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.
For more detail, click here: Curriculum Vitae
Address: Ivey Business School, University of Western Ontario
1255 Western Road, London, Ontario, Canada, N6G 0N1
Sources of Return Predictability
We develop an approach to determine whether a particular predictor represents a proxy for fundamental risk. We build on the assumption that risk-based predictors should be linked to new information about economic conditions. We show that most predictors forecast returns on either days with macroeconomic announcements or the remaining days, indicating that sources of return predictability differ across predictors: few are driven by fundamental risk; most have other origins. We show that Shiller’s excess volatility is confined to non-announcement days, suggesting that the ability to forecast stock market’s noise component underlies much of the predictability documented in the literature.
Presented: 2024 MFA (scheduled) • 2024 SWFA (scheduled) • 2024 AFA (scheduled) • 2023 World Finance & Banking Symposium (scheduled) • 2023 JFR European Symposium • 2022 FIRS • 2022 Adam Smith Workshop in Asset Pricing • 2021 EEA-ESEM • 2021 World Finance Conference • 2021 Saïd Business School Brown Bag Seminar
Mind the (trade) gap! Stock market implications of barriers to trade
Presented: 2024 SWFA (scheduled) • 2021 Saïd Business School Lunch Seminar • 2021 Trans-Atlantic Doctoral Conference • 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
The Money Multiplier and Asset Returns
Ivey Business School, University of Western Ontario:
- 3303 Finance. Instructor, HBA (2022 - present)
Saïd Business School, University of Oxford:
- Empirical Asset Pricing. Teaching Assistant, MSc in Financial Economics (2019)