2024 PROGRAM

Thursday – November 21, 2024

Session Chair: Alexandre Jeanneret, UNSW

9:00-9:45 : Volatility Disagreement and Asset Prices

Presented by Andrea Buffa, University of Colorado at Boulder

Discussant: Konark Saxena, ESCP

9:45-10:30 : How Exposed are Hedge Funds to Prime Broker Risk? 

Presented by Valeri Sokolovski, University of Alberta

Discussant: Jaewon Choi, Seoul National University

10:30-10:45 : Break

10:45 -11:30 : Social Media and the Distortion of Price Revelation

Presented by Charles Martineau, University of Toronto 

Discussant: Jing Lu, UNSW

11:30 -12:15 : Good Inflation, Bad Inflation: Implications for Risky Asset Prices 

Presented by Ram Yamarthy, Federal Reserve Board

Discussant: Philippe Mueller, Warwick Business School

Friday – November 22, 2024 

Session Chair: Mathieu Fournier, UNSW

9:00-9:45 : Reassessing Sources of Risk Premiums in Currency Markets

Presented by Mikhail Chernov, UCLA

Discussant: Pasquale della Corte, Imperial College Business School

9:45-10:30 : Investments and Asset Pricing in a World of Satisficing Agents

Presented by Tony Berrada, University of Geneva

Discussant: Adem Atmaz, Purdue University

10:30-10:45 : Break

10:45 -11:30 : Asset Purchase Rules: How QE Transformed the Bond Market

Presented by Valentin Haddad, UCLA

Discussant: Antje Berndt, Australian National University

11:30 -12:15 : Passive Bond Fund Management is an Oxymoron (or the Case for the Active Management of Bond Funds) 

Presented by Jaewon Choi, Seoul National University

Discussant: James O’Donovan, City University of Hong Kong

Saturday – November 23, 2024  

Session Chair: Francisco Barillas, UNSW

9:00-9:45 : The Different Networks of Firms Implied by the News

Presented by Gustavo Schwenkler, Santa Clara University

Discussant: Rossen Valkanov, UCSD

9:45-10:30 : The Stock-Bond Correlation: A Tale of Two Days in the Treasury Bond Market

Presented by Grace Xu, Tsinghua PBC

Discussant: Andrew Patton, UNSW

10:30-10:45 : Break

10:45 -11:30 : Forecasting Crashes with a Smile

Presented by Ran Shi, University of Colorado at Boulder

Discussant: Mikhail Chernov, UCLA

11:30 -12:15 : Do Share Repurchases Increase the Value of Non-repurchasing Firms?

Presented by Byungwook Kim, University of California - Irvine 

Discussant: Alessandro Melone, Ohio State University