Event details

8 December 2016
08:45 - 18:30
The Berkeley Hotel , Wilton Pl, Knightsbridge, London, SW1X 7RL, United Kingdom

Message from Robert Kosowski, Associate Professor:

“I  have been organising the annual hedge fund conference for 10 years at Imperial College Business School. The selection process for the event has been rigorous and as a result many high quality papers were presented at the conference series. This is evidenced by the fact that 63 percent of the 76 papers presented at the conferences over the last 10 years have been published in an Financial Times 45 list journal. 49% percent of the published papers have been published in a top 3 finance journal (Journal of Finance, Journal of Financial Economics, Review of Financial Studies).

This link provides you with a spreadsheet that lists all the papers that have been presented at the conference and their publication outlet.  I encourage you to continue to submit high quality papers to the SSRN call for papers for the annual conference.”

The 11th Annual Hedge Fund Conference will continue to build upon the successes of previous conferences. The full programme can be found here. A link to interviews conducted with the speakers can be found here.

Time Activity
08.45 -09.20 Registration Main event in the Ballroom
09:20-09.25 Welcome address Robert Kosowski – Imperial College Business School & CEPR
09.25-11:10 Session 1: Equity factor premia Chair: Robert Kosowski (Imperial College Business School & CEPR) Paper 1: Alan Moreira (Yale School of Management) Volatility Managed Portfolios (co-authored with Tyler Muir) Discussant: Farouk Jivraj (Barclays) Presentation Paper 2: Keynote speaker Andrea Frazzini (AQR Capital and New York University) Size Matters If You Control Your Junk (co-authored with Cliff Asness, Ronen Israel, Tobias Moskowitz and Lasse H.Pederson) Discussant: Mathijs van Dijk (Rotterdam School of Management, Erasmus University)
11:10-11.30 Tea/Coffee
11.30-13.00 Session 2: Foreign Exchange Chair: Tarun Ramadorai (Imperial College Business School & CEPR) Paper 3: Vladyslav Sushko (Bank of International Settlement – BIS) Failure of Covered Interest Parity: FX Hedging Demand and Costly Balance Sheets (co-authored with Claudio Borio, Robert Neil McCauley and Patrick McGuire) Presentation Discussant: Dagfinn Rime (BI Norwegian Business School) Paper 4: Pasquale Della Corte (Imperial College Business School & CEPR) The Cross-Section of Currency Volatility Premia (co-authored with Roman Kozkhan – Warwick Business School and Anthony Neuberger – Cass Business School) Discussant: Federico Gavazzoni (INSEAD)
13.00-14.00 Lunch
14:00-15.30 Session 3: Predictability in bond and equity markets Chair: Yoav Git (Man AHL) Paper 5: Paul Wheelan (Copenhagen Business School) Variance Risk Premia on Stocks and Bonds (co-authored with Philippe Mueller, Peter Sabtchevsky and Andrea Vedolin – LSE) Discussant: Henrik Hasseltoft (Lynx Asset Management) Paper 6: Travis Johnson (McCombs School of Business, University of Texas at Austin) Weighted Least Squares Estimates of Return Predictability Regressions Presentation Discussant: Michael Halling (Stockholm School of Economics)
15.30-15.45 Tea/Coffee
15.45-17.15 Session 4 : News announcements and returns Chair: Alex Michaelides (Imperial College Business School & CEPR) Paper 7: David McClean (Georgetown University, McDonough School of Business) Anomalies and News (co-authored with Joseph Engelberg – UCSD and Jeffrey Pontiff – Boston College) Discussant: Sohnke Bartram (Warwick Business School) Presentation Paper 8: Tarun Chodia (Goizueta Business School, Emory University) Do High Frequency Traders Need to be Regulated? Evidence From Trading on Macroeconomic announcements (co-authored with T. Clifton Green and Badrinath Kottimukkalur) Discussant: Andrei Kirilenko (Imperial College Business School)
17.15-18.30 Drinks Reception

Event details

8 December 2016
08:45 - 18:30
The Berkeley Hotel , Wilton Pl, Knightsbridge, London, SW1X 7RL, United Kingdom

Event details

Date: 8 December 2016
Time: 08:45 - 18:30
Venue: The Berkeley Hotel , Wilton Pl, Knightsbridge, London, SW1X 7RL, United Kingdom