Corvinus - Institute of Finance

🏛️ Yesterday (03/09), our Institute of Finance had the pleasure of meeting the new Rector of Corvinus University of Budapest, Dr. Bruno van Pottelsberghe, at the Faculty Club. We presented our institute's diverse programs, international collaborations, innovative research centers, and specialized academic offerings.

During the event, Bruno shared his vision and strategy for the university, focusing on enhancing international visibility, strengthening research excellence, and promoting innovation in education. The event concluded with a Q&A session, where our faculty engaged directly with the Rector on key topics and plans.

Our associate professor, Dr. Tamas Pesuth, has contributed to enhancing the partnership between Corvinus University of Budapest and Korea University, one of Asia’s top-ranked institutions.

This semester, Dr. Pesuth will be a visiting researcher at Korea University, contributing to developing and strengthening our academic cooperation with top-ranked partners in South Korea.

Earlier, our Rector, Dr. Bruno van Pottelsberghe, welcomed H.E. Dr. Kyudok Hong, the Ambassador of the Republic of Korea to Hungary, Prof. Dong-One Kim, President of Korea University, and their delegation at Corvinus.

We wish Dr. Pesuth great success in his research endeavors abroad.

We are excited to announce that Dr. Judit Lilla Keresztúri has been appointed as the new Head of the Department of Investments, one of the three departments at our Institute of Finance!

👩‍🏫 About Dr. Keresztúri:
🏫 She holds a PhD in Management and Business Administration and an MSc in Finance, both from Corvinus University of Budapest.
💼 Her professional journey includes roles such as Risk manager and she's currently an Associate Professor at Corvinus.
📚 She specializes in teaching topics such as Corporate Finance, Money and Capital Markets, and Asset Pricing, with current research focused on greenwashing.

Check her latest publications: https://sites.google.com/view/juditlillakereszturi

We are proud to announce the recent publication of a paper authored by one of our assistant professors, Dr. Dávid Zoltán Szabó, in collaboration with Dr. Paul Johnson and Prof. Peter Duck from The University of Manchester. The paper, titled "Optimal Trading with Regime Switching: Numerical and Analytic Techniques Applied to Valuing Storage in an Electricity Balancing Market," has been featured in the European Journal of Operational Research, marking a significant contribution to the applications of optimal switching problems in power systems.

This research introduces a sophisticated model that integrates stochastic differential equations with Markov regime switching, designed to optimize trading strategies for energy storage devices within electricity markets, utilizing data from the Nord Pool Market. Moreover, it details the calibration of mean-reverting stochastic processes to this data and explores numerical solutions to variational inequality problems.

Additionally, the paper offers quasi-analytic approximations that provide a deeper comprehension of optimal trading under various market regimes. In this sense, the work offers practical frameworks for enhancing grid flexibility, integrating renewable energy sources, and ensuring efficient market operations in the face of increasing renewable energy integration and associated challenges.

Read the full article: https://doi.org/10.1016/j.ejor.2024.06.026

What factors influence women to choose atypical employment in Central-Eastern European countries? This was the central question addressed by Dr. Vaskövi Ágnes and her colleague, Horváth Anna, in their research presented at the XVIII Economic Modeling Conference held at the University of Pannonia, in Veszprém, on June 21, 2024.

Their study explores the challenges and opportunities of atypical employment, and the growing presence of flexible work arrangements as a means to enhance women’s labor market participation.

The research also analyzed the broader implications of such employment on household finances, tax systems, social security, and savings, emphasizing the importance of supporting women’s employment and economic independence through viable flexible work options.

