Seminar: David Thesmar

15/12/09

Dear All
The next Finance and Accounting Seminar hosted in conjunction with Capula Investment Management LLP (http://www.capulaglobal.com/) will be held at the Imperial Business School:

David Thesmar
Professor of Economics and Finance
HEC School of Management, Paris
www.hec.fr/thesmar

Stock Price Fragility

Date: Tuesday 15 December 2009
Time: 17:00 to 18:30
Venue: LT1, Tanaka Building

Abstract:
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it susceptible to non-fundamental trading shocks. An asset can be fragile because of concentrated ownership, or because its owners face correlated liquidity shocks, i.e., they must buy or sell at the same time. Two assets are "cofragile" if their owners have correlated trading needs, even if the holdings of these owners do not directly overlap. We formalize this idea and apply it to the ownership of US stocks between 1990 and 2007. Consistent with our predictions, fragility strongly predicts future price volatility, and co-fragility predicts cross-stock return comovement.