Previous Talks 

Check the international researchers and topics that were already part of the Institute of Finance - Research Seminar.

2025-09-22, Monday, 11:40-12:40 (Budapest time)
Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Niklas Wagner: Corporate Payout: Do Monetary Uncertainty and ESG Matter?

Abstract: Corporate payout is obviously driven by plenty of firm as well as financial determinants, several of which we use as control variables in our two studies. Referring first to the financial market environment, we study how fluctuations or "waves" in European share repurchases are not only driven by supportive monetary conditions, i.e., by "easy” money, which theoretically should not be a driver at all, but also by low levels of monetary uncertainty, i.e., by the level of confidence in a stable monetary environment. Considering second the recent debate about ESG ratings and their corporate impact, we study corporate payout ratios for U.S. and European firms. Besides using ESG, we consider each pillar's influence, i.e., E, S, and G, and add additional governance control variables in order to test whether ESG could be obsolete. Surprisingly, we find that the environmental and social scopes, E and S, are central in explaining above average corporate payout for all sectors but energy.

• Read Niklas Wagner’s publications: https://www.wiwi.uni-passau.de/en/financial-control/team/niklas-wagner

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule 

2025-09-15, Monday, 11:40-12:40 (Budapest time)
Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Jaime Luque: The Credit Scoring and Transmission Channels in the Non-Prime Mortgage Market

Abstract: We develop an equilibrium model in which credit scoring technology (CST) reshapes the structure of the non-prime mortgage market. The model features two lending channels – portfolio lenders (PLs), which use soft information and hold loans, and originate-to-distribute (OTD) lenders, which rely on hard information and sell loans to secondary markets. As CST precision improves, the market transitions across three regimes: PL dominance, coexistence, and OTD dominance. These shifts arise endogenously through belief updating and borrower sorting. We illustrate the model’s implications using a numerical example that maps regime transitions to stylized periods of the subprime boom. The example shows how higher approval rates and expanded credit access can result from technological change alone, even when all agents behave rationally and underwriting criteria are unchanged. The model provides a theoretical explanation for how financial innovation can mimic lax screening without requiring misreporting, manipulation, reputation, or agency distortions.

• Read Jaime Luque’s publications: https://escp.eu/luque-jaime 

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule 

2025-05-27, Tuesday, 8:30-9:30 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)
Aravind Sampath: Asymmetric Volatility and Informed Trading in Cryptocurrencies - New Evidence using Tick-by-Tick Data

This study investigates asymmetric volatility in cryptocurrency markets, addressing how informed and uninformed trading impacts volatility dynamics. Asymmetric volatility—where bad news leads to more volatility than good news—is well-documented in equities, explained through leverage, time-varying expected returns, and behavioral hypotheses. However, these explanations struggle in high-frequency or unlevered settings, including crypto markets. Drawing on the trade-based explanation from Avramov et al. (2006), we propose that trader type and information asymmetry drive volatility patterns in digital assets. We estimate volatility responses to return shocks via an AR(1)-GJR-GARCH model across Bitcoin, Ether, XRP, Bitcoin Cash, and Litecoin using high-frequency tick-by-tick data. The results indicate no significant asymmetric volatility in Bitcoin, Ether, and XRP, but detect weak positive asymmetry in Bitcoin Cash and Litecoin. Additionally, employing Dynamic Probability of Informed Trading (DPIN), we show that informed trading reduces volatility in Ether and XRP, while increasing it in Bitcoin Cash and Litecoin. Our findings highlight the role of market microstructure and trading behavior in shaping volatility in altcoins, challenging conventional equity-based frameworks—especially in the post-2018 period, when crypto markets became more efficient and liquid.

Joint work with Karthik Natashekara - Indian Institute of Management Kozhikode

• Read Dr. Aravind Sampath’s publications: https://iimk.ac.in/faculty-profiles/ARAVIND-SAMPATH

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-05-12, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Raffaele Corvino: Control Motivations and Firm Growth

Abstract: We investigate how the control motivations of large shareholders affect firm growth through their influence on financing decisions. We use family blockholding as our laboratory since these blockholders have strong preferences for keeping a tight grip on firm control. Using data on a large panel of European private firms, we estimate a dynamic model of firm investments, control, and financing decisions, in a setting with financing frictions. We use the model to understand why firms with a control-motivated blockholder grow less compared to firms without such type of shareholders. Our estimates indicate that family blockholders' reluctance to give up control explains a significant part of this growth differential. 

• Read Dr. Raffaele Corvino’s publications: https://sites.google.com/carloalberto.org/raffaelecorvino

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-04-28, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Tarun Chordia: Do Low Latency Traders Destabilize Prices? Evidence from News Releases 

Abstract: This paper provides evidence that the low latency traders (LLTs) hurt market efficiency upon the release of non-earnings news. LLTs behave as speculators and exploit naïve news-chasing investors causing overpriced stocks to become even more overpriced upon the release of high sentiment news. This exacerbation of overpricing, which is subsequently reversed, creates a wedge between prices and the consensus fundamental value and hurts market efficiency. The asymmetric impact of high and low sentiment news on overpriced stocks is driven by more positive news being produced in recent years and investors paying more attention to overpriced stocks. 

Joint work with Bin Miao, and Joonki Noh 

• Read Dr. Tarun Chordia’s publications: https://goizueta.emory.edu/faculty/profiles/tarun-chordia

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-04-07, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Dr. Nadia Massoud: Can and do professional investment advisors adjust to the threat of disintermediation caused by social media?

Abstract: The rise of finance-oriented social media platforms like StockTwits empowers retail investors to sidestep professionals for financial guidance. Our investigation into disintermediation in the investment advice industry via StockTwits discovers that professionals (“investment advisors”) actively reclaim control by establishing a robust presence on this platform. Surprisingly, despite a 366% higher likelihood of viral messages from registered investment advisors than that from regular StockTwits members, professionals have scaled back their network activities since early 2017. This reduction is attributable to regulatory constraints enforced by the SEC, signaling a noteworthy shift toward financial disintermediation propelled more by regulatory bodies than social media itself.

