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Elisa OSSOLA (Università Milano – Bicocca, DEMS) “WHEN DO INVESTORS GO GREEN? EVIDENCE FROM A TIME-VARYING ASSET-PRICING MODEL”
The Financial Econometrics Seminar: Time: 10:30 pm Date: 17th of November 2022 Room 3001 Elisa OSSOLA (Università Milano - Bicocca, DEMS) "WHEN DO INVESTORS GO GREEN? EVIDENCE FROM A TIME-VARYING ASSET-PRICING MODEL" Abstract : This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on […]
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Zhenya LIU (Renmin & Aix-Marseille) “A MISPRICING FACTOR, IPCA, AND CHINA A-SHARES MARKET”
The Financial Econometrics Seminar: Time: 11:30 pm Date: 17th of November 2022 Room 3001 Zhenya LIU (Renmin & Aix-Marseille) "A MISPRICING FACTOR, IPCA, AND CHINA A-SHARES MARKET" Abstract : This paper has identified four significant characteristics related to mispricing in China's A-shares market using the instrumented principal component analysis (IPCA), which are idiosyncratic volatility, bid-ask […]
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