Full program (Short version of our program can be found below)

ECONOMETRIC RESEARCH IN FINANCE WORKSHOP 2021
SGH WARSAW SCHOOL OF ECONOMICS, SEPTEMBER 17, 2021

TIME

SESSIONS

CET 10:00

Opening session

CET 10:15-11:00

Chicago
 03:15-04:00

Beijing
16:15-17:00

PART ONE

Session 1: Model averaging methods

Chair: Dobromił Serwa (SGH Warsaw School of Economics)

Presentation: Christian Brownlees (Universitat Pompeu Fabra and Barcelona GSE), Vladislav Morozov (Universitat Pompeu Fabra), “Unit-Model Averaging for Heterogeneous Panels”

 

CET 11:00-11:15

Coffee break

CET 11:15-12:45

Chicago
 04:15-05:45

Beijing
17:15-18:45

Session 2a: Factor models,

Chair: Juan Arismendi-Zambrano

Session 2b: Modelling returns,

Chair: Janusz Brzeszczyński

Session 2c: Lending markets and banks,

Chair: Lea Steininger

Session 2d: Microeconomic modelling,
Chair: Paulina Roszkowska

Presentation: M. Hashem Pesaran (University of Southern California and Trinity College, Cambridge), Ron P. Smith (Birkbeck, University of London), “Factor Strengths, Pricing Errors, and Estimation of Risk Premia”

Discussion: Paolo Zaffaroni

 

Presentation: Aakriti Mathur (IHEID), Rajeswari Sengupta (Indira Gandhi Institute of Development Research), Bhanu Pratap (Reserve Bank of India), “Saved by the bell? Equity market responses to surprise Covid-19 lockdowns and central bank interventions”

Discussion: Jan Jakub Szczygielski

 

Presentation: Sylwester Kozak (Warsaw University of Life Sciences), Agata Wierzbowska (Kobe University),“Income diversification and profitability of the European banks during the COVID-19 pandemic”

 

Presentation: Andrzej R. Stopczyński (University of Lodz), Marika Ziemba (University of Lodz), “Disfunctions in the financial services market vs consumer decisions in the light of Ajzen's theory of planned behaviour

Discussion: Paulina Roszkowska

 

 

Presentation: Paolo Zaffaroni (Imperial College Business School), “Factor Models for Conditional Asset Pricing”

Discussion: Juan Arismendi-Zambrano

Presentation: Jan Jakub Szczygielski (Kozminski University and University of Pretoria), Janusz Brzeszczyński (Newcastle Business School and University of Łódź), Ailie Charteris (University of Cape Town), Princess Rutendo Bwanya (Newcastle Business School), “The COVID-19 storm and the energy sector: The impact and role of uncertainty”

 

Presentation: Burkhard Raunig (Oesterreichische Nationalbank), Michael Sigmund (Oesterreichische Nationalbank), Lea Steininger (Vienna University of Economics and Business and Humboldt University of Berlin), “Bank supervision and profitability: Euro area evidence”

Discussion: Said Kaawach

 

Presentation: Paulina Roszkowska (University of London, Hult International Business School and SGH Warsaw School of Economics), “Women on Boards: Does Corporate Culture Influence Board Gender Diversity?”

Discussion: Neha Gupta

 

Presentation: Massimo Guidolin  (Bocconi University), Martin Lozano (University of Monterrey), Juan Arismendi-Zambrano (University College of Dublin and University of Reading), “The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models”

Discussion: Ron P. Smith

 

Presentation: Chaeshick Chung (Sogang University), Sukjin Park (Sogang University), “Deep Learning Market Microstructure: Dual-Stage Attention-Based Recurrent Neural Networks”

Discussion: Bhanu Pratap

Presentation: Said Kaawach (University of Birmingham), “Peer-to-peer Investor Performance and Automatic Bidding

Discussion: Sylwester Kozak

Presentation: Neha Gupta (University of St. Gallen), “Monetary Policy, User Cost and Inequality: Homeowners versus Renters”

Discussion: Andrzej R. Stopczyński

 

CET 12:45-13:15

Lunch break

CET 13:15-14:45

Chicago
 06:15-07:45

Beijing
19:15-20:45

Session 3A: Asset pricing

Chair: Roberto Panzica

Session 3B: Investor behavior

Chair: Gábor Dávid Kiss

Session 3C: Distribution of asset prices

Chair: Consuelo R. Nava

Session 3D: Macro-financial links

Chair: Ekundayo Peter Mesagan

Presentation: Gregory Boadu-Sebbe (Center for Economic Research and Graduate Education-Economic Institute), “Effect of Exchange-Traded Funds Arbitrage Transactions on Their Underlying Holdings”

