10th Annual Conference
Academic Luncheon Keynote by Professor Tarun Chordia
The Distress Anomaly Puzzle
Over the years, a number of financial market anomalies have been uncovered by academics and financial market professionals. Anomalies are return patterns than do not conform to the standard asset pricing models. A very basic paradigm in finance is that riskier assets should earn higher expected returns. Our asset pricing models (for instance, the Capital Asset Pricing Model, CAPM) relate risk to expected returns. However, the anomalies suggest that there are other stock attributes (such as firm size, past returns, the book-to-market ratio, asset growth, profitability, etc.) that have an impact on returns even though they are unrelated to risk. One such attribute or firm characteristic is firm rating (obtained from bond ratings). In the data, we find that higher rated, lower risk firms earn higher returns than lower rated or higher risk firms. This is indeed a puzzle since it violates the basic risk-return paradigm of finance.
Professor Chordia has been working on this for the past 20 years and will provide an overview and discuss key findings in this literature.
Shangri-La Singapore, 22 Orange Grove Rd, Singapore 258350
"The Distress Anomaly Puzzle"
Professor Tarun CHORDIA
R. Howard Dobbs Professor of Finance Goizueta Business School, Emory University and Senior Fellow, ABFER
Tarun CHORDIA received his PhD in finance from the Anderson Graduate School of Management, UCLA, in 1993. He was an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University from 1993. He joined the Goizueta Business School at Emory University in 2000. Prior to his doctoral studies, he worked for Citibank as a relationship and credit manager in the Financial Institutions Group.
Professor Chordia’s research is grounded in both theory and empirical methods and spans a diverse area of financial economics. He has published extensively in the top finance journals and has received numerous awards and grants for his research on empirical asset pricing and market microstructure. He is the former managing editor of the Journal of Financial Markets and a past associate editor of Review of Financial Studies. Professor Chordia has been on the program committee for a number of conferences. He has presented at many conferences and has served as a referee for numerous journals.
Professor David M. REEB
Mr & Mrs Lin Jo Yan Professor in Banking and Finance; Head of Department, Accounting, NUS Business School, National University of Singapore and Senior Fellow of ABFER
Dr. Reeb holds the Mr. and Mrs. Lin Jo Yan Professorship, with appointments in both accounting and finance. He serves as a Senior Fellow of the Asian Bureau of Finance and Economic Research (ABFER), a Fellow at the Academy of International Business (AIB), as the Director of Business Doctoral Programs in NUS Business School, and Head of Department, Accounting.
Dr. Reeb’s research interests range from founding-family ownership to the disclosure of corporate innovation, spanning the organization of accounting firms to shadow insider trading. His work has appeared in the Journal of Accounting and Economics, Accounting Review, Journal of Finance, Journal of Financial Economics, Administrative Science Quarterly, Management Science, American Economic Review, Journal of Law and Economics, and the Journal of International Business Studies. His body of research has generated over 5,000 citations in other academic works, according to Web of Science (Google Scholar 17,000+). In addition, his work has been featured in The Wall Street Journal, BusinessWeek, The Economist, Forbes, the Financial Times, the International Herald Tribune, Inc. Magazine, SmartMoney, MSNBC, and several other leading publications in the US, Canada, and Australia. He has also been interviewed by CNN, Comcast and Bloomberg TV.
Dr. Reeb has been consistently recognised for his academic contributions. His 2003 study on founding-family firms is one of the 20 most cited articles in the Journal of Finance of all time. Similarly, his research on accounting report integrity is the most highly cited paper in the Journal of Accounting and Economics in 2004. More recently, his research on “Missing R&D” in the Journal of Accounting and Economics is the 5th most cited paper among the top 3 journals in accounting in 2015.
30 minutes of keynote speech and 20 minutes for Q&A.