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Caltech + Finance Symposium 2020

Friday, January 31, 2020
Dabney Hall, Lounge


Featuring distinguished Caltech faculty

Federico Echenique
Allen and Lenabelle Davis Professor of Economics

Michael Ewens
Professor of Finance and Entrepreneurship

Lawrence Jin
Assistant Professor of Finance

and Keynote Speaker

Nicholas C. Barberis
Stephen and Camille Schramm Professor of Finance, Yale School of Management

Schedule of Events

1:30 PM || Opening Remarks

1:40 PM || Federico Echenique || "Markets for Centralized Allocation Problems: Fairness, Efficiency, and Property Rights"
Abstract: Economists study naturally occurring markets and their welfare properties, but it is also possible to create artificial markets to achieve social objectives. I will give an overview of the use of "market design" to achieve efficiency, fairness, and "buy-in" from market participants. I will also discuss some applications to course bidding in business schools, and seat assignment in public school districts.

2:20 PM || Michael Ewens || "Governance and Compensation in Startups"
Abstract:
A unique feature of venture capital is the active role that investors play in their startup investments. In this presentation, we document new facts about venture capitalist activity and discuss what they reveal about high-growth entrepreneurial firm financing frictions. Some potential frictions relate to implementing traditional corporate governance and incentive solutions in small, innovations firms. We will first explore how startups structure their boards of directors and the role that independent directors face in mediating conflicts. Next, we will present evidence on the unique ways founder-CEO compensation evolve over the startup lifecycle.

3:00 PM || Break

3:15 PM || Lawrence Jin || "Prospect Theory and Stock Market Anomalies"
Abstract:
This talk discusses some recent development in the field of behavioral finance, with a focus on a new model of asset prices in which investors evaluate risk according to prospect theory. We examine the model's ability to explain prominent stock market anomalies. The model incorporates all the elements of prospect theory, takes account of investors' prior gains and losses, and makes quantitative predications about an asset's average return. We find that the model is helpful for thinking about a majority of the anomalies we consider. It performs particularly well for the momentum, volatility, distress, and profitability anomalies, but poorly for the value anomaly.

4:00 PM || Keynote Address || Nicholas Barberis || "What's Going on in Behavioral Finance? A Survey of the Latest Ideas"
Abstract:
The field of behavioral finance tries to make sense of financial data using models that make psychologically accurate assumptions about the way people think. This talk discusses three prominent ideas in behavioral finance: over-extrapolation of the past; overconfidence; and probability weighting. Extrapolation of past returns can help us make sense of patterns of predictability in asset prices. Overconfidence appears to play a role in both excessive trading and excessive acquisition activity. Finally, probability weighting helps explain the overpricing of positively skewed assets. To end the talk, we discuss possible future directions for the field.

5:30 PM || Reception

6:30 PM || Dinner

About the Speakers

Federico Echenique

Allen and Lenabelle Davis Professor of Economics, Caltech

Federico Echenique focuses on understanding economic models of agents and markets. He's interested in determining the testable implications of models and the relationship between different theoretical models. In particular, he's studying the testable implications of models of individual decision making, of markets, and of other economic institutions. He is also studying two-sided matching markets, such as the labor market, and is active in research at the intersection of economics and computer science.

Prior to his time at Caltech, Echenique was an assistant professor at the Universidad de la República in Uruguay from 2000 to 2002 and an assistant professor at Universidad Torcuato Di Tella in Buenos Aires from 2001 to 2002. He was also a visiting assistant professor at the University of California, Berkeley, in the spring of 2001. His awards include the Morosoli Prize (2011) from the Fundación Lolita Rubial and the Eliot J. Swan Prize (1998) from the Department of Economics at UC Berkeley. He received excellence in refereeing awards from the American Economic Review (2012 and 2013).

Michael Ewens

Professor of Finance and Entrepreneurship, Caltech

Michael Ewens studies entrepreneurship, focusing on financial intermediation, innovation, and management of high-growth entrepreneurial firms. While most entrepreneurship research has traditionally relied on limited data sets, his approach is distinctly quantitative, as he collects and analyzes vast amounts of data to better understand the financing of entrepreneurial firms.

Before arriving at Caltech in 2014, Ewens was an assistant professor of finance and entrepreneurship at the Tepper School of Business at Carnegie Mellon University. Since 2006, he has been a quantitative advisor for Correlation Ventures, a quantitative-focused venture capital firmed based in San Diego. He was also a visiting scholar at Stanford University's Graduate School of Business in the spring of 2014. He has received the Kauffman Junior Faculty Fellowship in Entrepreneurship Research (2013-2014) and the Berkman Junior Faculty Development Grant (Carnegie Mellon University, 2013).

Lawrence Jin

Assistant Professor of Finance, Caltech

Lawrence J. Jin received his Ph.D. in Financial Economics from Yale University in May 2015. His research focuses on asset pricing, behavioral finance, financial intermediaries, and household finance. He holds a B.S. in Mathematics and Physics from Tsinghua University and a M.S. in Electrical Engineering from Caltech. Prior to attending Yale, he spent two years as a research and trading analyst at Citigroup. His research has been published in the Review of Financial Studies and the Journal of Financial Economics.

His JFE paper "X-CAPM: An Extrapolative Asset Pricing Model" received the Q-Group's 2014 Jack Treynor Prize—the prize recognizes superior academic papers with potential applications in the fields of investment management and financial markets. His job market paper "A Speculative Asset Pricing Model of Financial Instability" received the AQR Top Finance Graduate Award in 2015—the award recognizes finance PhD graduates worldwide whose dissertations and broader research potential carry the greatest promise of making an impact on the practice of finance and in academia.

Nicholas C. Barberis

Stephen and Camille Schramm Professor of Finance, Yale School of Management

Nicholas Barberis is the Stephen and Camille Schramm Professor of Finance at the Yale School of Management, where he works on behavioral finance, and specifically on developing psychologically-realistic models of market fluctuations and investor behavior. His research has been awarded the Paul A. Samuelson Prize, the FAME Prize, and the Jack Treynor Prize, and he is also the recipient of multiple teaching awards from both Yale and the University of Chicago, where he previously taught. In 2015, he took over from Robert Shiller and Richard Thaler as the organizer of the leading academic conference in behavioral finance. He is also the founder and lead instructor of the Yale Summer School in Behavioral Finance, which has introduced hundreds of graduate students to the latest ideas in the field. He holds a B.A. in Mathematics from Cambridge University and a Ph.D. in Business Economics from Harvard.

Contact / Questions

For inquiries, please email Sabrina Hameister or call (626) 395-4228.