Event details

11 December 2013
09:00 - 18:00

Date: 11 December 2013
Venue: Imperial College London
Organisers: Dr Robert Kosowski & Dr Petri Jylha

Programme

8th Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Keynote speaker: Michael W. Brandt(Duke University – The Fuqua School of Business and NBER)

Other speakers

  • Pasquale Della Corte(Imperial College Business School)
  • Robert Kosowski(Imperial College Business School)
  • Tarun Ramadorai(Saïd Business School & Oxford-Man Institute of Quantitative Finance)
  • Kris Jacobs(University of Houston – C.T. Bauer College of Business)
  • Henrik Hasseltoft(University of Zurich & Swiss Finance Institute)
  • Xiaolong Lu(University of Hong Kong)
  • Loriano Mancini(Ecole Polytechnique Fédérale de Lausanne & Swiss Finance Institute)

Papers

Copies of the papers presented at the workshop can be found below:

Session 1

  • Pasquale Della Corte,Volatility Risk Premia and Exchange Rate Predictability
  • Keynote speaker: Michael W. Brandt,Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

Session 2

  • Robert Kosowski, The Effect of Investment Constraints on Hedge Fund Investor Returns
  • Tarun Ramadorai,The Impact of Hedge Funds on Asset Markets

Session 3

  • Kris Jacobs,Does Realized Skewness Predict the Cross-Section of Equity Returns?
  • Henrik Hasseltoft,Why do Investors Disagree? The Role of a Dispersed News Flow

Session 4

  • Xiaolong Lu,Why Do Options Prices Predict Stock Returns? Evidence from Analyst-Related News
  • Loriano Mancini,The Term Structure of Variance Swaps and Risk Premia

Event details

11 December 2013
09:00 - 18:00

Event details

Date: 11 December 2013
Time: 09:00 - 18:00