Latest Information as of 14th September 2022.<\/p>\n
Download PDF Conference Programme<\/a><\/p>\nPresentations: 25 minutes followed by 5 minutes of general discussion. Speakers and session chairs should meet in the lecture theatre at least 5 minutes before their session.<\/p>\nDay 1 Thursday, 15th September 2022<\/h2>\n
Presentations: 25 minutes followed by 5 minutes of general discussion. Speakers and session chairs should meet in the lecture theatre at least 5 minutes before their session.<\/p>\n
Ingmar Nolte, Director Centre for Financial Econometrics, Asset Markets & Macroeconomic Policy, Lancaster University Management School<\/td>\n<\/tr>\n
Markus Leippold, University of Zurich and\u00a0Swiss Finance Institute<\/strong><\/p>\n“Finance, Climate Change and Artificial Intelligence”<\/td>\n<\/tr>\n\n10:15-10:30<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 2 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2A: Factor Investing I<\/td>\nChair: Fabio Moneta, Support: Shifan Yu, Room: LT 1<\/p>\nVictor DeMiguel, London Business School<\/strong><\/p>\nA Multifactor Perspective on Volatility-Managed Portfolios<\/a> (with Alberto Martin-Utrera, Iowa State University and Raman Uppal, EDHEC Business School)<\/p>\nAmar Soebhag, Erasmus School of Economics\/Robeco<\/strong><\/p>\nNon-Standard Errors in Asset Pricing: Mind Your Sorts<\/a> (with Bart Van Vliet, Erasmus School of Economics\/Robeco and Patrick Verwijmeren, Erasmus School of Economics)<\/p>\nFabio Moneta, University of Ottawa<\/strong><\/p>\nFollowing the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2B: Machine Learning<\/td>\nChair: Heiner Beckmeyer, Support: Alex Swade, Room: LT 2<\/p>\nWei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
“Finance, Climate Change and Artificial Intelligence”<\/td>\n<\/tr>\n
Victor DeMiguel, London Business School<\/strong><\/p>\nA Multifactor Perspective on Volatility-Managed Portfolios<\/a> (with Alberto Martin-Utrera, Iowa State University and Raman Uppal, EDHEC Business School)<\/p>\nAmar Soebhag, Erasmus School of Economics\/Robeco<\/strong><\/p>\nNon-Standard Errors in Asset Pricing: Mind Your Sorts<\/a> (with Bart Van Vliet, Erasmus School of Economics\/Robeco and Patrick Verwijmeren, Erasmus School of Economics)<\/p>\nFabio Moneta, University of Ottawa<\/strong><\/p>\nFollowing the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2B: Machine Learning<\/td>\nChair: Heiner Beckmeyer, Support: Alex Swade, Room: LT 2<\/p>\nWei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
A Multifactor Perspective on Volatility-Managed Portfolios<\/a> (with Alberto Martin-Utrera, Iowa State University and Raman Uppal, EDHEC Business School)<\/p>\nAmar Soebhag, Erasmus School of Economics\/Robeco<\/strong><\/p>\nNon-Standard Errors in Asset Pricing: Mind Your Sorts<\/a> (with Bart Van Vliet, Erasmus School of Economics\/Robeco and Patrick Verwijmeren, Erasmus School of Economics)<\/p>\nFabio Moneta, University of Ottawa<\/strong><\/p>\nFollowing the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2B: Machine Learning<\/td>\nChair: Heiner Beckmeyer, Support: Alex Swade, Room: LT 2<\/p>\nWei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Amar Soebhag, Erasmus School of Economics\/Robeco<\/strong><\/p>\nNon-Standard Errors in Asset Pricing: Mind Your Sorts<\/a> (with Bart Van Vliet, Erasmus School of Economics\/Robeco and Patrick Verwijmeren, Erasmus School of Economics)<\/p>\nFabio Moneta, University of Ottawa<\/strong><\/p>\nFollowing the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2B: Machine Learning<\/td>\nChair: Heiner Beckmeyer, Support: Alex Swade, Room: LT 2<\/p>\nWei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Non-Standard Errors in Asset Pricing: Mind Your Sorts<\/a> (with Bart Van Vliet, Erasmus School of Economics\/Robeco and Patrick Verwijmeren, Erasmus School of Economics)<\/p>\nFabio Moneta, University of Ottawa<\/strong><\/p>\nFollowing the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2B: Machine Learning<\/td>\nChair: Heiner Beckmeyer, Support: Alex Swade, Room: LT 2<\/p>\nWei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Fabio Moneta, University of Ottawa<\/strong><\/p>\nFollowing the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2B: Machine Learning<\/td>\nChair: Heiner Beckmeyer, Support: Alex Swade, Room: LT 2<\/p>\nWei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Following the Crowd: Anomalies and crowding by Institutional Investors (with Ludwig Chincarini, University of San Francisco and Renato Lazo-Paz, University of Ottawa)<\/td>\n<\/tr>\n