Discussion: Tom L. Dudda

Presentation: Dóra Sallai (University of Szeged), Mercédesz Mészáros (University of Szeged), Gábor Dávid Kiss (University of Szeged), “How stock indices respond to market shocks? Examining stock market contagion in European countries with minimum spanning trees”

Discussion: Stefano Battiston

 

Presentation: Maria Debora Braga (Bocconi University), Consuelo R. Nava (University of Turin), Maria Grazia Zoia  (Università Cattolica del Sacro Cuore), “Resorting Portfolio Kurtosis for Risk Parity Allocation”

Discussion: Giovanni Rillo

Presentation: Asma Boussetta (University of Orléans and University of Tunis El Manar), El Moctar Laghlal (University of Orléans), Réda Marakbi (University of Artois), “Microfinance, Competition and Growth”

Discussion: Ekundayo Peter Mesagan

Presentation: Tom L. Dudda (Technische Universität Dresden), Tony Klein (Queen's University Belfast), Duc K. Nguyen (IPAG Business School and Vietnam National University (Hanoi)), Thomas Walther (Technische Universität Dresden and Utrecht University), “Common Drivers of Commodity Futures”

Discussion: Roberto Panzica

 

Presentation: Lucia Alessi (European Commission), Stefano Battiston (University Ca’ Foscari of Venice and University of Zurich), Virmantas Kvedaras (European Commission), “Over with carbon? Investors' reaction to the Paris Agreement and the US withdrawal”

Discussion: Gábor Dávid Kiss

Presentation: Massimiliano Bondatti (Nova School of Business and Economics), Giovanni Rillo (LUISS Guido Carli), “Commodities Tail-Risk in Exchange Rates”

Discussion: Tobias Stein

Presentation: Ekundayo Peter Mesagan (Pan Atlantic University), Precious Muhammed Emmanuel (MGIG Global Services), “The Technological Role in the Growth Enhancing Financial Development: Evidence from African Nations”

Discussion: Jakub Rybacki

Presentation: Lucia Alessi (European Commission and

Università degli Studi di Milano-Bicocca), Elisa Ossola (European Commission), Roberto Panzica (European Commission), “When do investors go green? Evidence from a time-varying asset-pricing model”

Discussion: Gregory Boadu-Sebbe

 

Presentation: Michał Wójtowicz (BAE Systems), “Application of Kelly criterion in trading shares”

Presentation: Emanuel Moench, Tobias Stein (Deutsche Bundesbank), Equity premium predictability over the business cycle

Discussion: Consuelo R. Nava

Presentation: Jakub Rybacki (Polish Economic Institute and Warsaw School of Economics), Michał Gniazdowski (Polish Economic Institute), “Macroeconomic forecasting in Poland: lessons from Covid-19 outbreak.”

Discussion: Asma Boussetta

 

 

CET 14:45-15:00

Coffee break

CET 15:00-16:30

Chicago
 08:00-9:30

Beijing
21:00-22:30

PART TWO

Session 5a: Asset pricing

Chair: Oleksandr Talavera

Session 5b: Modelling stock returns

Chair: Piotr Fiszeder

Session 5c: Banking and lending

Chair: Dorota Skała

Session 5d: Macroeconomic modelling (monetary policy)

Chair: Karol Szafranek

Presentation: Ge Gao (University of Birmingham), Oleksandr Talavera (University of Birmingham), “Information Arrival and Asset Repricing”

Discussion: Robert L. Czudaj

Presentation: Piotr Fiszeder (Nicolaus Copernicus University in Torun), Marcin Fałdziński (Nicolaus Copernicus University in Torun), Peter Molnár (University of Stavanger), “Modeling and forecasting dynamic conditional correlations with high-low range”

Discussion: Marian W. Moszoro

 

Presentation: Oskar Kowalewski (IESEG School of Management and LEM-CNRS 9221), Dorota Skała (University of Szczecin), “Does bank ownership matter for CEO dismissal?”