Joint work with Nazanin Babolmorad and Peter Bossaerts

• Read Dr. Nadia Massoud’s publications: https://mbs.edu/faculty-and-research/faculty/nadia-massoud

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-03-31, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Dr. Paul Johnson: Valuing perpetual American put options under the Heston Model

Abstract: The valuation of American options under stochastic volatility has attracted considerable interest due to the complexity of calibrating the market price of options with different strike prices and maturities. In this paper, we consider the pricing of perpetual American put options under the Heston model and derive novel (and accurate) asymptotic approximations using perturbation techniques for the option price, including the optimal exercise boundary. We demonstrate the difficulty and inefficiency of obtaining accurate valuations for the full (elliptic) partial differential equation problem with finite-difference methods. This leads us to simplify the problem by assuming small volatility, which usefully reduces the problem to be of parabolic type in one of the dimensions, thereby reducing the computational task considerably, and yet replicates the solution of the full problem well. This, in turn, leads to a further asymptotic and even simpler approach found by developing a quite straightforward series solution of the parabolised system, based on small displacements of the variance from its long-run mean (a critical region in parameter space). This approach, also, when compared with the full benchmark solution, yields remarkably useful results but at virtually no computational cost.

Joint work with Yuwei Qi and Prof. Peter Duck.

• Read Dr. Paul Johnson’s publications: https://personalpages.manchester.ac.uk/staff/paul.johnson-2/ 

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-03-24, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. Fran Galetić: Market power and concentration on the EU banking markets

Abstract: Due to the great importance of the financial system for the development of all other markets, and specifically the banking market as the most important part of the financial system, it is very important to measure the level of market concentration and to analyze the market power. The strongest direct impact on the change in the level of concentration comes from integration in terms of mergers and acquisitions, but smaller changes from bank activities can also accumulate significant changes in the market power. EU banking markets can be distributed to various groups in order to do the panel analysis and to get the results showing correlations between groups. The analysis should lead to the discussion of the existence of a convergence between the EU banking markets. 

• Read Dr. Fran Galetić’s publications: https://scholar.google.com/citations?user=JcNM3eIAAAAJ&hl=hr

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-03-17, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. Juan E. Trinidad Segovia: Econophysics: a look at financial markets from the perspective of statistical mechanics 

Abstract: Since the 1970s, there have been several significant changes in the world of finance. Electronic trading and storage have made vast amounts of data available to researchers. Financial markets exhibit several of the properties that characterize complex systems. They are open systems in which many subunits interact in a nonlinear fashion in the presence of feedback. The rules of the game are quite stable, and the time evolution of the system is continuously monitored. Throughout this talk, I will show the main contributions that physicists have made in the world of economics, especially in market finance: Theory of Distributions, Memory Processes, Random Matrix Theory, APT and so on.  

• Read Dr. Juan E. Trinidad Segovia’s publications: https://brujula.ual.es/authors/969.html?lang=en

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-03-10, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Dr. Mohapatra Partha: Opportunities for research in Machine Learning in Finance and Accounting 

Abstract: This presentation explores the transformative role of machine learning (ML) within the domains of finance and accounting, underscoring its potential to enhance predictive accuracy, decision-making, and operational efficiency in key financial processes. Machine learning, a subset of artificial intelligence, has demonstrated significant promise in identifying patterns within vast datasets, enabling applications such as credit risk assessment, fraud detection, and regulatory compliance. This presentation synthesizes current research and real-world applications where ML algorithms have been successfully implemented to detect anomalies, red-flag potential misstatements, and strengthen forensic audit techniques. By leveraging iterative learning and pattern recognition, machine learning is not only refining traditional financial practices but also paving the way for a future of data-driven finance. The presentation provides a critical analysis of recent advancements, challenges, and the implications of adopting ML in finance and accounting, aiming to stimulate scholarly discussion on the potential for applications of machine learning in finance and accounting research. In the last part of the presentation, Prof Mohapatra will show the use of no-Code low code software to research using basic machine learning models.

• Read Dr. Mohapatra Partha’s publications: https://scholar.google.ae/citations?user=T39-_2wAAAAJ&hl=en

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2025-03-03, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus Building E, second floor)

Dr. Alexander Szimayer: Credit Rating under Ambiguity

Abstract: We analyze how a credit rating agency should determine a corporate rating, when its group of analysts holds heterogeneous beliefs. In a dynamic game with feedback effects, a firm with rating-dependent cost of capital signals its quality by surviving phases of apparent distress. The credit analysts adjust their beliefs in response to firm survival. In contrast to classical min-max results under ambiguity, we show that the rating agency should select a dynamically adjusted weighted average of multiple beliefs, giving higher weights to beliefs with higher variance. The ambiguity impact on ratings hinges on whether the disagreement between the analysts has a common direction: If so, the aggregate rating gives more weight to the less extreme beliefs, and jointly pessimistic (optimistic) analysts make the firm delay (accelerate) default.

Joint work with Christian Hilpert, Stefan Hirth, Jan Pape.

• Read Dr. Alexander Szimayer’s publications: https://www.wiso.uni-hamburg.de/en/fachbereich-sozoek/professuren/szimayer/team/szimayer-alexander.html

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-12-18, Wednesday, 12 pm - 1 pm  (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. Jonathan A. Batten: Research on Sustainable Development Goals in Business, Economics and Finance

Abstract: In a recent editorial, Nature emphasized that the United Nations' Sustainable Development Goals (SDGs) remain underexplored in research within developed economies, despite their critical importance over the next decade. This presentation will examine emerging trends in SDG research in business disciplines, with a particular focus on economics and finance. To illustrate key issues and challenges, we will explore a case study on research related to Green Bonds. The interconnected pillars of Environmental, Social, and Governance (ESG), particularly those addressing climate-related concerns such as climate finance, represent the most significant research challenge for business disciplines in the years ahead. While research on SDG-ESG topics has grown considerably in recent years, its scale and scope remain limited compared to advancements in the hard sciences, such as ecology and engineering. Addressing this disparity requires prioritizing problem identification and motivation—key steps in driving impactful research and contributions in this critical area. 

