1. food and drink
2. beverages
3. non alcoholic beverages
4. coffee and tea

Summer School in Empirical Finance and Accounting Research
IIM Calcutta, India, 1-9 May 2015
Introduction
The Financial Research and Trading Laboratory of IIM Calcutta is organizing a summer school on Empirical
Finance and Accounting Research during 1-9 May 2015. This is a fully residential Programme which will
expose participants to ten classic papers published in top journals. These papers are carefully chosen by
expert and contain the following two features:
(a) talk about interesting problems and focus on strong methodology; and
(b) replicable empirical findings.
The participants will be guided by a team of eminent faculty from India and abroad to walk through these
papers to understand the 'the art of writing' high quality papers and in the process learn some solid
research methods.
Content
The ten selected papers will be sent to the registered participants in advance. The participants are
supposed to study these papers before attending the school. These ten papers will be drawn from five
broad topics in the area of empirical finance and accounting. Each topic will be anchored by an eminent
faculty.
Topics:
1.
2.
3.
4.
5.
Capital Structure
Asset Pricing
Market Microstructure
Earnings Quality
Investments
Methodology
Each paper will be discussed in details highlighting the motivation, research questions, hypotheses
building, methods used, and results. In the process of discussing a paper, participants will be given
sufficient input on required methods and statistical package (SAS). The participants will be divided into
groups to work on each paper and present a research proposal with a pilot study using database available
at the Finance Lab of IIM Calcutta. Thus, each team will prepare and present a research proposal, which
would contain problem statement, literature review, methodology suggested and results of the pilot study.
Key Takeaways
Each participant will have the following takeaways:
(a)
(b)
(c)
(d)
Understand how to position a theme and identify valid research questions.
Learn several research methods or concepts
Empirically test hypotheses of a paper
Learn the art of writing a paper
Who Can Attend
Assistant and Associate Professors in the area of Finance and Accounting and PhD students in relevant
areas can apply for registration. Seats are limited. Maximum capacity for the summer school is thirty.
Selection will be made by the organizers.
Fees
The course fee is ₹ 30,000 plus applicable service tax for participants from India. The course fee for
overseas participants is US$ 500 per person. The fee would include course materials, accommodation on
single occupancy basis, all meals and training on SAS. Last date of registration is 31st March, 2015
Mode of Payment
Click here to make payment
Refund Policy
Please click here for the refund policy
Venue
The Financial Research and Trading Laboratory
Indian Institute of Management Calcutta
Diamond Harbour Road. Joka
Kolkata 700104
INDIA
Contact
Ms. Priyanka Dasgupta
Assistant Manager
Financial Research and Trading Laboratory
Indian Institute of Management Calcutta
INDIA
asstmgr_finlab@iimcal.ac.in
SUMMER SCHOOL IN EMPIRICAL FINANCE
& ACCOUNTING RESEARCH
SPEAKERS:
Vikas Agarwal
Vikas Agarwal is Professor of Finance at Georgia State University’s J. Mack Robinson
College of Business. Vikas received his Ph.D. in finance from the London Business
School. He is a Research Fellow at the Centre for Financial Research, University of
Cologne, Germany. He also holds a Research Associate position at EDHEC Risk and Asset
Management Center, France. He has consulted for several hedge funds and currently
serves on the board of the Southeastern Hedge Fund Association. His broad areas of
research on various issues related to institutional investors such as hedge funds and mutual funds. His research
on hedge funds include characterization of their risks, performance evaluation, determinants of money flows
and risk-taking behavior, mutual funds mimicking hedge fund strategies, impact of managerial incentives and
flexibility on performance, end-of-the-year returns management, self-reporting and delisting biases, portfolio
disclosure issues, lending by hedge funds to corporations, higher moment and tail risks, institutional investment
and intermediation.
