Workshop 2023

Program

Date: 

April 5-6, 2023

Venue: 

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

Participation: 

If you would like to attend the workshop, please send an email to tbear.network@gmail.com. Note that only a limited number of places are available and that places will be allocated on a first come first served basis.

Program: (Presenters in italics)

April 5, 2023

13:30 Registration

13:45 Welcome

14:00 Session 1: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

by David Ardia (HEC Montreal), Emmanuele Guidotti (University of Neuchâtel), and Tim A. Kroencke (University of Neuchâtel)

Discussant: Erik Theissen (University of Mannheim)

15:00 Session 2: Expected Bond Liquidity

by Marcel Mueller (KIT), Michael Reichenbacher (KIT), Philipp Schuster (University of Stuttgart), and Marliese Uhrig-Homburg (KIT)

Discussant: Jantje Soenksen (University of Tuebingen)

16:00 Coffee break

16:30 Session 3: The Cost of ESG Investing

by Laura Anne Lindsey (Arizona State University), Seth Pruitt (Arizona State University), and Christoph Schiller (Arizona State University)

Discussant: Christoph Meinerding (Deutsche Bundesbank Research Centre)

17:30 Session 4: Deep Parametric Portfolio Policies

by Frederik Simon (University of Cologne), Sebastian Weibels (University of Cologne), and Tom Zimmermann (University of Cologne)

Discussant: Heiner Beckmeyer (University of Muenster)

18:30 End of day 1

April 6, 2023

  9:30 Session 5: Hedge Funds and Financial Intermediary Risk

by Magnus Dahlquist (Stockholm School of Economics), Simon Rottke (University of Amsterdam), Valeri Sokolovski (HEC Montréal), and Erik Sverdrup (Stanford University)

Discussant: Karamfil Todorov (Bank for International Settlements)

10:30 Keynote: Burying Libor 

by Sven Klingler (BI Norwegian Business School)

12:00 Lunch

13:00 Session 6: Insensitive Investors

by Constantin Charles (University of Southern California), Cary Frydman (University of Southern California), and Mete Kilic (University of Southern California)

Discussant: Sabine Bernard (Leibniz Institute for Financial Research SAFE)

14:00 Farewell