Seminar Series

2021 - 2022

Speaker: Laurent Calvet (Edhec).

Title: “A Supply and Demand Approach to Equity Pricing ”

joint with Sebastien Betermier (McGill Univ) and Evan Jo (Mc Gill Univ).

Date: Thursday, November 25th at 12h30 (Paris Time).

Abstract: We develop a tractable general equilibrium framework providing a direct mapping between (i) the supply and demand for capital at the firm level and (ii) the cross-section of stock returns. Investor behavioral tilts and hedging needs drive capital supply, while firm profitability drives demand. Heterogeneity in supply and demand factors determines the sign of the risk-return relation and generates anomalies such as betting-against-beta, betting-against-correlation, size, value, investment, and profitability. We estimate the supply and demand schedules of over 4,000 U.S. firms and verify that the model accurately predicts the sign of the risk-return relation conditional on characteristics.

You will find the paper attached.

Bio: Here is a link to the speaker’s website

https://www.laurentcalvet.com

You are cordially invited to participate to the seminar, which will take place in Room 311, Lascrosses building.

For those who will not be in the room, please find the zoom link below:

https://tbs-education-fr.zoom.us/j/88071806227?pwd=ejh5Y1RhZGNpWG91dGhBVUdqbllhUT09

Meeting ID: 880 7180 6227

Passcode: 673417

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr