PROGRAM

Thursday – November 10, 2022

Session Chair: Alexandre Jeanneret, UNSW

9:00-9:45 : Speculation and liquidity in stock and corporate bond markets

Presented by Mirela Sandulescu, University of Michigan

Discussant: Yoshio Nozawa, University of Toronto

9:45-10:30 : Macro trends and factor timing

Presented by Alessandro Melone, Ohio State University

Discussant: Konark Saxena, UNSW

10:30-10:45 : Break

10:45 -11:30 : Volatility (dis)connect in international markets

Presented by Riccardo Colacito, UNC Kenan-Flagler Business School

Discussant: Pasquale Della Corte, Imperial College Business School

11:30 -12:15 : Money as options

Presented by Carsten Sorensen, Copenhagen Business School

Discussant: Mathieu Fournier, UNSW

Friday – November 11, 2022 

Session Chair: Francisco Barillas, UNSW

8:45-9:30 : Competition network: Distress spillovers and predictable industry returns

Presented by Winston Dou, Wharton School

Discussant: Ivan Shaliastovich, University of Wisconsin Madison

9:30-10:15 : Learning from prospectuses

Presented by Simona Abis, Columbia Business School

Discussant: Antje Berndt, Australian National University

10:15-10:30 : Break

10:30 -11:15 : The debt-equity spread

Presented by Nicholas Chen, CUHK Business School

Discussant: Alex Dickerson, Warwick Business School

11:15 -12:00 : Expected and realized returns on volatility

Presented by Kris Jacobs, University of Houston

Discussant: Andrew Patton, Duke University 

Saturday – November 12, 2022 

Session Chair: Andrew Patton, Duke University 

9:00-9:45 : Government policy announcement return

Presented by Yang Liu, University of Hong Kong

Discussant: Philippe Mueller, Warwick Business School

9:45-10:30 : Return extrapolation and day/night effects

Presented by Tong Wang, University of Oklahoma

Discussant: Gustavo Schwenkler, Santa Clara University

10:30-10:45 : Break

10:45 -11:30 : Factor and stock-specific disagreement and trading flows

Presented by Fotis Grigoris, Indiana University

Discussant: Andrea Buffa, University of Colorado at Boulder

11:30 -12:15 : Hansen-Jagannathan bounds with convenience yields

Presented by Robert Richmond, NYU

Discussant: Harjoat Bhamra, Imperial College Business School

INFORMATION

• Presentation: 20 minutes, discussion: 10-15 minutes, Q&A: 5-10 minutes

• Coffee, drinks, and snacks will be served during the sessions