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Conference Programme

Please find below the programme:

Each paper presentation was 30 minutes long followed by 7 minutes of discussion and 3 minutes of questions.

Thursday 24th April

8:30-9:00 Registration and Coffee
9:00-9:15

Room: B0.12

Opening Remarks
9:15-10:15
Room: B0.12
Keynote Talk 1
Tarun Chordia (Emory University)
Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics
10:15-10:45 Refreshment Break - Atrium

10:45-12:45

 

Room: B0.12

 

 

 

 

 

 

Room: B1.19

 

 

 

 

 

Room: B1.16

Contributed Sessions 1
Session A - Agency
Chair: Lei Mao
Boris Nikolov (University of Rochester) ‘Agency Conflicts Around the World’ (with Erwan Morellec, Swiss Finance Institute & Norman Schurhoff, University of Lausanne)
Discussant: Abhiroop Mukherjee
Abhiroop Mukherjee (HKUST Business School) ‘Does Debt Contract Enforcement Affect Financing and Asset Structures? Evidence from a Quasi-natural Experiment’ (with Radhakrishnan Gopalan, Washington University & Manpreet Singh ,HKUST)
Discussant: Thomas Bourveau
Thomas Bourveau (HEC Paris) ‘Do M&A Lawsuits Discipline Managers' Investment Behaviour?’ (with Sven Michael Spira, HEC Paris & Francois Brochet, Harvard Business School)
Discussant: Boris Nikolov
Session B - -High Frequency Trading I
Chair: Vikas Raman
Jean-Edouard Colliard (European Central Bank) ‘Sand in the Chips? Evidence on Taxing Transactions in Modern Markets’ (with Peter Hoffman, European Central Bank) slides
Discussant: Daniel Fricke
Andreas Park (University of Toronto) ‘Do retails traders benefit from improvements in liquidity’ (with Katya Malinova, University of Toronto & Ryan Riordan, University of Ontario)
Discussant: Arie Gozluklu
Bart Z. Yueshen (VU University Amsterdam) ‘Queuing Uncertainty’ slides
Discussant: Roman Kozhan
Session C - Theoretical Asset Pricing
Chair: Richard Taffler
Jerry Tsai ( University of Oxford) ‘Rare Disasters and the Term Structure of Interest Rates’
Discussant: Anthony Neuberger
Paul Schneider (University of Lugano) ‘Generalized Risk Premia - The Economic Value Of Predictability’
Discussant: Harjoat Bhamra
Harjoat Bhamra (Imperial College and University of British Columbia) ‘Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns’ (with Kyung Hwan Shim, University of New South Wales)
Discussant: Paul Schneider

 

12:45-13:30
Lunch - Lounge
13:30-14:30

Room: B0.12

Keynote Talk 2
 Maureen O’Hara (Cornell University)
" High Frequency Market Microstructure"

14:30-15:00

Refreshment Break - Atrium

15:00 - 16:30

 

Room: B0.12


 

 

Room: B1.16





 




Room: B1.19

 

 

 

 

Contributed Sessions 2 
Session A - CEO
Chair: Chendi Zhang
Alex Edmans (London Business School) ‘Corporate News Releases and Equity Vesting’ (with Luis Goncalves-Pinto, National University of Singapore, Yanbo Wang, Insead & Moqi Xu, LSE)
Discussant: Tao Li
Peter Cziraki (University of Toronto) ‘CEO Career Concerns and Risk-Taking’ (with Moqi Xu, LSE)
Discussant: Juanita Gonzalez-Uribe
Session B Empirical Asset Pricing I
Chair: Anthony Neuberger
Erirni Konstantinidi (University of Exeter) ‘How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns’ (with George Skidopoulos, University of London)
Discussant: Xing Jin
Si Cheng (Queen’s University Belfast) 'Time-Varying Momentum Payoffs and Illiquidity’ (with Doron Avramov, The Hebrew University of Jerusalem & Allaudeen Hameed, National University of Singapore)
Discussant: Constantinos Antoniou
Session C - High Frequency Trading II
Chair: Roman Kozhan
Elvira Sojli (Erasmus University Rotterdam) ‘ Trading on Algos’ (with Johannes A. Skjeltorp, Norges Bank & Wing Wah Tham, Erasmus University)
Discussant: Chen Yao
Chen Yao (Warwick University) ‘Tick Size Constraints, Market Structure and Liquidity’ (with Mao Ye, University of Illinois)
Discussant:Björn Hagströmer
 
16:30-16:45 Gather by the Coach
17:30 Seated at The Rooftop (RSC) for two course Dinner followed by Theatre Production


Friday 25th April