Finance Internal Seminar: Magnus Bjørn Frische (PhD Seminar) and Kristoffer Balle Hvidberg

Presenter: Magnus Bjørn Frische, AU

Title: Carbon tilts and factor returns

Abstract: Carbon transition risk plays a growing role in asset prices and is central to the sustainability debate. This paper examines the pricing of carbon transition risk in U.S. equity factor returns using carbon tilts, defined as the value-weighted difference in carbon transition risk between a factor’s long and short legs. While carbon-intensive factors earn lower realized returns, expected returns inferred from the implied cost of capital indicate a positive carbon premium, consistent with theoretical predictions. This carbon premium increases over time and with climate concerns, and its pricing effects are most pronounced for investment styles related to profitability, investment, and valuation.

Presenter: Kristoffer Balle Hvidberg, AU

Title: Nominal Loss Aversion and Portfolio Allocation

Abstract: We combine administrative records with experimental data to examine the relationship between nominal loss aversion and portfolio allocation. We find that individuals with a high degree of nominal loss aversion allocate a smaller share of their financial assets to stocks. This difference in stock share is persistent, remaining stable for up to ten years.

PhD presentation as part of mandatory 1st or 3rd year presentation. The time is extended to one hour; the presenter has 40 minutes for the presentation, 5-10 minutes for the discussant, and 5-10 minutes for questions.

Organizers: Stefan Hirth and Anders Merrild Posselt