{"id":130,"date":"2018-03-20T17:19:39","date_gmt":"2018-03-20T17:19:39","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/fofi2018\/?page_id=130"},"modified":"2019-10-23T09:38:25","modified_gmt":"2019-10-23T09:38:25","slug":"programme","status":"publish","type":"page","link":"https:\/\/wp.lancs.ac.uk\/fofi2018\/","title":{"rendered":"Programme"},"content":{"rendered":"<p><span style=\"font-size: 18pt\"><strong>Programme Schedule &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2019\/05\/2019-06-01-MHF2019-Conference-Programme_Final.pdf\">Download PDF Conference Programme<\/a><\/strong><\/span><\/p>\n<p>Presentations: 25 minutes followed by 5 minutes general discussion.<br \/>\nSession chairs and presenters should meet 10 minutes before the start of the session to set up their talks.<\/p>\n<p><em>Please note, all conference delegates can also benefit from 25% off our Matlab 2-day course. Visit our <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/registration\/\">registration page<\/a> for more information.<\/em><\/p>\n<p><strong><span style=\"font-size: 14pt\">Day One<\/span><\/strong><\/p>\n<hr \/>\n<p><strong>8:30-8:50 Registration\/Coffee<\/strong><\/p>\n<p>8:50-9:00 Opening Remarks: <strong>Angus Laing, Dean of Lancaster University Management School<\/strong><\/p>\n<hr \/>\n<p><span style=\"color: #000000\"><strong>SESSION 1 (Plenary) Chair: Harald Lohre<\/strong><\/span><br \/>\n9:00-10:00 Keynote Speech<\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li>Speaker: <strong>Marie Bri\u00e8re,<\/strong> Amundi Asset Management &amp; Paris Dauphine University<\/li>\n<li>Title: <strong>What do we know about factor investing?<\/strong><\/li>\n<\/ul>\n<hr \/>\n<p><strong>10:00-10:15 Refreshment Break <\/strong><\/p>\n<hr \/>\n<p><span style=\"color: #333399\"><strong>SESSION 2 (Parallel)<\/strong><\/span><br \/>\n<span style=\"color: #333399\"> <strong>10:15-12:15 Parallel Session 2A: Empirical Asset Pricing I: Factors<\/strong><\/span><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li>Chair: Tatyana Marchuk<\/li>\n<\/ul>\n<p><strong>S\u00f6hnke Bartram, Warwick University &#8211; <a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2540216\">Global Market Inefficiencies<\/a><\/strong> (with Mark Grinblatt, UCLA Anderson School of Management)<\/p>\n<p><strong>Alex R. Horenstein, University of Miami &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0053-Alex-R-Horenstein-1.pdf\">Betting Against Alpha<\/a><\/strong><\/p>\n<p><strong>Tatyana Marchuk, BI Norwegian Business School<\/strong>\u00a0 &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0069-Tatyana-Marchuk-3.pdf\">The Financial Intermediation Premium in the Cross Section of Stock Returns<\/a><\/strong><\/p>\n<p><strong>Mamdouh Medhat, Cass Business School &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/04\/FoFI-2018-0098-Mamdouh-Medhat-No2.pdf\">Dissecting Announcement Returns<\/a>\u00a0<\/strong>(with Maik Schmeling, Cass Business School)<\/p>\n<hr \/>\n<p><span style=\"color: #333399\"><strong>10:15-12:15 Parallel Session 2B: Factor Investing: Time-varying risk premia and factor timing<\/strong><\/span><\/p>\n<ul>\n<li>Room: Conference Suite 3<\/li>\n<li>Chair:\u00a0Carsten Rother<\/li>\n<\/ul>\n<p><strong>Hugues Langlois, HEC Paris &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0171-Hugues-Langlois-1.pdf\">Time-Varying Risk Premia in Large International Equity Markets<\/a><\/strong>\u00a0(with Olivier Scaillet, University of Geneva and Ines Chaieb, University of Geneva)<\/p>\n<p><strong>Paulo Maio, Hanken School of Economics &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFi-2018-0085-Pedro-Barroso.pdf\">Managing the risk of the \u201cbetting-against-beta\u201d anomaly: does it pay to bet against beta?