Daniele Massacci (King's College London) Invited by Nathan Lassance will give a presentation on : State-dependent comovement between factor models Abstract :  We study regime-specific comovement between two large panels of variables, each exhibiting an approximate factor structure.

Julien Hambuckers (Université de Liège) invited by Nathan Lassance will give a presentation on : LASSO-type penalization methods in distributional regression models, with application to hedge funds systemic risk analysis Abstract :  For many applications in finance, it is of interest to provide full probabilistic forecasts, which are able to assign plausibilities to each predicte

Sébastien Pouget (Toulouse University) invited by Catherine D'Hondt will give a presentation on : Investor Valuation for Socially Responsible Assets: A Willingness to Pay Experiment Abstract :  We present an experimental study of investors’ willingness to pay for socially responsible assets.

Ranoua BOUCHOUICHA (Ghent University) will give a presentation on Choice lists and ‘standard patterns’ of risk-taking Abstract : The fourfold pattern of risk attitudes has been called ‘the most distinctive implication of prospect theory’.

Béatrice Boulu-Reshef (University of Orleans) will give a presentation on : Algorithmic vs. Human Portfolio Choice Robo-advisors that provide investment advice online on the basis of risk profiling questionnaires have recently made a breakthrough in the investment management industry.

Cesare ROBOTTI (The University of Warwick) will give a presentation on : Noisy Prices and Return-Based Anomalies in Corporate Bonds We argue that the documented large abnormal returns to investors from corporate bond anomalies such as return reversals and momentum mainly stem from ignoring market microstructure noise in transaction-based bond prices and relying on ad hoc return winso

Vasyl GOLOSNOY (Ruhr Universitat Bochum) will give a presentation on: A Simple Powerful Test for Global Minimum Variance Portfolio Weights Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices.

Alex Shestopaloff, Queen Mary University of London & Memorial University of Newfoundland will give a presentation on Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models Abstract: In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series shifted in t

Raffaella Calabrese, Edinburgh Business School will give a presentation on Climate stress-testing for mortgage default probability Abstract: Extreme natural disasters like tropical cyclones have a low probability of materialising but a high social and economic impact, including spillover to financial institutions.

Bert Willems, CORE will give a presentation on Electricity Forward Premium: Renewable Integration and Skewness Preference   Abstract: This paper presents new components that explain the risk premium priced in electricity forward and futures contracts. These components relate to the inclusion of renewable power sources in electricity markets.