• Read Dr. Jonathan A. Batten’s publications: https://scholar.google.com/citations?user=PqEqUcAAAAAJ&hl=en

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-11-25, Monday, 11:40-12:40 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. Marlene Koch: Mandatory Pension Saving and Homeownership 

Abstract: First, we explore the implications of mandatory minimum contributions to tax-deferred retirement accounts over the life cycle. These contributions defer housing market entry and increase loan-to-value ratios.  Second, we investigate three alternative pension systems: (1) early withdrawals to acquire homeownership, (2) age-dependent contributions, and (3) a flexible scheme, which builds on the intuition that it is not important how individuals build up savings as long as they build up sufficient savings, and only forces individuals to save when they miss the age-dependent savings target. All three systems lead to a similar wealth accumulation but lower loan-to-value ratios, usually earlier homeownership, and higher welfare. Third, we introduce fractional homeownership, another alternative to facilitate young and liquidity-constrained individuals' housing market entry. This talk is based on joint work with Marcel Fischer and Bjarne Astrup Jensen.

Joint work with Marcel Fischer and Bjarne Astrup Jensen.

• Read Dr. Marlene Koch’s publications: https://sites.google.com/view/marlenekoch/start

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-10-14, Monday, 11:40-13:00 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. Marco Ceccarelli: ESG Skill of Mutual Fund Managers

Abstract: We propose a new measure of ESG-specific skill based on fund manager trades and ESG rating changes. We differentiate between proactive ESG managers, whose trades predict future changes in ESG ratings, reactive ESG managers, who change their portfolio allocation after a change in ESG ratings occurs, and non-ESG managers. The predictive ability of proactive managers is persistent in out-of-sample tests, consistent with manager skill. For identification, we rely on an exogenous methodology change of one ESG rating provider that redefined ESG ratings levels without releasing new information. Reactive managers significantly change their holdings in firms whose ESG ratings exogenously change, consistent with a lack of ESG skill. Proactive managers do not trade in the direction of the change, consistent with their trading no new ESG information. This ESG skill has economic implications: Investors in mutual funds with an explicit sustainability mandate reward proactive managers with 58bps higher average quarterly flows. The full paper is available here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657038  

Joint work with Richard B. Evans, Simon Glossner, Mikael Homanen, and Ellie Luu

• Read Dr. Marco Ceccarelli's publications: https://sites.google.com/view/marcoceccarelli 

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-10-07, Monday, 11:40-13:00 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Vanja Piljakb: Media-based Climate Risks and International Corporate Bond Market

Abstract: We examine the impact of the media-based climate risks (grouped into physical and transition risk categories) on the international corporate bond market in the period from 2012 to 2022. We analyze the following aspects: (i) market development (developed versus emerging markets); (ii) credit quality (investment grade versus high yield bonds), (iii) industry (climate-sensitive versus non-sensitive industries), and (iv) maturity (short versus long term bonds). We find that transition risk is reflected in the global corporate bond market, but not in the emerging corporate bond market segment. Furthermore, transition risk has a material impact only on the investment grade bonds in the global corporate bond market. The industry analysis reveals that there are no consistent significant differences between climatesensitive and climate-insensitive industries. Maturity analysis indicates that transition risk is reflected in global corporate bond market returns for both short and long terms, but this effect is less pronounced in emerging markets. Physical risk is not systematically reflected in international corporate bond returns. The subsample analysis shows higher importance of transition climate risk following the Paris Agreement in December 2015.

Joint work with Ramzi Benkraiem, Nebojsa Dimic, Laurens Swinkels, Milos Vulanovic.

• Read Dr. Vanja Piljakb's publications: https://www.uwasa.fi/en/person/1041542 

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-09-30, Monday, 11:40-13:00 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. John Moriarty: Optimal stopping with nonlinear expectation: Geometric and algorithmic solutions

Abstract: We use the geometry of functions associated with martingales under nonlinear expectations to solve risk-sensitive Markovian optimal stopping problems. Generalising the linear case due to Dynkin and Yushkievich (1969), the value function is the majorant or pointwise infimum of those functions which dominate the gain function. An emphasis is placed on the geometry of the majorant and pathwise arguments, rather than exploiting convexity, positive homogeneity or related analytical properties. An algorithm is provided to construct the value function at the computational cost of a two-dimensional search. The talk is based on the preprint https://arxiv.org/abs/2306.17623  

Joint work with Tomasz Kosmala

• Read Dr. John Moriarty's publications: https://www.qmul.ac.uk/maths/profiles/moriartyj.html 

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-09-23, Monday, 11:40-13:00 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Prof. Paweł Kuśmierczyk: Cross-country analysis of gender gap in financial literacy: The role of knowledge modelling

Abstract: When assessing financial literacy, researchers use multiple-choice questions (MCQs) and interpret the number of correct answers as a measure of knowledge. In this study, we focus on the recognized methodological biases of this approach, recommending alternative ways of modelling the phenomenon of knowledge. Introducing a novel method of analysis allows us to estimate the percentage of respondents displaying specific characteristics (e.g., being highly confident), while maintaining control over the employed knowledge modelling method. This approach provides a more comprehensive understanding of respondents' behaviours. Moreover, our modelling framework presents an opportunity to validate existing datasets based on MCQs, which allows to assess the magnitude of the respondents’ confidence and its impact on the assessed knowledge measures for any available dataset, without a need for a dedicated study.

We demonstrate the applicability of our approach by re-examining the results of several past studies conducted worldwide, with particular attention on knowledge differences between male and female respondents. As the gender gap (higher financial knowledge of men compared to women) is a commonly reported phenomenon, our cross-country analysis sheds new light on it, showing if - and to what extent - it could be due to an oversimplified interpretation of people’s responses in the questionnaires.