Discussion: Yeo Song Yoon

 

Presentation: Paweł Macias, Damian Stelmasiak, Karol Szafranek (National Bank of Poland), “Nowcasting food inflation with a massive amount of online prices”

Discussion: Agata Kliber

 

Presentation: Robert L. Czudaj (Ludwig-Maximilians-University Munich and Chemnitz University of Technology), “Heterogeneity of Beliefs and Information Rigidity in the Crude Oil Market: Evidence from Survey Data”

Discussion: Andrea Bucci

 

Presentation: Marian W. Moszoro (International Monetary Fund, George Mason University and SGH Warsaw School of Economics), “Incomplete Contracts, Price, and Quality: Hedge Funds' Fees and Performance”

Discussion: Youngmin Choi

 

 

Presentation: James R. Barth (Auburn University), Kang Bok Lee (Auburn University), Xuan Shen (Regions Bank), Yeo Song Yoon (Auburn University), “Application of Difference-in-Differences Strategies in Finance The Case of Natural Disasters and Bank Responses”

Discussion: Michele Modugno

Presentation: Magdalena Szyszko (WSB University in Poznan), Agata Kliber (Poznan University of Economics and Business), Aleksandra Rutkowska (Poznan University of Economics and Business), Mariusz Próchniak (SGH Warsaw School of Economics), “Central bank communication and expectations. Evidence for inflation targeting economies”

Discussion: Ronald Mau

 

Presentation: Andrea Bucci (Universit`a degli Studi “G. d’Annunzio” Chieti-Pescara), Vito Ciciretti (Independent Researcher), “Market Regime Detection via Realized Covariances: A Comparison between Unsupervised Learning and Nonlinear Models”

Discussion: Oleksandr Talavera

 

Presentation: Yoosoon Chang (Indiana University), Youngmin Choi (Zicklin School of Business at Baruch College), Soohun Kim (Korea Advanced Institute of Science and Technology), Joon Park (Indiana University), “Stock Market Return Predictability Dormant in Option Panels”

Discussion: Piotr Fiszeder

 

Presentation: Luca Guerrieri (Federal Reserve System), Michele Modugno (Federal Reserve System), “The Information Content of Stress Test Announcements”

Discussion: Dorota Skała

 

 

Presentation: Ronald Mau (University of Mississippi), “Bond Pricing and Business Cycles with Central Bank Asset Purchases”

Discussion: Karol Szafranek

 

 

CET 16:30-17:15

Chicago
 09:30-10:15

Beijing
22:30-23:15

 

Session 4: Portfolio selection

Chair: Katarzyna Bień-Barkowska (SGH Warsaw School of Economics)

 

 

Presentation: Jorge Guijarro-Ordonez (Stanford University), Markus Pelger (Stanford University), Greg Zanotti (Stanford University), “Deep Learning Statistical Arbitrage”

 

CET 17:15-17:25

Coffee break

CET 17:25-19:25

Chicago
 10:25-12:25

Beijing
23:25-01:25+1

Session 6a: Portfolio selection

Chair: Oliver Linton

Session 6b: Prediction and forecasting methods

Chair: Michał Rubaszek

Session 6c: Network linkages and asset comovements

Chair: Victor Troster

Session 6d: Macroeconomic modelling

Chair: Hardik Marfatia

Presentation: Christian Bongiorno (Université Paris-Saclay), Damien Challet (Université Paris-Saclay), “Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning”

Discussion: N'Golo Koné

 

Presentation: Dobrislav Dobrev (Federal Reserve System), Derek Hansen (University of Michigan), Paweł J. Szerszeń (Federal Reserve System), “A Randomized Missing Data Approach to Robust Filtering and Forecasting”

Discussion: Jordi Llorens-Terrazas

Presentation: Md

Lutfur Rahman (University of Newcastle),Victor Troster (University of the Balearic Islands), Gazi Salah Uddin (Linköping University), Muhammad Yahy (University of Stavanger), “Systemic risk contribution of banks and non-bank financial institutions across frequencies: The Australian experience”

Discussion: Tianqi Luo

 

Presentation: Hardik A. Marfatia (Northeastern Illinois University), “Which Sectors Hold the Key to Future Economic Growth? Insights from the Financial Markets”

Discussion: Mariusz Górajski

 

Presentation: N'Golo Koné (Queen's University), “Efficient mean-variance portfolio selection by double regularization”

Discussion: Oliver Linton

 

Presentation: Christian Brownlees (Universitat Pompeu Fabra and Barcelona Graduate School of Economics), Jordi Llorens-Terrazas (Universitat Pompeu Fabra and Barcelona Graduate School of Economics), “Empirical Risk Minimization for Time Series”

Discussion: Wolfgang Schadner

Presentation: Gazi Salah Uddin (Linköping University), Tianqi Luo (Trinity College Dublin), Md Lutfur Rahman (University of Newcastle), Ranadeva Jayasekera (Trinity College Dublin), Muhammad Yahya (University of Stavanger), “Risk Network of Global Energy Companies”

Discussion: Mark Paddrik

 

Presentation: Mariusz Górajski (University of Lodz), Zbigniew Kuchta (University of Lodz), “’Leaning Against the Wind’ versus Macroprudential Policy: Robust Analysis in a DSGE Model with Two Financial Frictions”

