Institutions, Liquidity and Asset Prices
The Swedish Institute of Financial Research (SIFR) is pleased to invite interested academics and practitioners to a Conference on 鈥淚nstitutions, Liquidity, and Asset Prices鈥 on August 31 and September 1, 2006, in 海角社区下载.
In recent decades, several empirical deviations from the predictions of neoclassical, frictionless asset pricing theories have been discovered. In order to explain these empirical patterns, researchers have started to study the role of frictions such as transaction costs, short鈥恠ales constraints, asymmetric information, agency problems, investor irrationality, and the role of financial institutions and intermediaries in the pricing of financial assets.
The first conference day aims to bring together leading academics with financial practitioners and policymakers to discuss this research and its broader implications for practice and policy. There will be key鈥恘ote presentations by leading scholars in the field, which will be followed by a panel discussion where practitioners get to express their views on these issues. The second conference day has a standard academic format, and aims to provide an academic forum showcasing the frontier in asset pricing research.
Open Conference Program, Thursday, August 31
08:30 Coffee and welcome.
09:00鈥12:30 Presentation: Darrell Duffie, Stanford University: 鈥淐apital Immobility: Implications for Asset Prices鈥.
Presentation: Andrew Metrick , University of Pennsylvania: 鈥淟iquidity Risk and Liquidity Constraints鈥.
Coffee.
Presentation: Kenneth French, Dartmouth College: 鈥淓quilibrium Markets: The Efficient Amount of Inefficiency鈥.
12:30鈥13:30 Lunch
13:30鈥17:00 Presentation: Owen Lamont, Yale University: 鈥淪mart Money, Dumb Money鈥.
Presentation: Jeremy Stein, Harvard University: 鈥淎rbitrage by Funds and Firms鈥.
Coffee
Panel Discussion: How do institutions affect asset prices?
Panel questions:
鈥 Is increased institutional ownership stabilizing or destabilizing for asset prices and markets?
鈥 What type of institutional owners will dominate in the future?
鈥 Is short selling keeping market prices closer to their fundamental values?
鈥 Do we need changes in regulation to make markets more efficient?
Panelists: Hans Dalborg, Nordea, Niklas Ekvall, Carnegie, Peter Norman, Seventh AP Fund, and Peter Thelin, Brummer & Partners.
17:00 Concluding remarks.
Academic Conference Program, Friday, September 1
08:30 Coffee.
09:00鈥09:45 Presentation: Itay Goldstein, Wharton, and Wei Jiang, Columbia University: 鈥淐ostly Communication, Shareholder Activism, and Limits to Arbitrage鈥.
Discussion: Jeremy Stein, Harvard University.
09:45鈥10:30 Presentation: Chester Spatt, SEC and Carnegie Mellon University: 鈥淓quilibrium asset pricing and portfolio choice under asymmetric information鈥.
Discussion: Michael Brennan, UCLA.
10:30鈥11:00 Coffee.
11:00鈥11:45 Presentation: Nicolae Garleanu, Wharton: 鈥淧ortfolio choice and pricing in illiquid markets鈥.
Discussion: Jean鈥怭ierre Zigrand, London School if Economics.
11:45鈥12:30 Presentation: Darrell Duffie, Stanford University: 鈥淪ystemic Dynamics in the Federal Funds Market鈥.
Discussion: TBA.
12:30鈥13:30 Lunch.
13:30鈥14:15 Presentation: Anna Scherbina, Harvard: 鈥淚nheriting Losers鈥.
Discussion: Ludovic Phalippou, University of Amsterdam.
14:15鈥15:00 Presentation: Ingrid Werner, Ohio State: 鈥淐an short鈥恠ellers predict returns? Daily evidence鈥.
Discussion: Frank de Jong, Tilburg University.
15:00鈥15:15 Coffee
15:15鈥16:00 Presentation: Owen Lamont, Yale: 鈥淭he earnings announcement premium and trading volume鈥.
Discussion: Chris Malloy, London Business School.
16:00 Closing of conference.