Conference Agenda
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Session Overview | |
| Location: D -104 |
| Date: Thursday, 22/Aug/2019 | |
| 8:30 - 10:00 |
APE-2: Time-varying liquidity and risk premia Location: D -104 Chair: Rossen Valkanov, UCSD The TIPS Liquidity Premium 1: Aarhus University, Denmark; 2: Federal Reserve Bank of San Francisco; 3: Amazon The Time Variation in Risk Appetite and Uncertainty 1: Columbia Business School, United States of America; 2: Federal Reserve Board, United States of America; 3: Boston College, Carroll School of Management, United States of America Can unpredictable risk exposure be priced? Tilburg University, Netherlands, The |
| 10:30 - 12:00 |
NBIM-1: Understanding the Long-run Drivers of Asset Prices Location: D -104 Chair: Dagfinn Rime, BI Norwegian Business School Long-Term Discount Rates do not Vary Across Firms 1: Aalto University, Finland; 2: University of Southern California The Cross-Section of Risk-Taking and Asset Prices 1: Paris School of Economics, France; 2: London Business School, United Kingdom On the Economic Value of Stock Market Return Predictors 1: University of Arizona; 2: University of Texas at Austin; 3: University of Missouri |
| 13:30 - 15:00 |
APE-12: Empirical macro-finance Location: D -104 Chair: Michael Weber, University of Chicago Demand Elasticities, Nominal Rigidities and Asset Prices London Business School, United Kingdom How Safe Are Safe Havens? 1: BI Oslo, Norway; 2: Columbia University The Short Duration Premium University of North Carolina at Chapel Hill, United States of America |
| 15:30 - 17:00 |
APE-3: Expectations Management by Central Banks Location: D -104 Chair: Emanuel Moench, Deutsche Bundesbank What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices 1: Federal Reserve Bank of San Francisco, United States of America; 2: Federal Reserve Bank of New York How does the Fed manage interest rate expectations? 1: Cass Business School, United Kingdom; 2: Harvard University Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press Federal Reserve Board, United States of America |
| Date: Friday, 23/Aug/2019 | |
| 8:30 - 10:00 |
APE-11: The cross-section of expected returns Location: D -104 Chair: Dacheng Xiu, University of Chicago Arbitrage Portfolios 1: Northwestern University, United States of America; 2: Georgia Institute of Technology, United States of America; 3: University of Notre Dame, United States of America Estimating The Anomaly Baserate 1: UIUC, United States of America; 2: University of Notre Dame; 3: University of Chicago Thousands of Alpha Tests 1: Yale University; 2: Rutgers University, United States of America; 3: University of Chicago |
| 10:30 - 12:00 |
APE-5: Economic Risk Factors Location: D -104 Chair: Francisco Gomes, London Business School Hedging Risk Factors 1: UCLA; 2: University of Rochester News Shocks and Asset Prices 1: London Business School, United Kingdom; 2: Federal Reserve Board; 3: London School of Economics Decomposing Firm Value 1: INSEAD, France; 2: PIMCO; 3: University of Minnesota |
| 13:30 - 15:00 |
APE-6: Cross-section of stock returns: higher-order moments and mis-specification Location: D -104 Chair: Grigory Vilkov, Frankfurt School of Finance and Management Correcting Misspecified Stochastic Discount Factors 1: EDHEC Business School, United Kingdom; 2: Imperial College London; 3: Stockholm School of Economics Higher-Moment Risk 1: Bocconi University; 2: University of Chicago, Booth School of Business Crash Risk in Individual Stocks University of Houston, United States of America |
| Date: Saturday, 24/Aug/2019 | |
| 9:00 - 10:30 |
APE-7: Alternative Asset Classes Location: D -104 Chair: Pedro Saffi, University of Cambridge “We’ll Always Have Paris”: Out-of-Country Buyers in the Housing Market 1: UNC Chapel Hill, United States of America; 2: HEC Paris How Alternative Are Private Markets? 1: University of Oxford; 2: ESSEC Business School; 3: Yale School of Management Crude Awakening: Oil Prices and Bond Returns 1: University of Lausanne; 2: Shandong University; 3: Shanghai University of Finance and Economics |
| 11:00 - 12:30 |
APE-8: Aggregate Risk and Return Predictability Location: D -104 Chair: Frederico Belo, INSEAD How Risky are the U.S. Corporate Assets? 1: UW Madison, United States of America; 2: University of Pennsylvania; 3: Carnegie Mellon University Expected returns and risk in the stock market 1: Alliance Manchester Business School, United Kingdom; 2: Anderson School, UCLA Capital Heterogeneity, Time-To-Build, and Return Predictability City University of Hong Kong, Hong Kong S.A.R. (China) |
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