Discussion: Steve Pak Yeung Wu

 

Presentation: Gregory Connor (Maynooth University), Shaoran Li (University of Cambridge), Oliver Linton (University of Cambridge), “A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection”

Discussion: Sofonias Alemu Korsaye

Presentation: Wolfgang Schadner (Swiss Institute of Banking and Finance and University of St.Gallen), “Feasible Implied Correlation Matrices from Factor Structures”

Discussion: Dobrislav Dobrev

 

Presentation: Mark Paddrik (U.S. Department of Treasury), Stathis Tompaidis (University of Texas at Austin), “Intermediation Networks and Market Liquidity: Evidence from CDS Markets”

 

Presentation: Steve Pak Yeung Wu (University of British Columbia and University of California, San Diego), “Corporate balance sheets and sovereign risk premia”

Discussion: Hardik Marfatia

 

Presentation: Sofonias Alemu Korsaye (Univesity of Geneva and Swiss Finance Institute), Alberto Quaini (Univesity of Geneva), Fabio Trojani (Univesity of Geneva and Swiss Finance Institute), “Smart Stochastic Discount Factors”

Discussion: Damien Challet

 

Presentation: Marek Kwas (SGH Warsaw School of Economics), Joscha Beckmann (Kiel Insititute of the World Economy), Michał Rubaszek (SGH Warsaw School of Economics), “Are consensus FX forecasts valuable for investors?”

 

Presentation: Diana Joy Xiuyao Yang (University of California), “Cross-Sector Comovements and Policy Impact in the COVID-19 Stock Market: A Dynamic Factor Approach”

Discussion: Victor Troster

 

Presentation: Carlos Madeira (Central Bank of Chile), “The evolution of consumption inequality and risk-insurance in Chile”

 

CET 19:25-19:35

Coffee break

CET 19:35-20:20

Chicago
 12:35-13:20

Beijing
01:35+1-02:20+1

Session 7: Forecasting exchange rates

Chair: Piotr Wdowiński (University of Łódź)

Presentation: Charles Engel (University of Wisconsin, NBER and CEPR), Steve Pak Yeung Wu (University of British Columbia and University of California, San Diego), “Forecasting the U.S. Dollar in the 21st Century”

Discussion: Michał Rubaszek

 

CET 20:20

Closing session

 

Short program (full version of our program can be found above)

 

Room A

Room B

Room C

Room D

CET
10:15-11:00
Chicago
 03:15-04:00
Beijing
16:15-17:00


PART ONE

Session 1: Model averaging methods
Chair: Dobromił Serwa

CET
11:15-12:45
Chicago
 04:15-05:45
Beijing
17:15-18:45

Session 2a: Factor models,
Chair: Juan Arismendi-Zambrano

Session 2b: Modelling returns,
Chair: Janusz Brzeszczyński

Session 2c: Lending markets and banks,
Chair: Lea Steininger

Session 2d: Microeconomic modelling,
Chair: Paulina Roszkowska

CET
13:15-14:45
Chicago
 06:15-07:45
Beijing
19:15-20:45

Session 3A: Asset pricing
Chair: Roberto Panzica

Session 3B: Investor behavior
Chair: Gábor Dávid Kiss

Session 3C: Distribution of asset prices
Chair: Consuelo R. Nava

Session 3D: Macro-financial links
Chair: Ekundayo Peter Mesagan

PART TWO

CET
15:00-16:30
Chicago
 08:00-9:30
Beijing
21:00-22:30

Session 5a: Asset pricing
Chair: Oleksandr Talavera

Session 5b: Modelling stock returns
Chair: Piotr Fiszeder

Session 5c: Banking and lending
Chair: Dorota Skala

Session 5d: Macroeconomic modelling (monetary policy)
Chair: Karol Szafranek

CET
16:30-17:15
Chicago
09:30-10:15
Beijing
22:30-23:15

 

Session 4: Portfolio selection
Chair: Katarzyna Bień-Barkowska

CET
17:25-19:25
Chicago
10:25-12:25
Beijing
23:25-01:25+1

Session 6a: Portfolio selection
Chair:
Oliver Linton

Session 6b: Prediction and forecasting methods
Chair: Michał Rubaszek

Session 6c: Network linkages and asset comovements
Chair: Victor Troster

Session 6d: Macroeconomic modelling
Chair: Hardik Marfatia

CET
19:35-20:20
Chicago
12:35-13:20
Beijing
01:35+1-02:20+1

 

Session 7: Forecasting exchange rates
Chair:
Piotr Wdowiński