Joint work with Prof. Marek Kośny and Dr. Radosław Kurach

• Read Prof. Paweł Kuśmierczyk's publications: https://scholar.google.pl/citations?user=_jAjresAAAAJ&hl=pl 

• Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule

2024-09-16, Monday, 11:40-13:00 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Dr. Csaba László: Fiscal Policy Developments

Abstract:  The chapter examines the impact of the war on the fiscal policies of the Central and Eastern European countries, its impact on indebtedness, public deficits, and on the financing conditions of the state. It gives a detailed overview of changes in risk perceptions over the medium and long term. Of particular importance is the effect of the global increase in inflation on fiscal developments, the adjustment measures taken by the countries under review and the analysis of the expenditure structure over the period. The analysis also identifies long-term fiscal risks and possible policy actions to further improve the resilience and adaptability of fiscal policy in the event of drastic external shocks.

László, C. (2024). Fiscal Policy Developments. In: Mátyás, L. (eds) Central and Eastern European Economies and the War in Ukraine. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-031-61561-0_5

2024-05-27, Monday, 11:40-13:00 (Budapest time) Institute of Finance - Room E.279.1. (Corvinus main building E, second floor)

Prof. Ewa Dziwok: “Green bond premium in European bond market”

Abstract: Climate change, which has the potential to threaten financial systems and the economy, requires the involvement of all sectors, including financial institutions. The Covid-19 pandemic has drawn investors' attention even more to environmental and social issues. The process of financing the green transformation forces legal changes and creates new instruments such as green bonds, the volume of which has increased exponentially in recent years. The study presents an analysis of the green premium (greenium) over time for an estimated zero-coupon bond term structure. There are a number of approaches to setting a green bond premium, defined as a benefit pricing based on the logic that investors are willing to pay more or accept lower yields in exchange for a sustainable impact. Our research was conducted by estimating the zero-coupon yield curves using the Nelson-Siegel-Svensson parametric method, and then systematically comparing green and conventional bonds for selected maturities. The results indicate that green bonds were characterized by increasingly lower interest rates compared to conventional bonds of their counterparties without the "green" component, however, these differences were so insignificant that they do not significantly affect the financial attractiveness of green bonds.

2024-05-06, Monday, 11:40-13:00 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
Prof. Robert Faff: Responsible Science Matters 

Summary: This workshop provides a primer on “Responsible Science” – resting on the three core pillars of (a) credible research; (b) relevant research; & (c) independent research. We encounter a range of issues including “questionable research practices”; research “crisis”; and the importance of reproducibility and replication. Embracing “Open Science” practices is proposed as one important avenue for leading us toward the ideal of being responsible scientists. 

• Pre-workshop reading: Faff, R., (2021), “Responsible Science Matters”, available at SSRN: https://ssrn.com/abstract=3880341

• Visit Dr. Prof. Faff's website: https://pitchingresearch.com/  

Learn more about Professor Robert Faff - The University of Queensland:

Robert Faff is an Emeritus Professor of Finance and formerly Director of Research at the University of Queensland Business School (Australia). He has an international reputation in empirical finance research: securing 14 Australian Research Council grants (funding exceeding $4 million); >500 publications; career citations >22,894 (Google Scholar); and an h-index of 74 (Google Scholar). His particular passion is nurturing and developing the career trajectories of early career researchers. Robert has supervised approximately 40 PhD students to successful completion and examined 50 PhD dissertations. Building on a 35-year academic career, his latest focus is "Pitching Research", now gaining great traction domestically and worldwide (Source: cepr.org, updated).

• Google Scholar: https://scholar.google.com/citations?user=ZODXCmcAAAAJ&hl=hu&oi=ao

• Pitching Research initiative: https://pitchingresearch.com/

• Pitching Research Framework: https://www.youtube.com/watch?v=WMdb10k_A_M&t=44s

2024-04-22, Monday, 11:40-13:00 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
Dr. Yerkin Kitapbayev: Renewable Energy Investment under Interest Rate Uncertainty

Abstract: The interest rate is a critical factor for the viability of power projects in the Green energy sector. It affects discount factors, hence the present value of eventual profits generated by future investments. Fluctuations in the interest rate risk, i.e., interest rate uncertainty (IRU), are further known to have adverse effects on macro aggregates, including aggregate investment. This paper examines the relevance of interest rate characteristics, such as IRU, for power generation projects relying on Green energy sources. It seeks to understand the extent of the impact and the role of various parameters such as IRU for optimal power investments in the sector.

Joint work with Jerome Detemple and A. Max Reppen

2024-04-15, Monday, 11:40-13:00 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
Dr. Tiziano De Angelis: Climate Impact Investing

Abstract: This paper shows how green investing spurs companies to mitigate their carbon emissions by raising the cost of capital of the most carbon-intensive companies. Companies’ emissions decrease when the wealth share of green investors and their sensitivity to climate externalities increase. We show that the impact of green investors primarily governs companies’ long-run emissions. Companies are further incentivized to reduce their emissions when green investors anticipate tighter climate regulations and climate-related technological innovations. However, heightened uncertainty regarding future climate risks alleviates green investors’ pressure on the cost of capital of companies and pushes them to increase their emissions. Calibrated on U.S. data, our model suggests that, albeit effective, the impact of green investors remains limited given their current wealth share and practices.

Joint work with David Zerbib and Peter Tankov (ENSAE). 

• Read the full paper here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3562534 

• Visit Dr. Dr. Tiziano De Angelis’ website: https://sites.google.com/site/tizianodeangelis/home

2024-03-18, Monday, 11:40-13:00 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
Dr. Günter Strobl: Money Management and Real Investment

Abstract: We propose and analyze an equilibrium model of money management in which the asset allocation decisions of money managers affect the production decisions of firms. The model produces two main results. First, comparing the performance of money managers to that of the overall market portfolio becomes less appropriate as investors (endogenously) choose to delegate more of their money to them. Indeed, as money managers control more money, their holdings get closer to the market portfolio, making it less likely that they outperform it. Second, although money managers may be outperformed by the market portfolio after their fees are taken into account, it is optimal for investors to hire their services. This is because money managers prompt a more efficient allocation of capital, making the economy more productive and firms more valuable in the process. In fact, as we show, the presence of money managers can improve the welfare of all investors, whether or not these investors choose to delegate their investment decisions to money managers.

Joint work with Simon Gervais.

