CEF.UP – FIN Seminar/Webinar

Thursday – September 28^th, 2023 at 1:00 p.m. | Room 305| Online

“First and Second Mover Advantages in Strategic Investment under Uncertainty”

Peter Kort  – Tilburg University (joint work with Berend J. Stofferis, and Jacco J.J. Thijssen)

Abstract:

“We study a strategic duopoly investment game in which two firms decide on timing and size of an investment under iso-elastic demand. We find that, in equilibrium, investment can be preemptive or resulting from a war of attrition. This contrasts with existing literature that only finds preemptive investment. We show numerically that the presence of a second mover advantage can delay investment inefficiently long from a social welfare perspective.”

CEF.UP – FIN Seminar/Webinar

Thursday – November 9^th, 2023 at 1:00 p.m. | Room 305| Online

“Pricing ambiguity in the cross-section”

Han Ozsoylev  – Ozyegin University (joint with Sujoy Mukerji, Erkan M. Savran and Jean-Marc Tallon)

Abstract:

“We empirically test the implications of the theory of ambiguity aversion for the cross-section of stock returns. Our main findings indicate that exposure to systematic ambiguity is priced in the cross-section of stocks and that this pricing becomes more pronounced during times of high uncertainty, such as the days preceding the FOMC meeting announcements. We also find that ambiguity pricing can largely account for the beta anomaly. Our findings complement the recent developments in the macro-finance literature where ambiguity aversion has been shown to successfully address aggregate pricing puzzles such as the dynamics of equity premium and excess volatility.”

CEF.UP – FIN Seminar/Webinar

Thursday – December 14^th, 2023 at 1:00 p.m. | Room 305| Online

“The effectiveness of monetary incentives of independent directors in retail and in institutional mutual funds”

Ania Zalewska  – Leicester University

CEF.UP – FIN Seminar/Webinar

Thursday – January 25^th, 2024 at 1:00 p.m. | Room 305| Online

“Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum“

Daniel Carvalho  – Banco de Portugal (joint work with Martin Schmitz)