[VFN] Invitation January 31st: Public Lecture with Mark Seasholes "Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues"

Gutmann Center-D.Grimm Dorothea.Grimm at UniVie.ac.at
Mon Jan 14 13:17:33 CET 2008


GUTMANN CENTER FOR PORTFOLIO MANAGEMENT

at the University of Vienna - http//:www.gutmann-center.at

invites to the following

PUBLIC LECTURE:
- apologies for duplicated emails! -

Date:         January 31st, 2008 (Thursday) - 4.00 pm
Location:   Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien

Speaker:   Prof. Dr. Mark SEASHOLES, Santa Clara University, London 
Business School and INSEAD
                http://www.seasholes.com/

Title:      TIME VARIATION IN LIQUIDITY:
             THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES

Abstract:
We use an 11-year panel of NYSE specialist inventory positions and 
revenues to study two aspects of financial markets: stock price 
reversals (temporary mispricings) and liquidity.  Understanding when 
stocks are mispriced and when liquidity is drying up is of key 
importance to asset managers.  We show that as stock prices go up, 
market-makers sell.  As stock prices fall, market-makers buy.  
Market-makers are compensated for taking on risky positions via stock 
price reversals.  Sorting stocks based on inventory positions predict 
reversals of 33 basis points over the following week and 45 basis points 
over the following two weeks.  Sorting stocks by current returns and 
inventory positions can predict reversals of over 85 basis points per 
week.  Combining inventory positions with NYSE specialist revenues 
allows us to predict liquidity (at the market-level) at a daily 
frequency.  As prices fall, market-makers lose money on current 
positions.  They also increase positions and thus risk.  The net result 
is that market-makers are less willing to provide liquidity.  Our tests 
are done at both the market-level and at the specialist firm level.  Our 
results suggest an important role for market makers' financial positions 
in explaining the time variation of liquidity.

About Mark Seasholes:
Mark Seasholes is an Assistant Professor of Finance. He received his BA 
from Wesleyan University and his AM and PhD degrees from Harvard 
University. 
Mark's research focuses on investor behavior around the world.  He has 
written on cross-border equity investments, herding behavior of 
individual investors, and loss aversion. Current work focuses on the 
role and pricing of liquidity.  One project looks at the systematic 
liquidity demands of individual investors.  A second project studies 
NYSE specialist inventories (a measure of liquidity provided to the market).
Mark studied physics at Wesleyan University.  After graduating from 
college, he spent a number of years working on Wall Street and in the 
emerging markets of East/Central Europe.  He has completed a valuation 
project in Honduras, helped with the Lloyds of London restructuring, and 
given a series of lectures in the People's Republic of China.
Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to 
2007 where he won teaching awards in three programs:  Daytime MBA, 
Undergrad Program, and Berkeley-Columbia Executive MBA.  He continues to 
teach in Executive Education programs where he receives top ratings.

Please REGISTER:
Mail: gutmann.bwl at univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074

Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl at univie.ac.at - web: www.gutmann-center.at



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