Amit Goyal will present 'Different Strokes: Return Predictability Across Stocks and Bonds with Machine Learning and Big Data'.
Meeting ID: 910 0911 5870 Passcode: 339398
Speaker
Amit Goyal is Professor of Finance at the University of Lausanne. Professor Goyal's research has been published in the top journals such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science and JFQA, among others.
Professor Goyal is studying the portfolio management industry with a focus on how plans, such as pension funds or foundations, select their public equity and fixed income investment managers. Data show that two factors play an influential role in the selection process: the pre-hiring returns of the management firm, and any pre-existing connections between the plan, or the consultant advising the plan, and the management firm.
Further analysis shows not only that the post-hiring returns for chosen firms are on average lower than for unchosen firms, but also that firms with pre-existing relationships perform worse on average. These findings raise many questions regarding today's search for the yield environment, and regarding the multi-trillion-dollar asset management industry. Professor Goyal actively participates in SFI Knowledge Exchange activities that focus on portfolio management and asset allocation in a low interest rate environment.