volatility than do the returns of otherwise similar unaffiliated firms. Global commodity price shocks are common shocks that contribute to firm level
idiosyncratic risk because they affect industries heterogeneously. Idiosyncratic components of commodity shocks are incorporated less into idiosyncratic returns of group affiliates than unaffiliated firms in the same industry and economy. Identification follows from difference-indifference tests exploiting successful and matched-exogenously-failed control block transactions.

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