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

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