John Kim, Emory University – Capital Allocation and the Market for Mutual Funds: Inspecting the Mechanism (with Jules H. van Binsbergen, University of Pennsylvania and NBER, Soohun Kim, Georgia Institute of Technology)

Robert Czech, Bank of England – Informed Trading in Government Bond Markets (with Shiyang Huang, University of Hong Kong, Dong Lou, London School of Economics and CEPR, Tianyu Wang, Tsinghua University)

James Sefton, Imperial College Business School – Agency  and  Rising  Volatility (with Mobeen Iqbal, Imperial College Business School)

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Day Two – Friday, 29th January 2021

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9:00-11:00 Parallel Session 6A: Volatility

• Chair: Minyou Fan
• Support: Lakshmi & Shifan
• Virtual Room: “Lancaster”

Simon Walther, Universal-Investment-Luxembourg S.A. – Forward-looking P (with Maxim Ulrich, Karlsruhe Institute of Technology (KIT), Jonas Rothfuss, ETH Zurich, Fabio Ferreira, Karlsruhe Institute of Technology (KIT))

Yulong Sun, Bocconi University – A History Doesn’t Repeat, But It Rhymes – Cash Flow Risk and Expected Returns

Gang Li, University of Toronto – Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model

Minyou Fan, Queen’s University Belfast – Momentum and the Cross-section of Stock Volatility (with Jiadong Liu & Fearghal Kearney, Queen’s University Belfast, Youwei Li, University of Hull)

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9:00 -11:00 Parallel Session 6B: Forecasting

• Chair: Thibault Lair
• Support: Alex & David
• Virtual Room: “Invesco”

Michael Halling , Stockholm School of Economics and Swedish House of Finance – Valuation Ratios and Shape Predictability in the Distribution of Stock Returns (with Paolo Giordani, BI Norwegian Business School)

Daniele Bianchi, Queen Mary University of London – Divide and Conquer: Financial Ratios and Industry Returns Predictability (with Kenichiro McAlinn, Temple University)

Tobias Stein, Deutsche Bundesbank and Goethe University Frankfurt – Out-of-Sample Equity Premium Prediction: Combination Forecasts with Frequency-Decomposed Variables

Thibault Lair , EDHEC Business School – Scarcity Risk Premium

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9:00-11:00 Parallel Session 6C: Machine Learning

• Chair: Amine Raboun
• Support: Berke & Filip
• Virtual Room: “Cambridge”

Alejandro Lopez-Lira, BI Norwegian Business School – Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns

Martin Hronec, Charles University – Does It Pay to Follow Anomalies Research? Machine Learning Approach with International Evidence (with Ondrej Tobek, University of Cambridge)

Alex Gibberd, Lancaster University – When “Structural Change” meets “Transaction Cost” in Volatility Timing (with Yin Liao, Queensland University of Technology, Di Bu, Macquarie University)

Amine Raboun, Paris Dauphine University – Modelling Transaction Costs when Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance (with Marie Brière, Paris Dauphine University, Charles-Albert Lehalle, Imperial College London, Tamara Nefedovaz, Paris Dauphine University)

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11:00-11:15 Comfort Break 

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11:15-12:45 Parallel Session 7A: Currency Markets 2

• Chair: Kristy Jansen
• Support: Lakshmi & Shifan
• Virtual Room: “Lancaster”

Sofonias Alemu Korsaye, University of Geneva – The Global Factor Structure of Exchange Rates (with Fabio Trojaniz, University of Geneva, Andrea Vedolin, Boston University, NBER and CEPR)

Ruirui  Liu, King’s College London – Currency Portfolio Selection with Factors: Additive Gradients and Model Sparsity in a Data-Rich Environment∗ (with Georgios Chortareas & George Kapetanios, King’s College London)

Kristy Jansen, Tilburg University – Pension Funds and Drivers of Heterogeneous Investment Strategies (with Dirk W.G.A. Broeders, Maastricht University and De Nederlandsche Bank)

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11:15-12:45 Parallel Session 7B: Tail and Break Risk

• Chair: Matej Nevrla
• Support: Alex & David
• Virtual Room: “Invesco”

Yifan Li, University of Manchester – Disclosure of Private In-house Meetings and Stock Crash Risk: Evidence from China (with Hang Zhou, University of Edinburgh, Rong Ding, University of Warwick, Yuxin Sun, Queen’s University Belfast)

Yu-Jou (Abby) Pai, University Concordia – On the Stock Market Variance-Return or Price Relations: A Tale of Fear and Euphoria  (with Hui Guo, University of Cincinnati & Qian Lin, Wuhan University

