Day 3
Friday 21/3/2021
Conference program
All times Stockholm – convert to your local time
Friday 21/3/2021
All times Stockholm – convert to your local time
15:00
4A: Equity market structure
Chair: Lars Nordén
Who Uses Which Order Type and Why?
Sida Li, UIUC
Mao Ye, UIUC
Miles Zheng, UIUC
Discussant: Albert Menkveld, Vrije Universiteit Amsterdam
Who Trades at the Close? Implications for Price Discovery, Liquidity, and Disagreement
Vincent Bogousslavsky, Boston College
Dmitriy Muravyev, Michigan State University
Discussant: Barbara Rindi, Bocconi University
4B: Man against (or with) the Machine?
Chair: Abalfazl Zareei
Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
Jules H. van Binsbergen, Xiao Han, Alejandro Lopez-Lira
Fundamental Analysis via Machine Learning
Kai Cao, Haifeng You
Comparative discussion: Svetlana Bryzgalova, London Business School
The Use and Usefulness of Big Data in Finance: Evidence from Financial Analysts
Feng Chi, Cornell University
Byoung-Hyoun Hwang, Cornell University
Yaping Zheng, McGill University
Discussant: Jillian Grennan, Duke University
16:30
Coffee break (bring your own coffee…)
17:00
Keynote session with Lasse Heje Pedersen, Copenhagen Business School and AQR
Lasse is a principal at AQR Capital Management and a finance professor at Copenhagen Business School, which puts him in a unique position to deliver insights from both the academic and practitioner perspective. In this spirit, he will base his keynote on recent work capturing market dynamics through interactions between different investor types – “Game On: Social Networks and Markets”
18:00
Coffee break (bring your own coffee…)
18:15
5A: Learning from new data
Chair: Marina Niessner
How Costly Are Cultural Biases?
Francesco D’Acunto, Boston College
Pulak Ghosh, IIMB
Rajiv Jain, Faircent
Alberto Rossi, Georgetown University
Discussant: Enrichetta Ravina, Federal Reserve Bank of Chicago
How Do Retail Investors Respond to the Zero Lower Bound?
Steffen Meyer, University of Southern Denmark
Michaela Pagel, Columbia Business School
Alexander Schandlbauer, University of Southern Denmark
Charline Uhr, Goethe University Frankfurt
Discussant: David Solomon, Boston College
5B: Disclosure
Chair: Caihong Xu
Whoever Has Will Be Given More: Information Sharing in Financial Markets
Itay Goldstein, University of Pennsylvania
Yan Xiong, HKUST
Liyan Yang, University of Toronto
Discussant: Thierry Foucault, HEC Paris
Disclosing to Informed Traders
Snehal Banerjee, UC San Diego
Ivan Marinovic, Stanford University
Kevin Smith, Stanford University
Discussant: Dmitry Orlov, University of Wisconsin