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DTSTART:20220327T010000
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DTSTART;TZID=Europe/Helsinki:20221117T103000
DTEND;TZID=Europe/Helsinki:20221117T233000
DTSTAMP:20260723T155842
CREATED:20221104T083906Z
LAST-MODIFIED:20221104T083906Z
UID:14250-1668681000-1668727800@crest.science
SUMMARY:Elisa OSSOLA (Università Milano - Bicocca\, DEMS) "WHEN DO INVESTORS GO GREEN? EVIDENCE FROM A TIME-VARYING ASSET-PRICING MODEL"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 10:30 pm\nDate: 17th of November 2022\nRoom 3001 \nElisa OSSOLA (Università Milano – Bicocca\, DEMS) “WHEN DO INVESTORS GO GREEN? EVIDENCE FROM A TIME-VARYING ASSET-PRICING MODEL” \nAbstract : This paper studies the evolution of the greenium\, i.e. a risk premium linked to firms’ greenness and environmental transparency\, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia\, where the greenium is associated with a priced `greenness and transparency’ factor\, which considers both companies’ greenhouse gas emissions and the quality of their environmental disclosures. We show that investors in the European equity market tend to accept lower returns\, ceteris paribus\, to hold greener and more transparent assets when the shift of the economy towards low-carbon becomes more credible. This happened after the Paris Agreement\, the first Global Climate Strike\, and the announcement of the EU Green Deal. Signals going in the opposite direction\, such as increasing fossil fuel prices and more bad news about climate change\, are associated with increases in the greenium. \nJoint work : Lucia Alessi\, and Roberto Panzica. \n  \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/elisa-ossola-universita-milano-bicocca-dems-when-do-investors-go-green-evidence-from-a-time-varying-asset-pricing-model/
CATEGORIES:Finance-Insurance,Financial Econometrics
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DTSTART;TZID=Europe/Helsinki:20221117T113000
DTEND;TZID=Europe/Helsinki:20221117T123000
DTSTAMP:20260723T155842
CREATED:20221104T083548Z
LAST-MODIFIED:20221104T084005Z
UID:14249-1668684600-1668688200@crest.science
SUMMARY:Zhenya LIU (Renmin & Aix-Marseille) "A MISPRICING FACTOR\, IPCA\, AND CHINA A-SHARES MARKET"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:30 pm\nDate: 17th of November 2022\nRoom 3001 \nZhenya LIU (Renmin & Aix-Marseille) “A MISPRICING FACTOR\, IPCA\, AND CHINA A-SHARES MARKET” \nAbstract : 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 spread\, short-term reversal\, and turnover. Based on these four characteristics\, we build a factor with a Sharpe ratio of 1.81 that measures the mispricing effect. We propose a four-factor model including the market\, size\, profitability\, and our mispricing factors. In addition to explaining 36 anomaly portfolios in the literature more effectively\, it also outperforms the majority of asset pricing factor models currently in use. The tangency portfolio of these four factors achieves an out-of-sample Sharpe ratio of 2.42. \nJoint work : with Bo LI and Yuhao MU. \n\n\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/zhenya-liu-renmin-aix-marseille-a-mispricing-factor-ipca-and-china-a-shares-market/
CATEGORIES:Finance-Insurance,Financial Econometrics
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