Sugata Ray
Sugata Ray is an Assistant Professor of Finance at the University of Florida. His research
interests include hedge funds and market microstructure. Prior to joining the finance
department at the University of Florida, he worked as a consultant for financial
institutions with Oliver Wyman. Dr. Ray’s research has been published in a number of
peer-reviewed journals including the Journal of Investment Management, and the
Journal of Financial Markets. He has presented his research to regulators (e.g. the SEC
and the Fed), academics (at conferences such as the American Finance Association and European Finance
Association), and industry participants. Dr. Ray’s research specialties include alternative investments, extracting
actionable information from market data, and the creation of quantitative models for cyclical analysis and factor
based trading. Dr. Sugata Ray received his Ph.D. from the Wharton School at the University of Pennsylvania. Dr.
Ray also earned his Masters and undergraduate degrees from Wharton.
Ashok Banerjee
Ashok Banerjee joined the IIM Calcutta as Professor (Finance and Control) in August
2004. Prior to joining IIM Calcutta, he was a Professor at IIM Lucknow. He is a
Postgraduate in Commerce from University of Calcutta and a qualified Chartered
Accountant. He obtained his Ph.D. for his thesis on Economic Value Added as a
Performance Measure. Prof. Banerjee, has taught at the School of Management, Asian
Institute of Technology (AIT), Bangkok, Thailand. During his stay at AIT, he was also
involved in a consulting project that AIT was doing for Electricity Generating Authority of Thailand (EGAT). He
was a member of one of the task forces constituted by Power Grid Corporation of India Ltd. (PGCIL) to study
“ESI Restructuring and Power Trading” in India. He has been instrumental in setting up the state-of-the-art
Financial Research and Trading Laboratory (Finance Lab) at IIM Calcutta. The Finance Lab is a repository of high
frequency data from Indian financial markets and it also has WRDS, Bloomberg terminals, Thomson Reuters,
Compustat and CRSP databases. Prof. Banerjee was the main force behind holding India Finance Conference
since 2009. He has published in peer-reviewed journals and has also written teaching cases.
Manju Jaiswall
Dr. Manju Jaiswall is a faculty member in the Finance and Control area at Indian Institute
of Management Calcutta. She has done her M.Phil. in Commerce from University of
Calcutta and doctorate in Management from Indian Institute of Management
Bangalore. Her research interests are in the areas of Corporate Governance, Financial
Reporting, Earnings Management and Executive Compensation. She teaches courses in
corporate financial reporting, cost management and financial statement analysis.
Vivek Rajvanshi
Vivek Rajvanshi is a faculty member in the Finance and Control group at Indian Institute
of Management Calcutta. He joined IIM Calcutta in April 2015. Prior to joining IIM
Calcutta, he was an Assistant Professor at IIM Lucknow. He has done his masters in
Statistics and is a fellow of IIM Calcutta. His teaching areas include Corporate Finance,
Derivatives and Fixed Income Markets. His research areas are Derivatives, Market
Microstructure, Portfolio Management and Volatility Modeling. His Current Research
Interests are Market Microstructure and Futures Markets and Current Consulting
Interests is Commodity Futures Markets.
Sahadeb Sarkar
Dr. Sahadeb Sarkar is a Professor in the Operations Management Group at Indian
Institute of Management Calcutta. He is a Ph.D. from Iowa State University (USA) and a
Master in Statistics from Indian Statistical Institute, Calcutta. He has extensive teaching
experience at IIM Calcutta, Lafayette, Oklahoma State University and Iowa State
University. His research areas are Business Forecasting, Financial Market Models,
Marketing Research, Business Analytics and Robust inference. His Current Research
Interests is intervention analysis of Indian economic and stock market data and his Current Consulting Interests
are Business Forecasting, Financial Data Analytics and Marketing Data Analytics.
