2019 PROGRAM - New York, NY, USA
SUNDAY, MAY 5, 201918:30 - WELCOME DINNER
MONDAY, MAY 6, 20197:30-8:00 - BREAKFAST 8:00-9:00 - Market Risk Premium The Implications of Financial Innovation for Capital Markets and Household Welfare Adrian Buss (INSEAD) Raman Uppal (EDHEC) Grigory Vilkov (Frankfurt School of Finance & Mgmt) Discussant: Valery Polkovnichenko (Federal Reserve) A Unified Model of Distress Risk Puzzles Zhiyao Chen (CUHK) Dirk Hackbarth (Boston) Ilya Strebulaev (Stanford) Discussant: Lukas Schmid (Duke) 9:00-9:15 - INTERMITTENT BREAK 9:15-10:15 - Non-Market Risk Premia The Pollution Premium Po-Hsuan Hsu (NTHU) Kai Li (HKUST) Chi-Yang Tsou (HKUST) Discussant: Stefano Giglio (Yale) q5 Kewei Hou (Ohio State) Haitao Mo (Louisiana State) Chen Xue (Cincinnati) Lu Zhang (Ohio State) Discussant: Gergana Jostova (George Washington) 10:15-10:45 - COFFEE BREAK 10:45-11:45 - Real Economy & Currencies US Fiscal Cycle and the Dollar Zhengyang Jiang (Northwestern) Discussant: Hugues Langlois (HEC-Paris) Intermediary Leverage and Currency Risk Premium Xiang Fang (Pennsylvania) Discussant: Pasquale Della Corte (Imperial College) 11:45-12:00 - INTERMITTENT BREAK 12:00-13:00 - Arbitrage Capital Overcoming Arbitrage Limits: Option Trading and Momentum Returns Abhay Abhyankar (Exeter) Ilias Filippou (Warwick) Pedro Garcia Ares (Exeter) Ozkan Haykir (Exeter) Discussant: Tarun Chordia (Emory) Arbitrage Portfolios Soohun Kim (Georgia Tech) Robert Korajczyk (Northwestern) Andreas Neuhierl (Notre Dame) Discussant: Guofu Zhou (Washington-St. Louis) 13:00-14:00 - LUNCH 14:00-15:00 - Fixed Income Funds Liability Structure and Risk-Taking: Evidence from the Money Market Fund Industry Ramin Baghai (SSE) Mariassunta Giannetti (SSE) Ivika Jaeger (SSE) Discussant: Veronika Pool (Indiana) Sitting Bucks: Zero Returns in Fixed Income Funds Jaewon Choi (Illinois) Mathias Kronlund (Illinois) Ji Yeol Oh (Hanyang) Discussant: Alberto Manconi (Bocconi) 15:00-15:15 - INTERMITTENT BREAK 15:15-16:15 - PE & Hedge Funds Crowded Trades and Tail Risk Gregory Brown (North Carolina) Philip Howard (Wake Forest) Christian Lundblad (North Carolina) Discussant: Oliver Boguth (Arizona State) Liquidity Provision in the Secondary Market for Private Equity Fund Stakes Rui Albuquerque (Boston College) Johan Cassel (Oxford) Ludovic Phalippou (Oxford) Enrique Schroth (Cass Business School) Discussant: Russ Wermers (Maryland) 16:15-17:00 - REFRESHMENTS & ADJOURN
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