Agenda

DAY 1: Thursday, January 26, 2023

8:30–9:00: Welcome coffee and registration

9:00–10:30: Performance – Session 1, Chair: Alon Brav, Duke University

• Juha Joenväärä, Nick Bollen (Owen Graduate School of Management, Vanderbilt University, USA), Mikko Kauppila: “Are Hot Hands in Hedge Funds Still Warm?”, Discussant: Daniel Schmidt (HEC Paris, France)

• Charles Cao, Grant Farnsworth, Hong Zhang, Yijun Zhou (Baruch College, USA): ” Hedge Fund Leverage, Delegated Portfolio Management, and Asset Prices”, Discussant: René Garcia (Université de Montréal, Canada)

10:30–11:00: Coffee Break

11:00–12:30: Anomalies – Session 2, Chair: Santiago Barraza, ESCP Business School

• Benjamin Holcblat, Abraham Lioui (EDHEC Business School, France), Michael Weber: “Anomaly or Possible Risk Factor? Simple-To-Use Tests”, Discussant: Irina Zviadadze (HEC Paris, France)
• Boone Bowles (Texas A&M University, USA), Adam Reed, Matthew Ringgenberg, Jacob Thornock: “Anomaly Time”, Discussant: Paul Karehnke (ESCP Business School, France)

12:30–14:00: Lunch Break and Poster Session

• Heterogeneous Investor Consideration, Mutual Fund Competition, and Fund Fees, Richard Grice, Ahmed Guecioueur (INSEAD, France)
• Financial Affiliations of Hedge Funds: An Analysis of Liquidation Probabilities and Flows, Guillermo Baquero, Vu Binh Le (ESMT Berlin, Germany)
• The Short-Duration Premium in the Stock Market: Risk or Mispricing?, Heiner Beckmeyer (University of Muenster, Germany), Paul Meyerhof
• Believe it or Not: The Role of Investor Beliefs for Private Equity Valuation, Aleksandr Ermakov (University of Luxembourg, Luxembourg)

14:00–15:30: Short Selling – Session 3, Chair: Michael Troege, ESCP Business School

• Spencer Andrews, Christian Lundblad, Adam Reed (UNC Chapel Hill, USA), “Dancing to the Same Tune: Commonality in Securities Lending Fees”, Discussant: Evgenia Passari (Universite Paris Dauphine – PSL, France)
• Xi Dong (Baruch College/City University of New York, USA), Hong Liu, Siyi Shen, Yajun Wang, “Do Short-sale Constraints Restrict Negative Information Revelation? The Role of Institutional Sales”, Discussant: Junyuan Zou (INSEAD, France)

15:30–16:00: Coffee Break

16:00–17:30: Diversity – Session 4, Chair: Marie Lambert, HEC Liège, Univ. Liège

• Jun Chen, Shenje Hshieh, Melvyn Teo (Singapore Management University, Singapore), Feng Zhang: ” Foreign Talent in Finance”, Discussant: Sara Ain Tommar (NEOMA Business School, France)
• Alberta Di Giuli (ESCP, France), Alexandre Garel, Arthur Petit Romec: “The Voting Behavior of Women-Led Mutual Funds”, Discussant: Olga Kolokolova (University of Manchester, UK)

17:30–18:30: Keynote Talk: “Income taxes and managerial incentives: Evidence from hedge funds” by Vikas Agarwal, Chair and Professor of Finance at Georgia State University’s J. Mack Robinson College of Business, Session Chair: Serge Darolles, Université Paris Dauphine – PSL and QMI

DAY 2: Friday, January 27, 2023

8:30–9:00: Welcome coffee

9:00–10:30: Exchange Traded Funds – Session 5, Chair: René Garcia, Université de Montreal

• Fabrice Riva (Université Paris-Dauphine and QMI, France), Thomas Marta: ” Do ETFs Increase the Comovements of Their Underlying Assets? Evidence from a Switch in ETF Replication Technique”, Discussant: : Ziwei Zhao (University of Lausanne and Swiss Finance Institute, Switzerland)
• Jonathan Brogaard, Nataliya Gerasimova, Ying Liu (School of Finance, Shanghai University of Finance and Economics, China): ” Advising the Advisors: Evidence from ETFs”, Discussant: Vincent Tena (Université Paris Dauphine – PSL, France)

10:30–11:00: Coffee Break

11:00–12:30: Social Responsability – Session 6, Chair: Marie Brière, Amundi

• Yan Lu, Narayan Naik, Melvyn Teo (Singapore Management University, Singapore): ” Race, Discrimination, and Hedge Funds”, Discussant: : Rustam Abuzov (University of Virginia, USA)
• John G. Matsusaka, Chong Shu (University of Utah, USA): “Does Proxy Advice Allow Funds to Cast Informed Votes? “, Discussant: Marie Lambert (Université de Liège and QMI, Belgium)

12:30–14:00: Lunch Break

14:00–15:30: Social Media – Session 7, Chair: Carole Gresse, Université Paris Dauphine-PSL

• Xiaoxia Lou (University of Delaware, USA), Gideon Ozik, Ronnie Sadka, Siyi Shen: ” Innocuous Noise? Social Media and Asset Prices”, Discussant: : Juan Imbet  (Université Paris Dauphine – PSL and QMI, France)
• AJ Chen Chen, Gerard Hoberg, Miao Zhang (University of Southern California, USA): ” Wisdom of the Institutional Crowd: Implications for Anomaly Returns”, Discussant: Florian Weigert (University of Neuchatel, Switzerland)

15:30–16:00: Coffee Break

16:00–17:30: Active vs Passive – Session 4, Chair: Laurent Barras, University of Luxembourg

• Magnus Dahlquist, Markus Ibert (Board of Governors of the Federal Reserve System), Felix Wilke: ” Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?”, Discussant: : Sylvain Benoit (Université Paris Dauphine – PSL, France)
• Fabio Moneta (University of Ottawa, Canada), Markus Broman: ” On the Anomaly Tilts of Factor Funds”, Discussant: Gulten Mero (CY Cergy Paris Université and QMI, France)