Day 1
Wednesday, 19/5/2021
Conference program
All times Stockholm – convert to your local time
Wednesday, 19/5/2021
All times Stockholm – convert to your local time
14:45
Opening remarks
Michał Dzieliński, FutFinInfo Program Chair
15:00
1A: (Un)informed trading
Chair: Björn Hagströmer
What Is in High-Frequency Price Pressure
Bart Yueshen, INSEAD
Discussant: Joel Hasbrouck, New York University
Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets
Robert Czech, Bank of England
Gabor Pinter, Bank of England
Discussant: Or Shachar, Federal Reserve Bank of New York
1B: New answers to an old question
Chair: Daniel Buncic
Do Common Factors Really Explain the Cross-Section of Stock Returns?
Alejandro Lopez-Lira, BI Norwegian Business School
Nikolai Roussanov, University of Pennsylvania
Discussant: Shrihari Santosh, University of Colorado Boulder
Uncovering Sparsity and Heterogeneity in Firm-Level Return Predictability Using Machine Learning
Theodoros Evgeniou, INSEAD
Ahmed Guecioueur, INSEAD
Rodolfo Prieto, INSEAD
Discussant: Alex Chinco, University of Chicago
16:30
Coffee break (bring your own coffee…)
16:45
1A: (Un)informed trading – cont.
Information Flow, Noise, and the Irrelevance of FOMC Announcement Returns
Oliver Boguth, Arizona State University
Vincent Grégoire, HEC Montreal
Charles Martineau, University of Toronto
Discussant: Pavel Savor, DePaul University
1B: New answers to an old question – cont.
Anomaly Time
Tyler Boone Bowles, Texas A&M University
Adam Reed, University of North Carolina
Matthew Ringgenberg, University of Utah
Jacob Thornock, Brigham Young University
Discussant: Chen Xue, University of Cincinnati
17:30
Coffee break (bring your own coffee…)
18:00
Keynote Session with Manuela Veloso, Head of AI Research, JP Morgan
19:00
Virtual reception (bring your own bubbles…)