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Nov 02 2023
International Fintech Research Conference
PARTHENOPE UNIVERSITY OF NAPLES | 2-3 NOVEMBER 2023
The Conference aims to stimulate discussion and promote collaboration among researchers working in all areas of Fintech, providing a multidisciplinary venue.
Contributed papers are welcome in all Fintech research fields such as (but not limited to): theoretical analysis of the Fintech domain (finance and economic analysis), machine learning applications to Finance, cryptocurrencies, digital currency, cybersecurity, neural networks approach in Fintech, smart contracts, peer to peer finance, big data analysis, nowcasting, text analysis in finance, blockchain technologies, network analysis in finance, behavioral finance.
Conference Website
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Jan 11 2023
[Seminar] M.Guidolin – Sentiment risk premia in the cross-section of global equity
Si avvisa che in data 11/1/2023, alle ore 11:00, Aula Seminari III piano del Dipartimento di Matematica del Politecnico di Milano o via Zoom link , si svolgerà il seguente seminario:
Massimo Guidolin, Università Bocconi
Sentiment risk premia in the cross-section of global equity
This paper applies a recently developed sentiment proxy to the construction of a new risk factor and provides a comprehensive understanding of its role in sentiment-augmented asset pricing models. We find that news and social media search-based indicators are significantly related to excess returns of international equity indices. Adding sentiment factors to both classical and more recent linear factor pricing models leads to a significant increase in their performance. When it is estimated using the Fama-MacBeth procedure, our sentiment-adjusted pricing model implies positive (negative) estimates of the risk premium for positive (negative) sentiment factors. We further differentiate between developed and emerging markets and uncover different patterns of return reversals / persistence in the long-term. Our results contribute to the explanation of global cross-sectional average excess returns and are robust to augmenting the model with fundamental factors, momentum, idiosyn! cratic vo latility, skewness, kurtosis, and the returns on international currencies. When compared to competing definitions of sentiment factors popular in the literature, our novel sentiment risk variable turns out to be superior in terms of predictive power.
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Dec 14 2022
Le sfide della finanza decentralizzata
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Dec 06 2022
[Seminar] S.Vismara – ESG and Crowdfunding Platforms
Silvio Vismara
Università di Bergamo
ESG and Crowdfunding Platforms
Martedì 6 dicembre 2022 alle ore 10:00
Aula Seminari III piano del Dipartimento di Matematica del Politecnico di Milano
Online su piattaforma zoom: https://polimi-it.zoom.us/j/96086139202?pwd=eXhaRnhrWmdlYlRObHdaR0hTVUJsdz09
Abstract
Environmental, social, and governance (ESG) factors have acquired great relevance for investors in recent years. This paper examines the intersection between ESG and crowdfunding, one of the most popular types of fintech. Using data on the population of 508 platforms established in the 37 OECD countries between 2007 and 2020, we document that platforms with higher levels of ESG criteria are more likely to survive over time. Results are robust to different measures of ESG and endogeneity concerns. The importance of ESG criteria depends on cultural differences, as it is more pronounced for those platforms operating in countries where the level of power distance is lower. -
Nov 22 2022
[Seminar] The Economics of Non-Fungible Tokens – Nicola Borri, LUISS
Si avvisa che in data 22/11/2022, alle ore 15:00, presso l'Aula VI piano del Dipartimento di Matematica del Politecnico di Milano, oppure su piattaforma zoom link, nell'ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:
The Economics of Non-Fungible Tokens
Nicola Borri , LUISS
We construct a comprehensive dataset on a near universe of non-fungible token (NFT) transactions, create indices for the NFT market and its components, and analyze their properties. The NFT market return is significantly exposed to the cryptocurrency market return, but the majority of the NFT market variations remain unexplained. NFT market returns have low exposures to other cryptocurrency factors and factors from traditional asset markets. In the time-series, volatility and the NFT valuation ratio significantly predict NFT market returns. In the cross-section, NFT returns exhibit size and return reversal effects.
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4052045
Daniele Marazzina ti sta invitando a una riunione pianificata in Zoom.
Argomento: Zoom meeting invitation
Ora: 22 nov 2022 03:00 PM Amsterdam, Berlino, Roma, Stoccolma, Vienna
Entra nella riunione in Zoom
https://polimi-it.zoom.us/j/91278216076?pwd= T21JRzQ3RTdUWlVwc09NM09xQ2d0Zz 09
ID riunione: 912 7821 6076
Passcode: 678465