Conference Agenda

In Search of the Causal Greenium

Moritz Rodenkirchen¹, Alexander Pasler¹, Patrick Weiss²

1: Vienna University of Economics and Business (WU), Austria; 2: Reykjavik University, Iceland

Discussant: Jan Harren (University of Muenster)

The aggregated equity risk premium

Vitor Azevedo¹, Christoph Riedersberger¹, Mihail Velikov²

1: RPTU Kaiserslautern-Landau; 2: Penn State University

Discussant: Moritz Rodenkirchen (Vienna University of Economics and Business (WU))

The fed and the wall street put

Jan Harren¹, Mete Kilic², Zhao Zhang³

1: University of Muenster, Germany; 2: University of Southern California, USA; 3: International Monetary Fund, USA

Discussant: Christoph Riedersberger (RPTU Kaiserslautern-Landau)

Dictionaries for post-bankruptcy success prediction: A machine learning approach

Wolfgang Breuer, Andreas Knetsch, Katharina Mersmann

RWTH Aachen University, Germany

Discussant: Christoph Schneider (University of Münster)

Tech openness: Corporate culture in times of AI-transformation

Sabrina Yufang Sun, Sven Vahlpahl

University of Mannheim, Germany

Discussant: Andreas Knetsch (RWTH Aachen University)

The outsized role of tax havens in mergers and acquisitions

Jean-Marie Meier¹, Jake Smith², Christoph Schneider³

1: University of Texas at Dallas; 2: U.S. Securities and Exchange Commission; 3: University of Münster, Germany

Discussant: Sabrina Yufang Sun (University of Mannheim)

Flooded friends - peer effects in insurance decisions

Felix Dornseifer

Goethe University Frankfurt, Germany

Discussant: Olaf Korn (University of Göttingen)

Determinants and forecasting of corporate greenwashing behavior

Jens Eckberg¹, Gregor Dorfleitner^1,2,4, Manuel Kathan^3,4,5, Sebastian Utz^3,4

1: Department of Finance, University of Regensburg; 2: Centre for European Research in Microfinance (CERMi), Belgium; 3: Department of Climate Finance, University of Augsburg; 4: Centre for Climate Resilience, University of Augsburg; 5: Swiss Institute of Banking and Finance, University of St. Gallen

Discussant: Felix Dornseifer (Goethe University Frankfurt)

The influence of uncertain environmental impact on risk taking in asset allocation

Oliver Frensch, Olaf Korn, Holger A. Rau

University of Göttingen, Germany

Discussant: Jens Eckberg (University of Regensburg)

Probability of Default, Leverage and Dynamics

Günter Franke¹, Peter Bednarek², Daniel te Kaat³

1: Universität Konstanz, Germany; 2: European Central Bank, Frankfurt; 3: University of Groningen, Netherlands

Discussant: Oliver Rehbein (Vienna University of Economics and Business)

Taxation and bank liquidity creation

Allen Berger¹, Dimitris Chronopoulos², Anna Lucia Sobiech^2,3, John OS Wilson²

1: University of South Carolina, USA; 2: University of St Andrews, United Kingdom; 3: University of Cologne, Germany

Discussant: Günter Franke (Univesität Konstanz)

When the Dam almost Breaks: Disasters and Credit Risk

Sophia Arlt^2,3, Christian Gross², Oliver Rehbein¹, Iliriana Shala^2,3

1: Vienna University of Economics and Business, Austria; 2: Deutsche Bundesbank; 3: Goethe University

Discussant: Anna Lucia Sobiech (University of Cologne)

Ambiguity, prudence, and optimal portfolio choice: beyond robust mean-variance analysis

Fabio Girardi

Vienna University of Economics and Business, Austria

Discussant: Wolfgang Breuer (RWTH Aachen University)

A new Measure of Overconfidence: Deducing the Board Perspective on CEO Optimism and Miscalibration

