8:00 – 8:50 am                Registration – Questrom Lobby, 595 Commonwealth Avenue, Boston, MA. 02215

 

8:50 – 9:00 am                Welcome Address – Hariri Auditorium

 

9:00 – 10:00 am              Keynote Address: Helyette Geman – Hariri Auditorium

10:00 – 10:30 am            Coffee Break – Questrom Events and Conference Center (4th Floor)

 

10:30 am – 12:00 pm     Session 1 – 4th Floor Classrooms

 

 

Session 1A, Room 406 – Special Session: Financial Engineering; Chair: Steve Kou 

Alizadeh, Fusai, Kyriakou, “A contingent claims approach to vessel valuation.”

Discussant: Jussi Keppo

Keppo, Wang “Balancing Acts: Exploring the Dynamics of Government Policies and Corporate ESG Incentives.” Discussant: Gianluca Fusai

Fusai, “Monotonic transformation, implied stock price process with applications to spread options and to the joint calibration of SP500 and VIX options” Discussant: Ioannis Kyriakou

 

 

Session 1B, Room 408 – Oil Markets; Chair: Leonidas Tsiaras 

Tsiaras, Gilder “Refining Crude Oil Uncertainty Using Corridor Variance Risk Premia” Discussant: Fernanda Diaz-Rodriguez

Ouzan, Six, “The Demand for Hedging of Oil Producers: A Tale of Risk and Regret.” Discussant: Leonidas Tsiaras

Diaz-Rodriguez, Robles-Fernandez, “‘One Out of Many’: Consolidating a Long-term Trend Forecast for Investing in Energy Commodities” Discussant: Samuel Ouzan

 

 

Session 1C, Room 410 – Commodities; Agriculturals, Metals; Chair: Nicolas Legrand

Kim, Roh, Yoon, “When Gold Meets Copper: A Comprehensive Look at the Informative Role of the Relative Value of Gold on Global Stock Markets.” Discussant: Berna Karali

Cao, Gebrekidan, Heckelei, Robe, “Machine Learning and Big Data to Identify Market Expectations and Surprises: Evidence from Scheduled USDA Reports.” Discussant: Donghoon Kim

Karali, Isengildina-Massa, Irwin, “Is Being Bold Better? Industry Expectations of USDA Corn and Soybean Production Estimates.” Discussant: Nicolas Legrand

 

 

Session 1D, Room 412 – Electricity Markets; Chair: Tobias Kargus 

Hain, Kargus, Uhrig-Homburg, Fichtner, “An Electricity Price Modeling Framework for Renewable-Dominant Markets.” Discussant: Kazuhiko Ohashi

Katona, Nikitopoulos, Schlögl, Susanto “Supply non-monotonicity and welfare in electricity markets.” Discussant: Tobias Kargus

Miawaki, Ohashi, Yamamoto, “Structural change in the relationship between electricity and fuel prices: Evidence from the Japanese electricity market before and after the Great East Japan Earthquake and Fukushima nuclear accident in 2011.” Discussant: Krisztina Katona

 

 

12:00 – 1:00 pm              Lunch – Questrom Events and Conference Center

 

 

1:30 – 3:00 pm                Session 2 – 4th Floor Classrooms

 

 

Session 2A, Room 406 – Renewables; Chair: Zuguang Gao

Gao, Sunar, Birge, “Designing Renewable Power Purchase Agreements: Impact on Green Energy Investment.” Discussant: Dongliang Lu

Figuerola-Ferretti, Schwartz, Segarra “Water as a commodity in hydropower generation.” Discussant: Zuguang Gao

Lu, “A Dynamic Agency Model of Green Investment and Managerial Compensation.” Discussant: Isabella Figuerola-Ferretti

 

 

Session 2B, Room 408 – Commodities: Prices, Returns, Strategies; Chair: Tobias Lauter

Lauter, Prokopczuk “Arbitrage in WTI Futures and Options.”  Discussant: Fahiz Baba-Yara

Baba-Yara, Bondatti “Commodity Returns: Lost in Financialization.” Discussant: Tobias Lauter

 

 

Session 2C, Room 410 – Special Session: Futures, Regulation; Chair: Michel Robe 

Adjemian, Prager, Burns “Do Trader Position Changes Affect Commodity Returns? New Evidence Using Comprehensive Daily-Frequency Futures and Swaps Data.” Discussant: Michael Robe

Ferko, Mixon, Onur “Retail Traders in Futures Markets.” Discussant: Daniel Prager

Onur, Orlov, Robe “Spreads” in U.S. Treasury Futures Markets: Calendar Spreads vs. Offsets.” Discussant: Alex Ferko

 

 

Session 2D, Room 412 – Commodity Derivatives; Chair: Alexander David

David, Balasubramaniam, “Hoarding, Stockouts, and Commodity Futures Prices During the Pandemic.” Discussant: Hilary Frances Till

Aka, Gagnon, Power “Commodity Option Return Predictability.” Discussant: Alexander David

Till, Eagleeye, “Tapping the Value of Futures Data: A Practitioner’s Perspective.” Discussant: Gabriel Power

 

 

3:00 – 3:30 pm                 Coffee Break – Questrom Events and Conference Center

 

 

3:30 – 5:00 pm                  Session 3 – 4th Floor Classrooms

 

 

Session 3A, Room 406 – Energy Models; Chair: Maxim Bichuch 

Bichuch, Hobs, Song, “Identifying Optimal Capacity Expansion and Differentiated Capacity Payments under Risk Aversion and Market Power: A Financial Stackelberg Game Approach.” Discussant: Benoit Chevalier-Roignant

Acharya, Chevalier-Roignant, Geman, “Revisiting the Impact of Renewable Energy on PPAs.” Discussant: Maxim Bichuch

 

 

Session 3B, Room 408 – Extreme Risks; Chair: Patrycja Chodnicka-Jaworska 

Chodnicka-Jaworska, Jaworski, Kot “European union sanctions impact on the sector stock prices – the Ukrainian war effect?” Discussant: Zhanbing Xiao

Xiao, “Labor Exposure to Climate Risk, Productivity Loss, and Capital Deepening.” Discussant: Marcin Kot

 

 

Session 3C, Room 410 – Commodities: Information, Market Structure; Chair: Jungkeon Jo 

Banstola, Karali, “Complements or Substitutes? An Analysis of Investor Attention to USDA Reports and Firm-level Announcements.” Discussant: Camille Aït-Youcef

Jo, Adjemian, “Effects of Agricultural Supply News Shocks.” Discussant: Berna Karali

Aït-Youcef, Bonnier, “The Impact of Clearing House Innovations on Grain Trade in the Midwest.” Discussant: Jungkeon Jo

 

 

Session 3D, Room 412 – Carbon Markets; Chair: Florian Berg

Berg, Oliver, Rigobon “On the Importance of Assurance in Carbon Accounting.” Discussant: Saswat Prata

Lohndorf, Patra, “Navigating the Carbon Markets: Optimal strategy for industrial emission allowance procurement.” Discussant: Florian Berg

 

 

6:20 pm                   Bus to Dinner – Questrom Entrance

 

7:00 – 9:00 pm       Dinner – Legal Seafood – Harborside- 270 Northern Ave, Boston, MA 02210