Loading Events

« All Events

  • This event has passed.

Next Boston QWAFAFEW Meeting: 16 Jul 2019

July 16 @ 6:00 pm - 8:00 pm

| $30

Boston QWAFAFEW Meeting: 16 Jul 2019

Competition links and stock returns

A QWAFAFEW discussion led by:

Ronnie Sadka, PhD

Abstract:
We consider a firm’s competitiveness based on the manner by which other firms mention it on their 10-K filings. Using all public firm filings simultaneously, we implement a PageRank-type algorithm to produce a dynamic measure of firm competitiveness, denoted C-Rank. A high-minus-low C-Rank portfolio yields 16% alpha annually, where return predictability mainly stems from cross-sector competitiveness. The findings are largely consistent with investor underreaction to firm business opportunities identified by other strong firms. Nevertheless, stock return covariation with the C-Rank portfolio spread suggests that part of the return predictability can be interpreted as compensation for systematic cross-sector disruption risk.

Bio:
Ronnie Sadka, PhD

Professor of Finance, Chairperson
Senior Associate Dean for Faculty
Seidner Family Faculty Fellow
Boston College, Carroll School of Management

Professor Ronnie Sadka Senior Associate Dean and chairperson of the finance department at the Carroll School of Management, Boston College. His research focuses on the liquidity in financial markets. More recently, he has been developing big-data driven investment applications. Sadka is a frequent speaker at academic and practitioner conferences; his work has appeared in various outlets including Journal of Finance, Journal of Financial Economics, Journal of Accounting Research, Journal of Accounting and Economics, Journal of Financial and Quantitative Analysis, and Financial Analysts Journal, and has been covered by New York Times, Wall Street Journal, and CNBC.

Prior academic experience includes teaching at the University of Chicago (Booth), New York University (Stern), Northwestern University (Kellogg), and the University of Washington (Foster). Industry experience includes Goldman Sachs Asset Management and Lehman Brothers (quantitative strategies). Sadka recently served on the economic advisory board of NASDAQ OMX. Professor Sadka earned a B.Sc. (Magna Cum Laude) in industrial engineering and a M.Sc. (Summa Cum Laude) in operations research, both from Tel-Aviv University. He received a Ph.D. in finance from Northwestern University (Kellogg).

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club
939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Mailing List and Payment Link: https://boston.qwafafew.org/

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)
http://qwafafew.org/BostonPayDues.html

By Bitcoin
Send us Bitcoin, our address is:
153GtwqHHxdHaTh8i1SC1UmZUuFpXN6wye
Please send a separate email identifying your anonymous payment.

By check:
Executive Management Associates
12 Academy Avenue
Atkinson, NH  03811
bostonqwafafewbilling@gmail.com

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting.

Please bring exact change (eg: two twenties = $40 Guest Fee).

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:
bostonqwafafewbilling@gmail.com
hugh@QWAFAFEW.org

Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy (Dinners)
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

RSVP to: hugh@QWAFAFEW.org

Mailing List and Payment Link: https://boston.qwafafew.org/

Details

Date:
July 16
Time:
6:00 pm - 8:00 pm
Cost:
$30

Organizer

Hugh
Email:
hugh@QWAFAFEW.org

Venue

Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map