🌍📚 Biodiversity is crucial for sustaining life on Earth, and its relevance in finance and investment strategies is becoming increasingly evident. We are proud to share that researchers from the Institute of Finance have made significant contributions to this field, with two working papers from our colleagues featured in the Biodiversity Special Topic Hub on SSRN:

➡️ Biodiversity Risk Premium, by Dr. Helena Naffa and Gergely Czupy
This paper explores the concept of biodiversity risk premium (BRP) within investment portfolios. Analyzing data from 2013 to 2023, it highlights how incorporating biodiversity risks into investment strategies impacts financial returns. The findings suggest a BRP of 0.9%-3.6%, underscoring the financial implications of biodiversity considerations. Moreover, this study's importance is reflected in its frequent listing among the most downloaded on SSRN.
Read the full paper here: https://ssrn.com/abstract=4751958

➡️ Biodiversity Finance: A Review and Bibliometric Analysis, by Xinglin Li and Helena Naffa
Offering a comprehensive review of 410 papers from the Scopus database, this study provides a detailed mapping of the biodiversity finance field. It identifies key features, influential works, and major research focuses, shedding light on the historical evolution and future direction of this emerging area. Therefore, this paper serves as a valuable resource for both researchers and practitioners alike.
Read the full paper here: https://ssrn.com/abstract=4869848

You can consult other updates about biodiversity research from our institute on the website of the Sustainable Finance Research Centre: www.sustainablefinanceresearch.com

🌍 How do ESG factors influence risk management and investor behavior? 💹

In exploring this question, we are proud to announce that Dr. Martin Márkus has successfully defended his doctoral dissertation titled “Green Choices, Gray Areas: Risk Management and Investor Behavior in the ESG Landscape” on June 28, 2024.

The research indicates that higher ESG (Environmental, Social, and Governance) scores significantly reduce the severity of corporate misconduct, thus improving overall risk management. Additionally, the investigation analyzes investor behavior, showing that these stakeholders are more likely to support ESG-compliant companies if they have experienced recent financial gains, reflecting the house money effect in behavioral finance. In this sense, Dr. Márkus's dissertation, supervised by Dr. Péter Csóka and Dr. Gábor Neszveda, provides insights for businesses, investors, and policymakers aiming to integrate sustainable practices into their decision-making processes.

For those interested in exploring the detailed findings, the full dissertation is available online: https://phd.lib.uni-corvinus.hu/1369/

🎉🎉🎉 Join us in congratulating Dr. Martin Márkus and his supervisors on this achievement! 👏👏👏

📚 The Special Edition of the Journal "Economy and Finance" (Hungarian Banking Association) was recently published, featuring insights from the recent PRMIA Hungary Conference 2023, hosted by our Institute of Finance. This edition showcases research and valuable contributions from six of our talented faculty and partners.

We are proud to announce that our colleagues, Dr. Barbara Dömötör, Dr. Péter Juhász, Dr. Gergely Fazakas, Dr. Tamas Pesuth, Grebel Szabolcs (PhD student), and Dr. Márton Radnai (alumni/corporate partner), have all contributed to the publication. Their research covers a range of critical topics in financial risk management, ethical procurement practices, gamified learning in finance, financial literacy, and historical analysis of stock exchanges.

In this issue, Dr. Barbara Dömötör and Dr. Krisztina Megyeri highlight the importance of a holistic approach to risk management through PRMIA's activities. Dr. Péter Juhász and Dr. Tünde Tátrai examine the integrity of the Hungarian public procurement market, identifying key factors for improving efficiency. Grebel Szabolcs and Dr. Tamas Pesuth investigate geopolitical risks, surveying significant modern risks and analyzing corporate reports from banks in the US, Europe, and Asia. Their work builds a comparative index correlating with geopolitical indexes in the existing literature. Dr. Gergely Fazakas presents a gamified approach to teaching financial market concepts, revealing how emotional decisions can impact trading behavior. Finally, Dr. Márton Radnai explores historical aspects of the stock exchange, providing insights into the evolution of financial markets.

For more details, check out the publication here:
➡️ English: https://www.bankszovetseg.hu/gazdasag-es-penzugy-g-e-p.cshtml?lang=eng
➡️ Hungarian: https://www.bankszovetseg.hu/gazdasag-es-penzugy-g-e-p.cshtml?lang=hun

The 17th International Accounting & Finance Doctoral Symposium (IAFDS 2024) took place at the Università degli Studi di Napoli Parthenope in Italy from June 16 to 18. Professor Robert Faff (University of Queensland, Australia), delivered a keynote speech on “Responsible Science” during the plenary session. Corvinus was represented at the event by Dr. Kata Varadi, Head of the Institute of Finance, who co-chaired sessions with Prof. Faff and also held one-on-one feedback meetings with students.

