| Time |
Title |
| 7:45 a.m. - 8:15 a.m. |
Check-in and Continental Breakfast |
|
8:15 a.m. - 8:55 a.m.
|
Keynote Speaker: John Cochrane |
| 8:55 a.m. - 9:20 a.m.
|
BREAK |
|
9:20 a.m. - 10:00 a.m.
|
Comparing Cross-Section and Time-Series Factor Models
Eugene Fama, The University of Chicago Booth School of Business
*Kenneth French, Tuck School of Business, Dartmouth College
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Discussant: Kerry Back, Rice University
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|
| 10:00 a.m. - 10:40 a.m. |
The Cross-Section of Risk and Return
Kent Daniel, Columbia Business School
* Lira Mota, Columbia Business School
Tano Santos, Columbia Business School
Simon Rottke, University of Munster
Discussant: Ralph Koijen, Booth School of Business University of Chicago
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|
10:40 a.m. - 11:05 a.m.
|
BREAK |
| 11:05 a.m. - 11:45 a.m. |
Information Aggregation and P-hacking
* Oleg Rytchkov, Fox School of Business, Temple University
Xun Zhong, Fox School of Business, Temple University
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Discussant: Seth Pruitt, Arizona State University
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|
| 11:45 a.m. - 12:25 p.m. |
Does the Investment-based Model Explain Equity Returns? Evidence from Euler Equations
* Stefanos Delikouras, University of Miami
Robert F. Dittmar, Stephen Ross School of Business, University of Michigan
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Discussant: Michael Brennan, UCLA Anderson School of Management
|
| 12:25 p.m. - 1:25 p.m. |
LUNCH |
| 1:25 p.m. - 2:05 p.m. |
Shrinking the Cross Section
* Serhiy Kozak, University of Michigan
Stefan Nagel, The University of Chicago Booth School of Business, NBER and CEPR
Shrihari Santosh, University of Maryland
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Discussant: Kent Daniel, Columbia Business School
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|
| 2:05 p.m. - 2:45 p.m. |
Dissecting Characteristics Nonparametrically
Joachim Freyberger, University of Wisconsin-Madison
Andreas Neuhierl, University of Notre Dame
* Michael Weber, The University of Chicago Booth School of Business
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Discussant: Shrihari Santosh, University of Maryland
|
| 2:45 p.m. - 3:10 p.m. |
BREAK |
| 3:10 p.m. - 3:50 p.m. |
Shrinking Factor Dimension: A Reduced-Rank Approach
* Dashan Huang, Singapore Management University
Jiaen Li, Washington University in St. Louis
Guofu Zhou, Washington University in St. Louis
Discussant: Svetlana Bryzgalova, London Business School
|
| 3:50 p.m. - 4:30 p.m. |
Empirical Asset Pricing via Machine Learning
Shihao Gu, The University of Chicago Booth School of Business
* Bryan Kelly, Yale University, AQR Capital Management, and NBER
Dacheng Xiu, The University of Chicago Booth School of Business
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Discussant: Guofu Zhou, Washington University in St. Louis
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|
| 4:30 p.m. - 5:10 p.m. |
Measuring Horizon-Specific Systematic Risk via Spectral Betas
Federico M. Bandi, Carey Business School, Johns Hopkins Univ. & Edhec-Risk Inst.
Shomesh E. Chaudhuri, MIT Laboratory for Financial Engineering
* Andrew W. Lo, Sloan School of Management, MIT
Andrea Tamoni, London School of Economics
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Discussant: Stefano Giglio, Yale School of Management
|