June 12, 2025 / 12:00 p.m. - 01:00 p.m. / D3.0.233
Stefan Voigt (University of Copenhagen)
"Uncertainty everywhere: Integrating conceptual uncertainty in the stochastic discount factor" (joint with Patrick Weiss, Gregor Kastner and Luis Gruber)

Abstract: tba

June 11, 2025 / 12:00 p.m. - 01:00 p.m. / TC.4.27
Benjamin Karner (JKU Linz)
"The Bond Agio Premium in High-Yield Markets"

Abstract: tba
 

May 28, 2025 / 12:00 p.m. - 01:00 p.m. / TC.4.03
Marti Subrahmanyam (New York University)
“Urban Riparian Exposure, Climate Change, and Public Financing Costs in China”

Abstract: We construct a new geospatial measure using high-resolution river vector data from National Geomatics Center of China (NGCC) to study how urban riparian exposure shapes local government debt financing costs. Our baseline results show that cities with higher riparian exposures have significantly lower credit spreads, with a one-standard-deviation increase in riparian exposure reducing credit spreads by approximately 12 basis points. By comparing cities crossed by natural rivers with those intersected by artificial canals, we disentangle the dual role of riparian zones as sources of natural capital benefits (e.g., enhanced transportation capacity) versus climate risks (e.g.,flood vulnerability). We find that climate change has amplified the impact of natural disasters, such as floods and droughts, particularly in riparian zones, thus weakening the cost-reducing effect of riparian exposure on bond financing. In contrast, improved water infrastructure and flood-control facilities strengthen the cost-reduction effect. Our findings contribute to the literature on natural capital and government financing, offering valuable implications for public finance and risk management.

 

May 21, 2025 / 12:00 p.m. - 01:00 p.m. / TC.3.10
Oliver Rehbein (Vienna University of Economics and Business)
"When the Dam Almost Breaks: Disasters and Credit Risk" (joint with Sophia Arlt, Christian Groß and Iliriana Shala)

Abstract: How does risk perception in credit markets change after observing a nearby catastrophic event? We combine detailed geospatial data on ex-ante flood risk of German firms with credit register data and show that after a major flood in 2021, loan rates decrease for high-flood risk firms that were not directly affected. This negative indirect effect is strongest for banks with a large loan portfolio exposure to the flood. Firms that were affected by earlier, but similar floods do not experience rate reductions. The decrease is also strongest in areas with low climate change belief, while high climate change belief areas experience rate increases. Overall, our evidence points to a novel near-miss effect in lending markets after natural disasters, where a close disaster "miss" may be misinterpreted as a reduction in fundamental risk.

 

May 14, 2025 / 12:00 p.m. - 01:00 p.m. / D4.0.144
Günter Strobl (University of Vienna)
"The Economics of Scientific Misconduct: When Imperfect Deterrence Enhances Welfare” (joint with Andrew Winton)

Abstract: We develop a principal-agent model in which an effort-averse agent must be incentivized to conduct a research project. The agent privately observes whether her project succeeds or fails and, in the case of failure, can commit fraud to make it appear successful. The principal observes the project outcome and a signal of potential misconduct, but cannot directly observe the agent's ability, effort cost, or effort level. We show that a contract that tolerates fraud can be optimal, as it enhances the informativeness of observed outcomes about the agent's effort level, thereby reducing the agent's information rent. Moreover, we identify conditions where harsher punishment for fraud increases fraudulent behavior.

 

May 7, 2025 / 12:00 p.m. - 01:00 p.m. / TC.4.03
Valentin Luz (LMU Munich)
“Ambiguity and the Skewness Premium” (joint with Ralf Elsas and Johannes Gerd Jaspersen)

Abstract: Assets are priced according to the preferences of investors. Our theoretical model shows that ambiguity - that is the uncertainty about stock returns’ probability distribution - affects investors' preferences for the skewness of stock returns. In a CAPM equilibrium, skewness premiums increase when stock returns become more ambiguous. We test this interaction empirically and find evidence for it both cross-sectionally and when considering within-firm variation. Our findings hold for both skewness in historical stock returns and expected risk-neutral skewness calculated from option prices. They cannot be explained by limits to arbitrage, news tangibility, or investor belief heterogeneity.