<\/a><\/strong>\u00a0(with Pedro Barroso, University of New South Wales)<\/p>\n<p><strong> Andrea Tamoni, London School of Economics &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0073-Andrea-Tamoni.pdf\">Value Timing: Risk and Return Across Asset Classes<\/a><\/strong> (with Fahiz Baba Yara, Nova SBE and Martijn Boons, Nova SBE)<\/p>\n<p><strong>Carsten Rother, Invesco\/University of Hamburg &#8211;\u00a0 <span style=\"color: #000000\">Optimal Timing and Tilting of Equity Factors<\/span><\/strong> (with Hubert Dichtly, University of Hamburg, Wolfgang Drobetz, University of Hamburg, Harald Lohre, Invesco\/EMP and Patrick Vosskampk, Allianz Global Investors)<\/p>\n<hr \/>\n<p><span style=\"color: #333399\"><strong>10:15 &#8211; 12:15 Parallel Session 2C: Empirical Asset Pricing II: Institutional Investors <\/strong><\/span><\/p>\n<ul>\n<li>Room: Bailrigg<\/li>\n<li>Chair:\u00a0Caio Natividade<\/li>\n<\/ul>\n<p><strong>Matthijis Lof, Aalto University &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0056-Matthijis-Lof.pdf\">Slow Trading and Stock Return Predictability<\/a><\/strong> (with Allaudeen Hameed, National University of Singapore and Matti Suominen, Aalto University)<\/p>\n<p><strong>Kalle Rinne, Luxembourg Institute of Science and Technology &#8211;\u00a0<\/strong> <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0169-Kalle-Rinne.pdf\"><strong>Dash<\/strong> <strong>for Cash: Monthly Market Impact of Institutional Liquidity Needs<\/strong><\/a> (with Erkko Etula, Goldman Sachs, Matti Suominen, Aalto University and Lauri Vaittinen, Mandatum Life)<\/p>\n<p><strong> Matthijs Breugem, University of Turin &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0075-Matthijs-Breugem.pdf\">Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational E\ufb03ciency<\/a><\/strong>\u00a0(with Adrian Buss, INSEAD)<\/p>\n<p><strong>Caio Natividade, UCL &amp; Deutsche Bank<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0012-Caio-Natividade.pdf\">Protect, Diversify or Track Your Core<\/a><\/strong> (with Vivek Anand, Jacopo Capra, Spyros Mesomeris, Andy Moniz, James Osiol, Aris Tentes and Paul Ward, Deutsche Bank)<\/p>\n<hr \/>\n<p><strong>12:15-13:15\u00a0 &#8211; Lunch and Poster Session <\/strong><\/p>\n<ul>\n<li><strong>Venue: Conference Suite 1<\/strong><\/li>\n<\/ul>\n<hr \/>\n<p><strong>13:15-14:15 Keynote Speech &#8211;\u00a0<span style=\"color: #000000\">Chair: Sandra Nolte<\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li><strong>Michael Fraikin,<\/strong> Invesco Quantitative Strategies<\/li>\n<li>Title: <strong>Factor Investing. A practitioner\u2019s perspective<\/strong><\/li>\n<\/ul>\n<hr \/>\n<p><strong>14:15-14:30 Refreshment Break<\/strong><\/p>\n<hr \/>\n<p><strong><span style=\"color: #008080\">14:30-16:00 Parallel Session 4A: Econometric Methods I: Asset pricing models <\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li>Chair:\u00a0Nora Laurinaityte<\/li>\n<\/ul>\n<p><strong>Robert Korajczyk, Northwestern University &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/04\/FoFI-2018-0063-Robert-Korajczyk.pdf\">Large