Workshop 2022
Program
Date:
April 6-7, 2022
Venue:
Karlsruhe Institute of Technology - Institute for Finance - Blücherstr 17 - 76185 Karlsruhe - Germany
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