Ingolf Dittmann², Sebastian Pfeil¹

1: University of Groningen, Netherlands, The; 2: Erasmus University Rotterdam

Discussant: Fabio Girardi (Vienna University of Economics and Business)

The choice for and the effect of CEO interviews after earnings announcements

Wolfgang Breuer, Anthony Haake

RWTH Aachen University, Germany

Discussant: Sebastian Pfeil (University of Groningen)

Measuring Option Liquidity

Alexander Götz¹, Ryan Riordan², Philipp Schuster¹, Marliese Uhrig-Homburg³

1: Universität Stuttgart, Germany; 2: LMU Munich School of Management, Germany; 3: Karlsruhe Institute of Technology, Germany

Discussant: Fabian Hollstein (Saarland University)

Good and bad variance premia and expected carbon returns

Nicole Branger, Jan Harren, Stefan Menze

University of Münster, Germany

Discussant: Alexander Götz (Universität Stuttgart)

How do investors trade option anomalies?

Fabian Hollstein¹, Chardin Wese Simen²

1: Saarland University, Germany; 2: University of Liverpool, UK

Discussant: Stefan Menze (University of Münster)

Can inflation and monetary policy predict asset prices?

Carina Fleischer

University of Luxembourg, Luxembourg

Discussant: Leonie Wieneke (University of Münster)

Portfolio Selection and Asset Pricing with Ambiguity: a two-stage Evaluation Approach

Ying He¹, Julian Hölzermann^1,2

1: University of Southern Denmark, Denmark; 2: Danish Finance Institute

Discussant: Carina Fleischer (University of Luxembourg)

Intermediary asset pricing with heterogeneous intermediaries in a production economy

Nicole Branger¹, Patrick Brock², Christian Schlag², Leonie Wieneke¹

1: University of Muenster, Germany; 2: Goethe University Frankfurt, Germany

Discussant: Julian Hölzermann (University of Southern Denmark)

Algorithms leave but insiders arrive: evidence from the tick size pilot

Chen Lin

Uni Mannheim, Germany

Discussant: Moritz Wiedemann (Erasmus University, Rotterdam School of Management)

Watchdog or mouthpiece? The role of financial news media in corporate communication

Noah Urban¹, Martin Hibbeln¹, Henrik Müller¹, Ralf Metzler²

1: University of Duisburg-Essen, Germany; 2: TU Dortmund University, Germany

Discussant: Chen Lin (Uni Mannheim)

Green stewards: Responsible institutional investors foster green capex

Moritz Wiedemann

Rotterdam School Of Management, Erasmus University

Discussant: Ralf Metzler (University of Duisburg-Essen)

Bank dividend restrictions and banks' institutional investors

Christian Mücke

ESCP Business School, Spain

Discussant: Andrea Modena (-University of Mannheim)

Stock market responses to capital buffer announcements during the COVID pandemic: Evidence from a new global dataset

Mahmoud Metwally, Jens Klose

Technische Hochschule Mittelhessen

Discussant: Christian Mücke (ESCP Business School)

Coordinating dividend taxes and capital regulation

Andrea Modena¹, Luca Regis², Salvatore Federico³

1: University of Mannheim; 2: University of Turin and Collegio Carlo Alberto; 3: University of Bologna

Discussant: Mahmoud Metwally (Technische Hochschule Mittelhessen/Justus Liebig Universität)

Relative visibility and attraction in asset pricing

Matthias Bank

Banken und Finanzen, University of Innsbruck, Austria

Discussant: Hannes Mohrschladt (University of Potsdam)

Satispricing

Clemens Mueller, Patrick Verwijmeren

Erasmus University Rotterdam, Netherlands, The

Discussant: Matthias Bank (Universität Innsbruck)

Strategic communication with a myopically loss averse investor

Thomas Langer¹, Nils Lohmeier¹, Hannes Mohrschladt^1,2

1: University of Münster; 2: University of Potsdam

Discussant: Clemens Mueller (Erasmus University Rotterdam)

