Programme

Organisers: George Kapetanios (QMUL) and George Skiadopoulos (QMUL & University of Piraeus)

Download the programme brochure in a pdf format

Registration opens at 8:30

9:15 Opening Remarks: Adrian Smith, Dean for Research in Humanities & Social Sciences, Queen Mary University of London

 

Session 1:

Liquidity

Chair: Raman Uppal, EDHEC

9:20 Liquidity Risk and the Dynamics of Arbitrage Capital
  Péter Kondor, Central European University
  * Dimitri Vayanos, London School of Economics
10:00 Pricing Liquidity Risk with Heterogeneous Investment Horizons
  Alessandro Beber, Cass Business School
  * Joost Driessen, Tilburg UniversityAnthony Neuberger, Cass Business SchoolPatrick Tuijp, University of Amsterdam
 10:40-11:10  COFFEE BREAK

 

Session 2:

Empirical asset pricing

Chair: Mungo Wilson, University of Oxford

11:10 Macroeconomic Uncertainty and Expected Stock Returns
* Turan Bali, Georgetown University
Stephen Brown, New York University
Yi Tang, Fordham University 
11:50 Does Realized Skewness Predict the Cross-Section of Equity Returns?
Diego Amaya, UQAM
* Peter Christoffersen, University of Toronto
Kris Jacobs, University of Houston
Aurelio Vasquez, ITAM
12:30-13:40  LUNCH

 

Session 3:

Financial Derivatives

Chair: Andrea Buraschi, Imperial College

13:40 Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market
George Kapetanios, QMUL
* Michael Neumann, QMUL
George Skiadopoulos, QMUL & University of Piraeus
 
14:20 The Price of Political Uncertainty: Theory and Evidence from the Option Market
Bryan T. Kelly, University of Chicago
* Lubos Pastor, University of Chicago
Pietro Veronesi, University of Chicago
 15:00-15:30  COFFEE BREAK

 

Session 4:

Investors Strategies

Chair: Richard Baillie, Queen Mary University of London

15:30 Long-Term Portfolio Management with a Structural Macroeconomic Model
* Eric Jondeau, HEC Lausanne
Michael Rockinger, HEC Lausanne
 
16:10 Comomentum: Inferring Arbitrage Activity from Return Correlations
Dong Lou, London School of Economics
* Christopher Polk, London School of Economics
16:50 Efficiently Inefficient Markets for Assets and Asset Management
Lasse Heje Pedersen, New York University, Copenhagen Business School & AQR Capital Management
17:30-17:35  CLOSE OF CONFERENCE

Time Allocation: Presenters have 25 minutes for their presentation and 15 minutes for Q&As