Theme: Machine and data in quant investing
Venue: Radisson Collect, Grand Place
The program will be available in December 2024
Papers
The pricing of Inflation Risk and Inflation Expectations
Michael Weber (University of Chicago)
Inflation Risks within and across Asset Classes
Nikolai Roussanov* (Moise Y. Safra Professor of Finance, The Wharton School, University of Pennsylvania), Xiang Fand (University of Hong Kong) and Yang Liu (University of Hong Kong)
Inflation and Individual Investors’ Behavior: Evidence from the German Hyperinflation**
Felix von Meyerinck* (University of Zurich), Fabio Braggion (Tilburg University), and Nic Schaub (WHU, Otto Beisheim School of Management)
Hot Off the Press: News-implied Sovereign Default Risk
Chukwuma Dim* (George Washington University), Kevin Koerner, Marcin Wolski and Sanne Zwart (European Investment Bank)
A Quantity Based Approach to Constructing Climate Risk Hedge Portfolios
Johannes Stroebel (New York University – Leonard N. Stern School of Business)
Actions Speak Louder Than Words: The Valuation of Green Commitment in the Corporate Bond Market
Hui Xu* (Lancaster University), Peter Pope (Bocconi University) and Yang Wang
Different Shades of Green: Using Natural Language Processing to Estimate Green Bond Premium
Emanuela Benincasa* (University of Zurich and Swiss Finance Institute), Jonathan Fu (University of Zurich), Mrinal Mishra (University of Zurich), Adityavardhan Paranjape (Zurich Insurance Group)
Environmental Regulatory Risks, Firm Pollution, and Mutual Funds’ Portfolio Choices
Simon Xu (Haas School of Business – University of California at Berkeley)
Altruists going on an ego trip: Beliefs and ambiguity attitudes in socially responsible investment **
Peiran Jiao*, Rob Bauer, Bin Dong, (University of Maastricht)
Decarbonizing Institutional Investor Portfolios
Philipp Krueger* (University of Geneva, the Swiss Finance Institute and ECGI), Vaska Atta-Darkua (University of Virginia Darden School of Business), Simon Glossner (University of Virginia Darden School of Business) and Pedro Matos (Board of Governors of the Federal Reserve System)