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

Cover2Foto: David Shkel/Dirk Matull

Thursday, 23 May 2024, Building 9

19:00 Welcome Reception, Room A305

Friday, 24 May 2024, Building 2

08:45–09:00 Welcome Address, Room 4/5

09:00–10:30 Sessions 1

  • 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)

  • 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)

10:30–11:00 Coffee Break

11:00–12:30 Sessions 2

  • 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)

  • 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)

12:30–13:30 Lunch (Mensa, Building 4)

13:30–14:30 Keynote

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

    Neil PearsonFoto: 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.

14:30–15:00 Coffee Break

15:00–16:30 Sessions 3

  • 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)

  • 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)

18:30 Conference Dinner

Restaurant Enotria, Emilienplatz 9, 58097 Hagen

Saturday, 25 May 2024, Building 2

09:00–10:30 Sessions 4

  • 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)

  • 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)

10:30–11:00 Coffee Break

11:00–12:00 Sessions 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)