Program
Friday, June2, 2017
08:30-09:00 Registration and welcome address
Session 1. Chair: Alessandro Graniero (BI)
09:00-09:45 Inference on Risk Premia in the Presence of Omitted Factors
Paper: Inference on Risk Premia in the Presence of Omitted Factors
*Stefano Giglio (Chicago Booth) and Dacheng Xiu (Chicago Booth)
Discussant: Irina Zviadadze (SSE)
09:45-10:30 An Information-Theoretic Asset Pricing Model
Paper: An Information-Theoretic Asset Pricing Model
Anisha Ghosh (CMU), *Christian Julliard (LSE & CEPR) and Alex P. Taylor (Manchester Business School)
Discussant: Christian Heyerdahl-Larsen (LBS)
10:30-11:00 Coffee break
Session 2: Chair: Chunyu (Ben) Yang (BI)
11:00-11:45 The Quanto Theory of Exchange Rates
Paper:The Quanto Theory of Exchange Rates
Lukas Kremens (LSE) and *Ian Martin (LSE)
Discussant: Dagfinn Rime (BI)
11:45-12:30 Term structure of risk in macrofinance models
Paper: Term structure of risk in macrofinance models
*Irina Zviadadze (SSE)
Discussant: Christian Julliard (LSE & CEPR)
12:30-14:00 Lunch
Session 3: Chair: Espen Henriksen (BI)
14:00-14:45 Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
Paper: Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
Steffen Andersen (CBS), *John Y. Campbell (Harvard & NBER), Kasper Meisner Nielsen (HKUST) and Tarun Ramadorai (Imperial College & CEPR)
Discussant: Joël Peress (INSEAD)
14:45-15:30 Betting Against Correlation: Testing Theories of the Low-Risk Effect
Paper: Betting Against Correlation: Testing Theories of the Low-Risk Effect
Cliff Asness (AQR), Andrea Frazzini (AQR), Niels Joachim Gormsen (CBS), and *Lasse Heje Pedersen (AQR, CBS, NYU & CEPR)
Discussant: Tatyana Marchuk (BI)
15:30-16:00 Coffee break
Session 4. Chair: Håkon Tretvoll (BI)
16:00-16:45 Finance in a Time of Disruptive Growth
Paper: Finance in a Time of Disruptive Growth
Nicolae Gârleanu (UC Berkley-Haas, NBER & CEPR) and *Stavros Panageas (UCLA Anderson & NBER)
Discussant: Alessandro Graniero (BI)
16:45-17:30 Real Anomalies
Paper: Real Anomalies
*Jules H. van Binsbergen (Wharton) and Christian C. Opp (Wharton)
Discussant: Ilan Cooper (BI)
18:45- Departure
Departure from the lobby of Radisson Blu Hotel Nydalen. For those going on their own, please be at the restaurant at 19:30.
08:45-09:00 Saturday, June 3, 2017: Coffee
Session 5. Chair: Irina Zviadadze (SSE)
09:00-09:45 Are Mutual Fund Managers Paid For Investment Skill?
Paper: Are Mutual Fund Managers Paid For Investment Skill?
Markus Ibert (SSE), *Ron Kaniel (Rochester & CEPR), Stijn van Nieuwerburgh (NYU, NBER & CEPR) and Roine Vestman (Stockholm)
Discussant: Samuli Knüpfer (BI)
09:45-10:30 Glued to the TV : Distracted Retail Investors and Stock Market Liquidity
Paper: Glued to the TV : Distracted Retail Investors and Stock Market Liquidity
*Joël Peress (INSEAD) and Daniel Schmidt (HEC Paris)
Discussant: Øyvind Norli (BI)
10:30-11:00 Coffee break
Session 6. Chair: Paul Ehling (BI)
11:00-11:45 Precautionary Savings in Stocks and Bonds
Paper: Precautionary Savings in Stocks and Bonds
*Carolin Pflueger (UBC), Emil Siriwardane (HBS) and Adi Sunderam (HBS & NBER)
Discussant: Espen Henriksen (BI)
11:45-12:30 The Economics of the Fed Put
Paper: The Economics of the Fed Put
Anna Cieslak (Duke Fuqua & CEPR) and *Annette Vissing-Jørgensen (UC BerkleyHaas & NBER)
Discussant: Bernard Dumas (INSEAD, NBER & CEPR)
12:30-14:00 Lunch