BEGIN:VCALENDAR
VERSION:2.0
METHOD:PUBLISH
CALSCALE:GREGORIAN
PRODID:-//WordPress - MECv6.3.0//EN
X-ORIGINAL-URL:https://cerec.be/
X-WR-CALNAME:Cerec
X-WR-CALDESC:Center for Research in Economics
REFRESH-INTERVAL;VALUE=DURATION:PT1H
X-PUBLISHED-TTL:PT1H
X-MS-OLK-FORCEINSPECTOROPEN:TRUE
BEGIN:VEVENT
CLASS:PUBLIC
DTSTART;TZID=Europe/Brussels:20220630T160000
DTEND;TZID=Europe/Brussels:20220630T173000
DTSTAMP:20220429T121200
UID:MEC-2dea61eed4bceec564a00115c4d21334@cerec.be
CREATED:20220429
LAST-MODIFIED:20220429
PRIORITY:5
TRANSP:OPAQUE
SUMMARY:Johannes Stroebel (New York University – Stern School of Business, NBER, and CEPR) – A Quantity Based Approach to Constructing Climate Risk Hedge Portfolios – Webinar
DESCRIPTION:We propose a new methodology to build portfolios that hedge climate change risks. Our quantity-based approach explores how mutual funds holdings change when the fund adviser experiences a local extreme heat event that shifts beliefs about climate risks. We use the observed trading behavior to predict how investors will reallocate their capital when “global” climate news shocks occur, which shift the beliefs and asset demands of many investors simultaneously and thus move equilibrium prices. We show that a portfolio that holds stocks that investors tend to buy after experiencing a local heat shock appreciates in value in periods with aggregate climate news shocks. Our quantity-based approach yields superior out-of-sample hedging performance compared to traditional methods of identifying hedge portfolios. The key advantage of the quantity-based approach is that it learns from cross-sectional trading responses rather than time-series price information, which is limited in the case of climate risks. We also demonstrate the efficacy and versatility of the quantity-based approach by constructing successful hedge portfolios for aggregate unemployment and house price risk.\nFinancial Research Seminar\nWith a view to encourage reflection and research in the field of financial economics and econometrics, the National Bank of Belgium is organising together with KU Leuven, UA, UCL, UGent, ULB, ULg, UMons, UNamur, Université Saint-Louis, Vlerick and VUB a series of seminars featuring internationally renowned speakers presenting their latest research findings, both empirical as well as theoretical, on relevant issues in the field of finance.\nMore info : click here\n \n
URL:https://cerec.be/events/johanesstroebel/
ATTACH;FMTTYPE=image/jpeg:https://cerec.be/wp-content/uploads/2021/04/novembre-2019-1.jpeg
END:VEVENT
END:VCALENDAR