San Francisco Meeting: The Shadow of Disaster

Venue: Londone Wine Bar, 415 Sansome Street, San Francisco     415-788-4811

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

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

Abstract: Peso problems create opportunities as well as the potential for devastating mistakes.
By playing on perceptions that determine prices, they cause high risk premia, timevarying
and excess volatility, excess sensitivity to news, and Fischer Blackʼs 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.

Kenton K. Yee will post the overhead slides to his Columbia Business School web site
(http://www.columbia.edu/~kky2001) after the talk.

Meeting Registration

SF QWAFAFEW manages the meeting registration and dues payment process using Acteva. Please click on the link below to register for the meeting. At this point, we request both members and non-members to register. If you are a member, you can pay the annual dues of $50 and there will be no additional charges for the meetings. If you are not a member, you can pay your $15 meeting fee on Acteva.

http://www.acteva.com/booking.cfm?bevaid=137821

Admissions: Members: Free. Non-members: $15/person. You can sign up for the membership at the Acteva registration page. QWAFAFEW will provide appetizers and there will be a cash bar.