Ryan Garvey

Professor of Finance, Duquesne University

Monday, March 27th, 2023
12:00pm - 1:30pm ET
Dean's Conference Room

Yufeng Han

Professor of Finance, UNC Charlotte, Belk College of Business

Monday, February 13th, 2023
12:00pm - 1:30pm ET
Dean's Conference Room

John Hackney

Assistant Professor of Finance, University of South Carolina

Presenting Blinded by the Light: Sentiment and Household FinTech Credit Demand

Monday, January 30th, 2023
12:00pm - 1:30pm ET
Dean's Conference Room

Abstract: Marketplace lending platforms allow borrowers to apply for loans continuously, complete their applications within minutes, and obtain immediate credit decisions. As such, transient mood swings that would be mitigated in a traditional loan setting can play an important role in modern financial decision-making. Using hourly fluctuations in local sunshine as an instrument for sentiment, we find that positive sentiment leads to higher loan application amounts, especially relative to borrower income, compared to those of loan applications in the same county and during the same week. We find that the effects operate through a compositional shift toward inexperienced and lower-income borrowers, as well as through discretionary loans, leading to an increase in default rates. Local variation in sunshine does not affect credit supply via the platform or investors. Lastly, we find that the effect of sentiment is transient and 'cooling off' periods are effective - experienced borrowers who apply on sunny hours are more likely to withdraw the application before the loan listing period expires and the loan is funded. Overall, our paper provides some of the first evidence on the role of sentiment in credit demand.

Licheng Sun

Professor of Finance, Old Dominion University

Presenting Short-term Relative-Strength Strategies, Turnover, andthe Connection between Winner Returns and the 52-week High

Abstract: We contribute with two principal findings that suggest a material role for a 52-week-high price anchor in understandingthe short-run behavior of one-month stock returns. First, we find that short-term momentum in high-turnover stocks is only evidentfor stocks whose prices are relatively close to their 52-week high. Conversely, strong reversals are evident for high-turnover stockswhose prices are relatively far from their 52-week high. Second, we find that the apparent anchoring biases are asymmetric. Winnerstocks that are near their 52-week-high strongly outperform winner stocks that are far from their 52-week-high; but theperformance of past-loser stocks has little relation to this price anchor. We conduct five supplemental investigations that supportan anchoring-bias interpretation for the relation between winner performance and this price anchor; also evaluating marketsentiment, dispersion in analyst forecasted earnings, and the firm characteristics of size, market-to-book equity ratios, andidiosyncratic volatility.

Mark Westerfield

Associate Professor of Finance and Business Economics, University of Washington in Seattle.

Presenting Capital Commitment

Abstract: Over ten trillion dollars are allocated to private market funds that require outside investors tocommit to transferring capital on demand; most of these funds are Private Equity (PE). We show within anovel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfoliosand welfare, and we quantify those effects. Investors are under-allocated to PE and are willing to pay a largerpremium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty andlimited tradability. Perhaps counter-intuitively, commitment risk premiums increase with secondary marketliquidity and they do not disappear even if investments are spread over many funds.

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