Wei Wu, Texas A&M University<\/strong><\/p>\nCompetition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Competition Network: Distress Spillovers and Predictable Industry Returns<\/a> (with Shane Johnson, Texas A&M University and Winston Dou, University of Pennsylvania)<\/p>\nStefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Stefan Petry, Alliance Manchester Business School<\/strong><\/p>\nUnderstanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Understanding Risk Disclosures and Exposures: Insights from a Novel Measure of Information Content<\/a> (with Bruce Grundy, University of Melbourne)<\/p>\nHeiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Heiner Beckmeyer, University of Muenster<\/strong><\/p>\nRecovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Recovering Missing Firm Characteristics with Attention-based Machine Learning<\/a> (with Timo Wiedemann, University of Muenster)<\/td>\n<\/tr>\n\n10:30-12:30\nParallel Session 2C: Climate Change<\/td>\nChair: Jieyan Fang-Klingler, Support: Kostas Stamatopoulos, Room: LT 3<\/p>\nGlen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Glen Gostlow, London School of Economics<\/strong><\/p>\nPricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Pricing Physical Climate Risk in the Cross-Section of Returns<\/a><\/p>\nLuca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Luca Taschini, University of Edinburgh<\/strong><\/p>\nNailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Nailing Down Volatile Temperatures: Examining their Effects on Asset Prices<\/a> (with Leonardo Bortolan, University of Bologna and Atreya Dey, University of Edinburgh)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Simon Xu, University of California at Berkeley<\/strong><\/p>\nEnvironmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Environmental regulatory risks, firm pollution, and mutual funds’ portfolio choices<\/a><\/p>\nJieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Jieyan Fang-Klingler, Quoniam Asset Management<\/strong><\/p>\nBack to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Back to the future: The role of forward-looking climate metrics in decarbonization portfolios<\/a> (with Maximilian Stroh and Frederik Wisser, Quoniam Asset Management)<\/td>\n<\/tr>\n\n12:30-13:45<\/td>\nLunch Break and Poster Session I \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 3 (Plenary)<\/h3>\nChair: Sandra Nolte – Support:Nikos Vasilas<\/h3>\n<\/td>\n<\/tr>\n\n13:45-14:45<\/td>\n\nKeynote Speech<\/strong><\/h2>\nWeili Zhou, Robeco\u00a0<\/strong><\/h2>\n“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n\n14:45-15:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 4 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4A: Factor Timing<\/td>\nChair: Tom Zeissler, Support: Nikos Vasilas, Room: LT 1<\/p>\nNikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
“Factor Investing: A Practitioner’s Perspective”<\/td>\n<\/tr>\n
Nikolas Vasilas, Lancaster University<\/strong><\/p>\nFactor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Factor Timing with Portfolio Characteristics<\/a> (with Anastasios Kagkadis, Ingmar Nolte and Sandra Nolte, Lancaster University)<\/p>\nSebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Sebastian St\u00f6ckl, University of Liechtenstein<\/strong><\/p>\nFactor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Factor Chasing and the Cross-Country Factor Momentum Anomaly<\/a> (Merlin Bartel, University of Liechtenstein)<\/p>\nAlessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Alessandro Melone, The Ohio State University\u00a0<\/strong><\/p>\nMacro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Macro Trends and Factor Timing<\/a> (with Carlo A. Favero, Innocenzo Gasparini Institute for Economic Research and Andrea Tamoni, Rutgers Business School)<\/p>\nTom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Tom Zeissler, Vienna University of Economics & Business<\/strong><\/p>\nTime-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Time-Varying Factor Allocation<\/a> (with Stefan Vincenz, Vienna University of Economics & Business)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4B: Exchange Rates<\/td>\nChair: Robert Czech, Support: Alex Swade, Room: LT 2<\/p>\nAnthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Anthony Garratt, Warwick Business School<\/strong><\/p>\nCurrency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Currency Anomalies<\/a> (with Sohnke M. Bartram, University of Warwick and CEPR and Leslie Djuranovik, Warwick Business School)<\/p>\nPeng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Peng Wei, University of Edinburgh<\/strong><\/p>\nDeep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Deep Learning in Modelling Exchnage Rate<\/a> (with Yi Cao and Yizhe Dong, University of Edinburgh)<\/p>\nRobert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Robert Czech, Bank of England<\/strong><\/p>\nFX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
