December Newsletter
Keep up to date on the latest CQA news.
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As we look back on the past year, we are starting to feel like things are getting back to "normal" for the CQA. Attendance to events has been increasing as travel restrictions ease, and people are feeling better about getting together in-person. 2023 was a great year for CQA events, and we're anticipating that 2024 will be even better.
Since the Mid-America Club closed, we had to find a new venue and selected the University of Chicago's Gleacher Center for our September conference. The Gleacher was a suitable replacement, but unfortunately it is not available on our desired dates for 2024. We're in the process of selecting another venue in Chicago for the event. Stay tuned!
In 2024, we brought back the Trading Seminar in New York in cooperation with the SQA. We're planning on holding the event again next June. We're also working with the SQA on a future virtual seminar in May of next year.
Please check out the CQA website for dates and details on all of our events in 2024. Hopefully, we’ll see everyone at a CQA event in the near future.
Happy Holidays to you and your family. Looking forward to a terrific year in 2024!
-Dan Cardell
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Join us in San Antonio for a Friday evening cocktail reception to kick off the weekend. The reception will be held January 5th at the Grand Hyatt from 6:00 to 9:00 PM. The room location will be listed in the ASSA booklet and on the app. We look forward to restarting this annual tradition.
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For more details on the conference and the schedule of events, please find information here.
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Dues notices will be coming to your email inbox in early January. These will be the only notices you receive and there will be a link to the payment page and instructions for payment options. You can pay your dues early if you like using this link:
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Dues for 2024 will remain at $1,000, the same as in 2023. Despite the rapidly increasing costs of holding conferences, we have been able to keep our dues at the same level. We have been able to achieve this without compromising the quality of our events
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“Sequential Search for Corporate Bonds”
This paper, set to be presented at the upcoming ASSA conference, investigates the sequential search process in over-the-counter (OTC) financial markets, focusing on corporate bonds, where customers make repeated inquiries to dealers. By analyzing a comprehensive record of inquiries on a leading electronic trading platform, the study finds that after the first failed inquiry, it takes two to three days for a customer to purchase an investment-grade bond, emphasizing the significance of both observed and unobserved heterogeneity in understanding search frictions in OTC markets.
Read
“Setting time on fire and the temptation of The Button”
Professor Ethan Mollick discusses the introduction of an AI-powered "Help me write" button in Google Docs, foreseeing widespread use and its impact on outsourcing meaningful tasks. He raises concerns about the potential crisis of meaning as traditionally thoughtful work becomes automated, emphasizing the need for proactive adaptation by organizations to harness the benefits of AI while preserving the value of meaningful contributions.
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“Choosing Pension Fund Investment Consultants”
Pension funds, relying on consultants for asset allocation decisions, replace general consultants due to prior underperformance, while the hiring of specialized consultants is influenced by target asset allocation gaps and board composition. Although specialized consultants enable pension funds to increase investments in private markets, this does not necessarily improve performance, and the concentration of consultants may elevate pension fund flow correlations. This paper is also scheduled for presentation at the ASSA conference.
Read
“A Market Maker of Two Markets: The Role of Options in ETF Arbitrage”
These researchers investigate intraday ETF arbitrage using options, focusing on the S&P 500 ETF (SPY) and S&P 500 index options (SPX). The study reveals that market makers tap into multi-leg complex options orders to fulfill arbitrage trades following ETF order flow shocks, demonstrating the interconnectedness between ETFs and derivatives markets and highlighting profitable mispricing opportunities for market makers.
Read
The Replication Crisis
The replication crisis in finance and other fields has spurred a healthy dose of reflection. Notably, three articles added to the debate this month. First, Fama & French posted a note that describes in more detail the construction of the SMB and HML factors, and the influence that data and rule changes have had on these factors, which appears to be in response to Pat Akey's "Noisy Factors." Second, Bloomberg reported on the retraction of a JFE paper on corporate bond risk factors that has further shaken up the academic world and credit market researchers. Lastly, a WSJ essay delves into more high-profile retractions and suggests that journals may want to consider paying reviewers (more) or hiring scientists who check data and statistics going forward.
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CQA Spring Conference
Las Vegas, NV - April 3-4
Wynn Hotel and Casino
**Please note early date this year
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Inquire-Europe Autumn Seminar
Valencia, Spain - October 8-6, 2024
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