Overview and details of the sessions of this conference. Please select a date or room to show only sessions at that day or location.
Please select "Show Presentations" and "List View" or a single session for detailed view (with abstracts, discussants, downloads). PDF downloads are accessible to registered participants only (after Login).
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)
I extend the robust mean-variance portfolio analysis proposed by Maccheroni et al. (2013) by examining how ambiguity prudence affects optimal stock allocation when the investor evaluates portfolios using the smooth ambiguity model. Ambiguity prudence reflects an aversion to model uncertainty that intensifies as the investor believes unfavorable events as more likely. I derive a higher-order approximation of the certainty equivalent to disentangle the contributions of preferences and beliefs in payoff valuation. Ambiguity prudence introduces nonlinearities into the investor’s valuation, leading to sizable deviations from the robust mean-variance solution, and contributing to information inertia when the investor exhibits greater concern about downside model uncertainty.
10:00am - 10:30am
A new Measure of Overconfidence: Deducing the Board Perspective on CEO Optimism and Miscalibration
Ingolf Dittmann2, Sebastian Pfeil1
1University of Groningen, Netherlands, The; 2Erasmus University Rotterdam
Discussant: Fabio Girardi (Vienna University of Economics and Business)
This paper analyzes optimal compensation contracts when managers are overconfident.
We separate the two components of overconfidence: optimism (overestimation of ex-
pected firm value) and miscalibration (underestimation of the firm value’s volatility).
We calibrate a stylized principal-agent model to the each of the observed contracts of
3.370 CEOs from 2008 to 2021 to obtain the optimism and miscalibration measures. In
our empirical study, we find that CEO miscalibration is correlated with leverage, debt
and equity issue, whereas CEO optimism is correlated with R&D expenditures.
10:30am - 11:00am
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)
This study investigates how S&P 500 CEOs use interviews after earnings announcements to influence market perceptions, as their role in managing reactions to earnings surprises remains underexplored. Across 1,869 announcements during 2023–2024, we find that the probability of a CEO holding an interview rises with the magnitude of the surprise, particularly negative ones. These interviews help mitigate short-term price declines but correlate with weaker future firm performance. Interviews mirroring earnings calls boost returns more than those adding new insights, our LLM/topic-model analysis shows. Also, CEOs pivot to global themes after negative surprises but stress firm details after positive ones, reflecting expectation management. Overall, these findings suggest that interviews sway short-term sentiment rather than align it with long-term managerial expectations.
