Dr Lammertjan Dam visits CERE and gives a seminar. Read more about Dams research and cooperation with CERE.

The paper he presented at the CERE seminar in February 2012 is titled "Asset Pricing with Fixed Asset Supply", which is joint work with Pim Heijnen. The point of this paper is not to introduce the holy grail of asset pricing, but to argue that equilibrium restrictions on asset price processes may be far more important than the finance literature has commonly considered. To do so, Dam and Heijnen develop a standard consumption based asset pricing model, but require that the number of outstanding shares is fixed and that supply equals demand in every period. The novelty is not necessarily in identifying the resulting restrictions on the price process, but rather to show that a price process that satisfies the restrictions exhibits many properties and stylized facts of asset price behavior as described by the empirical literature, such as, mean reversion, volatility clustering, time-varying risk premia, and leverage effects. Moreover, they show that the model can easily be implemented and that it can be used to accurately predict long term stock returns.

His ongoing research includes the continued collaboration with Tommy Lundgren (CERE). Together they are working on a theoretical model of private provision of a public good by (socially responsible) shareholders. The basic idea is that if there is a trade-off between profitability and the provision of a public good by a company, a shareholder who has a large stake in the firm must forego more profits compared to a shareholder with only a few shares while both enjoy the same increase in the amount of the public good provided. This creates a conflict of interest. However, this conflict may be resolved, since the shareholdings are also endogenous in a general equilibrium setting. Dam and Lundgren are interested in characterizing a stock market equilibrium, in terms of a distribution of shareholdings, for which there is unanimous consent on the level of provision of the public good by the firm - an equilibrium that can directly be linked to so-called Lindahl prices. Once this characterization is established, the next goal is then to use the model to empirically apply the model to shareholder data and a few (proxies for) corporate public good provision. Dam and Lundgren are not only interested in shareholder preferences or corporate trade-offs, but also in the link between the distribution of shareholdings and public good provisions; is it better for the environment to have one large shareholder or dispersed ownership? How do differences in shareholder preferences affect the answer to this question? Since these questions have not been answered yet, we can expect Dam to visit Umeå again in the (near) future.

Lammertjan DamDr. Lammertjan Dam is an assistant professor from Groningen, the Netherlands. He obtained a master's degree in econometrics (cum laude) at the University of Groningen in 2002. He defended his PhD thesis, titled "Corporate Social Responsibility and Financial Markets" at the same university in 2008. This thesis was nominated for the KVS-award for the "Best PhD-thesis 2006-2007/2007-2008 defended at a Dutch University". Currently he is enrolled in the tenure track program of the University of Groningen at the department of Economics, Econometrics, and Finance within the Faculty of Economics and Business. Recently, his research has shifted somewhat to the core finance topics, but he still remains interested in environmental economics and the link with socially responsible investment. He teaches Corporate Finance and Advanced Corporate Finance in the Finance Master program, and "Seminar 1", which is an advanced introduction in finance for the first year Honors Bachelor students. In addition, he supervises about 10-15 students for their master thesis on a yearly basis, and currently supervises 2 PhD Students.

Dam visited Umeå for the first time in 2007, when he organized a workshop on Corporate Social Responsibility together with Tommy Lundgren. The workshop was a success and there was mutual interest by the researchers of Umeå and Groningen. So Dam came back to Umeå to give a seminar in Spring 2010, but the purpose of this visit was also to discuss potential joint research. The discussions were fruitful, and during the Fall of 2010, he spend three months at Umeå University as a visiting scholar doing research together with Lundgren and giving a few guest lectures and seminars.


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