2024-03-11, Monday, 11:40-13:00 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
John Goodwin: The Consequences of Audit Firm Mergers for Audit Quality: Partner-Level Evidence

Abstract: We study the period around audit firm mergers, to investigate whether audit quality is related to audit partners’ pre-merger firm of origin. Partners from the largest pre-merger firms (big partners) are more likely to issue an unclean audit opinion in the merger year, but not partners from the smaller premerger firms (small partners) nor partners who are new to the merged firms (new partners). Big partners’ clients have no changes in the incidence of restatement errors and the absolute value of discretionary accruals in the post-merger period. There is only weak evidence of declines in audit quality for small and new partners’ clients in the post-merger period. Clients switch away from the newly merged firm when issued with a going concern opinion by a big partner in the merger year and the one after that, but not when these opinions are issued by a small or a new partner. Clients switching away are more likely to go to a Non-Big N shortly after the merger year. Audit firms have increases in median client portfolio size and decreases in median client audit fee ratios, but no changes in median client risk or profitability in the post-merger period. Newly merged audit firms lose a few clients after mergers, driven by fewer gains from the Non-Big N. Access the full paper here.

Joint work with László Péter Lakatos, James Routledge, and Şerif Aziz Şimşir

• Access Dr. John Goodwin's Google Scholar: https://scholar.google.com/citations?user=OxYj9t8AAAAJ&hl=ja

2024-02-26, Monday, 13:00-14:20 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
Dr. Steven Ongena: Climate change and bank deposits

Abstract: Abnormally warm temperatures are associated with an increase in people’s beliefs about climate change. Using branch-level deposits data from the United States, we find that depositors move their money away from fossil-fuel-financing banks when experiencing warmer-than-usual temperatures. This effect is more pronounced in counties with more climate change deniers, measured by the percentage of Republican voters in each county. Our results shed light on people’s response to the impacts of global warming by studying the relationship between households’ beliefs about climate change and their non-financial preferences in their choice of bank for deposits. Access the full paper here.

Joint work with Özlem Dursun-de Neef.

• Access Dr. Steven Ongena's website: https://sites.google.com/site/stevenongena/

2024-02-12, Monday, 11:40-13:00 (Budapest time) Room E.279.1. (Corvinus main building E, second floor)
Dr. Richard Werner: The economic implications of credit creation and allocation – Putting QE into perspective

Abstract: Leading economists admit that macroeconomics has not made progress for at least a century and the fundamental questions remain unresolved. Likewise, the Washington Consensus to development policies cannot point to any country that has decisively moved from developing to developing country status on the basis of its policies. It is argued that open questions revolve around the role of money and the treatment of banks as mere financial intermediaries. In this seminar a research programme in macro-finance is presented that adopts the inductive research methodology and hence incorporates the key macroeconomic function of banks in models of the economy, namely their role as creators of the money supply. The qualitative distinction between different avenues of credit allocation resolves many of the previously unresolved issues in macroeconomics and has many policy implications, including for bank regulation. Tests, applications and further research avenues are discussed. This includes the topic of the resolution and prevention of banking crises and the role of QE, including a comparison of Federal Reserve QE in 2008 vs 2020.

2023-12-11, Monday, 11:40-13:00 (Budapest time) Lecture Hall E.III. (Corvinus main building E, ground floor)
Dr. Esther Segalla: Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?

Abstract: Centralized cryptocurrency exchanges, which manage annual trading volumes on the scale of trillions of US dollars worldwide, are classified as virtual asset service providers (VASPs). They facilitate the exchange, custody, and transfer of cryptoassets organized in wallets across distributed ledger technologies (DLTs). As any corporation, VASPs can become insolvent. Despite the public availability of DLT transactions, their cryptoasset holdings are not yet subject to systematic auditing procedures. In this paper, we propose an approach to assess the solvency of a VASP by cross-referencing data from three distinct sources: cryptoasset wallets, balance sheets, and supervisory entity data. We investigate 24 VASPs registered with the Financial Market Authority in Austria. Regulatory data insights show that their yearly incoming and outgoing transaction volume amounts to 2 billion EUR for 1.8 million customers; the financial services they provide position them closer to brokers, money exchanges, and funds, rather than banks. Next, we empirically measure DLT transaction flows of four VASPs and compare their cryptoasset holdings to balance sheet entries. Data are only partially consistent; this enables us to identify gaps in the data collection and propose strategies to address them, towards achieving a more systematic, reliable, and automated assessment of VASPs solvency

Joint paper with Pietro Saggese, Michael Sigmund, Burkhard Raunig, Felix Zangerl, and Bernhard Haslhofer.

2023-11-27, Monday, 11:40-13:00 (Budapest time) E.279.1. (Corvinus main building E, second floor)
Camillo Riva: Do Environmental and Social Funds Sell When They Disagree?

Abstract: We investigate the role of Environmental and Social (ES) funds in corporate governance through exit. ES funds constrain their asset allocation to “good” ES stocks and our hypothesis is that this reduces their ability to influence portfolio firms through the threat of exit. We empirically test this hypothesis by studying their portfolio behavior when they are in disagreement with management at the general assembly of portfolio companies. We find that, contrary to conventional funds, ES funds do not sell portfolio companies when their voting behavior is in contradiction with the management or the voting outcome. Consistent with asset allocation constraints, the results are mainly valid when there are few firms of equally good ES standing available to replace portfolio firms. These results cannot be explained by the differences in characteristics and holdings between ES and conventional funds. Our results cast doubts on the ability of ES funds to influence the policies of portfolio firms through governance via exit. 

