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Summer Term 2025

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  • 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)
    "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)

    Title & abstract: tba
     

  • May 21, 2025 / 12:00 p.m. - 01:00 p.m. / TC.3.10
    Oliver Rehbein (Vienna University of Economics and Business)

    Title & abstract: tba
     

  • 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.