Workshop 2022



April 6-7, 2022


Karlsruhe Institute of Technology - Institute for Finance - Blücherstr 17 - 76185 Karlsruhe - Germany

Guest speakers:

The 2022 workshop featured two guest speakers: Martijn Boons from Tilburg School of Economics and Management and Steffen Hitzemann from Rutgers Business School.

Program: (Presenters in italics)

April 6, 2022

14:00 Registration

14:15 Welcome

14:30 Session 1: Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

by Joachim Grammig (University of Tübingen), Constantin Hanenberg (University of Tübingen), Christian Schlag (Goethe University Frankfurt and Leibniz Institute for Financial Research SAFE), and Jantje Sönksen (University of Tübingen)

Discussant: Marcel Müller (Karlsruhe Institute of Technology)

15:30 Survey session: Machine Learning in Asset Pricing

by Christian Schlag (Goethe University Frankfurt and Leibniz Institute for Financial Research SAFE)

17:00 Coffee break

17:30 Session 2: A Skeptical Appraisal of Robust Asset Pricing Tests

by Tim A. Kroencke (University of Neuchâtel) and Julian Thimme (Karlsruhe Institute of Technology)

Discussant: Julie Schnaitmann (University of Tübingen)

18:30 End of day 1

April 7, 2022

9:00 Session 3: Money in the Right Hands: The Price Effect of Specialized Demand

by Aleksandra Rzeźnik (Schulich School of Business) and Rüdiger Weber (WU Vienna)

Discussant: Florian Weigert (University of Neuchâtel)

10:00 Session 4: Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies

by Jules van Binsbergen (Wharton), Martijn Boons (Tilburg School of Economics and Management), Christian Opp (University of Rochester), and Andrea Tamoni (Rutgers Business School)

Discussant: Simon Rottke (University of Amsterdam)

11:00 Session 5: Investor (Mis)Reaction, Biased Beliefs, and the Mispricing Cycle

by Azi Ben-Rephael (Rutgers Business School), Steffen Hitzemann (Rutgers Business School), and Yuanyuan Xiao (Rutgers Business School)

Discussant: Heiko Jacobs (University of Duisburg-Essen)

12:00 Lunch

13:00 Session 6: Deciphering Monetary Policy Shocks

by Phillipp Gnan (WU Vienna), Maximilian Schleritzko (Vienna Graduate School of Finance), Maik Schmeling (Goethe University Frankfurt), and Christian Wagner (WU Vienna)

Discussant: Michael Bauer (University of Hamburg)

14:00 Farewell