Speaker: Prof. Dilip Madan, Robert H. Smith School of Business, University of Maryland Abstract: Strategies for selecting hedging measures that both respect certain market values of cash flows and yet maintain control on their distance from physical measures are advocated, proposed and implemented. The hedging criterion is the maximization of a conservative valuation of the […]
Speaker: Prof. Ruiqi Liu, Department of Mathematics & Statistics, Texas Tech University Abstract: This paper introduces a novel approach for estimating structural break ratios in the factor loadings of high-dimensional approximate factor models, where the breaks occur at unknown common dates and the number of factors is unknown. Our method is based on the observation […]
Speaker: Massimo Guidolin, Department of Finance, Bocconi University, Milan, Italy Abstract: We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum over […]
Speaker: Prof. Lorenzo Mercuri, Dept. of Economics, Management & Quantitative Finance Methods, University of Milan Abstract: The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented […]
Speaker: Dr. Konstantin Ignatov, WHU - Otto Beisheim School of Management Abstract Since the ESG topic consistently gains on importance in the investment universe, companies provide investors with information regarding recent and future ESG activities through different reporting channels. The most recent research finds relevance of ESG-related corporate activities for formation of investors' opinion regarding […]