Summer Term 2026

July 16, 2026 / 12:00-13:00 / D3.0.222
Andreas Schrimpf  (Bank for International Settlements)
"Risk Appetite and Monetary Transmission"  (joint with Michael Bauer , Federal Reserve Bank of San Francisco;  Maik Schmeling, Goethe University Frankfurt)

Abstract:We construct a new high-frequency measure of changes in risk appetite around Federal Open Market Committee (FOMC) meetings. Fed policy actions and communication have substantial effects on risk appetite, consistent with the literature on the risk-taking channel of monetary policy. Most of the variation in asset prices and risk appetite is unexplained by conventional interest-rate surprises, which points to an important role of risk appetite in monetary transmission. Proxy SVARs with two separately-instrumented monetary policy shocks—a risk-free rate shock and a risk appetite shock—show the empirical importance of this channel. Risk appetite shocks have large, significant, and theory-consistent effects on inflation, output and employment. By contrast, the effects of risk-free rate shocks become insignificant or switch signs as soon as a risk-appetite shock is included in the VAR setup. Our evidence suggests that monetary transmission works primarily through risk asset prices and risk appetite. Standard estimation of monetary transmission based solely on interest-rate surprises misses most of these effects for two main reasons: First, the impact of interest-rate policy on asset prices is time-varying and state-dependent. Second, central bank communication can affect risk appetite and asset prices in ways that go beyond changes in the expected policy path.
 

July 3, 2026 / 12:00–13:00 / D3.0.233
Fabio Girardi (Vienna University of Economics and Business)
"Risk Prudence Premia"

Abstract: We show that risk prudence---the aversion to downside risk---is the common source of three features of asset markets: a negative variance risk premium, a downward-sloping implied-volatility skew, and a downside-risk premium in the cross-section of stock returns. Embedding the skew-normal distribution in a minimum-divergence stochastic discount factor, we derive the prudence premia in closed form; a single parameter that aggregates the skewness of the priced factors signs them. In a Gaussian economy the variance premium vanishes for any degree of risk aversion. Estimating the discount factor from U.S. characteristic-managed portfolios---using no option data---we decompose it into a symmetric Gaussian factor and an asymmetric downside-risk factor, and reproduce the salient features of equity-index option markets: option-implied variance exceeds its realized counterpart, and out-of-the-money puts trade at higher implied volatilities than out-of-the-money calls.

June 17, 2026 / 12:00-13:00 /  D4.0.039
Alberto G. Rossi (Professor of Finance at Georgetown University)
"Set it and Forget it: Engineering Investment Habits with FinTech" (joint with Antonio Gargano,  University of Houston; Alberto G. Rossi, Georgetown University)

Abstract: We study how automated investment rules affect saving behavior and investment outcomes using detailed data from a FinTech app designed to help retail investors access mutual funds. Users choose how to design these rules, which vary along dimensions such as frequency, amount, and triggering conditions. Using a randomized encouragement design, we show that automated rules causally increase average savings without crowding out manual contributions. We also show that automated rules reduce trend-chasing behavior: while manual deposits respond strongly to recent returns, automated ones do not, narrowing the gap between fund returns and realized investor returns. However, rule timing remains performance-sensitive—users tend to activate rules after periods of strong returns and suspend them during downturns, especially for equity funds. A survey deployed on the app user population reveals that adopters of automated investment rules are primarily motivated by a desire to avoid procrastination, reduce cognitive load, and simplify decision-making, while non-adopters cite preferences for flexibility and concerns about income volatility. Our findings highlight both the promises and the limitations of automation in improving individual financial outcomes.
 

May 20, 2026 / 12:00-13:00 /  D4.0.039
Marta Cota (Nova SBE)
"Is Knowledge Enough? Financial Literacy, Marriage, and Gender Differences in Wealth"
(joint with Marta Morazzoni, University College London; Maria Frech, Toulouse School of Economics; Michael Tallent, University College London)

Abstract: This paper studies whether financial literacy shapes gender differences in wealth. Using data from the United States and the Netherlands, we document that women have lower financial literacy and confidence than men, are less likely to manage long-term investments within their households, and hold fewer financial assets, with the largest gaps among married agents. We build a life-cycle portfolio-choice model with endogenous financial literacy accumulation and marital dynamics centered around two wedges: a higher cost of literacy investment for married women and gender-specific perceived returns on risky assets. The calibrated model qualitatively matches untargeted life-cycle patterns in literacy and portfolio choice, ac- counting for a third of the gender gap in individual financial assets. Counterfactual exercises show that early-life financial education can narrow the gender knowledge gap, and portfolio-allocation rules may offset confidence and marriage-related wedges that education may not undo, lowering the wealth gap by 6%.
 

