Welcome! I'm Beata Gafka.
I am an Assistant Professor in Finance at the Ivey Business School, University of Western Ontario. In my research I focus on asset pricing and macro finance.
I received my PhD in Finance from the Saïd Business School, University of Oxford in June 2022. Before my doctorate degree, I obtained an MSc in Finance from Bocconi University and spent two years working in investment banking in London, England with a particular focus on the provision of client clearing and collateral solutions for derivatives trading. I also hold BA degrees in Finance and Economics from the Warsaw School of Economics.
Address: Ivey Business School, University of Western Ontario
1255 Western Road, London, Ontario, Canada, N6G 0N1
Mind the (trade) gap! Stock market implications of barriers to trade
Job Market Paper
The Brexit referendum disrupted global trade: the UK's exchange with the EU and numerous third countries would suffer. Relative stock prices reacted accordingly with the damage greater and longer-lasting for the UK than the EU. UK-focused manufacturing fared worst in both regions. The UK's EU-exposed services firms were also impacted – the market correctly expected December 2020 "no-deal" outcome for that sector. Third-country exposure attenuated the shock's impact on EU but not UK companies. Consequently, the UK zone factor underperformed the old-EU one by 20 percentage points between 2016 and 2019. Brexit exposure high-low portfolio explains 70% of the time-series variation in this underperformance. Overall, the results showcase the impact of leaving a free trade agreement on firm and country business risk.
Presented: 2021 Saïd Business School Lunch Seminar • Trans-Atlantic Doctoral Conference 2021 • 2021 Eastern Finance Association Conference Doctoral Students Session • 2021 Southwestern Finance Association Conference • 2020 Saïd Business School Lunch Seminar • 2020 FMA Conference Doctoral Student Consortium • AEFIN 2020 PhD Mentoring Day • 2020 Saïd Business School Brown Bag Seminar
Sources of Return Predictability
with Pavel G. Savor and Mungo I. Wilson
A large literature establishes a set of predictors that robustly forecast future market returns, raising questions about these predictors' origins. We develop an approach to determine whether a particular predictor represents a proxy for fundamental risk, which is based on an intuitive assumption that risk-based predictors should be linked to new information about economic conditions. We show that an overwhelming majority of predictors forecast returns either on days with macroeconomic announcements or on the remaining days. This suggests that the sources of return predictability differ across predictors with some driven by fundamental risk and others having different origins. Shiller's excess volatility puzzle is confined to non-announcement days, indicating that the ability to forecast the noise component of stock market movements underlies much of the stock market return predictability documented in the literature.
Presented: FIRS 2022 • 2022 Adam Smith Workshop in Asset Pricing • EEA-ESEM 2021 • 2021 World Finance Conference • 2021 Saïd Business School Brown Bag Seminar
The Money Multiplier and Asset Returns
with Anna Stepashova
We study the relationship between aggregate money balances and subsequent stock and bond returns. We find that levels of broad money multipliers (the ratios of broad money to narrow money) forecast future returns with a negative sign, while changes in these multipliers forecast returns with a positive sign. These findings indicate that levels of multipliers are pro-cyclical: they tend to be high at times of low expected returns. The money multipliers’ dynamics indicates changes in the volume of financial intermediation and the level of net leverage, consistent with credit-cycle theories of macroeconomic fluctuations.
Old wine in new bottles. Are industry risks still not understood?
I show that industry indices consistently explain large shares of international factor and geographic risk premia. In Europe and North America, global industry indices explain at least 50% of the value (HML) and 30% of the size (SMB) and productivity (RMW) factors, respectively. In Asia-Pacific and North America, they explain approximately 30% of the regions' investment (CMA) factors. Similarly, univariate and multivariate sort portfolios show strikingly consistent trends with respect to co-movement with the relevant industries. Finally, as expected in a commercially integrated world, geographic zone factors also constitute portfolios of these indices. Together, the results indicate that various premia credited to existence of risk factors can in fact be just combinations of at present poorly understood industry-specific risks.
Ivey Business School, University of Western Ontario:
- 3303 Finance. Instructor, HBA
Saïd Business School, University of Oxford:
- Empirical Asset Pricing. Teaching Assistant, MSc in Financial Economics