Summer School in Empirical Finance and Accounting Research
Organizer: The Financial Research and Trading Laboratory (Finance Lab)
Date: May 1, 2015 – May 9, 2015
Venue: Finance Lab, IIM Calcutta
Program Schedule
Day 1:
May 1, 2015 (Friday)
9:30 am – 10 am
Registration and Inauguration
10 am -11:30 am
Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance
Vikas Agarwal
Georgia State University
11:30 am – 12 noon
Coffee Break
12 noon – 1:30 pm
Window Dressing in Mutual Funds
Vikas Agarwal
Georgia State University
1:30 pm – 2:30 pm
Lunch Break
2:30 pm – 4:00 pm
Informational linkages between dark and lit trading venues
Sugata Ray
University of Florida
4:00 pm – 4:30 pm
Tea Break
4:30 pm – 6:00 pm
Continuous Auctions and Insider Trading
Sugata Ray
University of Florida
6:00 pm – 7:00 pm
Session on STATA
Day 2:
May 2, 2015 (Saturday)
9:30 am – 11 am
Presentation on Database in Finance Lab and access
(Bloomberg, Compustat, ACE Equity)
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Formation of Groups and Discussion on topic proposal (Group 1 & 2)
Sugata Ray and Vikas Agarwal
University of Florida and Georgia State University
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Formation of Groups and Discussion on topic proposal (Group 3 & 4)
Sugata Ray and Vikas Agarwal
University of Florida and Georgia State University
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
Discussion on Project
Day 3:
May 3, 2015 (Sunday)
9:30 am – 11 am
Interim Presentation by Group 1
Comments by the instructor (Vikas Agarwal)
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Interim Presentation by Group 2
Comments by the instructor (Vikas Agarwal)
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Interim Presentation by Group 3
Comments by the instructor (Sugata Ray)
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
Interim Presentation by Group 4
Comments by the instructor (Sugata Ray)
Day 4:
May 4, 2015 (Monday)
9:30 am – 11 am
The conservatism principle and the asymmetric timeliness of earnings
Manju Jaiswall
Indian Institute of Management Calcutta
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Accounting conservatism and board of director characteristics: An empirical
analysis
Manju Jaiswall
Indian Institute of Management Calcutta
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Stock return variation and expected dividends
Ashok Banerjee
Indian Institute of Management Calcutta
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
The conditional CAPM does not explain asset pricing anomalies
Ashok Banerjee
Indian Institute of Management Calcutta
5:30 pm – 6 pm
Tea Break
6 pm – 7 pm
Formation of Groups and Discussions (Group 5 to 8)
Ashok Banerjee and Manju Jaiswall
Indian Institute of Management Calcutta
Day 5:
May 5, 2015 (Tuesday)
9:30 am – 11 am
Discussion on project (Group 5-8) and Revisions (Group 1-4)
Ashok Banerjee and Manju Jaiswall
Indian Institute of Management Calcutta
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Discussion on project (Group 5-8) and Revisions (Group 1-4) (Contd.)
Ashok Banerjee and Manju Jaiswall
Indian Institute of Management Calcutta
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Measuring Volatility
Ashok Banerjee
Indian Institute of Management Calcutta
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
ARIMA Models
Sahadeb Sarkar
Indian Institute of Management Calcutta
Day 6:
May 6, 2015 (Wednesday)
9:30 am – 11 am
The Determinants of Capital Structure Choice
Vivek Rajvanshi
Indian Institute of Management Calcutta
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
What Do We Know about Capital Structure? Some Evidence from International
Data
Vivek Rajvanshi
Indian Institute of Management Calcutta
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Formation of Groups and Discussions (Group 9 and 10)
Vivek Rajvanshi
Indian Institute of Management Calcutta
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
Session on STATA
Day 7:
May 7, 2015 (Thursday)
9:30 am – 11 am
Work on Research Proposal
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Work on Research Proposal (Contd.)
Interim Presentation by Group 5 & 6
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Work on Research Proposal (Contd.)
Interim Presentation by Group 7 & 8
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
Work on Research Proposal (Contd.)
Day 8:
May 8, 2015 (Friday)
9:30 am – 11 am
Final Presentation: Team 1 and 2
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Final Presentation: Team 3 and 4
Interim Presentation by Group 9 & 10
1 pm – 2 pm
Lunch Break
2 pm – 3:30 pm
Final Presentation: Team 5 and 6
3:30 pm – 4 pm
Tea Break
4 pm – 5:30 pm
Final Presentation: Team 7 and 8
Day 9:
May 9, 2015 (Saturday)
9:30 am – 11 am
Final Presentation: Team 9 and 10
11 am – 11:30 am
Coffee Break
11:30 am – 1 pm
Concluding session and Final Remarks