The First CUHK-RAPS Conference on Asset Pricing and Investment



December 7th, 2023 (Thursday)
9:00 – 9:30
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)

12:15 - 1:30

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: 


Chair: Yizhou Xiao (CUHK)

2:45 – 3:30

Adlai Fisher (UBC) and Terry Zhang (ANU)

The Global Implied Volatility Surface, Convexity, and Common Predictability of International Equity Premia

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)

December 8th, 2023 (Friday)

9:00 – 9:30


Session III: 


Chair: Zhenyu Gao (CUHK)

9:30 – 10:15

Shangchen Li (Peking), Sheridan Titman (UT Austin), Hongxun Ruan (Peking), and Haotian Xiang (Peking)

ESG Spillovers

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




Format: 45 minutes per paper, presentation (20 minutes), discussion (15 minutes), and floor (10 minutes)






Department of Finance, CUHK Business School

Society of Financial Studies

Centre of Quantitative Trading of CUHK