Cutler Center 2012-2013 Annual Report - Babson College

Gonzalo Chavez
Ryan Davies
Presentations:
o Governance, Cross-listing and the Informational Environment: The Latin American Case.
Presented at the FMA conference in Atlanta, October 2012.
o Transparency, Value Creation and Financial Crises. Presented at The Global Finance
Conference in Chicago, May 2012
Recent Publication:
o “Transparency, Value Creation and Financial Crises” Journal of Applied Corporate
Finance (winter 2013).
Future Publications:
o “Governance, Cross-listing and the information environment: The Latin American Case”
with Ana Silva and Roy Wiggins
o “Market reaction to Enterprise Applications: An International Perspective Based on
National Cultural Differences” with Oswaldo Lorenzo and Ana Silva
Faculty Director, Stephen D. Cutler Center for Investments and Finance
Recently, Ryan Davies has been examining how market frictions can cause systematic patterns in
the speed with which public information is incorporated into intraday stock prices. He is also
studying how trade in equity options can impact the prices of their underlying stocks, and how
to measure the direct and indirect costs of manipulation in futures markets.
He presented his paper "The Price of Liquidity Risk in a High Frequency Trading World" at the
Boston Area Finance Symposium (April 2013) and attended the NBER Market Microstructure
workshop (December 2012).
Recent working papers and future publications:
o “Pink Pills for Pale People: A Snapshot of Entrepreneurship, Patent Medicine and
Finance in 1905”
o “Intraday Portfolio Return Autocorrelation Dynamics”
o “The Impact of Nonsynchronous Trading on Differences in Portfolio Crossautocorrelations”
o "The Price of Liquidity Risk in a High Frequency Trading World"
o “How Much Damage Can a Single Trader Cause: An Examination of Closing Price
Manipulation in Metal Futures Markets”
o New Insights into the Relation between Information Asymmetry and the Disposition
Effect.”
o “Alternative Stay-Out Premium Estimation Methodology”
External Examiner for Ph.D. Defense, Jingjing Yang, Massey University.
Paper selection committee, European Financial Management Association conference
John Edmunds
Recent Published Book: Desafiando la Pendiente, RIL Editores, Chile, December 2012
Recent Articles:
o “The National Strategic Petroleum Reserve: An Anachronism or a Springboard?” with
Sitanshu Singh, Environmental Economics, vol. 4, issue 1, 2013, pp. 81-90
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