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Dr Pedro Saffi

Pedro Saffi

Title of research: Deleveraging Risk

The project can be of value to practitioners for better understanding the risks associated with short-selling and the impact of the usage of leverage around times of funding illiquidity. In particular, when funding liquidity evaporates we find that securities with a greater presence of levered investors experience extreme return realizations as investors unwind their positions. Using unique data from equity lending markets as a proxy for the degree of leverage in a stock, we find large positive returns and reductions in short selling quantities following periods of funding illiquidity.

Research Update - March 2016

Research Update - September 2015

Research Update - April 2015

Research Update - Report 2014

Research and publications

SSRN links

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CERF Fellow Dr. Bang Dang Nguyen - paper will be presented at the AFA Annual Meeting 2020 in San Diego

Sep 26, 2019

Political Connections and Firm Value: Evidence from Close Gubernatorial Elections, joint with Q.A. Do (SciencesPo Paris) and Yen-Teik Lee (Curtin University), is accepted and will be presented at the AFA Annual Meeting 2020 in San Diego.

CERF Scholar Shiqi Chen presented her paper at Leeds University Business School

Jun 28, 2019

Shiqi Chen presented her paper entitled “Financial Policies and Internal Governance with Heterogeneous Risk Preferences” (joint with Bart Lambrecht) in the Accounting and Finance seminar at Leeds University Business School, the Finance seminar at Essex Business School, CERF Lunch Seminar at Cambridge Judge Business School, and at the 2019 Annual Real Options Conference in London.

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