| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |
Kernel Conditional Factor Models
Marți, 21 octombrie 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Urban Ulrich
ETH Zurich; urban.ulrych@math.ethz.ch
Abstract:
Factor models are widely employed in finance to capture the relationship between asset returns and their underlying factors. Traditionally, these models assume a linear relationship in learning factor loadings. This paper enhances factor models by introducing non-linearity through low-rank kernel functions, offering a flexible, non-parametric representation of complex, non-linear relationships between factors, returns, and asset characteristics. We utilize a reproducing kernel Hilbert space (RKHS) with the associated reproducing kernel as a hypothesis space for modeling the factor loadings, while cross-sectional ridge regression is used to directly learn the factor portfolios. This approach extends existing methods by incorporating non-linear dependence on characteristics, regularization for more factors, and additional characteristics such as industries. Empirical analysis shows that the proposed non-linear learning framework significantly outperforms traditional linear models in terms of out-of-sample performance, as measured by explained variation and optimal factor portfolio performance.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Green Hours Jazz Cafe
The real effects of insurers’ financial constraints: Evidence from marine insurance during the first globalization (1874-1913)
Marți, 28 octombrie 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Guillaume Vuillemey
HEC Paris; vuillemey@hec.fr
Abstract:
I show that insurers’ financial constraints have real effects on trade flows and technology adoption. During the first globalization (1874-1913), booming international trade and the shift from sailing to steam ships created large demand for marine insurance. Using archive data on French insurers, I show that unexpectedly large insurance payouts (due to wrecks or accidents) lead insurers to subsequently reduce the supply of insurance. Exploiting the presence of the same insurer in multiple harbors, and data on wrecks and accidents, I construct harbor-level shocks to insurance supply. These shocks reduce trade flows and delay the adoption of the steam ship.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
TBA
Marți, 4 noiembrie 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Manuel Rocha Armada
University of Minho; rarmada@eeg.uminho.pt
Abstract:
TBA.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
Retail Investors’ Activity and Climate Disasters
Marți, 11 noiembrie 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Marinela Finta
Singapore Green Finance Center at Singapore Management University; mfinta@smu.edu.sg
Abstract:
We analyze the effects of climate disasters on retail investors’ trading activity. Results show that retail investors trade significantly less during and around climate disasters, and retail buyers exhibit higher returns than sellers. Climate disasters weaken the positive return predictability of the past month’s order imbalances while strengthening it for the past six months. In the short run, firms within climate disaster counties with retail net buying underperform those with negative imbalances. Instead, in the long run, firms within and outside climate disaster counties with positive order flows outperform those with negative order flows. Finally, the estimates on the return and order imbalance comovement around climate disasters are consistent with the main findings.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
Political Ideology and Banks’ Stock Market Reactions to Fiscal Interventions during Crisis
Marți, 18 noiembrie 2025 – ora 16:30 – sala 3M4 (etaj 1, clădirea Moxa)
Maura Bobiceanu
Facultatea de Stiinte Economice si Gestiunea Afacerilor, Universitatea Babes Bolyai; andreea.bobiceanu@econ.ubbcluj.ro
Abstract:
We leverage cross-country differences in government ideology to examine the variability in banks’ stock market reactions to fiscal policy announcements during the COVID-19 crisis. Our findings reveal that fiscal interventions, taking the form of fiscal stimulus or fiscal relief, generally lead to negative cumulative abnormal returns (CARs), due to long-term concerns over fiscal sustainability. However, banks in countries governed by left-wing administrations experience milder reactions, signaling market expectations of sustained government support, which mitigates perceived intervention risk. We also document that government fractionalization, plurality, and continuity of executive power act as moderating factors for the effect of political ideology on banks’ CARs. Markets also respond more favorably to a misalignment of policy and ideology. Specifically, this occurs when the left focuses on tax-driven measures while the right relies on direct spending. These robust findings suggest that when governments adopt policies contrary to their usual ideological stance, these actions are perceived as more credible and sustainable in the long-run.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD