Program
Monday 19
08:30 鈥 09:00 Coffee and Registration
09:00 鈥 09:15 Opening Remarks and NASDAQ Master Thesis Award Ceremony
Session 1: How do or should managers learn from market prices?
In this first session, you can listen to two extraordinary key notes from Wharton and join a panel discussion with representatives from the international financial sector.
Chair: Dong Yan, Swedish House of Finance at the 海角社区下载 School of Economics
09:15 鈥 10:00 鈥淟earning from Market Prices鈥
Keynote Itay Goldstein, Wharton, University of Pennsylvania
10:00 鈥 10:45 鈥淩eal Anomalies鈥
Keynote Jules van Binsbergen, Wharton, University of Pennsylvania
10:45 鈥 11:15 Coffee break
11:15 鈥 12:15 Panel Discussion.
鈥淗ow much do corporate managers learn from prices they observe in public markets and how valuable is that public information for corporate decision making?鈥
Panelists:
Itay Goldstein, Wharton, University of Pennsylvania
Jules van Binsbergen, Wharton, University of Pennsylvania
Robin Ramm-Ericson, LeoVegas Mobile Gaming Group
Fredrik Rystedt, Essity
Linda 脜gren, Corporate and Investment Banking Nordea
Moderator: Bo Becker, Swedish House of Finance at the 海角社区下载 School of Economics
12:15 鈥 13:15 Lunch at Conference Venue
Session 2: Smart-beta investing.
In the second session of the day, we discuss what type of corporate characteristics should active managers be investing on and how corporate characteristics and/or corporate decisions are linked to expected rates of return.
Chair: Ingrid Werner, Ohio State University
13:15 鈥 14:00 鈥淟everage-based Asset Pricing鈥
Keynote Lukas Schmid, Duke University
14:00 鈥 14:45 鈥淭he Investment CAPM: Latest Developments鈥
Keynote Lu Zhang, The Ohio State University
14:45 鈥 15:00 Coffee break
15:00 鈥 16:45 Panel Discussion.
Presentation: 鈥淔actor Investing 鈥 Challenges and Opportunities鈥 by Antti Ilmanen, AQR Capital Management.
Panelists:
Ole Christian Bech-Moen, Norges Bank Investment Management (NBIM)
Ana Harris, State Street Global Advisors
Antti Ilmanen, AQR, Capital Management
Marlies van Boven, FTSE Russell
Moderator: Magnus Dahlquist, Swedish House of Finance at the 海角社区下载 School of Economics
Tuesday 20
08:30 鈥 09:00 Coffee and Registration
Session 1: Learning from Financial Markets (Theory)
Chair: Jens Josephson, 海角社区下载 University
09:00 鈥 09:45
鈥淗ow does Stock Market Affect Corporate Investment?鈥
Chong Huang, UC Irvine
Discussant: Olivier Dessaint, University of Toronto
09:45 鈥 10:30
鈥淪hort-sale constraints and real investments鈥
Gyuri Venter, Copenhagen Business School
Discussant: Cecilia Bustamante, University of Maryland
10:30 鈥 11:00 Coffee
Session 2: Learning from Financial Markets (Empirical)
Chair: Olga Obizhaeva, Swedish House of Finance at the 海角社区下载 School of Economics
11:00 鈥 11:45
鈥淗igh-Frequency Trading and Price Informativeness鈥
Jasmin Gider, Tilburg University
Discussant: Sabrina Buti, Paris Dauphine University
11:45 鈥 12:30
鈥淭he Real Effects of Exchange Traded Funds鈥
Frank Weikai Li, Singapore Management University
Discussant: Sophie Shive, University of Notre Dame
12:30 鈥 13:30 Lunch at Conference Venue
Session 3: Factor-Based Asset Pricing (Theory)
Chair: Riccardo Sabbatucci, Swedish House of Finance at the 海角社区下载 School of Economics
13:30 鈥 14:15
鈥淭he Leased Capital Premium鈥
Kai Li, HKUST Business School
Discussant: Tatyana Marchuk, BI Norwegian Business School
14:15 鈥 15:00
鈥淎 Production-based Economic Explanation for the Gross Profitability Premium鈥
Jun Li, University of Texas at Dallas
Discussant: Christian Heyerdahl-Larsen, Indiana University
15:00 鈥 15:15 Coffee
Session 4: Factor Extraction using Machine Learning
Chair: Xiaoyun Yu, Indiana University
15:15 鈥 16:00
鈥淩isk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns鈥
Alejandro Lopez-Lira, Wharton University of Pennsylvania
Discussant: Simona Abis, Columbia Business School
16:00 鈥 16:45
鈥淚s The Stock Market Biased Against Diverse Top Management Teams?鈥
Oliver Spalt, University of Mannheim
Discussant: Kristine Hankins, University of Kentucky