Building on the success of previous conferences, the 10th Annual Conference on Advances in the Analysis of Hedge Fund Strategies will provide an essential meeting point for researchers, senior market participants and policy makers. The conference will present state-of-the-art international research on major issues regarding hedge fund strategies in all asset classes and their impact on financial markets. The full programme can be found here.
Video Interviews were also conducted on the day by Econ Films these can be found here
Slides from the event can be requested by emailing Jas Gill at j.gill@imperial.ac.uk
| Time | Activity |
|---|---|
| 08:15 -08:45 | Registration Main event in the Ballroom |
| 08:45-09:00 | Welcome address Robert Kosowski and Petri Jylha – Imperial College Business School |
| 09:00-10:45 | Session 1: Capacity constraints and perfomance Chair: Robert Kosowski (Imperial College Business School) Paper 1: Augustin Landier (Toulouse School of Economics) The Capacity of Trading Strategies (co-authored with Guillaume Simon and David Thesmar) Discussant: Sylvain Champonnois (Blackrock) Paper 2: Keynote speaker Lubos Pastor (The University of Chicago Booth School of Business) Do funds make more when they trade more? (co-authored with Robert Stambaugh and Lucian Taylor) Discussant: Francesco Franzoni (University of Lugano) |
| 10:45-11:15 | Tea/Coffee – Carlyle Suite |
| 11:15-12:45 | Session 2: Portfolio construction Chair: Vasant Naik (PIMCO) Paper 3: Raman Uppal (EDHEC) Portfolio Choice with Model Misspecication: A Foundation for Alpha and Beta Portfolios (co-authored with Paolo Zaffaroni) Discussant: Lubos Pastor (The University of Chicago Booth School of Business) Paper 4: Christopher Hrdlicka (University of Washington) Correcting the Bias in Network-Based Tests of Price Discovery (co-authored with Aaron Burt) Discussant: Cesare Robotti (Imperial College Business School) |
| 12:45-13:45 | Lunch – Carlyle Suite |
| 13:45-15:15 | Session 3: Return predictability Chair: Nick Baltas (UBS) Paper 5: Esad Smajlbegovic (University of Mannheim) Dissecting Short-Sale Performance: Evidence from Large Position Disclosures (co-authored with Stephan Jank)Discussant: Pedro Saffi (University of Cambridge) Paper 6: Xintong Zhan (Chinese University of Hong Kong) Option return predictability (co-authored with Jie Cao, Bing Han, and Qing Tong) Discussant: Christian Schlag (Goethe University of Frankfurt) |
| 15:15-15:45 | Tea/Coffee – Carlyle Suite |
| 15:45-17:15 | Session 4 : Equities Chair: Petri Jylha (Imperial College Business School) Paper 7: Tianyu Wang (Imperial College Business School) Market closures and mean reversion (co-authored with Pasquale Della Corte and Robert Kosowski) Discussant: Dong Lou (London School of Economics) Paper 8: Christian Wagner (Copenhagen Business School) Low Risk Anomalies (co-authored with Paul Schneider and Josef Zechner) Discussant: Pietro Veronesi (The University of Chicago Booth School of Business) |
| 17:15-18:00 | Drinks Reception – Carlyle Suite |