FX Option Volume<\/a> (with Pasquale Della Corte, Imperial College London & CEPR, Shiyang Huang, Hong Kong University and Tianyu Wang, Tsinghua University)<\/td>\n<\/tr>\n\n15:15-17:15\nParallel Session 4C: Climate Change \/ ESG<\/td>\nChair: Simon Xu, Support: Kostas Stomatopoulos, Room LT 3<\/p>\nMathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Mathijs Cosemans, Erasmus University<\/strong><\/p>\nClimate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Climate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics<\/a> (with Xander Hut and Mathijs van Dijk, Erasmus University)<\/p>\nEmanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Emanuele Chini, EDHEC Business School<\/strong><\/p>\nTime-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Time-varying Environmental Betas and Latent Green Factors<\/a><\/p>\nJerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Jerry Sun, Invesco Quantitative Strategies<\/strong><\/p>\nIncreasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Increasing Gender Diversity in Corporate Boards: Are Firms Catering to Investor Preferences?<\/a> (with Chinmoy Ghosh, University of Connecticut, Milena Petrova, Syracuse University and Yihong Xiao, Bridgewater State University)<\/p>\nSimon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Simon Xu, University of California at Berkeley<\/strong><\/p>\nEvery emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Every emission you create\u2013every dollar you\u2019ll donate: The effect of regulation-induced pollution on corporate philanthropy<\/a> (with Raphael Jonghyeon Park and Seungho Choi, University of New South Wales)<\/td>\n<\/tr>\n\n\nConference Dinner<\/h3>\n<\/td>\n<\/tr>\n\n17:45<\/td>\nCoach departs outside LUMS for The Midland Hotel<\/a><\/td>\n<\/tr>\n\n18:30<\/td>\nWelcome cocktails<\/td>\n<\/tr>\n\n19:00<\/td>\nDinner Speech: Bernhard Langer, Invesco Quantitative Strategies<\/strong><\/p>\n“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n\n19:30<\/td>\nBest Paper Awards:<\/strong><\/p>\nInvesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\nRobeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n\n19:45<\/td>\nConference Dinner<\/td>\n<\/tr>\n\n22:15<\/td>\nCoach Depart for LUMS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n <\/p>\nDay 2: Friday, 16th September 2022<\/h2>\n\n\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 5 (Plenary)<\/h3>\nChair: Chelsea Yao, Support: Shifan Yu<\/h3>\n<\/td>\n<\/tr>\n\n09:00-10:00<\/td>\nKeynote Speech<\/p>\nAmit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
“The Signal and the Noise – 30 Years in the Quant Business”<\/td>\n<\/tr>\n
Invesco Factor Investing Prize – Presented by Bernhard Langer, Invesco<\/p>\n
Robeco Sustainable Investing Prize – Presented by Harald Lohre, Robeco<\/td>\n<\/tr>\n
<\/p>\n
Amit Goyal, University of Lausanne and Swiss Finance Institute<\/strong><\/p>\n“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n\n10:00-10:15<\/td>\nCoffee Break<\/td>\n<\/tr>\n\n\nSESSION 6 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6A: Asset Pricing<\/td>\nChair: Benjamin Holcblat, Support: Alex Swade, Room: LT 1<\/p>\nDennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
“Are Equity Option Returns Abnormal? IPCA Says No”<\/td>\n<\/tr>\n
Dennis Umlandt, University of Innsbruck<\/strong><\/p>\nScore-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance<\/a><\/p>\nMarkus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Markus Ibert, Copenhagen Business School\u00a0<\/strong><\/p>\nEquity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Equity Return Expectations and Portfolios: Evidence from Large Asset Managers<\/a> (with Magnus Dahlquist, Stockholm School of Economics)<\/p>\nBenjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Benjamin Holcblat, University of Luxembourg<\/strong><\/p>\nAnomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Anomaly or Possible Risk Factors? Simple-To-Use Tests<\/a> (with Abraham Lioui, EDHEC Business School and Michael Weber, Booth School of Business)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6B: Volatility & Options<\/td>\nChair: Manh Pham, Support: Shifan Yu, Room: LT 2<\/p>\nLeonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Leonidas Rompolis, Athens University of Economics & Business<\/strong><\/p>\nPricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Pricing Event Risk: Evidence from Concave Implied Volatility Curves<\/a> (with Lykourgos Alexiou, University of Liverpool Management School, Amit Goyal, University of Lausanne and Alex Kostakis, University of Liverpool)<\/p>\nEghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Eghbal Rahimikia, Alliance Manchester Business School<\/strong><\/p>\nRealised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Realised Volatility Forecasting: Machine Learning via Financial Word Embedding<\/a> (with Stefan Zohren, University of Oxford and Ser-Huang Poon, Alliance Manchester Business School)<\/p>\nManh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Manh Pham, Lancaster University<\/strong><\/p>\nDynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Dynamics of the Limit Order Book and the Volume-volatility Relation<\/a> (with Heather Margot Anderson, Huu Nhan Duong and Paul Lajbcygier, Monash Business School)<\/td>\n<\/tr>\n\n10:15-12:15\nParallel Session 6C: Risk Management<\/td>\nChair: Hening Liu, Support: Kostas Stomatopoulos, Room: LT 3<\/p>\nRichard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Richard Luger, Universit\u00e9 