Vorträge im Sommersemester 2021

Termine und Vortragende:

  • 05.05.2021: Prof. Dr. Zacharias Sautner, Frankfurt School of Finance & Management

    Climate Risk Disclosure and Institutional Investors

    Employing firm disclosure theory, we develop hypotheses regarding the preferences of institutional investors with respect to firms’ climate risk disclosures. Through a survey and empirical tests, we test these hypotheses and provide systematic evidence suggesting that institutional investors value and demand climate risk disclosures, that climate-specific disclosure costs and benefits affect these disclosure demands, and that influence and selection effects explain the equilibrium relations between institutional ownership and disclosure. We establish evidence on the influence and selection effects of the climate risk disclosures by examining the French Article 173, the investor coalition Climate Action 100+, and the UK mandatory carbon disclosure regulation.

    Der komplette Forschungsartikel kann hier eingesehen werden.
  • 26.05.2021: Prof. Dr. David Wozabal, TUM

    Algorithmic Power Trading: Challenges and Weather Based Strategies

    The talk explores algorithmic trading strategies on spot markets for electricity. We discuss major challenges in automated trading due to price uncertainty and market liquidity and compare auction based intraday designs with continuous trading in this regard. We then propose a weather-based algorithmic trading strategy on a continuous intraday power market. The strategy uses neither production assets nor power demand and generates profits purely based on superior information about aggregate output of weather dependent renewable production. We employ an optimized parametric policy based on state-of-the-art intraday updates of renewable production forecasts and evaluate the resulting decisions out-of-sample for one year of trading based on detailed order book level data for the German market. Our strategies yield significant positive profits, which suggests that intraday power markets are not semi-strong efficient. Furthermore, sizable additional profits could be made using improved weather forecasts, which implies that the quality of forecasts is an important factor for profitable trading strategies. This has the potential to trigger an arms race for more frequent and more accurate forecasts, which would likely lead to increased market efficiency, more reliable price signals, and more liquidity.

  • 16.06.2021: Olivier David Zerbib, Tilburg University, ISFA, CREST

  • 07.07.2021: Prof. Dr. Bjarne Steffen, ETH Zurich


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