Matej Nevrla, Charles University – Tail Risks, Investment Horizons, and Asset Prices (with Jozef Barunik, The Czech Academy)

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11:15-12:45 Parallel Session 7C: Hedge Funds and Institutional Investors

• Chair: Manuela Pedio
• Support: Berke & Filip
• Virtual Room: “Cambridge”

Thang Ho, Lancaster University Management School – Bear Market Risk and the Cross-section of Hedge Fund Returns (with Anastasios Kagkadis & George Wang, Lancaster University Management School)

Mobeen Iqbal, Barclays Investment Back – Systematic  13F  Hedge  Fund  Alpha (with Luca Angelini, Norvus Partners Inc, Mobeen Iqbal, Barclays Investment Bank)

Manuela Pedio, University of Bristol – How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs (with Massimo Guidolin, Bocconi University)

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12:45-14:15 Lunch Break and Poster Session II – Virtual Room “Poster Area”

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SESSION 8 (Plenary) Chair: Mark Shackleton – Support: Lakshmi & Shifan

Virtual Room – “Keynote”

14:15-15:15 Keynote Speech

• Speaker: Tarun Gupta, Invesco Quantitative Strategies
• Title: Alternative Data: Applications for Factor Investing

SESSION 9: 15:15-15:30 – Support: Lakshmi & Shifan Virtual Room – “Keynote” Best Paper Award: Invesco IQS Factor Investing Prize Presented by Harald Lohre, Invesco Quantitative Strategies, CEAM Cambridge Judge Business School

15:30 Conference Closed

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Poster Session I: Thursday 28th January 2021 – Virtual Room – “Poster Area”

Sebastian Stöckl, University of Liechtenstein – Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns

Wenjie Ding, Cardiff Business School – Volatility Timing, Sentiment, and the Short-term Profitability of VIX-based Cross-sectional Trading Strategies (with Khelifa Mazouz, Cardiff Business School, Qingwei Wang, Cardiff Business School & Centre for European Economic Research (ZEW))

Kaiwen Tian, Lancaster University Management School – Artificial Illiquidity and Inefficient Index

Christoph Frey, Erasmus University Rotterdam – Shrinkage Estimation in Risk Parity Portfolios (with Nabil Alkafri WHU – Otto Beisheim School of Management)

Filip Basic, Lancaster University Management School – Do Not Fall Short: Estimating Implementation Shortfall (with Ingmar Nolte, Sandra Nolte, Lancaster University Management School, Harald Lohre, Invesco Quantitative Strategies, CEAM Cambridge Judge Business School, Alberto Martin Utrera, New Jersey Institute of Technology (NJIT))

Chi-Yang Tsou, Hong Kong University of Science and Technology – Learning and the Capital Age Premium (with Kai Li & Chenjie Xu, Hong Kong University of Science and Technology)

Alexander Swade, Lancaster University Management School – Macro Factor Investing with Style (with Harald Lohre, Invesco Quantitative Strategies, CEAM Cambridge Judge Business School, Sandra Nolte & Mark Shackleton, Lancaster University Management School)

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Poster Session II: Friday 29th January 2021 – Virtual Room – “Poster Area” 

Juan Arismendi Zambrano, National University of Ireland – The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models? (with Massimo Guidolin, Bocconi University, Martin Lozano, University of Monterrey)

Nikolas Vasilas, Lancaster University Management School – Enhanced Factor Timing: Enhanced Factor Timing: Portfolio Predictability and Assessment of Dimension Reduction Techniques in the Characteristics Space (with Ingmar Nolte, Anastasios Kagkadis & Sandra Nolte, Lancaster University Management School)

Zeming Li, University of Southampton – Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics (with Athanasios Sakkas, University of Nottingham, Andrew Urquhart, University of Reading)

Swasti Gupta-Mukherjee, Loyola University Chicago – Investor Sentiment and Time varying Investor Sophistication: Evidence from the Mutual Fund Industry

Rui Gong, The Ohio State University – Return Chasing by Hedge Fund Investors

Gordon Dash, University of Rhode Island – Multiobjective Behavioral Portfolio Selection with Efficient ESG Factors and Learning Network Estimation of Asset Returns (with Nina Kajiji, University of Rhode Island)

Alexander Swade, Lancaster University Management School – Why do equally weighted portfolios beat the value weighted? (with Harald Lohre, Invesco Quantitative Strategies, CEAM Cambridge Judge Business School, Sandra Nolte & Mark Shackleton, Lancaster University Management School)