2023-11-20, Monday, 11:40-13:00 (Budapest time) E.III. (Corvinus main building E, ground floor)
Christos Koulovatianos: Asset Pricing under Rational Learning about Rare Disasters

Abstract: Why is investment in stocks so persistently weak after a rare disaster? Connecting disaster episodes with post-disaster expectations seems crucial for such post-disaster forecasting and also policymaking, but rational-expectations models with variable disaster risk often fail to achieve this connection. To this end, while retaining full rationality, we introduce limited information and learning about rare-disaster risk and show that the resulting stock-investment behavior seems similar to persistent investor fear after a rare disaster. We study (a) rational learning for state verification (RLS), with investors knowing the data-generating process of disaster riskiness but being unable to observe whether the economy is in a riskier state (regime) or not, and (b) rational learning about the data-generating process (RLP) of disaster risk, with investors also being unaware of the data-generating process of disaster riskiness. We analytically show that both RLS and RLP synchronize disaster events with post-disaster expectations and asset prices, and create persistence in price-dividend ratios even if data-generating processes of disaster risk have no persistence. Using De Finetti's theorem we show that RLP offers an explanation for global spells of pessimism and weak investment after a disaster.

Joint paper with Volker Wieland (Goethe U Frankfurt).

2023-11-13, Monday, 11:40-13:00 (Budapest time) E.279.1. (Corvinus main building E, Second floor)
Prof. Gyuri Venter: Multiple Equilibria in Noisy Rational Expectations Economies

Abstract: We study equilibrium uniqueness in standard noisy rational expectations economies with asymmetric or differential information a la Grossman and Stiglitz (1980) and Hellwig (1980). The standard linear equilibrium of Grossman and Stiglitz (1980) is the unique equilibrium with a continuous price function. However, we also construct a tractable class of equilibria with discontinuous prices that have very different economic implications, including (i) jumps and crashes, (ii) “upward-sloping” demand curves, and (iii) price drift. Discontinuous equilibria can generate higher volatility, uncertainty, and illiquidity in recessions versus booms, and can feature higher welfare than the standard linear one. Discontinuous equilibria can be arbitrarily close to being fully-revealing and also exist under more general distributional assumptions and in the model of Hellwig (1980).

Joint paper with Dömötör Pálvölgyi (ELTE) and Liyan Yang (Toronto Rotman).

2023-10-30, Monday, 11:40-13:00 (Budapest time) C.VII. (Corvinus new Building, ground floor)
David Murphy: The Impulsive Approach to Procyclicality - Measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions 

In recent years, many derivatives market participants received large margin calls in episodes of market volatility such as the onset of the Covid-19 global pandemic and the illegal Russian invasion of Ukraine. These events sometimes created liquidity stress and, as result, reinvigorated the policy debate about how reactive margin should be to changes in market conditions. This debate has been hampered by the lack of a generally accepted way of measuring the reactiveness of the models used to calculate initial margin. The first contribution of this paper is to provide such a measure. We consider a step function in volatility, and examine the responses of various models to paths of risk factor returns consistent with this impulse, introducing the impulse response function as a convenient means of presenting this reaction.

The results presented demonstrate that a model's impulse response is a robust and useful measure of its reactiveness.  This approach could be used to set quantitative limits on initial margin model reactiveness, or procyclicality as it is often termed.  It also provides significant, novel insights into the behaviour of some economically important margin models.  In particular, the over-reaction of filtered historical simulation value at risk models to increases in volatility is demonstrated and the reasons for it are explored.  The behaviour of two widely-used anti-procyclicality tools, the buffer and the use of a stressed period, are also analysed: the latter is found to be more successful at mitigating procyclicality than the former.  The paper concludes with a discussion of the policy implications of the results presented.

Joint work with Pedro Gurrola Perez, WFE

2023-10-16, Monday, 11:40-13:00 (Budapest time) - E.279.1 (Corvinus Main Building E, Second Floor)
Gyöngyösi Győző: Household Debt Relief and the Debt Laffer Curve

Abstract: Debt relief programs are often implemented in debt crises to reduce debt overhang and promote economic recovery. If debt overhang is severe, then debt relief can even benefit creditors by increasing repayment rates. This paper studies the impact of a large-scale household debt relief program in Hungary that reduced outstanding debt burdens by 20% for over 600,000 housing loans. Using regression discontinuity and difference-in-differences research designs, we find that debt relief persistently lowered default rates, especially for heavily indebted borrowers. We estimate the Debt Laffer Curve, which relates the net present value of debt to its face value, and find that it is hump-shaped, inverting for high levels of indebtedness.  Debt relief generates an increase in labor income that accounts for part of the increase in repayment rates. A structural model of household debt and default can account for these patterns. 

2023-09-25, Monday, 12:00-13:00 (Budapest time) E.III. (Corvinus main building E, ground floor)
Dr. Márkus László - ELTE: Rough Correlation for Tail Dependence in Asset Price Pair Models

Abstract: A cover story of the popular magazine ’Wired,’ published in 2009, carried the title ’Recipe for Disaster: The Formula That Killed Wall Street’. It tried to blame the then-actual financial crisis on the mathematics used in computing default probabilities. The selected scapegoat was the Gaussian copula, the contemporary industry standard in finance to describe the association structure of a pool of loans, bonds, or assets. The Gaussian copula cannot create tail dependence, crucial in modeling simultaneous defaults, but that was known before the crisis, as were other models capable of doing so. Almost 15 years passed since then, but the various copula and other models, going beyond correlation for describing dependence, do not harmonize well with the stochastic differential equation (SDE) description used routinely for individual financial instruments.

In the lecture, I reconsider the static, single-number Pearson correlation for describing probabilistic dependence and build up an approach where interdependence is time-dependent and random, so a stochastic process describes it. This process is inherent in the quadratic covariation for Brownian motions – the driving forces in the asset price equations. These covariations, in turn, are integrals of stochastic processes, called stochastic correlations, driven by SDEs. The goodness of the suggested model is tested on historical asset price data using Kendall functions of copulas.

The paradigm of rough paths leads to a newly emerging methodology in modeling the stochastic volatility of assets. I suggest a similar approach to the mentioned stochastic correlations. I show that in frequent, minute-wise trade, temporally localized correlations have the fractal property. The corresponding fractal dimensions, as well as the Hurst exponents, support the assumption of rough paths. The developed model helps show that brokers’ herding behavior, as expressed by the HIX index, may lead to very different tail dependence and, hence, variable probabilities of coincident defaults.

