Topic: A Long and a Short Leg Make For a Wobbly Equilibrium

Speaker: Stavros Panageas, Professor of Finance, UCLA Anderson School of Management

Time: 10:00am-11:30am, December 20 (Beijing Time)

Location: 4-101

Abstract:

The interaction between the spot and lending markets for stocks can lead to abrupt changes in short selling. Furthermore, rational short sellers may choose to abandon the market even as mispricing widens. The model can help explain the fat-tailed dynamics of short selling in the data, and further provides conditions identifying stocks that are more likely to experience large and abrupt changes in short selling. We verify these predictions empirically. We also apply the theory to understand curious patterns in the behavior of short sellers during one of the historically worst periods for short selling, November 2020–January 2021.

Speaker Biography:

Stavros Panageas studies asset pricing and macroeconomics. Previously, he taught at the Booth School of Business of the University of Chicago, the London School of Economics, and the Wharton School of the University of Pennsylvania. He is a research associate of the National Bureau of Economic Research and he has been a visiting scholar at the Federal Reserve Bank of Minneapolis.

He has worked as a fixed income quantitative analyst for Fidelity Investments and was a co-founder and board member of AIAS NET, one of the first Greek internet service providers.

Panageas's research has appeared in prestigious academic journals such as American Economic Review, Econometrica, Journal of Political Economy, Journal of Finance, Journal of Financial Economics, Review of Financial Studies and Journal of Monetary Economics. He is currently an associate editor of the Journal of Finance, the Journal of Financial Economics, and the Critical Finance Review. His work has been presented at leading universities and conferences worldwide.

Panageas is the recipient of the 2012 Smith-Breeden Prize for the best capital markets paper in the Journal of Finance, the Utah Winter Finance Conference Best Paper Award, the Four nations Cup, a Rodney White Research Grant, two Geewax, Terker Prizes in Investment Research from the Rodney L. White Center for Financial Research, and a Paul Alther Prize for the best undergraduate thesis at the University of St. Gallen.

Panageas earned a Lizentiat in economics from the University of St. Gallen in 1997 and a Ph.D. in economics from the Massachusetts Institute of Technology in 2005. He joined the Anderson faculty in 2016.