The symposium brings together doctoral students and professors from around the globe to develop research strengths and skills in accounting and finance. Each student had the opportunity to present their research and receive detailed remarks from prominent academics to improve their work.

Our colleagues from the Institute of Finance, Dr. Svetoslav Covachev and Dr. Gergely Fazakas have published a paper in the journal "Studies in Economics and Finance" analyzing the effects of the Russia-Ukraine war and the Wagner Group coup attempt on European defense stocks.

Applying event study methodology, they found that the start of the war on February 24, 2022, led to up to 12% positive abnormal returns in defense stocks. In contrast, the coup attempt on June 23, 2023, resulted in a negative impact of approximately 1% on the first trading day after the event.

This study provides the first analysis of the Russia-Ukraine war's impact on the defense industry, demonstrating the influence of geopolitical events on financial markets. By showing how defense stocks reflect such tensions, the findings suggest that these stocks could serve as indicators for policymakers monitoring regional conflicts.

Read the full paper: https://doi.org/10.1108/SEF-11-2023-0675

On the 20th and 21st of June, our institute held the Corporate Finance Workshop at the scenic Yacht Klub Agárd, near Lake Velence. The event brought together our professors to discuss, align, and develop academic content for finance-related courses.

The workshop featured several insightful presentations on key topics such as capital structure, dividend literature, and the cost of capital in business valuation. Participants also engaged in solving related problems and exploring best practices in teaching corporate finance, making the event a rich collaborative experience.

In addition to the academic sessions, the workshop offered opportunities for relaxation and networking, including a yoga session, free time, and communal meals. The feedback and ideas generated during the event will help shape future workshops, aiming to establish this gathering as a tradition in our academic community, ultimately contributing to the quality of education we offer to our students.

Our Assistant Professor, Dr. Zsolt Lakatos, recently participated online in the 10th International Scientific Conference on Knowledge-Based Sustainable Development (ERAZ 2024), which took place on June 6th in Lisbon, Portugal. The event, hosted by ISCTE - University Institute of Lisbon, brought together global experts to discuss sustainable development strategies and innovations. Dr. Lakatos presented his research on "ESG Pricing in Europe Between 2009 and 2022," focusing on the integration of Environmental, Social, and Governance (ESG) factors into traditional financial models.

The study extended the Fama-French three-factor model to include an ESG factor, revealing that portfolios with higher ESG scores generally exhibited positive ESG factor betas, while those with lower scores showed negative betas. Interestingly, his findings indicated that portfolios with lower ESG scores achieved higher average annual returns, albeit with greater associated risks.

📅📈 The deadline for paper submissions to the 15th Annual Financial Market Liquidity Conference (AFML) in Budapest has been extended to June 25th, 2024. This gives you more time to perfect your work and join us. The conference, taking place at Corvinus on November 14-15, 2024, will feature keynote speakers from renowned institutions and provide publication opportunities for researchers and Ph.D. students. Don't miss out on the chance to share your insights on topics such as market liquidity, systemic risk, and ESG investments.

➡️ Submit your papers now at http://afml.uni-corvinus.hu/

The 38th ECMS International Conference on Modelling and Simulation was held in Krakow, Poland, from June 4th to 7th, 2024. This interdisciplinary event, which the Finance, Economics, and Social Sciences (FES) section is organized by the Institute of Finance at Corvinus University of Budapest, featured over 80 scientific presentations, with participants from approximately 20 countries.

The conference focused on applying modeling and simulation to address various macro and microeconomic issues, particularly those relevant to the Visegrád Group (Hungary, Slovakia, Poland, and the Czech Republic). Our institute was represented by six colleagues: Dr. Ágnes Vaskövi, Dr. Erzsébet Teréz Varga, Dr. Ágnes Vidovics-Dancs, Dr. Kata Váradi, Dr. Emília Németh-Durkó, and Dr. Zsuzsanna Tamásné Vőneki.

Dr. Ágnes Vidovics-Dancs explored challenges in financial risk management, focusing on hedging foreign exchange risks. Her research demonstrated the complexities and potential pitfalls of using traditional hedging methods, emphasizing the need for more sophisticated regulatory definitions, with her research being recognized with the Best Paper Award at the conference.

