Scholars at WU, the PhD students of VGSF as well as international guests present their working papers for discussion in the Brown Bag Seminar. The seminar is organized by our Institute together with the Institute for Financial Research, the Vienna Institute of Finance and the Vienna Graduate School of Finance.

It usually takes place on Wednesdays from 12:00 to 13:00 (location tba). For further information, please contact bbs-finance@wu.ac.at

• May 28, 2025 / tba / TC.4.03
  Marti Subrahmanyam (New York University)
  
  Title & abstract: tba
   

• May 7, 2025 / 12:00 p.m. - 01:00 p.m. / TC.4.03
  Valentin Luz (LMU Munich)
  “Ambiguity and the Skewness Premium” (joint with Ralf Elsas and Johannes Gerd Jaspersen)
  
  Abstract: Assets are priced according to the preferences of investors. Our theoretical model shows that ambiguity - that is the uncertainty about stock returns’ probability distribution - affects investors' preferences for the skewness of stock returns. In a CAPM equilibrium, skewness premiums increase when stock returns become more ambiguous. We test this interaction empirically and find evidence for it both cross-sectionally and when considering within-firm variation. Our findings hold for both skewness in historical stock returns and expected risk-neutral skewness calculated from option prices. They cannot be explained by limits to arbitrage, news tangibility, or investor belief heterogeneity.