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Conference Programme

9:00-9:30 Registration and Coffee

9:30-11:00 Contributed Session 1 (25 min presentation, 15 min discussion, 5 min questions)
Session: Information and Market Efficiency
Chair: Gyuri Venter (Copenhagen Business School)

  • Wei Wu (Texas A&M University) ‘Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment’ (with Yong Chen and Bryan Kelly)
    Discussant: Robert Kosowski (Imperial College Business School)
  • Naveen Gondhi (INSEAD) ‘Funding Constraints and Informational Efficiency’ (with Sergei Glebkin and John Kuong)
    Discussant: Aytek Malkhozov (Federal Reserve Board)

11:00-11:30 Coffee

11:30-12:30 Keynote Speech:
Ravi Bansal (Duke’s Fuqua School of Business)
'Duration Premia’

12:30-14:00 Lunch and Poster Session

Poster Session
Mykola Babiak (CERGE-EI) ‘Generalized Disappointment Aversion, Learning, and Asset Prices’
Jintao Du (INSEAD) ‘On the Time-varying Stock-Bond Correlation: Deciphering Heterogeneous Expectations’
Alexey Ivashchenko (SFI, University of Lausanne) ‘Credit spreads, daily business cycle, and corporate bond returns predictability’
Paola Pederzoli (SFI, University of Geneva) ‘Crash Risk in Individual Stocks’

14:00-15:30 Contributed Session 2 (25 min presentation, 15 min discussion, 5 min questions)
Session: Volatility in Macroeconomic Models
Chair: Christian Julliard (LSE)

  • Mariano Croce (University of North Carolina-Chapel Hill) ‘Volatility Risk Pass-Through’ (with Riccardo Colacito, Y. Liu and Ivan Shaliastovich)
    Discussant: Federico Gavazzoni (INSEAD)
  • Andrea Tamoni (LSE) ‘Risk Aversion and the Response of the Macroeconomy to Uncertainty Shocks’ (with Lorenzo Bretscher and Alex Hsu)
    Discussant: Ilaria Piatti (Said Business School Oxford)

15:30-16:00 Refreshment Break

16:00-17:30 Contributed Session 3 (25 min presentation, 15 min discussion, 5 min questions)
Session: Announcements and Information
Chair: Anthony Neuberger (Cass Business School)

  • Mamdouh Medhat (Cass Business School) ‘Dissecting Announcement Returns’ (with Maik Schmeling)
    Discussant: Dong Lou (LSE)
  • Aeimit Lakdawala (Michigan State University) ‘Federal Reserve Private Information and the Stock Market’ (with Matthew Schaffer)
    Discussant: Nina Boyarchenko (New York Fed)

18:30 Dinner at Leroy Shoreditch (For speakers and discussants,