Professor Andrew Lo talks to John Authers, Financial Times, about his theory applying Darwinian evolution to investment and markets. He suggests our aversion to risk is biological, and driven by the behaviour that allowed humans to avoid extinction. His ideas have profound implications for markets.
Professor Robert Merton recently talked to the Al-Jazeera newspaper. The discussion touches on various aspects of the financial sector, on its development and economic growth.View the translation of the full article here.
Andrew Lo’s book (coauthored with John Campbell, now at Harvard, and A. Craig MacKinlay, now at UPenn), The Econometrics of Financial Markets (Princeton University Press, 1997), was awarded the inaugural Eugene Fama Prize for Outstanding Contributions to Doctoral Education by the University of Chicago Booth School of Business.
This prize recognizes the influential contributions of their PhD-level textbook, which provides a clear exposition of the many econometric tools needed for the analysis of the Efficient Market Hypothesis advocated by Prof. Fama (Nobel Laureate in Economics, best known for his analysis of markets and securities prices) and other models of financial markets. Their book also provides important empirical results illuminating the successes of models like the Efficient Market Hypothesis as well as empirical puzzles that remain. The prize, funded by a group of private donors to honor Prof. Fama’s contributions and create incentives for potential doctoral-level economics textbook authors, will be awarded every three years.
The prize will be presented to Andrew and his coauthors at a one-day conference and dinner celebrating Prof. Fama’s 50 years of teaching at Chicago Booth.
You've probably seen advertising campaigns in which banks describe how much their customer relationships matter to them. While such messaging might have been cooked up at an ad agency, it turns out there is some truth underlying these slogans.
As a newly published study co-authored by a MIT Sloan professor, Antoinette Schoar, shows strong working relationships between bankers and clients reduce the likelihood of loan delinquencies and defaults, at least in the context of an emerging economy.Read the full article here.
Although just starting its sixth year, the program recently earned recognition from the Financial Times, which ranked it in the top tier of finance programs internationally, based on such criteria as post-graduation salaries, geographic mobility, and the course experience itself, said Master of Finance program director Heidi V. Pickett. Read the full story here.
At the annual gathering of Nobel Laureates and young scientists, Professor Merton presents "Measuring the Connectedness of the Financial System: Implications for Systemic Risk Measurement and Management". Click here to watch the video.
Governments around the world are searching for macro-stimulation instruments. This column discusses evidence showing that rebate-type payments policies generate substantial increases in demand for goods and services. In particular, a large portion of tax rebates are spent rapidly on arrival.
Read more here: http://www.voxeu.org/article/macro-stabilisation-and-tax-rebates
New research by MIT Sloan Finance PhD student, Felipe Severino, finds increased personal bankruptcy protection pre-2005 led to increase in household debt, but without measurable increase in average defaults. Visit the MIT Sloan Newsroom to read more about this paper that won first prize at the MIT Sloan Doctoral Research Forum.
Kirilenko has recently spent three-and-a-half weeks in the Ukraine, where he has been advising those in power on how to stabilise the economy and help the country grow. Now he is hoping to persuade others with knowledge and talent to volunteer too. The plan is to crowdsource expertise and he is inviting all those with business, educational, financial and legislative knowledge to contact him directly to help form a network to regenerate the country.
Read the full Financial Times article here.
More than 5 million Americans suffer from Alzheimer’s disease, the affliction that erodes memory and other mental capacities, but no drugs targeting the disease have been approved by the U.S. Food and Drug Administration since 2003. Now a paper by an MIT Sloan professor, Andrew Lo, suggests that a revamped way of financing Alzheimer’s research could spur the development of useful new drugs for the illness. Visit the MIT News Office to read more about this exciting research.
Professor Erik Loualiche recently authored a piece for Fortune Magazine that argues that equity markets, rather than credit conditions, drive buyout activity
Read the article here>>
The MIT Sloan School of Management held its annual Excellence in Teaching awards ceremony on May 7, 2014. Two members of the Finance Group faculty were recognized at the event. Andrew W. Lo was awarded the Samuel M. Seegal Prize, in recognition of his having inspired students in pursuing and achieving excellence. Dirk Jenter, a visiting finance professor from Stanford Graduate School of Business, was presented with the Outstanding Teacher Award.
Read more about the event here: http://mitsloan.mit.edu/newsroom/2014-excellence-in-teaching-awards.php
MIT Sloan Senior Lecturer Mark Kritzman has won two Bernstein Fabozzi/Jacobs Levy Outstanding Article Awards, which recognize research excellence in the theory and practice of portfolio management. These annual awards for articles appearing in The Journal of Portfolio Management are based on subscriber voting.
The first winning paper, “Liquidity and Portfolio Choice: A Unified Approach” (The Journal of Portfolio Management, Winter 2013), is co-authored with Will Kinlaw and David Turkington (both of State Street). The article illustrates innovative techniques for investors to determine the optimal allocation to illiquid assets. Mark’s second awarded paper, “Risk Disparity” (The Journal of Portfolio Management, Fall 2013), addresses how to balance growth of portfolio wealth over time with avoidance of large draw-downs.
Professor Jean-Noel Barrot recently authored an opinion piece for WSJ’s MarketWatch that questions the current venture-capital model. He suggests that venture-capital funds and limited partners should consider alternative models that better match the duration of the fund to the expected duration of the investment, which may be longer than the standard 10-year life of most funds.
Read the article here>>
A new study by Professor Andrew Lo, James Watkins and Dimitrios Bias shows that investment in disease research brings significant returns and that there is significant variation among diseases, with some harder to diagnose and treat.
Andrew Lo, Charles E. and Susan T. Harris Professor, is one of nine MIT faculty members elected to the American Academy of Arts and Sciences. Members of the academy include some of the worldâs most accomplished scholars, scientists, writers, artists, and civic, corporate, and philanthropic leaders.
Professor Robert Merton is interviewed by the Investment Management Consultants Association on "Harnessing the Building Blocks of Economic Valuation" in the latest issue of The Journal of Investment Consulting.
MIT Sloan Professor Antoinette Schoar has been named one of the top 10 academics influencing the institutional investment industry by aiCIO magazine. Schoar joins a group of academics who have significantly aided pensions, endowments, foundations, and sovereign wealth funds, as well as institutional investors who are fulfilling their obligations to stakeholders.