Classical statistical tools have proven to be computationally intensive and, therefore, slow for identifying the correlation process either by estimating it from historical data or calibrating the model to option prices. That invokes the use of AI tools for estimation, and indeed, higher accuracy can be achieved much faster by effectively training a proper neural network.

2023-09-18, Monday, 11:40-13:00 (Budapest time) E.III. (Corvinus main building E, ground floor)
Slavi Georgiev: On two numerical approaches to identify the time-dependent implied volatility from option quotes

Abstract: In this report, we will present two numerical approaches to reconstruct the implied volatility. The first one is based on a special decomposition after a linearization in time of the diffusion terms. This method has been developed for a variety of Black-Scholes type models, including jump-diffusion framework, regime-switching economy and multi-asset options. It is possible to adapt the method for other more exotic options. The second approach recovers the volatility level as a piecewise linear function of time, using a set of market measurements. The volatility is recovered in iterational manner with respect to the maturities. Both approaches are tested with a plenty of synthetic and real data.

2023-06-23, Friday, 8:30-9:15  (Budapest time) - Online on Microsoft Teams - Institute of Finance
Samet Gunay: How major health shocks affect the interconnectedness of E commerce and electronic payment markets

Abstract: In view of the recent pandemic and its associated impact, this study examines the relationship between e-commerce and mobile/electronic payment markets by utilizing two indices as proxies of these market developments. The study employed DCCGARCH modeling, Hacker–Hatemi bootstrap causality test, Diebold–Yilmaz volatility spillover analysis, and a volatility modeling incorporating COVID-19-related death statistics of three regions: America, Europe, and Asia. The results show that while the two markets display very high time-varying correlations across years, a significant causal relationship is only found during the pandemic. Causality runs from the mobile/electronic payment index to the e-commerce index. Volatility spillover analysis further supports this finding. Interestingly, the mobile/electronic payment index tends to become a net volatility transmitter in the pandemic period. When we incorporate regional COVID-19 statistics on cases and deaths in the volatility modeling of the e-commerce index, we find that only COVID-19 deaths in Europe have a significant effect on e-commerce returns. This result may be rationalized by the relative tightness of the e-commerce market in Europe compared to America and Asia. Likewise, demographic characteristics might be another potential driver for our findings.

2023-06-12, Monday, 11:40-12:40 (Budapest time) C107. (Corvinus new building, 1st floor)
Paul Whelan: Subjective Risk Premia in Bond and FX Markets

Abstract: This paper elicits subjective risk premia from an international survey dataset on interest rates and exchange rates. Survey implied risk premia are (i) unconditionally negative for bonds, positive for investment currencies and negative for funding currencies, (ii) correlated with (subjective) macro expectations, (iii) correlated with quantities of risk, (iv) mean-reverting, as opposed to extrapolative; and (v) predict future realised returns with a positive sign. Taking beliefs as given, we estimate a subjective asset pricing model with time-variation in economic uncertainty which supports these findings. This demonstrates that subjective risk premia respect a risk-return trade-off regardless of whether they are rational or not, suggesting that behavioural theories of belief formation can co-exist with rational theories of risk pricing.

2023-05-15, Monday, 11:40-12:40 (Budapest time) C106. (Corvinus new building, 1st floor)
Laurence Daures: Client heterogeneity and bilateral oligopoly in credit derivative markets

Abstract: This paper investigates how the market power of dealers relative to customers affects transaction costs in credit default swap markets. Using detailed transaction data from the German single-name CDS market, we find that market concentration has increased and execution quality for non-centrally cleared CDS has deteriorated between 2009 and 2016. Controlling for counterparty risk and CDS characteristics, we show that dealers' market concentration worsens transaction costs. We also find that the bargaining power of customers may counterbalance dealers' market power. In particular, customers less informed, with more dealer connections, trading more often and in larger size obtain better prices. 

2023-05-08, Monday, 11:40-12:40 (Budapest time) E.III​. (Corvinus main building E, ground floor)
Ibolya Schindele: The Impact of Positive Information Sharing on Banks’ Lending to Households

Abstract: What is the impact of positive information sharing on households’ access to credit? Exploiting a nation-wide introduction of mandatory information sharing between banks on borrowers` current exposures, we differentiate between borrowers who apply to new banks and those who reapply to banks with already established credit contracts, as well as between borrowers with and without past negative information. We find an overall increase in credit access, in application success and credit amount, for all borrower groups. In addition, we show that while credit access increases, default rates decrease, hence “positive” information sharing may boost aggregate welfare.

2023-05-05, Friday, 11:40-12:40 (Budapest time) E.III​. (Corvinus main building E, ground floor)
Bart Frinjs: Foreign Ownership and Board Cultural Diversity

Abstract: This paper investigates the relationship between foreign ownership and board cultural diversity, using detailed hand-collected data on firm ownership and board cultural diversity from Sweden. Based on 13,655 directors’ nationalities, we find that board cultural diversity increases with the presence of foreign ownership. However, cultural diversity promoted by foreign owners does not translate into firm value creation. In addition, foreign owners do not support other types of board diversity. Overall, these findings suggest homophily, as foreign owners seem to promote cultural diversity only in the interest of “feeling connected” to other like-minded people. Additional analyses show that the positive relationship between foreign ownership and board cultural diversity is more pronounced in certain types of ownership structures (family firms, dual-class share firms, and concentrated ownership). We further present that foreign owners’ country of origin plays a role in board composition.

2023-04-24, Monday, 11:40-12:40 (Budapest time) E.3005. (Corvinus main building E, 3rd floor)
Mikael Juselius: The scarring effects of deep contractions

Abstract: We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970, we show that these effects are nonlinear and asymmetric: no such persistence occurs following less severe contractions or large expansions. While scarring after financial crises is well known, it also occurred after the deep contractions of the 1970s and 1980s that followed energy price shocks and restrictive monetary policy to combat high inflation. These results are very robust and have important implications for policymaking and macro-modelling.

