🚨New Paper Alert 🚨
We conduct a Bayesian analysis for the SDF in the equity options market:
- a Bayesian model averaging SDF outperforms
- SDF is characteristics-dense
- Highly likely factors: IV-RV, option momentum, jump risk
Paper ➡️https://t.co/M2vVwAYpNZ
Michael Weber will be our academic keynote speaker at the Alpine Finance Summit (AFS) 2024. Submit your fully developed working paper until March, 15, 2024 and have the opportunity to join the AFS in August 2024.
What factors drive the behavior of individual (delta-hedged) option returns in the cross-section and over time? Check out our new paper "A Bayesian SDF for Equity Options" (NIclas Käfer, @mathismoerke@florian_weigert, and Tobias Wüst).
SSRN download: https://t.co/q08H4CSief
It is a long-term goal becoming finally true… I am happy to announce that the first ALPINE FINANCE SUMMIT (AFS) will take place in summer 2024.
Submit your fully developed working paper until March, 15, 2024 and have the opportunity to join the AFS in August 2024.
Our paper “Unobserved Performance of Hedge Funds” (Vikas Agarwal, Stefan Ruenzi, and Florian Weigert) is now forthcoming at the Journal of Finance.
Have a look at the current working paper version here: https://t.co/0u71SYSZdC
@achenfinance We have not studied in the paper WHY different nonlinear models performing better than others. @g_coqueret Thank you for the paper. Interesting!
Our paper "Option Return Predictability with Machine Learning and Big Data" (Turan G. Bali, @beckmeyerheiner, @mathismoerke, @florian_weigert) has been accepted for publication by the Review of Financial Studies (@SFSjournals).
Have a look at it here:
https://t.co/XP16cSqPxf
I am looking for a new Ph.D. student 🎓starting in March 2023. Are you interested in pursuing research in the intersection of mutual funds and machine learning? Please apply here: https://t.co/MHjFk7UHZG
We are looking for a new colleague! Full Professor or Tenure-Track Assistant Professor in Finance with a start in August 2023. Application deadline: 31 August, 2022. Specialization: Empirical Asset Pricing. Write to me in case you are interested.