May 18, 2026 / 11:00 - 12:15 / TC.4.17
Toni M. Whited (Professor of Economics at the University of Michigan)
"Strategic Bankruptcy and Corporate Negligence" (joint with Samuel Antill, Harvard Business School; Xu Tian, Terry College of Business)

Abstract: Firms facing serious litigation can use bankruptcy as a negotiating tactic. We develop a dynamic capital structure model in which firms choose negligence levels that boost short-run profits but create litigation risk. The model reveals substantial risk-shifting: highly leveraged firms engage in excessive negligence because limited liability allows them to shift expected litigation costs to creditors and tort victims through bankruptcy. After estimating the model, we evaluate four policy regimes corresponding to recent legal debates. Legalizing Texas Two-Step bankruptcies, which shield firms from litigation with minimal consequences, would produce catastrophic increases in negligence and harm victims despite eliminating bankruptcy costs. Protecting tort victims in bankruptcy with either superpriority or enhanced bargaining rights improves outcomes modestly. Comprehensive reform combining both of these protections dominates: negligence declines, victim recovery triples, and firm equity values increase, as both productive investment and improved deterrence benefit shareholders.

April 22, 2026 / 12:00 - 13:00 /  TC.3.05
Tomy Lee (Central European University)
"Public Goods in Crises" 
(joint with Chaojun Wang, University of Pennsylvania, The Wharton School)

Abstract: We introduce nonrival public goods into global games of regime change and rationalize investor behavior in the Euro crisis, the collapse of Terra, and the 2023 bank runs. Each investor in a large project is vanishingly unlikely to be pivotal for its survival. She also benefits from the project’s enormous public goods. In equilibrium, this large benefit precisely counterbalances her vanishing pivotal likelihood, such that even an atomistic and selfish investor internalizes her marginal impact on project survival. In an economy of firms, any divestment yields financial gains whenever it positively assorts projects’ public goods with investors’ sensitivities to those goods. Yet such divestments can harm the social surplus.
 

March 30, 2026  / 12:00 - 13:00 /  TC.3.05
Lukas Körber (Goethe University Frankfurt)
"Nonlinearities and Pricing Complexity in the Cross-Section of Stock Returns" 
(joint with Fabio Girardi, Vienna University of Economics and Business., and Christian Schlag,  Goethe University Frankfurt)

Abstract: We evaluate the pricing performance of a robust stochastic discount factor spanned by a broad cross-section of factor returns. Methodologically, we combine kernel principal component analysis—which extracts factors as nonlinear functions of a high-dimensional set of firm characteristics—with novel regularization techniques. Allowing for nonlinearities enhances the model’s performance in explaining a wide range of prominent cross-sectional stock-return anomalies and reduces pricing errors. We further decompose the mean–variance efficient portfolio into linear and nonlinear components and study their relative contributions across macro-financial conditions. Out-of-sample, incorporating nonlinearities increases theSharpe ratio of the mean–variance efficient portfolio by roughly 25% to 2.15.
 

March 04, 2026 / 12:00 - 13:00 /  TC.3.05
Giuditta Perinelli (MIT Sloan School of Management)

"Corporate Loan Moratorium in Times of Crisis"
(joint with Alberto Grassi, ECB, and Nils Kerwien, VGSF)

Abstract: Suspending loan repayments is a widely used crisis tool designed to provide liquidity to firms without direct fiscal costs to the government. We study the take-up and real effects of the 2020 European corporate debt moratorium, which required banks to temporarily accept postponed repayments. Exploiting a discontinuity in eligibility at a €2 million asset threshold for Austrian firms, we show that access to the moratorium relaxes financing constraints, leading to higher cash holdings, investment, and productivity—without persistent increases in debt and without raising default rates. Despite these benefits, take-up among eligible firms was low. We provide evidence that concerns about stigma from relationship banks may have deterred participation. In particular, we document that banks revise upward the “unlikely-to-pay” classification of firms using the policy, even though actual delinquencies do not increase. We incorporate these findings into a dynamic investment model with endogenous default to evaluate alternative credit-relief policies, such as grants.