Program

In addition to the short program given here, the Book of Abstracts contains further information on the individual papers and the conference.

Foto: David Shkel/Dirk Matull

Thursday, 23 May 2024, Building 9

19:00 Welcome Reception, Room A305

• Session 1A: Options I, Room 4/5

  Chair: Jianfeng Hu

  09:00-09:30 A new look at equity premium predictability and option-implied moments
  Norbert Fay (University of Hagen), Marco Kerkemeier (University of Hagen), Rainer A. Schüssler (University of Rostock)

  09:30-10:00 Sentiment and the equity options market
  Sonja Warkulat (Duisburg-Essen University), Matthias Pelster (Duisburg-Essen University), Gregor Weiß (Leipzig University)

  10:00-10:30 The Stock Market Impact of Volatility Hedging: Evidence from End-of-Day Trading by VIX ETPs
  Christine Bangsgaard (Aarhus University), Thomas Kokholm (Aarhus University)

• Session 1B: Retail Derivatives I, Room 6

  Chair: Manuela Pedio

  09:00-09:30 Betting on Elusive Returns: Retail Trading in Complex Options
  Andy Naranjo, Mahendrarajah Nimalendran, Yanbin Wu (University of Florida)

  09:30-10:00 Product Complexity, Investor Experience, and Returns
  Alan De Genaro (FGV EAESP) José Liberti (Northwestern University), Pedro A. C. Saffi (University of Cambridge), Jason Sturgess (Queen Mary University of London)

  10:00-10:30 A Real Cost of Free Trades: Retail Option Trading Increases the Volatility of Underlying Securities
  Marc Lipson (University of Virginia), Davide Tomio (University of Virginia), Jiang Zhang (University of St. Thomas)

• Session 2A: Options II/ETFs, Room 4/5

  Chair: Pedro Saffi

  11:00-11:30 Bitcoin return predictability on option expiration days
  Robert Gaudiosi, Dustin Weiss, Z. Ivy Zhou (University of Wollongong)

  11:30-12:00 The On-Chain Options Risk Premia
  Andrea Andolfatto (Bocconi University), S. Naik (Independent), L. Schoenleber (University of Turin)

  12:00-12:30 The sustainability challenge for synthetically replicated ETFs in Europe
  Irina Bevza, Martha O’Hagan Luff (Trinity College Dublin)

• Session 2B: Retail Derivatives II, Room 6

  Chair: Martin Wallmeier

  11:00-11:30 Who should buy structured product and when?
  Massimo Guidolin (Bocconi University), Giacomo Leonetti (Bocconi University), Manuela Pedio (Bocconi University, University of Bristol)

  11:30-12:00 Overpaid Lottery and Overpaid Insurance: Evidence from Retail Structured Products
  Gang Li (Honk Kong Polytechnic University), Chu Zhang (Hong Kong University of Science and Technology)

  12:00-12:30 Can you trust the numbers? A model-free assessment of misleading cost disclosures for retail derivatives under the PRIIPs regulation
  David Shkel (University of Hagen)

• Keynote Address by Neil Pearson, Room 4/5

  Structured Products: What We Know, and What We Would Like to Know

  Foto: privat

  Neil Pearson is the Harry A. Brandt Distinguished Professor of Financial Markets and Options at the University of Illinois at Urbana-Champaign and Research Fellow of the Canadian Derivatives Institute. He has published numerous papers in the top-tier finance journals and is one of the leading scholars in the field of derivatives, especially structured products.

  We are very pleased that Professor Pearson will be delivering the keynote address at our conference.

• Session 3A: Options III, Room 4/5

  Chair: Thomas Kokholm

  15:00-15:30 Option Factor Momentum
  Niclas Käfer, Mathis Mörke, Tobias Wiest (University of St. Gallen)

  15:30-16:00 Options Market Makers
  Jianfeng Hu (Singapore Management University), Antonia Kirilova (CUNEF Universidad), Dmitriy Muravyev (Michigan State University)

  16:00-16:30 Transition risk premiums in option prices
  Rainer Baule, Lennart Sperling (University of Hagen)

• Session 3B: Retail Derivatives III, Room 6

  Chair: Stephen Szaura

  15:00-15:30 FinTech, Search Costs, and Competition
  Felix Fattinger (Vienna University of Economics and Business), Simon Straumann (WHU - Otto Beisheim School of Management)

  15:30-16:00 Performance of Novel Underlyings of Swiss Structured Products
  Patrick Kerl (University of Trier)

  16:00-16:30 Do retail investors care about sustainability? Preference for and pricing of sustainable SRPs
  Falk Jensen (University of Hagen)

• Session 4A: Options IV, Room 4/5

  Chair: Gregor Weiß

  09:00-09:30 Retail Traders Love 0DTE Options... But Should They?
  Heiner Beckmeyer, Nicole Branger, Leander Gayda (University of Münster)

  09:30-10:00 A Bayesian SDF for Equity Options
  Niclas Käfer (University of St. Gallen), Mathis Mörke (University of St. Gallen), Florian Weigert (University of Neuchâtel), Tobias Wiest (University of St. Gallen)

  10:00-10:30 Skewness Premium for Short-Term Exposure to Squared Market Return
  Martin Wallmeier (University of Fribourg)

• Session 4B: Futures, Room 6

  Chair: Gang Li

  09:00-09:30 Speculation in bearish commodity markets : The role of liquidity
  Chanaka N. Ganepola (University of Manchester), Beyza Mina Ordu-Akkaya (University of Ankara)

  09:30-10:00 Testing for speculative oil price bubbles based on futures market data
  Robinson Kruse-Becher (University of Hagen)

• Session 5A: Options V/Futures II, Room 4/5

  Chair: Robinson Kruse-Becher

  11:00-11:30 Why do HFTs use the Futures Market
  Anirban Banerjee (Indian Institute of Management Ahmedabad), Ashok Banerjee (Indian Institute of Management Udaipur)

  11:30-12:00 Blame it on the weather: Market implied weather volatility and firm performance
  Joon Woo Bae (Case Western Reserve University), Yoontae Jeon (McMaster University), Stephen Szaura (BI Norwegian Business School), Virgilio Zurita (Baylor University)