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Swedish House of Finance
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BI-SHoF Conference 2022

The Swedish House of Finance is hosting the 8th BI-SHoF Conference on asset pricing and financial econometrics in Stockholm. The BI-SHoF conference is a collaboration between BI and the Swedish House of Finance alternating between Oslo and Stockholm.

This conference is an opportunity for academics from all around the world to catch up and discuss importance of new findings in asset pricing.

Each paper has 45 minutes, which are divided as follows:

  • 25 minutes for the presentation,
  • 15 minutes for the discussant,
  • 5 minutes for the presenter to reply to the discussant, and take questions from the audience.

Program

Friday June 10

09:30-10:00 Registration and coffee
   
10:00-10:05 Welcome and opening remarks
   
Session 1: Chair: Per Strömberg (Stockholm School of Economics)
   
10:05-10:50  Discount Rates: Measurement and Implications for Investment
  Niels Gormsen (Chicago Booth)
  Discussant: Augustin Landier (HEC Paris)
   
10:50-11:35 Asset Allocation and Returns in the Portfolios of the Wealthy
  Cynthia Balloch (LSE)           
  Discussant: Mehran Ebrahimian (SSE)
   
11:35-11:45 Coffe break
   
11:45-12:30 Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies
  Jules Van Binsbergen (Wharton)         
  Discussant: Amit Goyal (HEC Lausanne)
   
12:30-14:00 Lunch
   
Session 2: Chair: Riccardo Sabbatucci (Stockholm School of Economics)
   
14:00-14:45 High Dimensional Factor Models with an Application to Mutual Fund Characteristics
  Martin Lettau (Berkeley)            
  Discussant: Christian Julliard (LSE)
   
14:45-15:30 Machine-Learning the Skill of Mutual Fund Managers
  Markus Pelger (Stanford)       
  Discussant: Markus Ibert (Fed)
   
15:30-16:00 Coffe break
   
Session 3: Chair: Vincent Maurin (Stockholm School of Economics)
   
16:00-16:45 True puts, synthetic puts, and the price of crash insurance
  Ian Dew-Becker (Kellogg) 
  Discussant: David Schreindorfer (ASU)
   
16:45-17:30 Volatility and the Pricing Kernel
  Tobias Sichert (SSE)
  Discussant: Kris Jacobs (Houston)
   
19:00   Dinner (by invitation)

                 

 

           

Saturday June 11 

           

09:00-9:15 Coffee/breakfast
   
Session 4: Chair: Tatyana Marchuk (BI)
   
09:15-10:00 Dealer Networks and the Cost of Immediacy  
  Thomas Poulsen (BI)
  Discussant: Ana Babus (WUSTL)
   
10:00-10:45 Market factor measurement error and a reevaluation of the risk-return tradeoff
  Lawrence Schmidt (MIT)
  Discussant: Cesare Robotti (Warwick)
   
10:45-11:00 Coffe break
   
Session 5: Chair: Alvin Chen (Stockholm School of Economics)
   
11:00-11:45 A Long and a Short Leg Make For a Wobbly Equilibrium
  Stavros Panageas (UCLA)
  Discussant: Paymon Khorrami (Imperial)
   
11:45-12:30 Policymakers’ Uncertainty
  Anna Cieslak (Duke)
  Discussant: Irina Zviadadze (HEC Paris)
   
12:30 Lunch

             

Practical information

June 10:

Time: 10:00-17:30 Registration and coffee from 9:30
Location: Swedish House of Finance, Drottninggatan 98

June 11:

Time: 09:15-12:30 Registration and coffee from 9:00
Location: Swedish House of Finance, Drottninggatan 98

 

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Organizers:
Mehran Ebrahimian, Tobias Sichert, Sven Klingler & Tatyana Marchuk

The 2023 BI-SHoF conference will be hosted by BI in Oslo

Previous conferences

BI-SHoF conference 2022

BI-SHoF conference 2021

BI-SHoF conference 2020

BI-SHoF conference 2019

BI-SHoF conference 2018 

BI-SHoF conference 2017

BI-SHoF conference 2016

BI-SHoF conference 2015

 

Swedish House of Finance

Drottninggatan 98, 111 60 Stockholm

info@houseoffinance.se +46 8 736 91 00
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