PROGRAM - FRIC’18: Conference on Financial Frictions
  16-17 August 2018, CBS Flintholm Campus

------------------------------------------------------------------------------------------------------

 

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

 

09:15 - 10:00

SESSION ON MARKET STRUCTURE 

Keynote: The Passive-Aggressive Revolution

Maureen O’Hara, Cornell University

Slides Maureen O’Hara

 

10:00 - 10:45

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

  

10:45 - 11:15

Coffee break

 

11:15 - 12:00

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)

 

------------------------

Program in PDF

------------------------

Copenhagen Business School (CBS) - Solbjerg Plads 3 - 2000 - Frederiksberg - +45 38153815 - conferences@cbs.dk