Our speaker will be

Sven Klingler

(Norwegian Business School).

The talk will take place at 12:00-13:00 in seminar room D4.0.039.

He will give a talk on "Active Loan Trading", co-authored with Frank Fabozzi, Pia Molgaard and Mads Stenbo Nielsen.

Abstract: Analyzing a novel dataset of leveraged loan trades executed by managers of collateralized loan obligations (CLOs), we document the importance of "active loan trades" - trades executed at a manager's discretion. Active loan sales are conducted at better prices than non-active sales and before rating downgrades. More active CLOs trade at better prices than less active CLOs, selling leveraged loans earlier and before they get downgraded. More active trading also increases the returns to equity investors and lowers collateral portfolio default rates. In contrast, tests with a placebo variable, capturing passive turnover, lead to insignicant results.