Program
Friday, June 3, 2016
08:30-09:00 Registration and welcome
Session 1. Chair: Håkon Tretvoll
09:00 - 09:45 A macrofinance view of US sovereign CDS premiums
Mikhail Chernov (UCLA, Anderson)
Discussant: David Lando (Copenhagen Business School)
09:45 - 10:30 Fiscal discount rates and debt maturity
Howard Kung (LBS)
Discussant: Håkon Tretvoll (BI Oslo)
10:30 - 11:00 Coffee break
Session 2. Chair: Roméo Tédongap
11:00 - 11:45 Modeling and forecasting un(reliable) realized covariances for more reliable financial decisions
Tim Bollerslev (Duke University)
Discussant: Benjamin Holcblat (BI Oslo)
11:45 - 12:30 On the empirical saddlepoint approximation with application to asset pricing
Benjamin Holcblat (BI Oslo)
Discussant: Dante Amengual (CEMFI)
12:30 - 14:00 Lunch
Session 3. Chair: Magnus Dahlquist
14:00 - 14:45 Sets of models and prices of uncertainty
Lars Peter Hansen (University of Chicago)
Discussant: Ian Martin (LSE)
14:45 - 15:00 Break
15:00 – 15:45 Bond risk premia in consumption based models
Jing Cynthia Wu (Chicago Booth)
Discussant: Irina Zviadadze (SSE)
15:45 – 16:15 Coffee break
Session 4. Chair: Benjamin Holcblat
16:15 – 17:00 Activism, strategic trading, and liquidity
Pierre Collin-Dufresne (EPFL and SFI)
Discussant: Igor Makarov (LSE)
17:00 - 17:15 Break
17:15 - 18:00 Contractionary volatility or volatile contractions?
Ian Dew-Becker (Northwestern, Kellogg)
Discussant: Roméo Tédongap (SSE, ESSEC)
19:30 Dinner at Fotografiska (by invitation)
Saturday, June 4, 2016
08:45-09:00 Coffee
Session 5. Chair: Irina Zviadadze
09:00 - 09:45 What Drives Anomaly Returns?
Lars A. Lochstoer (Columbia Business School)
Discussant: Francisco Gomes (LBS)
09:45 - 10:30 What is the expected return on a stock?
Ian Martin (LSE)
Discussant: Fabio Trojani (University of Geneva)
10:30-11:00 Coffee break
Session 6. Chair: Adam Farago
11:00 - 11:45 Income insurance and the equilibrium term structure of equity
Roberto Marfè (Collegio Carlo Alberto)
Discussant: Marianne Andries (Toulouse)
11:45 - 12:30 Disappointment aversion, term structure, and predictability puzzles in bond markets
Roméo Tédongap (SSE, ESSEC)
Discussant: Roberto Marfè (Collegio Carlo Alberto)
12:30 End of conference followed by lunch
Conference hotel: Hotel Birger Jarl, Tulegatan 8, Stockholm Conference Dinner: Fotografiska (by invitation), Stadsgårdshamnen 22, Stockholm