2nd Hedge Fund Conference

Second Conference on Advances in the Analysis of Hedge Fund Strategies

Date: 13 December 2007

Venue: Imperial College Business School, Second Floor Lecture Theatre

The aim of the conference was to present state of-the-art international research on major issues regarding hedge fund strategies in all asset classes and their impact on financial markets. In particular, the conference focused on papers that have implications for the construction and comparison of innovative strategies and the forecasting of returns and volatilities in different markets. Francis Longstaff (UCLA) gave the keynote speech at the conference. This event provided a forum for debate among researchers, senior market participants and policy makers.

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

‘Information Flow between Credit Default Swap, Option and Equity Markets’ Antje Berndt (Tepper School of Business, Carnegie Mellon University) and Anastasiya Ostrovnaya (Tepper School of Business, Carnegie Mellon University)

‘How Sovereign is Sovereign Credit Risk’ Francis Longstaff (UCLA), Jun Pan (MIT Sloan School and NBER), Lasse H. Pedersen (NYU Stern School, CEPR, and NBER) and Kenneth J. Singleton (Stanford Graduate School of Business and NBER)

‘The Price of Market Volatility Risk’ Jefferson Duarte (University of Washington) and Christopher S. Jones (USC)

‘Maximal Performance of Managed Portfolios’ Paolo Guasoni (Boston University), Gur Huberman (Columbia University) and Zhenyu Wang (Federal Reserve Bank of New York)

‘Informed Trader Usage of Stock vs. Option Markets: Evidence from Hedge Fund Investment Advisors’George O. Aragon (Arizona State University) and J. Spencer Martin (Carnegie Mellon University)

‘Making Money from Macro Finance’ Bernd Scherer (Morgan Stanley) and Stephan Kessler (Morgan Stanley)

‘Difference in Beliefs and Currency Options Markets’ Alessandro Beber (HEC), Francis Breedon (Tanaka Business School, Imperial College London) and Andrea Buraschi (Tanaka Business School, Imperial College London)

Exchange Rate Forecasting, Order Flow and Macroeconomic Information’ Dagfinn Rime (Norges Bank, Norwegian University of Science and Technology), Lucio Sarno (AXA Investment Managers, University of Warwick and CEPR), Elvira Sojli (University of Warwick)

For a conference programme please follow this link>>