9th Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Event
Conference

Date: Thursday, 11 December 2014

Time: 8.15 - 18.00 GMT
Location: Imperial College Business School

Audience: Invitees only
Cost: Free
Tickets: Registration in advance

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Contact: Jaswinder Gill

Building on the success of previous conferences, the 9th Annual Conference on Advances in the Analysis of Hedge Fund Strategies will provide an essential meeting point for researchers, senior market participants and policy makers. The conference will present state-of-the-art international research on major issues regarding hedge fund strategies in all asset classes and their impact on financial markets.

Details as follows:

Conference Schedule

Time	Activity
08.15-08.45	Registration
08.45-09.00	Welcome address Professor G. ‘Anand’ Anandalingam, Dean, Imperial College Business School
09.00-10.45	Session 1: Fixed Income & FX Chair: Douglas Gale (Imperial College Business School) Paper 1: Philippe Mueller (London School of Economics) Policy Announcements in FX Markets (co-authored with Andrea Vedolin and Paolo Porchia) Discussant: Pasquale Della Corte (Imperial College Business School) Paper 2: Keynote speaker Allan Timmermann (UC San Diego) Bond Return Predictability: Economic Value and Links to the Macroeconomy (co-authored with Antonio Gargano and Davide Pettenuzzo) Discussant: Alessandro Beber (Cass Business School)
10.45-11.15	Tea/Coffee
11.15-12.45	Session 2: Hedge Funds Chair: Petri Jylha (Imperial College Business School) Paper 3: Robert Kosowski (Imperial College Business School) The effect of regulatory constraints on fund performance: New evidence from UCITS hedge funds (co-authored with Juha Joenväärä) Discussant: Russ Wermers (Smith School, University of Maryland) Paper 4: Vikas Agarwal (Georgia State University) Tail Risk in Hedge Funds: Evidence from Portfolio Holdings (co-authored with Stefan Ruenzi and Florian Weigert) Discussant: Petri Jylha (Imperial College Business School)
12.45-13.45	Lunch
13.45-15.15	Session 3: Portfolio construction Chair: Nikolay Aleksandrov (BlueCrest Capital Management) Paper 5: Pierre Collin-Dufresne (Ecole Polytechnique Fédérale de Lausanne) Strategic Asset Allocation with Predictable Returns and Transaction Costs (co-authored with Kent Daniel, Ciamac C. Moallemi, and Mehmet Saglam) Discussant: Bernard Dumas (INSEAD) Paper 6: Nick Baltas (UBS) Trend-following, Risk-Parity and the influence of Correlations Discussant: Russell Korgaonkar (AHL)
15.15-15.45	Tea/Coffee
15.45-17.15	Session 4 : Equities Chair: Marcin Kacperczyk (Imperial College Business School) Paper 7: Jiasun Li (UCLA) Slow Price Adjustment to Public News in After-Hours Trading Discussant: Nicholas Hirschey (London Business School) Paper 8: Christopher Polk (London School of Economics) The Booms and Busts of Beta Arbitrage (co-authored with Shiyang Huang and Dong Lou) Discussant: Sylvain Champonnois (BlackRock)
17.15-18.00	Drinks Reception

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