Nonlinearities and Pricing Complexity in the Cross-Section of Stock Returns

Fabio Girardi¹, Lukas Körber², Christian Schlag³

1: Vienna University of Economics and Business; 2: Goethe-University Frankfurt; 3: Goethe-University Frankfurt and Leibniz Institute SAFE

Discussant: Dennis Umlandt (University of Innsbruck)

Roy sorting: climate and status quo strategies

Thomas Kolbe Cauthorn¹, Samuel Drempetic², Andreas G.F. Hoepner³, Christian Klein¹, Adair Morse⁴

1: University of Kassel; 2: Steyler Ethik Bank; 3: University College Dublin and the European Commission’s Platform for Sustainable Finance; 4: University of California-Berkeley and NBER

Discussant: Lukas Körber (Goethe Universität Frankfurt)

Common factors in currency characteristics

Moritz Dauber, Dennis Umlandt

University of Innsbruck, Austria

Discussant: Thomas Kolbe Cauthorn (University of Mannheim)

Liquidity mechanisms in decentralized finance: Design, fragmentation, and arbitrage in real-world asset markets

Ralf Laschinger¹, Heiko Leonhard², Gregor Dorfleitner³, Wolfgang Schäfers⁴

1: LMU Munich School of Management, Germany; 2: International Real Estate Business School, University of Regensburg; 3: Department of Finance, University of Regensburg; 4: International Real Estate Business School, University of Regensburg

Discussant: Lennart Sperling (FernUniversität in Hagen)

SOFR so good: Transaction costs and resilience in the post-Libor swap market

Jan Gabriel Roth, Anders Bjerre Trolle

Copenhagen Business School, Denmark

Discussant: Heiko Leonhard (University of Regensburg)

Out of sync: latency arbitrage on European markets

Lisa Kaminski

LMU Munich, Germany

Multi-market coupling model: a residual demand approach

Tobias Kargus, Marliese Uhrig-Homburg

Karlsruhe Insitute of Technology (KIT), Germany

Analyst vs. machine learning: differences in implied cost of capital estimations

Minghui Chen

Technical University of Munich, Germany

Look at my watch! Continuous information and momentum in the market for luxury watches

Siegfried Köstlmeier, Klaus Röder

University of Regensburg, Germany

Greener pensions, greener choices: linking investments to sustainable behavior

Olga Balakina¹, Charlotte Christiansen², Malen Kallestrup-Lamb²

1: Leibniz Institute for Financial Research SAFE, Germany; 2: Aarhus BSS, Aarhus University, Denmark

Bitcoin ordinals and inscriptions: An analysis of Bitcoin’s evolving network dynamics

Alexander Wiedenmann

Ulm University, Germany

Do investors learn from prices? Evidence from the securities lending market

Paula Cocoma¹, Christian Skov Jensen²

1: Frankfurt School of Finance and Management, Germany; 2: Bocconi University, Italy

Discussant: Patrick Schwarz (HEC Liege)

Price pressure during central bank asset purchases: Evidence from covered bonds

Philipp Lentner

WU Vienna, Austria

Discussant: Paula Cocoma (Frankfurt School of Finance and Management)

Economic limits of bitcoin’s environmental promises: pathway or pitfall for the green transformation?

Jona Stinner, Maximilian Gill, Marcel Tyrell

Witten/Herdecke University, Germany

Discussant: Thomas Walther (Utrecht University)

Banking for boomers - A field experiment on technology adoption in financial services

Katharina Hartinger¹, Erik Sarrazin¹, David Jia-Hui Streich²

1: Johannes Gutenberg University Mainz, Germany; 2: Catholic University Eichstaett-Ingolstadt, Germany

Discussant: Maximilian Gill (University of Witten/Herdecke)

Certainly! Generative AI and its Impact on Academic Writing (in Finance)

