Monday, June 24th

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: Tsiaras Gilder 

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: Michel Robe

 

 

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

Tuesday, June 25

8:00 – 9:00 am                 Registration- Questrom Lobby, 595 Commonwealth Avenue, Boston, MA. 02215

 

9:00 – 10:00 am              Keynote Address: David Simchi-Levi – Hariri Auditorium (1st Floor)

 

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

 

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

 

Session 4A, Room 406 – Special Session: iFORM; Chair: Andy Sun

Birge, “The Role of Flexible Market Mechanisms in Electricity Market Efficiency” Discussant: Dirk Lauinger

Galgana, Golrezaei “Learning in Repeated Multi-Unit Pay-As-Bid Auctions.” Discussant: Birge

Lauinger, Sun, “Storage Participation in Electricity Markets: Arbitrage and Ancillary Services” Discussant: Rigel Galgana

 

 

Session 4B, Room 412 – Climate Finance; Chair: Simon Xu 

Lu, Serafeim, Xu, “Catalysts for climate solutions: Corporate responses to venture capital financing of climate-tech startups.” Discussant: Umberto Cherubini

Ojea-Ferreiro, Bruneau, Plummer, Tremblay, Witts, “The interdependencies of Canadian financial institutions: an application to climate transition shocks.” Discussant: Simon Xu

Cherubini, DeAngelis, Neri, “‘I’m Stranded’: Transition Risk Information in CDS and Options.” Discussant: Gabriel Ojea-Ferreiro

 

 

Session 4C, Room 414 – Sustainability; Chair: Rita D’Ecclesia 

Coqueret, Tavin, Zhou, “Sustainable commodity factors.” Discussant: Rita Laura D’Ecclesia

Kanamura “A Quantitative Model of Sustainability Risk in Finance.” Discussant: Guillaume Coqueret

Decclesia, “Improving Corporate Sustainability affects market risk.” Discussant: Takashi Kanamura

 

 

Session 4D, Room 419 – Green Investing; Chair: Maxime Sauzet 

Sauzet, “Green Intermediary Asset Pricing.” Discussant: Christina Nikitopoulos

Huang, “Green Neighbors, Greener Neighborhoods.” Discussant: Maxime Sauzet

Sehatpour, Nikitopoulos, Peters, Richards, Campi, “Anatomy of Municipal Green Bond Yield Spreads.” Discussant: Christine Huang

 

 

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

 

1:30 – 3:00 pm                Session 5 – 4th Floor Classrooms

 

 

Session 5A, Room 406 – Operations; Chair: Andrea Roncoroni

Kouvelis, Liu, Turcic, “An Empirically Grounding Analytics (EGA) Approach to Hog Farm Finishing Stage Management.” Discussant: Andrea Roncoroni

Figà-Talamanca, Guiotto, Roncoroni, “Operational Resilience Anew.” Discussant: Christian Kaps

Kaps, Netessine “Residential Battery Storage – Reshaping the Way We Do Electricity.” Discussant: Danko Turcic

 

 

Session 5B, Room 412 – Climate Finance, Renewables; Chair: Brooke Wang 

Wang, “Waiting or Acting: The Effects of Environmental Regulatory Uncertainty.” Discussant: Zuguang Gao

Huji, Laurs, Stork, Zwinkels “Pricing Pollution: Asset-Pricing Implications of the EU Emissions Trading System.” Discussant: Brooke Wang

Gao, Alshehri, Birge “Aggregating Distributed Energy Resources: Efficiency and Market Power.” Discussant: Dries Laurs

 

 

Session 5C, Room 414 – Commodities: Weather, Shipping; Chair: Stephen Szaura 

Bae, Jeon, Szaura, Zurita, “Blame it on the weather: Market implied weather volatility and firm performance.” Discussant: Niko Nomikos

Cornejo, Merener, Merovich “Extreme Dry Spells and Larger Storms in the U.S. Midwest Raise Crop Prices.” Discussant: Stephen Szaura

Nomikos, Moutzouris “Blockchain Technology and Loan Monitoring in a Real- asset Economy.” Discussant: Nicolas Merener

 

 

Session 5D, Room 419 – ESG; Chair: Giulia Crippa

Crippa, “ESG data imputation and Quantitative Greenwashing.” Discussant: Patrycja Chodnicka-Jaworksa

Chodnicka-Jaworska, “Impact of ESG Measures on Credit Ratings by Using Machine Learning Models – Comparison Energy Sector Reaction to Others Non-financial Companies?” Discussant: Giulia Crippa

 

 

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

 

3:30 – 5:00 pm                Session 6 – 4th Floor Classrooms

 

 

Session 6A, Room 406 – Storage; Chair: Pierre Six

Cao, Duan, Linn, Six, “New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions.” Discussant: Dirk Lauinger

Cerqueti, Mattera, Storani “Systemic resilience of networked commodities.” Discussant: Pierre Six

Lauinger, Vuille, Kuhn, “Frequency Regulation with Storage: On Losses and Profits.” Discussant: Roy Cerqueti

 

 

Session 6B, Room 412 – Special Session: Climate Finance and Carbon Risk; Chair: Rudiger Kiesel 

Lo, Zhang, “Performance Attribution for Portfolio Constraints.” Discussant: Kateryna Chekriy

Welch, Jaimungal “Nash Equilibria in Greenhouse Gas Offset Credit Markets.” Discussant: Ruixun Zhang

Chekriy, Kiesel, Stahl, “A Probabilistic Assessment of Net-Zero Commitments.” Discussant: Sebastian Jaimungal

 

 

Session 6C, Room 419 – Equilibrium Model: ESG, Greenium; Chair: Andrei Kirilenko 

Kirilenko, “Limits on Equilibrium ESG Investing.” Discussant: Xin Gao

Jata, Rotureau, Sevi “The hidden greenium.” Discussant: Andrei Kirilenko

Gao, Li, Lin, Liu, “ESG risk premium: Evidence from commodity options.” Discussant: Dajana Jata

 

 

5:15 – 6:00 pm                CEMA Assembly – Hariri Auditorium (1st Floor)