Thursday 16 August, 2018

08:15

-

09:00      

Registration and coffee

09:00

-

09:15

Welcome and opening remarks David Lando and Lasse Heje Pedersen

SESSION ON MARKET STRUCTURE 

Keynote: The Passive-Aggressive Revolution

Maureen O’Hara, Cornell University

Slides Maureen O’Hara

Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds
Susan K. Christoffersen, University of Toronto, Rotman School of Management

Aleksandra A. Rzeznik, Vienna University of Economics and Business

(with Donald B. Keim, University of Pennsylvania Wharton, David K. Musto, University of Pennsylvania Wharton)

Slides Susan Christoffersen/Aleksandra A. Rzeznik

Discussant: Ingrid Werner, The Ohio State University, Fisher College of Business

Coffee break

Multi-Class Shares Around the World: The Role of Institutional Investors

Pedro Matos, University of Virginia, Darden School of Business

(with Jinhee Kim, University of Virginia Darden, and Ting Xu, University of Virginia Darden)
Slides Pedro Matos 

Discussant: Josef Zechner, WU (Vienna University of Economics and Business) and CEPR
Slides Josef Zechner

12:00

-

13:30

Lunch (standing)

13:30

-

14:15

Market Structure and Transaction Costs of Index CDSs

Anders B. Trolle, HEC Paris
(with Pierre Collin-Dufresne, EPFL, and Benjamin Junge, EPFL)

Slides Anders B. Trolle

Discussant: Grigory Vilkov, Frankfurt School of Finance & Management
Slides Grigory Vilkov

14:15

-

15:00

SESSION ON ASSET PRICING

Characteristics Are Covariances: A Unified Model of Risk and Return
Bryan T. Kelly, Yale School of Management
(with Seth Pruitt, Arizona State University and Yinan Su, University of Chicago, Booth School of Business)

Discussant: Svetlana Bryzgalova, Stanford Graduate School of Business

15:00

15:30

Coffee break

15:30

16:15

SESSION ON CENTRAL BANKS AND FINANCIAL MARKETS
Keynote: Leverage Cycles, Credit Surfaces and Central Banking

John Geanakoplos, Yale University

Slides John Geanakoplos

16:15

17:15

Cocktail reception

Friday 17 August, 2018

08:15

-

09:00

Registration and coffee
 

09:00

-

09:45

SESSION ON CENTRAL BANKS AND FINANCIAL MARKETS - CONTINUED

Keynote: Illiquidity, Insolvency and Central Bank Forbearance
Suresh Sundaresan, Columbia University
(joint with Stefano Corradin, European Central Bank)

09:45

-

10:30

Monetary Policy and Asset Valuation
Sydney Ludvigson, New York University

(with Francesco Bianchi, Duke University, CEPR, and Martin Lettau, University of California, Haas School of Business, CEPR)

Discussant: Paul Whelan, Copenhagen Business School

Slides Paul Whelan

10:30

-

11:00

Coffee break

11:00

-

11:45

SESSION ON ASSET PRICING - CONTINUED
Information Revelation in Decentralized Markets
Albert J. Menkveld, VU University Amsterdam and CEPR
(with Björn Hagströmer, Stockholm University)

Slides Albert J. Menkveld

Discussant: Peter Feldhütter, Copenhagen Business School

Slides Peter Feldhütter 

11:45

-

12:30

Keynote: Volume, Volatility and Investor Disagreement

Tim Bollerslev, Duke University

Volume, Volatility and Public News Announcements
Generalized Jump Regressions with an Application to Volume-Volatility Relations

12:30

12:45

Closing remarks: David Lando and Lasse Heje Pedersen

12:45

14:15

Lunch (standing)