Programme Schedule – Download PDF Conference Programme

Please find the full conference schedule below. Presentations will be 18 minutes followed by 10 minutes discussion. Session chairs and presenters should meet 10 minutes before the start of the session to set up their talks.

Day One

8:30-9:00 Registration/Coffee – LT2 & 3 Breakout Area

9:00-9:15 Opening Remarks – LT3 – Mark Shackleton (Lancaster University Management School) 


9:15 – 10:15 Keynote Speech

Room LT3 – Chair: Chelsea Yaqiong Yao (Lancaster University Management) 

10:15-10:30 Refreshment Break

  • Room: LT2 & 3 Breakout Area

10:30-12:30  Mutual Funds and Market Efficiency

  • Room: LT3
  • Chair: Spencer Martin (Univeristy of Melbourne)

Cheaper Is Not Better: On the Superior Performance of High-Fee Mutual Funds
Terry Zhang (University of British Columbia), Jinfei Sheng (University of California-Irvine), Mikhail Simutin (University of Toronto)
Discussant – Nicholas Hirschey (London Business School)

Flow-induced Trades and Asset Pricing Factors
Yang Song (University of Washington), Shiyang Huang & Hong Xiang, (University of Hong Kong)
Discussant – Paul Irvine, Texas (Christian University)

What Do Mutual Fund Managers Private Portfolios Tell Us About Their Skills?
Makus Ibert (Federal Reserve System)
Discussant – Yang Song (University of Washington)

The International Active Fund Management Industry: Concentration Cross Effects
David Feldman (UNSW Sydney), Konark Saxena (UNSW Sydney) & Jingrui Xu (Xiamen University)
Discussant – Terry Zhang (University of British Columbia)

12:30-13:45 Lunch and Poster Session

  • Room: LT2 & 3 Breakout Area

13:45-15:45  Factor Investing

  • Room: LT3
  • Chair: Anastasios Kagkadis (Lancaster University Management)

Arbitrage Portfolois
Soohun Kim (Scheller College of Business), Robert A. Korajczykz, (Northwestern Univeristy) & Andreas Neuhierl (University of Notre Dame)
Discussant – Zhuo Chen (Tsinghua University)

Characteristics-Based Factors
Zhuo Chen (Tsinghua University), Bibo Liu (Tsinghua University), Huijun Wang (University of Delaware), Zhengwei Wang & Jianfeng Yu (Tsinghua University)
Discussant – Soohun Kim (Georgia Institute of Technology)

An Integrated Approach to Currency Factor Timing
Ananthalakshmi Pallasena Ranganathan, Sandra Nolte (Lancaster University Management School), Harald Lohre (Invesco Quantitative Strategies) & Houssem Braham (BlackRock)
Discussant – Philip Howard (Wake Forest University)

Active factor completion strategies
Harald Lohre (Invesco Quantitative Strategies), Hubert Dichtl, Wolfgang Drobetz (University of Hamburg) & Carsten Rother (Invesco Quantitative Strategies & University of Hamburg)

15:45-16:00  – Refreshment Break

  • Room: LT2 & 3 Breakout Area


14:30 – 16:00 Keynote Speech

Room LT3 – Chair: George Jiaguo Wang (Lancaster University Management)

  • Speaker: Russell Wermers (University of Maryland)
  • Title: Do ETFs Increase Liquidity?

18:00 Conference Dinner: Lancaster House Hotel, Green Lane, Bailrigg, Lancaster, LA1 4GJ

Day Two

9:00-10:30 Informed Trading 

  • Room: LT3
  • Chair: Vikas Raman

Trading on Overshooting
Min Kim (University of Texas at Austin)
Discussant – Aleksandra Rzeźnik (WU Vienna University of Economics and Business)

Fast and slow arbitrage: Smart money, dumb money and mispricing in the frequency domain
Namho Kang (Bentley University), Xi Dong (Baruch College, CUNY) & Joel Peress (INSEAD)
Discussant – Min Kim (University of Texas at Austin)

Informed Trading and Co-Illiquidity
Aleksandra Rzeźnik (WU Vienna University of Economics and Business), Soren Hvidkjaer (Copenhagen Business School), Massimo Massa (INSEAD) Discussant – Namho Kang (Bentley University)

10:30 – 10:45 Refreshment Break

  • Room: LT 2&3 Breakout Area

10:45 – 12:15 ETF

  • Room: LT3
  • Chair: Shaun Davies (University of Colorado at Boulder)

Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?
Vikas Agarwal (Georgia State University), Paul Hanouna, Rabih Moussawi (Villanova University) & Christof W. Stahe (Investment Company Institute)
Discussant – Shaun Davies, (University of Colorado at Boulder)

Short Selling Equity Exchange Traded Funds and its Effect on Stock Market Liquidity
Egle Karmaziene (University of Groningen), Valeri Sokolovski (HEC Montréal) Discussant – Paul Hanouna, (Villanova University)

Investor Demand for Leverage: Evidence from Closed-End Funds and the Launch of Levered Exchange-Traded Funds
Shaun Davies, Robert Dam & Katie Moon (University of Colorado at Boulder)
Discussant – Egle Karmaziene, (University of Groningen)

12:15 – 13:30 Lunch and Poster Session

  • Room: LT2 & 3 Breakout Area


13:30 – 14:30 Keynote Speech

Room LT3 – Chair: Mark Shackleton (Lancaster University Management)

  • Speaker: Elroy Dimson (University of Cambridge)
  • Title: 120 years of evidence on investing for the long term

