12th Annual Hedge Fund Conference
7th December 2017
The conference is organised by the Brevan Howard Centre for Financial Analysis at Imperial College Business School and the Centre for Economic Policy Research. It will be held in London at The Berkeley Hotel, Knightsbridge as a full day event.
The keynote speech will be given by Andrea L. Eisfeldt, (Laurence and Lori Fink Endowed Chair in Finance, UCLA Anderson School of Management & AQR) at the conference.
There will be four sessions, (Embedded) Options, Foreign Exchange, Predictability across asset classes, and Modelling determinants of equity returns.
| Time | Activity |
|---|---|
| 08:45 -09:20 | Registration Main event in the Ballroom |
| 09:20-09:25 | Welcome address Francisco Veloso (Dean of Imperial College Business School) |
| 09:25-11:10 | Session 1: (Embedded) Options Chair: Robert Kosowski (Imperial College Business School & CEPR) Paper 1: Dmitriy Muravyev (Carroll School of Management, Boston College) Why Do Option Returns Change Sign from Day to Night? (co-authoreed Xuechuan (Charles) Ni (Carroll School of Management, Boston College) Discussant: Nikolay Aleksandrov (Argentière Capital) Paper 2: Keynote speaker: Andrea Eisfeldt (UCLA and AQR) The Cross Section of MBS Returns (co-authored with Peter Diep (AQR) and Scott Richardson (London Business School and AQR) Discussant: Peter Feldhütter (Copenhagen Business School) |
| 11:10-11:30 | Tea/Coffee |
| 11:30-13:00 | Session 2: Foreign Exchange Chairperson: Gino Cenedese (Bank of England) Paper 3: Julien Penasse (University of Luxembourg) The Missing Risk Premium in Exchange Rates (co-authored with Magnus Dahlquist (Stockholm School of Economics and CEPR) Discussant: Pasqualle Della Corte (Imperial College Business School) Paper 4: Lucio Sarno (Cass Business School and CEPR) The Value of Volume in Foreign Exchange (co-authored with Antonio Gargano (University of Melbourne) and Steven J. Riddiough (University of Melbourne) Discussant: Angelo Ranaldo (University of St. Gallen) |
| 13:00-14:00 | Lunch |
| 14:00-15:30 | Session 3: Predictability across asset classes Chairperson: Christopher Hansman (Imperial College Business School) Paper 5: Michael Weber (Booth School of Business, the University of Chicago & NBER) Dissecting Characteristics Nonparametrically (Co-authored with Joachim Freyberger (University of Wisconsin-Madison) and Andreas Neuhierl (University of Notre Dame) Discussant: Alessandro Beber (Cass Business School) Paper 6: Serhiy Kozak (Ross School of Business, University of Michigan) Predicting Relative Returns (co-authored with Valentin Haddad (UCLA and NBER) and Shrihari Santosh (R.H. Smith School of Business, University of Maryland) Discussant: Otto van Hemert (Man AHL) |
| 15:30-15:45 | Tea/Coffee |
| 15:45-17:15 | Session 4: Modelling determinants of equity returns Chairperson: Savitar Sundaresan (Imperial College Business School) Paper 7: Harrison Hong (Columbia University and NBER) Buy Side, Sell Side (co-authored with Ioannis Branikas (Princeton University) andand Jiangmin Xu (Peking University) Discussant: Peter Kondor (London School of Economics) Paper 8: Lira Mota (Columbia Business School) The Cross-Section of Risk and Return (co-authored with Kent Daniel (Columbia Business School and NBER), Lira Mota, Simon Rottke (University of Muenster), and Tano Santos (Columbia Business School and NBER) Discussant: Maurizio Luisi (Unigestion) |
| 17:15-18:30 | Drinks Reception |