VAR Research Day June 2021

The VAR project held their VAR Research Day event on 17th of June 2021 via zoom. Research was presented by the following early career researchers:

Mohamad Faour: Reconsidering dividend announcement returns: The role of investor expectations

Huayuan Dong: Rogue traders

Ferdinantos Kottas: Comparison Models for EU Green, Grey, and Red securities using the Sq. Sharpe Ratios test

Bardia Khorsand: Does Dividend Smoothing Affect Firm Value?

XuanYu Yue: Identifying the determinants of CO2 emissions of individual airlines around the world

Illia Kovalenko: Active portfolio management using robust optimization

Diego Perez Guisande: Institutional Investing and Banking Scandals: LIBOR, Information

Iason Kynigakis: Machine Learning and Factor-Based Portfolio Optimization

Parvati Neelakantan: Bridging the gap between Model complexity and interpretability: The case of Model-agnostic variable importance measures on “Black Box” global alert models