PROGRAM of wsir-2018


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SUNDAY, MAY 6, 2018




MONDAY, MAY 7, 2018

7:30-8:30 - BREAKFAST

Morning Meetings

8:30-9:30 - Information Efficiency

Does private information from options markets forecast aggregate stock returns?
Christopher Jones (University of Southern California)
Haitao Mo (Louisiana State University)
Tong Wang (University of Iowa)
Discussant: Neil Pearson, University of Illinois

Up-Cascaded Wisdom of the Crowd
Will Cong (University of Chicago)
Yizhou Xiao (Chinese University of Hong Kong)
Discussant: Jiasun Li, George Mason University

9:30-10:00 - BREAK

10:00-11:00 - Portfolio Choice

The Leased Capital Premium
Kai Li (HKUST)
Chi-Yang Tsou (University of Hong Kong)
Discussant: Jun Li, University of Texas - Dallas

A Portfolio Perspective on the Multitude of Firm Characteristics
Victor DeMiguel (London Business School)
Alberto Martin-Utrera (Lancaster University)
Javier Nogales (Universidad Carlos III de Madrid)
Raman Uppal (EDHEC)
Discussant: Christian Lundblad, University of North Carolina

11:00-11:30 - BREAK

11:30-12:30 - Foreign Exchange

The Value of Volume in Foreign Exchange
Antonio Gargano (University of Melbourne)
Steven Riddiough (University of Melbourne)
Lucio Sarno (Cass Business School and CEPR)
Discussant: Rosen Valchev, Boston College

The Quanto Theory of Exchange Rates
Lukas Kremens (London School of Economics)
Ian Martin (London School of Economics)
Discussant: Adrian Buss, INSEAD

12:30-14:00 - LUNCH

Afternoon Meetings

14:00-15:00 - Mutual & Hedge Funds

Groomed for Selling and Sold for Grooming: Strategic Behavior Surrounding Sales of Mutual-Fund Management Companies
Eduard Inozemtsev (Gaidar Institute for Economic Policy)
Zoran Ivkovich (Michigan State University)
Andrei Simonov (Michigan State University)
Discussant: David Schumacher, McGill University

Hedge Fund Activism and Internal Capital Markets
Sehoon Kim (University of Florida)
Discussant: Mila Getmansky Sherman, University of Massachusetts

15:00-15:30 - BREAK

15:30-16:30 - Exchange-Traded Funds

Speculation Sentiment
Shaun Davies (University of Colorado)
Discussant: Chotibhak Jotikasthira, Southern Methodist University

Smart Beta, "Smarter" Flows
Jay Cao (Chinese University of Hong Kong)
Jason Hsu (UCLA & Rayliant Global Advisors)
Zhanbing Xiao (University of British Columbia)
Xintong Zhan (Erasmus University Rotterdam)
Discussant: Jawad Addoum, Cornell University