Thursday, May 4
Quick links: May 5 | Poster session
11:00 Registration and Coffee / Tea
11:30 Session I (Chair: Björn Hagströmer)
Keynote address: John Campbell, Harvard University
Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market [full text]
12:20 Lunch and poster session (see below)
13:40 Session II (Chair: Michal Dzielinski)
Andriy Shkilko, Wilfrid Laurier University
Every cloud has a silver lining: Fast trading, microwave connectivity and trading costs [full text]
Discussant: Peter Hoffmann, ECB
Mehmet Saglam, University of Cincinatti
Order anticipation around predictable trades [full text]
Discussant: Jonathan Brogaard, University of Washington
15:00 Break with refreshments
15:20 Session III (Chair: Ai Jun Hou)
Jia Li, Duke University
Volume, volatility and public news announcements [full text]
Discussant: Pierre Collin-Dufresne, SFI / EPFL
Zhi Da, University of Notre Dame
Leverage network and market contagion [abstract]
Discussant: Adrian Buss, INSEAD
16:40 End of first day
18:30 Conference dinner (by invitation)
Friday, May 5
Quick links: May 4 | Poster session
08:40 Coffee / Tea
09:10 Session IV (Chair: Lars Nordén)
Ingrid Werner, Ohio State University
Trading fees and intermarket competition [full text]
Discussant: Charles Jones, Columbia Business School
Stas Nikolova, University of Nebraska-Lincoln
Portfolio similarity and asset liquidation in the insurance industry [full text]
Discussant: Harald Hau, SFI / Geneva
10:30 Break with refreshments
11:00 Session V (Chair: Abalfazl Zareei)
Alex Chinco, University of Illinois at Urbana-Champaign
The sound of many funds rebalancing [full text]
Discussant: Norman Schürhoff, SFI / HEC Lausanne
Agostino Capponi, Columbia University
Equilibrium wealth dynamics in centrally cleared networks [full text]
Discussant: Guillaume Vuillemey, HEC Paris
12:20 Lunch at Restaurant Kräftan
13:40 Session VI (Chair: Jens Josephson)
Jonathan Goldberg, Federal Reserve Board
The supply of liquidity and real economic activity [full text]
Discussant: Roman Kozhan, University of Warwick
Elvira Sojli, University of New South Wales
Stock market illiquidity, funding liquidity, and bond risk premia [abstract]
Discussant: Pab Jotikasthira, Southern Methodist University
15:00 Break with refreshments
15:20 Session VII (Chair: Albert Menkveld)
Keynote address: Andrew Lo, MIT
Can financial econometrics help cure cancer? [full text]
16:10 Conference ends
Poster session
Tom Grimstvedt Meling, University of Bergen
Tick size wars [full text]
Michael Hofmann, Karlsruhe Institute of Technology
Margin requirements and equity option returns [full text]
Mehdi Hamidisahneh, Universidad Carlos III de Madrid
News, noise, and tests of present value models
Hossein Jahanshahloo, Leeds University Business School
Monitoring the foreign exchange rate benchmark fix [full text]
Rasmus Lönn, Maastricht University
Empirical asset pricing with many assets and short time series [full text]
Andreas Rapp, Tilburg University
Middlemen matter: Corporate bond market liquidity and dealer inventory funding [full text]
Gustavo Schwenkler, Boston University
Exploring the sources of default clustering [full text]
Irina Zviadadze, Stockholm School of Economics
Term structure of risk in macrofinance models