08:30 – 09:00 Coffee and Registration
09:00 – 09:15 Opening Remarks and NASDAQ Master Thesis Award Ceremony
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
10:45 – 11:15 Coffee break
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?”
Robin Ramm-Ericson, LeoVegas Mobile Gaming Group
Karl Thorngren, Maersk Supply Service
Moderator: Bo Becker, Swedish House of Finance at the Stockholm School of Economics
12:15 – 13:15 Lunch at Conference Venue
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 “The Investment CAPM: Latest Developments”
Keynote Lu Zhang, The Ohio State University
14:00 – 14:45 “Leverage-based Asset Pricing”
Keynote Lukas Schmid Duke University
14:45 – 15:00 Coffee break
15:00 – 16:30 Panel Discussion.
Presentation: “Factor Investing – Challenges and Opportunities” by Antti Ilmanen, AQR Capital Management.
Ole Christian Bech-Moen, 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
08:30 – 09:00 Coffee and Registration
Session 1: Learning from Financial Markets (Theory)
Chair: Jens Josephson, Stockholm University
09:00 – 09:45
“How does Price Informativeness affect Investment Sensitivity to Stock Price?”
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
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
12:30 – 13:30 Lunch at Conference Venue
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
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
16:00 – 16:45
“Is The Stock Market Biased Against Diverse Top Management Teams?”
Oliver Spalt, Tilburg University
Discussant: Kristine Hankins, University of Kentucky