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Maria Vassalou

lines on the record: 65
first: 2023-03-03
most recent: 2023-03-03
sittings or episodes: 1
sources: podcast

Every line below is reproduced as it was said and linked to the record it came from. Nothing here is summarised or generated. Directory · Search · Corrections

“Sorrows had to retire from active investing. When he saw what was happening in the markets, he came back. And so I had decided. Yeah. And so I had the opportunity to observe him up close, to listen to his views, to interact with him. And that was certainly a great experience.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Pretty much, and I started actually, I developed my strategies and built the quantitative strategies group from the summer of 2006 onwards. And I started running my strategies with money in March of 2007. So soon before the quant meltdown, which was interesting. And so I suddenly had a baptism by fire in the markets, but it was a great experience. We did very well during the quant meltdown. And it was also an opportunity to see up close what was happening behind the scenes in the markets, how the financial crisis was developing. And also it was very interesting because even though George”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, it was startling not exactly a shock, but I had to get adapted to it. But I am someone who is quite adaptable. I left my country. I lived in six different countries. I came to the US. And so I'm used to changing environments and try to adapt to this new environment. suddenly going to Soros was a big eye-opener and also I was there during a very interesting time in the markets.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“I think it's much more nuanced than as the time goes by, I think the two lines get blurred also because of technology, because of the increased presence of retail investors in the markets, the market microstructure has changed. And so it's much more common now to see prolonged deviations from fundamentals in the market. And we've seen that recently as well. And so I wouldn't say that one approach is right and the other one is wrong, but maybe it's a matter of timing. I think the risk-based explanations need longer time to play out. Some of this behavioral drivers, some more short-term drivers.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Point it became to me a little bit repetitive and I felt like nobody could unequivocally prove their point as to who is really right. And so at some point I thought, well, if I go and manage money based on this risk-based explanations and based on the way I understand how the world functions, how the markets functions, if that works, then that's one form of justification of what I'm doing.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“You should be not. Usually not. And so they go into cycles and it also relates to when they are losers, what's the probability of recovering? And it really has to do with whether they have the ability to innovate and get out of that traffic. So you can see a very high correlation between losers and winners with respect to how they perform on that measure. But anyway, so I had all this ideas about how all these different phenomena were formed and what was driving them. And of course, my colleagues on the behavioral side had different ideas. And so we were always debating this topics at conferences and through publications. And at some”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Big, big disparity. Yeah. So at that time, I would go to conferences and publish papers and make those arguments. And then I had other colleagues that would try to provide behavior explanations. And similarly with the momentum effect, which I had related to corporate innovation, as I was calling it, which was corporate innovation, which was really a firm level total factor productivity. So how much innovation companies produce and how long they can remain leaders in that innovation to really maintain that momentum.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“And that's why you saw last year, for instance, when GDP growth started becoming a little bit more muted and expectations were for a lower GDP growth going forward, value stocks outperform growth.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“In the case of value versus growth, It's more related to the level of GDP growth and investment growth in different sectors.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Becomes much more prominent. And so you see it in the whole cross-section of small caps. But when the default probabilities are lower and you look at the whole cross section of small caps, it's not so apparent. So people say that it goes away, but it doesn't really go away. It's a matter of magnitude and where you're looking for it.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Yes. And what happens is this small cap effect is related to the default probability. So I have a paper where I computed default probabilities based on Merton's model and I did this for the whole cross-section of assets and then I sorted them and created desiles and so on and tracked how the behavior is over time. And of course you see that depending on the part of the business cycle you're going through the default probability varies over time and it increases during downturns of the business cycle and so on. When that happens then the small cap effect”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, it was actually very interesting because when I looked at the small caps, it's actually, if you dissect the small caps, you see that the small cap effect always exists in the smallest of the small caps. And it's related to default ris”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“That was certainly part of it. There was also an intellectual curiosity aspect to it because when I was doing that work, it was also the time where behavior of finance became more prevalent, if you like. And I was always on the camp of rational risk-based explanations for various as surprising phenomena. And my view was always if an anomaly persists and it doesn't go away. Maybe it's not an anomaly. Maybe it's risk based and it's a risk factor that we haven't really accounted for. And so a lot of my research was related to trying to uncover what were the underlying risk factors and the place where I was looking for these risk factors was in the real economy. So I was relating asset prices to GDP growth, to invest to default risk to Factors like this”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“For Deutsche Asset Management, and then eventually also for SARS management. And so along the way, I was getting offers to join the industry. And finally, I decided to join SARS.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, actually, it sounds very unusual to go from academia to the industry, and usually it's not considered a very successful path. But in my case, it was very helpful because I had the opportunity to spend over 10 years doing intensive research in the intersection of macro and finance and asset pricing. And all these questions that I was trying to answer had direct applications to hedge fund strategies and portfolio management. And so actually part of the reason I moved to the industry was because while I was doing this research and presenting it around and publishing it in academic journals, it was attracting attention from the industry. And I had the opportunity to be a retained consultant from CITOL.”
2023-03-03 · Masters in Business · Maria Vassalou on the Small-Cap Effect · IDENTIFIED FROM THE TRANSCRIPT · source