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Programme 2018

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

Last updated by: Simone Madsen 11/04/2019