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December 7th, 2023 (Thursday)
9:00 – 9:30
Registration
9:30 – 9:40
Welcome Remarks Lin Zhou, Dean of CUHK Business School Hui Chen, Sponsor Editor of RAPS, Nomura Professor of Finance, MIT Session I:
Asset Pricing and Trading Chair: Kalok Chan (CityU) 9:40 – 10:25
Yunus Topbas (Peking) and Mao Ye (Cornell) When A Market Is Not Legally Defined as A Market: Evidence from Two Types of Dark Trading Discussant: Elvira Sojli (UNSW) 10:25 – 11:10
Jules van Binsbergen (UPenn) and Marco Grotteria (LBS) The Impact of Monetary Policy on Long-term Liabilities of Households and Firms Discussant: Jane Li (Columbia) 11:10 – 11:30
Tea/Coffee Break 11:30 - 12:15
Alexandre Corhay (Toronto), Jun E. Li (Warwick), and Jincheng Tong (Toronto) Markup Shocks and Asset Prices Discussant: Yan Ji (HKUST) Brown Bag Lunch (3rd Floor, The Stage, Cheng Yu Tung Building, CUHK) 1:35 - 2:35
Keynote 1: Professor Marcin Kacperczyk, Professor of Finance, Imperial College London and CEPR Topic: “Carbon-Transition Risk and Net-Zero Portfolios” Moderator: Wenxi Griffin Jiang (CUHK) Session II:
Options Chair: Yizhou Xiao (CUHK) 2:45
– 3:30
Adlai Fisher (UBC) and Terry Zhang (ANU) Discussant: Mathieu Fournier (UNSW) 3:30
– 3:50
Tea/coffee Break 3:50
– 4:35
Pasquale Della Corte (Imperial), Can Gao (St. Gallen), and Alexandre Jeanneret (UNSW) Survey Expectations Meet Option Prices: New Insights from the FX Market Discussant: Philippe Mueller (Warwick) 4:35 – 5:20
Hong Liu (WUSTL), Yueliang Lu (Clemson), Weike Xu (Clemson), and Guofu Zhou (WUSTL) Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors Discussant: Paul Whelan (CUHK) 5:30 – 8:30
Conference Dinner (By Invitation) |
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December 8th, 2023 (Friday) 9:00 – 9:30
Registration Session III:
Fund Chair: Zhenyu Gao (CUHK) 9:30 – 10:15
Shangchen Li (Peking), Sheridan Titman (UT Austin), Hongxun Ruan (Peking), and Haotian Xiang (Peking) Discussant: Dragon Tang (HKU) 10:15 – 11:00
William Cassidy (WUSTL) and Blair Vorsatz (Dodge and Cox) Partisanship and Portfolio Choice: Evidence from Mutual Funds Discussant: Jinfei Sheng (UC Irvine) 11:00 – 11:20
Tea/Coffee Break 11:20 – 12:05
Wei Jiao (Rutgers), G. Andrew Karolyi (Cornell), and David Ng (Cornell) Can International Funds Navigate Changing Global Investment Environments? Discussant: Jingxuan Chen (CUHK Shenzhen) 12:05 – 1:30
Buffet Lunch (5th Floor, Gastronomy Club, Cheng Yu Tung Building, CUHK) 1:35 – 2:35
Keynote 2: Professor Ron Kaniel, Jay S. and Jeanne P. Benet Professor of Finance, Simon Business School, University of Rochester Topic: "Market Power in the Securities Lending Market" Moderator: Tao Shu (CUHK) Session IV:
Shorting and Market Structure Chair: Darwin Choi (CUHK) 2:45 – 3:30
Chotibhak Jotikasthira (Southern Methodist University), Christian T. Lundblad (UNC, Chapel Hill), and Jinming Xue (Southern Methodist University) Dealer Specialization and Market Segmentation Discussant: Yakov Amihud (NYU) 3:30 – 3:50
Tea/Coffee Break 3:50 – 4:35
Dmitriy Muravyev (Michigan State), Neil D. Pearson (UIUC), and Joshua M. Polletd (UIUC) Anomalies and Their Short-Sale Costs Discussant: Huaizhi Chen (Notre Dame) 4:35 – 5:20
Spencer Andrews (UNC, Chapel Hill), Christian Lundblad (UNC, Chapel Hill), and Adam Reed (UNC, Chapel Hill) Dancing to the Same Tune: Commonality in Securities Lending Fees Discussant: Liyan Yang (Toronto) 5:20 – 5:30
Conference Concludes Tao Shu, Chairperson, Department of Finance, CUHK Business School |
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Format: 45 minutes per paper, presentation (20 minutes), discussion (15 minutes), and floor (10 minutes) |
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Sponsors
Department of Finance, CUHK Business School Society of Financial Studies Centre of Quantitative Trading of CUHK |