Dr. Ágnes Vaskövi presented her research on the impact of non-standard employment forms on women's labor force participation. Using data from the EUROSTAT Labour Force Survey, she concluded that women with higher education and those living in urban areas are more likely to opt for temporary or part-time employment.

Dr. Kata Váradi, Head of our Institute, discussed the valuation of ComEx options, a novel type of financial derivative. She highlighted the advantages of ComEx options over traditional Margrabe options in terms of funding liquidity.

Dr. Erzsébet Teréz Varga investigated the effectiveness of family tax allowances in reducing poverty among single-parent and dual-earner households in the Visegrád countries. Her findings indicated that while tax allowances had some impact, they were not uniformly positive across all countries, with significant benefits observed only in dual-earner families in the Czech Republic.

Dr. Emília Németh-Durkó (online) examined the potential of green bonds to stimulate green innovation, confirming the hypotheses with a fixed-effects panel regression model, although the impact of green bond issues is smaller than other variables (GDP or even R&D expenditures) in terms of stimulating innovation. Patenting is a long legal process, so the research will be continued by applying the ARDL model that can handle time-varying shifts.

Lastly, Dr. Zsuzsanna Tamásné Vőneki, Head of the Department of Macrofinance, analyzed ESG factors in the banking sector, developing an index to measure how banks in the Visegrád countries integrate these factors into their risk management practices, finding significant influences from GDP per capita and bank size.

📢 Highlights from the Corvinus Research Week! 📊

We were thrilled to host on Monday (10/06) a special presentation by our Associate Professor, Dr. Zsuzsa Reka Huszar, as part of the Research Week at Corvinus - Spring 2024. The session, titled "Finding Impactful Research Questions: Great Finance Topics," was an interactive discussion focusing on the relevance of scientific inquiries.

Professor Huszár Zsuzsa shared strategies for identifying meaningful research topics, which are crucial for achieving publication success in top journals. Attendees gained practical knowledge through examples from investment, household finance, and energy finance, with research contributions that have significantly impacted both academia and policy discussions at the highest levels, including the US Senate and European Securities Markets Authority (ESMA).

The Research Week at Corvinus continues to be a tradition, offering a platform for plenary lectures, workshops, round-table discussions, and more. This four-day event, held at the end of each semester, provides ample opportunities for consultation and collaboration. This semester, the event goes from the 10th to the 13th of June.

Find more information here: https://www.uni-corvinus.hu/post/landing-page/research-week/?lang=en

⌛ Deadline for paper submission, AFML 2024: June 14 📅
There is still time to submit your research and prepare to attend the 15th Annual Financial Market Liquidity Conference held in Budapest on 14-15 November 2024.

For presentations, submit full papers (including author names) by filling in the submission form by the 14th of June 2024. Papers will be reviewed by at least two members of the Scientific Committee, and authors will be notified of the Program Committee’s decisions by the 14th of August 2024.

Consult all the details about the conference on our official website: https://www.uni-corvinus.hu/ind/afml-conference/?lang=en

We are excited to share that our colleagues, Dr. Leyla Yusifzada and Ph.D. student Xinglin Li, participated in the "Workshop on Recent Trends and New Developments in Sustainable, Green and International Finance" at IÉSEG School of Management, in Paris, France, on May 13-14, 2024.

Dr. Leyla Yusifzada presented her research on "Return Trade-offs between Environmental and Social Pillars of ESG Scores," co-authored with Dr. Igor Lončarski, Dr. Helena Naffa, and Czupy Gergely János. The study addresses the trade-offs between environmental and social aspects of sustainability by studying the public market signals on their relative importance.

Xinglin Li presented on "Biodiversity Finance: A Review and Bibliometric Analysis," co-authored with Dr. Helena Naffa. Their paper provides a review of the emerging field of biodiversity finance, combining bibliometric and content analysis of 410 papers from the Scopus database. This pioneering work maps out the historical evolution, identifies key influential works, and pinpoints current research trends and future directions in the intersection of biodiversity and finance.

