BI-SHoF Conference 2024
The Swedish House of Finance is hosting the 10th BI-SHoF Conference on asset pricing and financial econometrics in Stockholm. The BI-SHoF conference is a collaboration between BI and the Swedish House of Finance alternating between Oslo and Stockholm.
This conference is an opportunity for academics from all around the world to catch up and discuss importance of new findings in asset pricing.
Each paper has 45 minutes, which are divided as follows:
- 25 minutes for the presentation,
- 15 minutes for the discussant,
- 5 minutes for the presenter to reply to the discussant, and take questions from the audience.
Program
Monday June 3
| 09:30-10:00 | Registration and coffee |
| 10:00-10:05 | Welcome and opening remarks |
| Session 1: Chair: | Riccardo Sabbatucci (SSE) |
| 10:05-10:50 | Strategic Arbitrage in Segmented Markets |
| Anna Pavlova (LBS) | |
| Discussant: Thomas Poulsen (BI Oslo) | |
| 10:50-11:35 | What drives booms and busts in value |
| Stefano Giglio (Yale) | |
| Discussant: Christian Skov Jensen (Bocconi) | |
| 11:35-11:45 | Coffee break |
| 11:45-12:30 | An Anatomy of Currency Strategies: the Role of Emerging Markets |
| Lars Lochstoer (UCLA) | |
| Discussant: Max Croce (Bocconi) | |
| 12:30-14:00 | Lunch |
| Session 2: Chair: | Tatyana Marchuk (BI) |
| 14:00-14:45 | Dynamic Trading and Asset Pricing with Time-Inconsistent Agents |
| Zhaneta Tancheva (BI Oslo) | |
| Discussant: Julien Cujean (University of Bern) | |
| 14:45-15:30 | AI-Powered Trading, Algorithmic Collusion, and Price Efficiency |
| Winston Wei Dou (Wharton) | |
| Discussant: Albert Menkveld (VU Amsterdam) | |
| 15:30-16:00 | Coffee break |
| Session 3: Chair: | Magnus Dahlquist (SSE) |
| 16:00-16:45 | When do cross-sectional asset pricing factors span the stochastic discount factor? |
| Serhiy Kozak (Maryland) | |
| Discussant: Irina Zviadadze (HEC Paris) | |
| 16:45-17:30 | Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux |
| Nick Roussanov (Wharton) | |
| Discussant: Grigory Vilkov (Frankfurt School of Finance & Management) | |
| 19:00 | Dinner (by invitation) |
Tuesday June 4
| 09:00-9:15 | Coffee |
| Session 4: Chair: | Paul Huebner (SSE) |
| 09:15-10:00 | Hidden Duration: Interest Rate Derivatives in Fixed Income Funds |
| Jaewon Choi (SNU) | |
| Discussant: Philippe Mueller (Warwick) | |
| 10:00-10:45 | Granular Treasury Demand with Arbitrageurs |
| Kristy Jansen (USC) | |
| Discussant: Adrien d’Avernas (SSE) | |
| 10:45-11:00 | Coffee break |
| Session 5: Chair: | Gualtiero Azzalini (SSE) |
| 11:00-11:45 | More than Money: The Role of Inherited Preferences on Wealth Mobility |
| Mehran Ebrahimian (SSE) | |
| Discussant: Arash Nekoei (Stockholm University/IIES) | |
| 11:45-12:30 | Investor Preferences, Security Design, and Volatility Prices |
| Laurent Calvet (SKEMA) | |
| Discussant: Tobias Sichert (SSE) | |
| 12:30 | Lunch |