PROGRAM 3 : Investment Finance

 
 
23
May
2016
Monday

Chair: Hong Zhang (TSINGHUA)

Session: Asset Pricing 1

2:00pm - 2.45pm
Co-Collateral Risk

Massimo Massa (INSEAD), Chengwei Wang (INSEAD), Hong Zhang (TSINGHUA)
Discussant: Jeffrey Pontiff (BC)
Conference Paper  

2:45pm - 3:30pm
Anomalies and News

Joseph Engelberg (UCSD), R. David McLean (DePaul), Jeffrey Pontiff (BC)
Discussant: Bohui Zhang (UNSW)
Conference Paper  

4:00pm - 4:45pm
Cost of Bereavement: How Does Parental Loss Affect Mutual Fund Managers?

Tao Shu (UGA), Johan Sulaeman (NUS), P. Eric Yeung (CORNELL)
Discussant: Si Cheng (QUB)
Conference Paper  

4.45pm - 5.30pm
Informed Trading in Options or Price Pressure in Stocks? Connecting the DOTS in Option-Based Return Predictability

Luis Goncalves-pinto (NUS), Bruce Grundy (MELBOURNE), Allaudeen Hameed (NUS), Thijs Van Der Heijden (MELBOURNE), Yichao Zhu (MELBOURNE)
Discussant: Tao Shu (UGA)
Conference Paper  

 
24
May
2016
Tuesday

Chair: Roger Loh (SMU)

Session: Asset Pricing 2

2:00pm - 2.45pm
Systemic Default and Return Predictability in the Stock and Bond Markets

Jack Bao (FRB), Kewei Hou (OSU), Shaojun Zhang (HKU)
Discussant: Tarun Chordia (EMORY)
Conference Paper  

2:45pm - 3:30pm
The Information in Fire Sales

Sheng Huang (SMU), Matthew C.Ringgenberg(WUSTL), Zhe Zhang (SMU)
Discussant: Abhiroop Mukherjee (HKUST)
Conference Paper  

4:00pm - 4:45pm
It Depends on Where You Search: A Comparison of Institutional and Retail Attention

Azi Ben-Rephael (INDIANA), Zhi Da (ND), Ryan D. Israelsen (INDIANA)
Discussant: Baolian Wang (FORDHAM)
Conference Paper  

4.45pm - 5.30pm
Innovation, Creative Destruction, and the Cross-Section of Stock Returns

Sheridan Titman(U TEXAS), Aydogan Alti (U TEXAS)
Discussant: Zhanhui Chen (NTU)
Conference Paper  

 
25
May
2016
Wednesday

Chair: Wenlan Qian (NUS)

Session: Microstructure and Financial intermediaries

2:00pm - 2.45pm
Do High Frequency Traders Need to be Regulated? Evidence from Algorithmic Trading on Macroeconomic News

Tarun Chordia( EMORY), T. Clifton Green (EMORY), Badrinath Kottimukkalur (EMORY)
Discussant: Ekkehart Boehmer (SMU)
Conference Paper  

2:45pm - 3:30pm
Asset Pricing for the Shortfall Averse

Gur Huberman(COLUMBIA), Paolo Guasoni (BU)
Discussant: Zhi Da (NOTRE DAME)
Conference Paper  

4:00pm - 4:45pm
Option Return Predictability

Jie Cao (CUHK), Bing Han (U TORONTO), Qing Tong (SMU), Xintong Zhan (CUHK)
Discussant: Tse -Chun Lin (HKU)
Conference Paper  

4.45pm - 5.30pm
Efficiently Inefficient Markets for Assets and Asset Management

Nicolae Gârleanu (BERKELEY), Lasse Heje Pedersen (CBS)
Discussant: Utpal Bhattacharya (HKUST)
Conference Paper  

Contact Information

Program Director Conference Organizer

Massa Massimo (INSEAD)
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Allaudeen Hameed (NUS)
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Roger Loh (SMU)
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Wenlan Qian (NUS)
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Hong Zhang (TSINGHUA)
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