San Francisco | QWAFAFEW

Our next meeting will be April 8 at 5:30 pm at the London Wine Bar.  Please use the Acteva link below to register for the meeting or pay your 2008 dues.  Note that if you have already paid your 2008 dues you do not need to register.

https://www.acteva.com//booking.cfm?bevaID=157047

Topic:  The Shadow of Disaster: How did catastrophes that did not happen influence the value premium?

Speaker:  Kenton K. Yee, JD, PhD, Mellon Capital Management, Columbia Business School

Peso problems create opportunities as well as the potential for devastating mistakes.
By playing on perceptions that determine prices, they cause high risk premia, time- varying and excess volatility, excess sensitivity to news, and Fischer Black’s leverage effect. I extend the dividend discount model to incorporate the looming question: Will bad turn worst? The resulting model highlights the concept that peso problems usually – but not always – have greater deleterious impact on stocks of lesser duration (value stocks) than those with greater duration (growth stocks). The implications provide insight into the behavior of the Fama and French portfolios during market extremes.