During the March annual meeting of the Midwest Finance Association in Chicago, Prof. Sisto presented her recent work entitled “Short selling, regulatory flip flops and uncertainty: Implications for asset pricing and asset allocation.” This work is carried out jointly with Onay Batur from KOC University in Turkey and Prof. Abraham Lioui of EDHEC Business School in Nice, France. The authors examine the impact of changes in short sale regulation in the United States from the repeal of the uptick rule in July 2007 through several bans on shorting of equities during the financial crisis of 2008 and find that the changes impacted risk premia for several priced factors. In addition, depending on the level of sophistication of the portfolio strategy employed, the September 2008 ban of shorting in about 800 stocks negatively impacted the returns of long only equity investors.
Prof. Sisto also acted as a discussant for a session on Corporate Social Responsibility (CSR). The session focused on the link between CSR performance and financial performance. She discussed an interesting paper showing that media coverage is an important channel by which strong CSR performance can be transformed into financial performance. Another paper in the session looked at the differential in performances of socially responsible funds relative to other funds and showed that while socially responsible funds tend to underperform in normal times they outperform in times of market distress, thereby offering downside protection.