This week our Institute of Finance hosted an insightful Research Seminar led by Prof. Ewa Dziwok from the University of Economics in Katowice. Prof. Dziwok presented her analysis on the topic of the green bond premium in the European bond market. Highlighting the impact of climate change on financial systems and the growing importance of environmental and social issues post-Covid-19, she discussed the exponential growth of green bonds and their associated green premium.

Using the Nelson-Siegel-Svensson parametric method, her research demonstrates that although green bonds tend to have lower interest rates compared to their conventional counterparts, the differences are minimal and do not significantly enhance their financial attractiveness.

Prof. Dziwok's visit, initiated by Professor Barbara Dömötör, extends beyond the seminar. She will be spending two weeks at the Institute of Finance, delivering a series of lectures and seminars on Climate Risk within the Risk Management and Financial Institutions curriculum. Additionally, she will engage in one-on-one meetings with our professors, researchers, and Ph.D. students, fostering a collaborative international environment for knowledge exchange and further research.

🎉📚 We're happy to celebrate the successful thesis defense of Dr. Gábor Sztanó, titled "Monetary Policy Spillovers – The Impact of Advanced Central Banks’ Decisions on Emerging Financial Markets," supervised by Dr. István Magas. Gábor's research recognizes the influence of globalization on financial markets, where economic and political dynamics transcend national boundaries. In this sense, his work explores the correlation between domestic financial markets and the international environment, highlighting how major central banks, such as the Federal Reserve and the European Central Bank, affect global financial conditions.

Since the Global Financial Crisis, intensive international capital flows have characterized the global economy, with large amounts of portfolio investment flowing from advanced to emerging countries. Taking this context into consideration, Gábor's study examines the post-crisis monetary policies of central banks, which had a substantial impact on the pricing of financial assets in emerging markets. Moreover, empirical analyses using panel data methods shed light on the regional differences in monetary policy spillovers and the sensitivity of emerging countries to external shocks.

Congratulations to Dr. Gábor Sztanó and his supervisor, Dr. István Magas, for his outstanding defense.

How to make science more transparent? This was one of the questions that guided a series of events and meetings hosted by our Institute of Finance with Robert Faff, Honorary Professor from The University of Queensland, in the first two weeks of May. During his visit to Corvinus, Professor Faff conducted three insightful workshops, exploring important aspects of research communication and responsible scientific practices.

1) "Pitching Research Matters": In the first workshop, held on Friday, 3rd of May, attendees had the opportunity to learn about good practices regarding research pitch. Professor Faff introduced the Pitching Research Framework (PRF), which empowers academics to effectively communicate their early research ideas clearly and objectively.

2) "Responsible Science Matters": on Monday, 6th of May, Professor Faff delivered a thought-provoking seminar about the importance of credible, relevant, and independent research, emphasizing the necessity of embracing "Open Science" practices as a crucial step towards becoming responsible scientists. Attendees were encouraged to adopt pre-registered research, a process that focuses on publishing proposed projects based on great ideas before the research itself is complete.

3) "Be Inspired by InSPiR2eS": the visit culminated in a workshop on Wednesday, 8th of May, which provided Ph.D. students and early career researchers with opportunities to put into practice what they had learned in the previous sessions. Hence, they prepared and pitched their research ideas, while receiving guidance and mentorship from Professor Faff.

During his visit, Professor Robert Faff also engaged in a series of strategic meetings with researchers, professors, and university leaders, including colleagues from the Doctoral Schools and the Corvinus Institute for Advanced Studies (CIAS). These sessions provided a platform for fruitful discussions on the future direction of research within the Institute of Finance and at the Corvinus University of Budapest. Professor Faff's expertise and insights contribute to shaping initiatives aimed at advancing research excellence and fostering collaborations both within our university and beyond.

