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
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
A large literature establishes a set of predictors that robustly forecast future market returns. In response, a significant debate emerged about the economic origins of these predictors. 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 each predictor forecasts returns either on days with macroeconomic announcements or on other days, but never on both types of days. These results suggest that sources of return predictability differ across predictors, with some driven by economic fundamentals and others having different origins. Consistent with this interpretation, announcement-day returns are positively related to future changes in fundamental value, while there is no such relation for non-announcement-day returns.
Presented: FIRS 2022, Budapest • Adam Smith Workshop in Asset Pricing • EEA-ESEM 2021 • World Finance Conference • 2021 Saïd Business School Brown Bag Seminar
The Money Multiplier and Asset Returns
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