2024 PROGRAM
SUNDAY, MAY 5, 202418:00 - DINNER (by invitation) MONDAY, MAY 6, 20248:00-9:00 - 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
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