Program

Monday 19

08:30 – 09:00   Coffee and Registration

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09:00 – 09:15   Opening Remarks and NASDAQ Master Thesis Award Ceremony

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Session 1:   How do or should managers learn from market prices?

In this first session, you can listen to two extraordinary key notes from Wharton and join a panel discussion with representatives from the international financial sector. 

Chair: Dong Yan, Swedish House of Finance at the Stockholm School of Economics

09:15 – 10:00   “Learning from Market Prices”
Keynote Itay Goldstein, Wharton, University of Pennsylvania

10:00 – 10:45   “Real Anomalies”
Keynote Jules van Binsbergen, Wharton, University of Pennsylvania

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10:45 – 11:15   Coffee break

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11:15 – 12:15   Panel Discussion. 

“How much do corporate managers learn from prices they observe in public markets and how valuable is that public information for corporate decision making?”

Panelists:

Itay Goldstein, Wharton, University of Pennsylvania
Jules van Binsbergen, Wharton, University of Pennsylvania
Robin Ramm-Ericson, LeoVegas Mobile Gaming Group
Fredrik Rystedt, Essity
Linda Ågren, Corporate and Investment Banking Nordea

Moderator: Bo Becker, Swedish House of Finance at the Stockholm School of Economics

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12:15 – 13:15   Lunch at Conference Venue

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Session 2: Smart-beta investing. 

In the second session of the day, we discuss what type of corporate characteristics should active managers be investing on and how corporate characteristics and/or corporate decisions are linked to expected rates of return.

Chair: Ingrid Werner, Ohio State University

13:15 – 14:00   “Leverage-based Asset Pricing”
Keynote Lukas Schmid, Duke University

14:00 – 14:45    “The Investment CAPM: Latest Developments”
Keynote Lu Zhang, The Ohio State University

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14:45 – 15:00   Coffee break

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15:00 – 16:45   Panel Discussion. 

Presentation: “Factor Investing – Challenges and Opportunities” by Antti Ilmanen, AQR Capital Management.

Panelists:

Ole Christian Bech-Moen, Norges Bank Investment Management (NBIM)
Ana Harris, State Street Global Advisors
Antti Ilmanen, AQR, Capital Management
Marlies van Boven, FTSE Russell

Moderator: Magnus Dahlquist, Swedish House of Finance at the Stockholm School of Economics

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Tuesday 20

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Session 1: Learning from Financial Markets (Theory)

Chair: Jens Josephson, Stockholm University

09:00 – 09:45 
“How does Stock Market Affect Corporate Investment?”
Chong Huang, UC Irvine

Discussant: Olivier Dessaint, University of Toronto

09:45 – 10:30
“Short-sale constraints and real investments”
Gyuri Venter, Copenhagen Business School

Discussant: Cecilia Bustamante, University of Maryland

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Session 2: Learning from Financial Markets (Empirical)

Chair: Olga Obizhaeva, Swedish House of Finance at the Stockholm School of Economics

11:00 – 11:45
“High-Frequency Trading and Price Informativeness”
Jasmin Gider, Tilburg University 

Discussant: Sabrina Buti, Paris Dauphine University

11:45 – 12:30
“The Real Effects of Exchange Traded Funds”
Frank Weikai Li, Singapore Management University
 
Discussant: Sophie Shive, University of Notre Dame

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Session 3: Factor-Based Asset Pricing (Theory)

Chair: Riccardo Sabbatucci, Swedish House of Finance at the Stockholm School of Economics

13:30 – 14:15
“The Leased Capital Premium”
Kai Li, HKUST Business School

Discussant: Tatyana Marchuk, BI Norwegian Business School

14:15 – 15:00
“A Production-based Economic Explanation for the Gross Profitability Premium”
Jun Li, University of Texas at Dallas

Discussant: Christian Heyerdahl-Larsen, Indiana University

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Session 4: Factor Extraction using Machine Learning

Chair: Xiaoyun Yu, Indiana University

15:15 – 16:00
“Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns”
Alejandro Lopez-Lira, Wharton University of Pennsylvania

Discussant: Simona Abis, Columbia Business School

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