Thomas Walther^1,2, Marie Dutordoir^3,1

1: Utrecht University School of Economics, The Netherlands; 2: Faculty of Business and Economics, Technische Universität Dresden, Germany; 3: University of Manchester Alliance Manchester Business School, United Kingdom

Discussant: David Jia-Hui Streich (Catholic University Eichstaett-Ingolstadt)

The expected returns on machine-learning strategies

Vitor Azevedo¹, Christopher Hoegner², Mihail Velikov³

1: RPTU Kaiserslautern-Landau, Germany; 2: Technische Universität München; 3: Smeal College of Business, Penn State University

Discussant: Stefan Scharnowski (University of Mannheim)

Dealer quid pro quo in the municipal bond market

Casey Dougal², Daniel A Rettl¹, Vasiliy Yakimenko¹

1: University of Georgia; 2: Florida State University

Discussant: Vitor Azevedo (RPTU Kaiserslautern-Landau)

Hidden Liquidity - Evidence from the Introduction of Iceberg Orders

Stefan Scharnowski

University of Mannheim, Germany

Discussant: Daniel A Rettl (University of Georgia)

Same same but different: The risk profile of corporate bond ETFs

Johannes Dinger¹, Marcel Müller¹, Marliese Uhrig-Homburg¹, Aleksandra Rzeźnik²

1: Karlsruhe Institute of Technology, Germany; 2: Schulich School of Business York University, Canada

Discussant: Matthias Muck (Universität Bamberg)

ESG favoritism in mutual fund families

Anna Zsofia Csiky¹, Rainer Jankowitsch^1,2, Alexander Pasler¹, Marti G. Subrahmanyam^3,4

1: WU (Vienna University of Economics and Business), Austria; 2: Vienna Graduate School of Finance; 3: NYU Stern; 4: NYU Shanghai

Discussant: Johannes Dinger (Karlsruhe Institute of Technology)

Unmasking global investors: An examination of the shifting dynamics in sovereign bond trading

Nicole Branger¹, Matthias Muck², Alexander Pütz³

1: Universität Münster; 2: Universität Bamberg; 3: Deutsche Finanzagentur

Discussant: Alexander Pasler (WU (Vienna University of Economics and Business))

The term structure of European carbon futures and the predictive power of speculators and hedgers

Lina Franziska Lautner¹, Tom L. Dudda², Tony Klein¹

1: Technische Universität Chemnitz, Germany; 2: Technische Universität Dresden, Germany

Discussant: Tobias Lorenz Neumaier (University of Bremen)

Are there fences in the global factor zoo?

Merlin Bartel¹, Sebastian Stöckl¹, Joshua Traut²

1: Universität Liechtenstein, Liechtenstein; 2: Universität St. Gallen, Schweiz

Discussant: Lina Franziska Lautner (Technische Universität Chemnitz)

The Devil in the Details: A Multiverse View of Pockets of Predictability

Nusret Cakici¹, Christian Fieberg², Tobias Lorenz Neumaier³, Thorsten Poddig³, Adam Zaremba⁴

1: Gabelli School of Business, Fordham University; 2: HSB Hochschule Bremen - City University of Applied Science; 3: University of Bremen; 4: MBS School of Business, Poznan University of Economics and Business, and Monash University

Discussant: Merlin Bartel (University of Liechtenstein)

Pieces of the index option return puzzle: Some new evidence

Rainer Baule, Florian Borchard

FernUniversität in Hagen, Germany

Discussant: Fanchen Meng (Karlsruhe Institut für Technologie)

Long-run and short-run idiosyncratic stock volatilities and cross-section of option returns

Quan Gan, Van Quoc Thinh Nguyen

University of Sydney, Australia

Discussant: Florian Borchard (FernUniversität in Hagen)

How option traders take sides on return predictability

Julian Böll, Fanchen Meng, Julian Thimme, Marliese Uhrig-Homburg

Karlsruhe Institut für Technologie, Germany

Discussant: Van Quoc Thinh Nguyen (University of Sydney)