Frontaler Blick auf das D4 Gebäude.

Winter Term 2021/2022

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Winter Term 2021/2022

  • February 15, 2022, 11.00 am - 12.00 pm
    Semyon Malamud
    (Ecole Polytechnique Federale de Lausanne)
    Title: „The Virtue of Complexity in Machine Learning Portfolios“ with Bryan Kelly and Kangying Zhou.

    Abstract: We theoretically characterize the behavior of machine learning portfolios in the high complexity regime, i.e. when the number of parameters exceeds the number of observations. We demonstrate a surprising "virtue of complexity:" Sharpe ratios of machine learning portfolios generally increase with model parameterization, even with minimal regularization. Empirically, we document the virtue of complexity in US equity market timing strategies. High complexity models deliver economically large and statistically significant out-of-sample portfolio gains relative to simpler models, due in large part to their remarkable ability to predict recessions.

    Room: D3.0.218
    MS Teams Link: you can join the seminar using this link


  • November 3, 2021, 12.00 - 1.00 pm
    Roman Goncharenko (KU Leuven)

    Title: When Green Meets Green with Hans Degryse, Carola Theunisz and Tamas Vadasz.

    Abstract: We investigate whether and how the environmental consciousness (greenness for short) of firms and banks is reflected in the pricing of bank credit. Using a large international sample of syndicated loans over the period 2011-2019, we find that firms' are indeed rewarded for being green in the form of cheaper loans--however, only when borrowing from a green consortium of lenders, and only after the ratification of the Paris Agreement in 2015. Thus, we find that environmental attitudes matter "when green meets green." We further construct a simple stylized theoretical model to show that the green-meets-green pattern emerges in equilibrium as the result of the third-degree price discrimination with regard to firms' greenness.

    Room: TC.3.06.
    MS Teams Link: You can join the seminar using this link

  • October 28, 2021, 12.00 - 1.00 pm
    Martin Hellwig (Max Planck Institute, Director (em.))

    Title: Liquidity Provision and Equity Funding of Banks

    There is no working paper yet, but the general idea is based on joint work with Anat Admati, „Bank Leverage, Welfare and Regulation,” published in “Systemic Risk in the Financial Sector: Ten Years After the Great Crash,” Edited by: Douglas W. Arner, Emilios Avgouleas, Danny Busch, Steven L. Schwarcz, October 2019. (This paper is availalbe via SSRN.)

    Room: D3.0.218

  • October 20, 2021, 1.00 - 2.00 pm
    Karol Paludkiewicz (Deutsche Bundesbank)

    Title: You Can't Always Get What You Want (Where You Want It): Cross-Border Effects of the US Money Market Fund Reform with Daniel Fricke & Stefan Greppmair

    Abstract: This paper shows that the 2014 US money market fund (MMF) reform was associated with stabilizing cross-border effects for Euro Area MMFs. The reform forced US-based institutional prime MMFs to switch from constant to variable net asset value, while MMFs in other jurisdictions were not directly affected. We document that US-focused institutional prime MMFs domiciled in the Euro Area received substantial inflows from foreign investors around the implementation of the reform. Consistent with an easing of competitive pressure, affected MMFs reduce their risk-taking.

    Zoom: You can join the seminar using this link

  • October 14, 2021, 1.30 pm - 2.30 pm
    Jiri Knesl (Saïd Business School, University of Oxford)
    Title: Working from Home During Covid-19: Corporate Announcements, Market Valuation, and Operating Performance
    with Adlai J. Fisher (UBC Sauder School of Business) & Ryan C. Y. Lee (Saïd Business School, University of Oxford)

    Room: D3.0.225
    MS Teams: You can also join the seminar online using this link.