Laval<\/strong><\/p>\nRegularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Regularizing stock return covariance matrices via multiple testing of correlations<\/a><\/p>\nMassimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Massimiliano Caporin, University of Padova<\/strong><\/p>\nOn the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis<\/a> (with Giovanni Bonaccolto, University of Enna)<\/p>\nJiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Jiayu Jin, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Estimating and Forecasting Long-Horizon Dollar Return Skewness<\/a> (with Kevin Aretz and Yifan Li, Alliance Manchester Business School)<\/p>\nHening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Hening Liu, Alliance Manchester Business School<\/strong><\/p>\nEstimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Estimating and Testing Long Run Risk Models: International Evidence<\/a> (with Andras Fulop, ESSEC Business School, Junye Li, Fudan University and Cheng Yan, Essex Business School)<\/td>\n<\/tr>\n\n12:15-13:30<\/td>\nLunch Break and Poster Session II \u2013 LT2 & 3 Breakout Space \u201cPoster Area\u201d<\/td>\n<\/tr>\n\n\nRoom: LT1 \u2013 Keynote \u2013 SESSION 7 (Plenary)<\/h3>\nChair: Mark Shackleton – Support: shifan yu<\/h3>\n<\/td>\n<\/tr>\n\n13:30-14:30\nKeynote Speech<\/td>\nLin William Cong, Cornell University<\/strong><\/p>\n\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n\n14:30-15:00<\/td>\nCoffee Break<\/strong><\/td>\n<\/tr>\n\n\nSESSION 8 (Parallel)<\/h3>\n<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8A: Factor Investing II<\/td>\nChair: Daniele Bianchi, Support: Alex Swade, Room: LT 1<\/p>\nThu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
\u201cPanel Trees, Uncommon Factors and Bayesian Asset Cluster\u201d<\/td>\n<\/tr>\n
Thu Nguyen, University of Amsterdam<\/strong><\/p>\nOverlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Overlapping Factors<\/a> (with Aleksandar Andonov and Esther Eiling, University of Amsterdam)<\/p>\nGerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Gerrit Liedtke, University of Bremen<\/strong><\/p>\nCharacteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Characteristics are Covariances? A Comment on Instrumented Principal Component Analysis<\/a> (with Lars Hornuf, Christian Fieberg and Thorsten Poddig University of Bremen)<\/p>\nMarkus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Markus Sihvonen, Bank of Finland Research Unit<\/strong><\/p>\nYield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Yield Curve Momentum<\/a><\/p>\nDaniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Daniele Bianchi, Queen Mary University of London<\/strong><\/p>\nA Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
A Factor Model for Cryptocurrency Returns<\/a> (with Mykola Babiak, Lancaster University Management School)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8B: Portfolio Optimization<\/td>\nChair & Support: Filip Basic, Room: LT 2<\/p>\nGeatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Geatan Bakalli, Emlyon Business School<\/strong><\/p>\nA penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
A penalized two-pass regression to predict stock returns with time-varying risk premia<\/a> (with Oliver Scaillet, University of Geneva & Swiss Finance Institute and Stephane Guerrier, University of Geneva<\/p>\nMarco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Marco Salerno, Healthcare of Ontario Pension Plan<\/strong><\/p>\nFactor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Factor-targeted Asset Allocation: A Reverse Optimisation Approach<\/a> (with Jacky S.H. Lee, Healthcare of Ontario PP Trust Fund<\/p>\nIason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Iason Kynigakis, University College Dublin<\/strong><\/p>\nMachine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Machine Learning and Factor-Based Portfolio Optimization<\/a> (with Thomas Conlon and John Cotter, University College Dublin)<\/p>\nFilip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Filip Basic, Lancaster University<\/strong><\/p>\nTransaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n\n15:00-17:00\nParallel Session 8C: Funds & Flows<\/td>\nChair: Mathis Moerke, Support: Kostas Stamatopoulos, Room LT 3<\/p>\nDavid Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Transaction Cost-optimized Equity Factor Investing Around the World (with Alberto Martin-Utrera, Iowa State University, Harald Lohre, Robeco and Ingmar Nolte and Sandra Nolte, Lancaster University)<\/td>\n<\/tr>\n
David Feldman, UNSW Business School<\/strong><\/p>\nFund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Fund Flows, Performance and Exit Under Dynamic Unobservable Managing Ability<\/a> (with Jingrui Xu, Xiamen University)<\/p>\nNick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
Nick Guest, Cornell University<\/strong><\/p>\nA Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n
A Tale of Two Index Funds: Full Replication vs. Representative Sampling<\/a> (with Travis Dyer, Brigham Young University)<\/p>\n