🏅 Celebrating Excellence in Finance Research! 🏅

We are thrilled to share that nine colleagues from our Institute of Finance have been honored at the Corvinus Research Excellence 2024 (CKK24) awards! Among the 111 recognized researchers, these standouts from our institute were applauded for their scientific contributions:

▶️ Category "A" – Junior Non-Research Track Faculty:
• Ferenc Illés
• Milán Csaba Badics
• Péter Kerényi
• Zsuzsanna Tamásné Vőneki

▶️ Category "B" – Junior Research Track Faculty:
• Dávid Zoltán Szabó

▶️ Category "C" – Senior Non-Research Track Faculty:
• Barbara Mária Dömötör
• Judit Lilla Keresztúri
• Kata Váradi

▶️ Category "D" – Senior Research Track Faculty:
• Zsuzsa Réka Huszár

The CKK acknowledges the scholarly research of Corvinus University of Budapest's faculty and researchers, incentivizing and recognizing research outcomes that align with the University's standards and that have international significance. In 2024, a total of 135 submissions across four categories were received, with 111 ultimately being honored with prizes totaling close to HUF 127 million.

Congratulations to all!

The Sustainable Finance Research Center organized a workshop on May 7th, Tuesday, to showcase and debate their current investigations. In the opportunity, their team presented three papers, exploring various trendy aspects of sustainable finance:

➡️ "Return trade-offs between environmental and social pillars of ESG scores" by Leyla Yusifzada, Igor Lončarski, Gergely Czupy, and Helena Naffa, investigates the relationship between environmental and social performance within firms and their impact on financial outcomes.

➡️ "Biodiversity finance: a review and bibliometric analysis" by Helena Naffa and Xinglin Li explores the field of biodiversity finance, combining bibliometric analysis with content review to map out the field's historical evolution and point future directions.

➡️ "Biodiversity Risk Premium" by Helena Naffa and Gergely Czupy examines the presence of risk within investment portfolios, highlighting the importance of biodiversity considerations in financial markets and investment strategies.

We are grateful to all participants for their active involvement and contributions, which made this workshop a fruitful exchange of ideas and knowledge. Special thanks to the Sustainable Finance Research Center, Institute of Finance, for organizing the event.

🌳For those interested, the paper "Biodiversity Risk Premium" is available for further reading on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751958

🏃‍♂️🏅 Over the weekend, our team from the Institute of Finance took on the epic challenge of the UltraBalaton Marathon around Lake Balaton, Hungary, and we're thrilled to announce: mission accomplished! Together, we conquered a staggering 211-kilometer ultramarathon, fueled by determination and teamwork every step of the way. 🙌

A huge shoutout to each and every one of our incredible colleagues who laced up their shoes and pushed themselves to the limit. Your dedication and grit made this unforgettable achievement possible. Let's celebrate this remarkable feat and carry the spirit of perseverance forward into everything we do.

Meet our unstoppable runners:

• Balazs Kralik
• Benjámin Sándor Beri
• Beri Ildikó
• Csaba László
• Dániel Havran
• Fanni Dudás
• Margit Hajnal
• Mikolasek András
• Milson Veloso
• Szabó Dávid Zoltán
• Szabolcs Grébel
• Tamás Pesuth

We are thankful to Corvinus Sports Center and Csaba Vladár for their support.

🌱📊 Our Associate Professor, Dr. Zsuzsa Reka Huszar, presented her new paper on ESG and green investment preferences, focusing on Central and Eastern Europe (CEEC), at the Swedish Community for Sustainable Finance Conference 2024. The presentation is an output of her joint work with our Assistant Professor, Dr. Erzsébet Teréz Varga, which analyzes the role of education, family, and gender on sustainable investment in the CEEC.

🌿💡 Understanding the impact of interest rates on Green energy projects is crucial for sustainable investments! Dr. Yerkin Kitapbayev, from the Khalifa University of Science and Technology (Abu Dhabi, UAE), presented his joint work with Jerome Detemple and Max Reppen about this topic at the Institute of Finance Research Seminar on April 22. Speaking to professors and Ph.D. students, he explored how interest rate uncertainty affects the viability of renewable power ventures. Fluctuations in interest rates can significantly impact project profits, as seen in recent offshore wind plant developments.

This research not only contributes to the theoretical discussions but also provides practical insights. The analysis carried out shows the level of net subsidies is a major determinant of the response to interest rate changes or uncertainty changes. Interest rate uncertainty increases (reduces) the project value in the high volatility regime, if the subsidy is sufficiently large (low). Therefore, these findings contribute to understanding why firms may delay or reconsider renewable energy initiatives, especially with rising interest rates, emphasizing the need for adaptive policies in the renewable sector.