14:30 – 14:45 – Refreshment Break  LT 2&3 Breakout Area

14:45 – 16:45 Responsible Investments

  • Room: LT3
  • Chair: Chelsea Yaqiong Yao (Lancaster University Management)

Corporate Ethical Behaviours and Firm Equity Value and Ownership: evidence from the GPFG’s ethical exclusions
Vaska Atta-Darkua (University of Cambridge)
Discussant – Yuxiang Jiang (Southwestern University of Finance and Economics)

In the Eyes of the beholder: Shareholder Connection and ESG Rating Inflation
Jiali Yan, Mark Shackleton (Lancaster University Management School), Dragon Yongjun Tang (The University of Hong Kong),  & Chelsea Yaqiong Yao (Lancaster University Management School)
Discussant – Lucia Spotorno (Bocconi University)

Mutual Fund Voting on Environmental and Social Proposals
Yazhou Ellen He, Bige Kahraman (Oxford University), Michelle Lowry (Drexel University)
Discussant – Vaska Atta-Darkua (University of Cambridge)

Socially Responsible Investments: Costs and Benefits for University Endowment Funds
Yuxiang Jiang (Southwestern University of Finance and Economics), George Aragon (Arizona State University), Juha Joenväärä (University of Oulu) & Cristian Ioan Tiu (University at Buffalo)
Discussant – Yazhou Ellen He (Oxford University)

16:45 – End of Conference

Poster Session – Monday 3rd June, 12:30 – 13:45

  • Room: LT2 & 3 Breakout Area

Mutual Funds and Derivatives: Evidence from Linked Fund-Trade Data
Daniel Bias (Technical University of Munich), Claudia Guaglianob, Martin Haferkornb, (European Securities and Markets Authority), Michael Haimanna & Christoph Kaserer (Technical University of Munich)

The impact of return shocks on mutual funds’ flows: an example based on French bond mutual funds
Laura-Dona Capota, Raphaëlle Bellando & Sébastien Galanti (University of Orléans)

Funding Liquidity and Arbitrage Efficacy
Jingzhi Chen & Yongcheol Shin (University of York)

How Do Bond Investors Measure Performance? Evidence from Mutual Flows
Thuy Duong Dang, Fabian Hollstein & Marcel Prokopczuk (Leibniz University Hannover)

Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns
Ulrich Hammerich (University of Bremen)

Enhanced Momentum Strategies
Steffen Windmuller & Matthias Hanauer (Technical University of Munich)

How Well Do Traders Condition on the Uniqueness of Their Signals?
Nicholas Hirschey (London Business School) & Chishen Wei (Singapore Management School)

Crowded Trades and Tail Risk
Philip Howard (Wake Forest University), Gregory Brown & Christian Lundblad (University of North Carolina)

The Beta Anomaly and Mutual Fund Performance
Paul Irvine & Jue Ren (Texas Christian University) & Jeong Ho Kim (Emory University)

The Dynamic Impact of Anonymity on Unsophisticated Liquidity under Changing Information Asymmetry
Yijie Li (Aalto University School of Business)

Mutual Fund Selection for Realistically Short Samples
Ole Linnemann Nielsen, Charlotte Christiansen & Niels S. Grønborg (Aarhus University)

Underreaction to Macroeconomic News Announcements and the Downward-Sloping Security Market Line
Zilong Niu (Tilburg University and CentER)

Local Economic Conditions and Local Equity Preferences: Evidence from Mutual Funds during the US Housing Boom and Bust
Aleksandra Rzeźnik (WU Vienna University of Economics and Business), Ben Sand (York University) & Chandler Lutz (Copenhagen Business School)

Fragile Factor Premia
Yang Song (University of Washington), Shiyang Huang & Hong Xiang (The University of Hong Kong)

Willingness to Take Risk and Fund Flow Dynamics
Zhongyan Zhu (Monash University) & Woon Sau Leung (The University of Edinburgh)

Poster Session – Tuesday 4th June, 12:15 – 13.30

  • Room: LT2 & 3 Breakout Area

Gamma Trading Skills in Hedge Funds
Boris Fays, Georges Hubner & Marie Lambert (University of Liege)

Does gender diversity impact performance and corporate social responsibility investment decisions in mutual funds?
Lidan Grossmass (Düsseldorf Institute of Competition Economics), Ming-Tsung Lin (De Montfort University) & Ser Huang Poon (University of Manchester)

What do hedge funds say?
Juha Joenväärä, Jari Karppinen (University of Oulu) & Cristian Tiu (University at Buffalo)

Peer Effects in Investment Manager Selection: Evidence from University Endowments
Charikleia Kaffe (University of Cambridge)

Revealed Heuristics: Evidence from Investment Consultants’ Search Behavior
Soohun Kim, Sudheer Chava & Daniel Weagley (Georgia Institute of Technology)

Hedge Fund Performance Persistence: Do the country of domicile and the investment strategy matter?
William Klubinski & Thanos Verousis (University of Essex)

Does Intensified Letter-Communication of Hedge Funds Affect Abnormal Returns?
Jonas Tobias Schmitz & Andreas Oehler (University of Bamberg)

Does organization design affect delegated investment performance?
Lucia Spotorno (Bocconi University) & Giacomo Nocera (Audencia Business School)

Signaling or Marketing? The Role of Discount Control Mechanisms in Closed-End Funds
Denitsa Stefanova, Roman Kräussl (Université du Luxembourg) & Joshua Pollet (University of Illinois)

Investor Sentiment and the Pricing of Macro Risks for Hedge Funds
Xiaoquan Zhu & Zhuo Chen (Tsinghua University) & Andrea Lu (University of Melbourne)