Inquire Europe | Institute for quantitative investment research

Inquire Europe

Institute for quantitative investment research

Joint Autumn Seminar 2023

Hotel Corinthia, St George’s Bay – Malta, 26 – 28 March 2023

Sunday, 26 March 2023

19.00hRegistration, cocktail reception and dinner at Corinthia Hotel


Monday, 27 March 2023

7.00 – 8.15hBreakfast
8.15 – 8.30hWelcome & Opening Remarks

INFLATION RISK
8.30 – 9.30hThe pricing of Inflation Risk and Inflation Expectations
Michael Weber (University of Chicago)
9.30 – 10.30hInflation 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)
10.30 – 11.00hRefreshment break
11.00 – 12.00hInflation 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)

SOVEREIGN DEFAULT RISK
12.00 – 13.00 hHot Off the Press: News-implied Sovereign Default Risk
Chukwuma Dim* (George Washington University), Kevin Koerner, Marcin Wolski and
Sanne Zwart (European Investment Bank)
13.00 – 14.00hLunch

CLIMATE RISK
14.00 – 15.00hA Quantity Based Approach to Constructing Climate Risk Hedge Portfolios
Johannes Stroebel (New York University – Leonard N. Stern School of Business)
15.00 – 15.20hRefreshment break
15.20 – 16.30hJoint session on the greenium:
15.20 – 15.40hActions 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
15.40 – 16.00hDifferent 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)
16.00 – 16.30hRound table discussion and questions on both papers
17.00Departure for social program


Tuesday, 28 March 2023

8.00 – 9.00hBreakfast

ESG Investing
9.00 – 10.00hEnvironmental Regulatory Risks, Firm Pollution, and Mutual Funds’ Portfolio Choices
Simon Xu (Haas School of Business – University of California at Berkeley)
10.00 – 11.00hAltruists going on an ego trip: Beliefs and ambiguity attitudes
in socially responsible investment**
Peiran Jiao*, Rob Bauer, Bin Dong (University of Maastricht)
11.00 – 11.30hRefreshment break
11.30 – 12.30hDecarbonizing 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)
12.30 – 13.45hLunch and closing of the seminar
13.45hDeparture of the coach from the hotel to the airport

* Speaker at the seminar
** Sponsored Research