4th Annual Conference: Investment Finance

 
 
23
May
2016
Monday

Chair: Hong Zhang (Tsinghua University)

Session: Asset Pricing 1

2:00 pm - 2.45 pm
Co-Collateral Risk

Massimo Massa (INSEAD)
Chengwei Wang (INSEAD)
Hong Zhang (Tsinghua University)

Discussant:
Jeffrey Pontiff (Boston College)

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

Joseph Engelberg (University of California, San Diego)
R. David McLean (DePaul University)
Jeffrey Pontiff* (Boston College)

Discussant:
Bohui Zhang (University of New South Wales)

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

Tao Shu* (University of Georgia)
Johan Sulaeman (National University of Singapore)
P. Eric Yeung (Cornell University)

Discussant:
Si Cheng (Queen's University Belfast)

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

Luis Goncalves-pinto* (National University of Singapore)
Bruce Grundy (University of Melbourne)
Allaudeen Hameed (National University of Singapore)
Thijs Van Der Heijden (University of Melbourne)
Yichao Zhu (University of Melbourne)

Discussant:
Tao Shu (University of Georgia)

Conference Paper  
 
24
May
2016
Tuesday

Chair: Roger Loh (Singapore Management University)

Session: Asset Pricing 2

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

Jack Bao (Federal Reserve Board)
Kewei Hou (Ohio State University)
Shaojun Zhang* (Hong Kong University)

Discussant:
Tarun Chordia (Emory University)

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

Sheng Huang* (Singapore Management University)
Matthew C.Ringgenberg (Washington University in St. Louis)
Zhe Zhang (Singapore Management University)

Discussant:
Abhiroop Mukherjee (Hong Kong University of Science and Technology)

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

Azi Ben-Rephael (Indiana University)
Zhi Da (University of Notre Dame)
Ryan D. Israelsen* (Indiana University)

Discussant:
Baolian Wang (Fordham University)

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

Sheridan Titman* (University of Texas at Austin)
Aydogan Alti (University of Texas at Austin)

Discussant:
Zhanhui Chen (Nanyang Technological University)

Conference Paper  
 
25
May
2016
Wednesday

Chair: Wenlan Qian (National University of Singapore)

Session: Microstructure and Financial intermediaries

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

Tarun Chordia* (Emory University)
T. Clifton Green (Emory University)
Badrinath Kottimukkalur (Emory University)

Discussant:
Ekkehart Boehmer (Singapore Management University)

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

Gur Huberman* (Coloumbia University)
Paolo Guasoni (Boston University)

Discussant:
Zhi Da (University of Notre Dame)

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

Jie Cao* (The Chinese University of Hong Kong)
Bing Han (University of Toronto)
Qing Tong (Singapore Management University)
Xintong Zhan (The Chinese University of Hong Kong)

Discussant:
Tse -Chun Lin (Hong Kong University)

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

Nicolae Gârleanu* (University of California, Berkeley)
Lasse Heje Pedersen (Copenhagen Business School)

Discussant:
Utpal Bhattacharya (Hong Kong University of Science and Technology)

Conference Paper  

*Speaker.

Contact Information

Program Director Conference Organizer

Massa Massimo (INSEAD)
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Allaudeen Hameed (National University of SIngapore)
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Roger Loh (Singapore Management University)
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Wenlan Qian (National University of SIngapore)
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Hong Zhang (Tsinghua University)
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