9th Online Seminar in Finance: Florian Weigert, University of Neuchatel, Switzerland
9th Online Seminar in Finance: Florian Weigert, University of Neuchatel, Switzerland
The Institute of Finance at PUEB is pleased to announce the 9th Online Seminar in Finance.
Speaker: Florian Weigert, University of Neuchatel, Switzerland
Title: Hedge Funds and the Positive Idiosyncratic Volatility Effect
Abstract: While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely. They pick high volatility stocks when they are undervalued or when they experience positive earnings surprises in the future. They shy away from high volatility stocks when they are overvalued or when they display lottery-like payoffs. Hedge funds also trade derivatives in a way to profit from the positive volatility effect.
Date: June 2nd, 2023, 11:00 (Warsaw time)
Speaker’s bios: Florian Weigert is Professor of Financial Risk Management at the University of Neuchâtel. His research focuses on empirical asset pricing, hedge funds, mutual funds, behavioral finance, and risk management. His research projects investigate, among others, the determinants of the cross-section of stock returns, performance measurement for hedge- and mutual funds, and the impact of investors’ behavioral biases. His work has been presented at leading academic conferences (such as the AFA, EFA, and FIRS meetings) and published in top finance journals (such as the Journal of Financial Economics, the Review of Finance, and the Journal of Financial & Quantitative Analysis). Florian obtained his Ph.D. in Finance with Summa Cum Laude from the University of Mannheim. Before joining the faculty of Neuchâtel, he was an Assistant Professor at the University of St. Gallen. He was a Visiting Scholar at New York University, Georgetown University, the University of Texas at Austin, and Georgia State University.
To register, please click here: https://forms.gle/xioGDj4Gv5qbncy67.*
Registration deadline: May 31st, 20:00 (Warsaw time). The invitation to the Teams webinar will be sent on June 1st
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