2023-03-06, Monday, 14:00-15:00 (Budapest time) Faculty Club, Theater room. (Corvinus main building E, ground floor)
Vadász Tamás: Free Banking and Credit Market Competition

Abstract: We study the impact of informational and behavioural frictions on consumer surplus in banking, on the price of credit, and on the price of checking accounts. We solve a competition model of banking and credit which includes client naivety, heterogeneous client risk, and imperfect risk screening. These features, together, can explain the international pattern of banking costs. In countries where free accounts are prevalent (e.g., US/UK) consumer surplus is non-monotone in private information, while reducing the amount of naivety improves consumer surplus. Where free-banking is not prevalent (e.g., France/Germany), these results do not necessarily hold.

2022-11-21, Monday, 14:00-15:00 (Budapest time) C316. (Corvinus new building, 3rd floor)
Luca Gonzato: Controlled Sequential Monte Carlo Methods for Continuous-Time Diffusion Models

Abstract: In this paper we propose a general econometric approach to the estimation of continuous-time diffusion models. The combined usage of data augmentation and controlled Sequential Monte Carlo (SMC) methods allows to control discretization bias and provides efficient likelihood estimators, necessary for Bayesian inference. We test our methodology by considering a multifactor option pricing model where the latent volatility is a continuous-time matrix-valued Wishart process. To deal with the highly informative content of options data, we propose a likelihood tempering procedure to gradually introduce information from observations and construct optimal proposal distributions that deliver zero variance likelihood estimators. Numerical experiments on simulated data illustrate that our approach yields excellent tracking of the latent states and outperforms standard particle filtering techniques in terms of marginal likelihood estimation.

2022-11-28, Monday, 14:00-15:00 (Budapest time) C425. (Corvinus new building, 4th floor)
Artashes Karapetyan: Inefficient Regulation: Mortgages versus Total Credit

Abstract: We study the impact of loan-to-value (LTV) regulation on unregulated debt that is used for home acquisition. In our setting, part of the dwelling price is in form of pre-existing debt exempt from the regulation. We exploit cross-sectional variation across buildings in the non-regulated debt to estimate a set of indirect effects of LTV regulation. Our main result is that households start paying more for dwellings financed with more unregulated debt. Our baseline estimates reveal an implicit interest rate on long-term unregulated debt of at least 8.6 percent, or three times the prevailing mortgage rate. In the long-term, developers respond by increasing the supply of debt in new housing by about 50 percent. Taken together, our results document several new unintended indirect consequences of LTV regulation. We corroborate our findings by aggregating evidence from 13 countries. 

2022-11-14, Monday, 14:00-15:00 (Budapest time) C316. (Corvinus new building, 3rd floor)
Leyla Yusifzada: How does subordinated debt affect banks’ cost of capital?

Abstract: This paper studies the relationship between banks' subordinated debt and the cost of capital. Empirical results show that subordinated debt increases the cost of equity, as measured using analysts' expectations, whereas decreases the cost of equity as measured based on the factor models. The costs of total debt and total capital decrease with subordinated debt. The results using the analysts' expectations withstand robustness checks, while those using the asset pricing models' estimates are less stable. The results suggest that subordinated debt does not discipline banks' risk-taking, but offers larger loss absorbency to protect the senior debt holders.

2022-11-10, Thursday, 13:40-14:40 (Budapest time) C207. (Corvinus new building, 2nd floor)
Clare Lehane (Commissioning Editor | Emerald Publishing):   Journal publishing for early career researchers

This 45-minute seminar will take you through the journal publication cycle, provide hints and tips of how authors can best navigate their journey through the peer review process, the types of publication avenues open to researchers to help promote their research’s impact and some notes on publication ethics.   

Clare Lehane is a commissioning editor with Emerald Publishing, working on economics, real estate and marketing journals, including Studies in Economics and Finance, Journal of Social Marketing, African Journal of Economic and Management Studies, Journal of Economic Studies, Corporate Communications, Journal of Property Investment and Finance, International Marketing Review and International Journal of Social Economics.

2022-10-17, Monday, 14:00-15:00 (Budapest time) C316. (Corvinus new building, 3rd floor)
Zsolt Bihary: Stochastic control in finance

Abstract: I introduce the basic structure of stochastic control as used in finance. I give some classical examples. After that, I discuss a recent paper submitted by myself and co, that uses the stochastic control methodology in a gig economy context.

Bihary, Z., Csóka, P., Kerényi, P., & Szimayer, A. (2022). Self-Respecting Worker in the Precarious Gig Economy: A Dynamic Principal-Agent Model. Available at SSRN: https://ssrn.com/abstract=3866721 or http://dx.doi.org/10.2139/ssrn.3866721

2022-10-10, Monday, 14:00-15:00 (Budapest time)  C316. (Corvinus new building, 3rd floor)
Dávid Zoltán Szabó: First hitting time densities of strong Markov processes

Abstract: People’s motivation in their private and professional lives are often coupled with reaching certain barriers. Once this barrier is exceeded they will stop doing their activities. The underlying process that needs to hit the barrier can either be deterministic or stochastic. We deal with the stochastic case and discuss results concerning densities of first passage times of strong Markov processes. Apart from a few special cases, analytic solutions are not generally available. We pay particular attention to the Ornstein-Uhlenbeck case, and express the solutions with the help of Integral equations, series and integral representations. The Gaver-Stehfest algorithm for approximating the inverse Laplace transform is studied as well.

2022-10-03, Monday,  14:00-15:00 (Budapest time) C316. (Corvinus new building, III. floor)
Andras Fulop: Option Mispricing and Alpha Portfolios

Abstract: Relying on a latent factor model with time-varying temporal dependence of systematic risk and mispricing on firm and option characteristics, we reveal economically substantial  mispricing  in  the  options  market.   The  portfolio  based  on  individual options alphas related to characteristics earns an out-of-sample annualized Sharpe ratio of 1.60 in call option returns and of 1.85 in put option returns.  Commonly used risk factors in the stock and options markets cannot explain abnormal returns of  option  alpha  portfolios.   We  show  that  characteristics  related  to  risk-neutral moments and liquidity and their interactions largely contribute to option mispricing and that most characteristics that contribute to mispricing also contribute to systematic risk.

Zsuzsa R. Huszar:  Issues related to publishing, 2022 Sept 26