PROGRAM

SUNDAY, MAY 5, 2024

18:00 - DINNER (by invitation)

MONDAY, MAY 8, 2023

8:00-9:00 - BREAKFAST

9:00-10:00 - Novelties in Pricing Theory

Payout-Based Asset Pricing
Andrei Goncalves (OSU)
Andreas Stathopoulos (UNC)
Discussant: Lorenzo Bretscher, U Lausanne

A Factor Framework for Cross-Sectional Price Impacts
Yu An (JHU)
Yinan Su (JHU)
Chen Wang (U Notre Dame)
Discussant: Andrea Vedolin, Boston U

10:00-10:30 - BREAK

10:30-11:30 - Intermediaries & Asset Returns

Intermediary Balance Sheet Constraints, Bond Mutual Funds’ Strategies, and Bond Returns
Mariassunta Giannetti (SSE)
Chotibhak Jotikasthira (SMU)
Andreas Rapp (Federal Reserve Board)
Martin Waibel (SSE)
Discussant: Sven Klingler, BI-Oslo

Financial Intermediaries and Demand for Duration
Alberto Plazzi (USI Lugano)
Andrea Tamoni (Rutgers U)
Marco Zanotti (USI Lugano)
Discussant: Emanuel Monch, Frankfurt School

11:30-11:45 - INTERMITTENT BREAK

11:45-12:45 - Trading Frequency & Market Quality

Does High Frequency Market Manipulation Harm Market Quality?
Jonathan Brogaard (U Utah)
Dan Li (CUHK)
Jeffrey Yang (U Utah)
Discussant: Albert Menkveld, VU Amsterdam

The Low Frequency Trading Arms Race: Machines Versus Delays
Alex Dickerson (UNSW)
Yoshio Nozawa (U Toronto)
Cesare Robotti (U Warwick)
Discussant: Konstantin Sokolov, U Memphis

12:45-14:15 - LUNCH

14:15-15:15 - Institutions & Lending Markets

Does Loan Securitization Insulate Borrowers from Idiosyncratic Investor Shocks?
Abhishek Bhardwaj (Tulane U)
Shan Ge (NYU)
Saptarshi Mukherjee (Northeastern U)
Discussant: Michel Habib, U Zurich

Institutional Investors, Securities Lending, and Short-Selling Constraints
Taisiya Sikorskaya (LBS, PhD Student)
Discussant: Melissa Prado, NOVA U

15:15-15:30 - INTERMITTENT BREAK

15:30-16:30 - Active Fund Management Metrics

(Not) Everybody’s Working for the Weekend: A Study of Mutual Fund Manager Effort
Boone Bowles (Texas A&M)
Richard Evans (U Virginia)
Discussant: Stanislav Sokolinski, Michigan State U

Remeasuring Scale in Active Management
Shiyang Huang (UHK)
Xu Lu (U Wash)
Yang Song (U Wash)
Hong Xiang (HK Poly U)
Discussant: Kevin Mullally, U Central Florida

16:30-17:00 - REFRESHMENTS & ADJOURN