Sample Estimators of the Stochastic Discount Factor<\/a><\/strong>\u00a0(with Soohun Kim, Georgia Institute of Technology)<\/p>\n<p><strong>Georgios Skoulakis, University of British Columbia &#8211;\u00a0<\/strong> <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0126-Georgios-Skoulakis1.pdf\"><strong>Testing Ex-post Implications of Asset Pricing Models using Individual Stocks<\/strong><\/a> (with Soohun Kim, Georgia Institute of Technology)<\/p>\n<p><strong>Nora Laurinaityte, Goethe University &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0162-Nora-Laurinaityte.pdf\">Elephants and the Cross-Section of Expected Returns<\/a> <\/strong>(with Christoph Meinerding, Deutsche Bundesbank, Christian Schlag, Goethe University Frankfurt and Julian Thimme, Goethe University Frankfurt)<\/p>\n<hr \/>\n<p><strong><span style=\"color: #008080\">14:30-16:00 Parallel Session 4B: Empirical Asset Pricing III: Low risk anomalies <\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 3<\/li>\n<li>Chair:\u00a0Christian Wagner<\/li>\n<\/ul>\n<p><strong>Ivo Kuiper, Kempen Capital Management<\/strong>\u00a0 &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0003-Ivo-Kuiper.pdf\">Does interest rate exposure explain the low-volatility anomaly<\/a><\/strong> (with Joost Driessen, Tilburg University and Robbert Beilo, Tilburg University)<\/p>\n<p><strong>Onno Kleen, Heidelberg University<\/strong>\u00a0 &#8211;<strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0119-Onno-Kleen.pdf\"> Volatility Forecasting for Low-Volatility Investing<\/a><\/strong>\u00a0(with Christian Conrad, Heidelberg University and Fabian Kr\u00fcger, Heidelberg University)<\/p>\n<p><strong>Christian Wagner, Copenhagen Business School &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/04\/FoFI-2018-0166-Christian-Wagner.pdf\">Low Risk Anomalies?<\/a><\/strong>\u00a0(with Paul Schneider, University of Lugano and Josef Zechner, WU Vienna)<\/p>\n<hr \/>\n<div><strong><span style=\"color: #008080\">14:30-16:00\u00a0Parallel\u00a0Session\u00a04C:\u00a0Commodity Investing<\/span><\/strong><\/div>\n<div><\/div>\n<ul>\n<li>Room:\u00a0 Bailrigg<\/li>\n<li>Chair:\u00a0Ser-Huang\u00a0Poon<\/li>\n<\/ul>\n<div>\n<p><strong>Joelle Miffre, Audencia Business School &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFi-2018-0070-Joelle-Miffre.pdf\">Harvesting Commodity Styles: An Integrated Framework<\/a><\/strong>\u00a0(with\u00a0Adrian Fernandez-Perez, Auckland\u00a0University of Technology\u00a0and\u00a0Ana-Maria Fuertes, Cass Business School)<\/p>\n<p><strong>Regina Hammerschmid, University of Zurich<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0019-Regina-Hammerschmid.pdf\">Commodity Return Predictability<\/a><\/strong><\/p>\n<p><strong>Ser-Huang\u00a0Poon, University of Manchester &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0159-Ser-Huang-Poon.pdf\">Ultra Short Tenor Yield Curves For High-Frequency Trading and Blockchain Settlement<\/a><\/strong>\u00a0(with\u00a0Anton Golub,\u00a0Lykke Corp\u00a0and\u00a0Lidan Grossmass, University of D\u00fcsseldorf)<\/p>\n<\/div>\n<hr \/>\n<div>\n<div><strong>16:15-16:30\u00a0Refreshment\u00a0Break<\/strong><\/div>\n<\/div>\n<hr \/>\n<div><span style=\"color: #993366\"><strong>16:30-18:00\u00a0Parallel\u00a0Session\u00a05A:\u00a0Empirical Asset Pricing IV<\/strong><\/span><\/div>\n<ul>\n<li>Room:\u00a0Conference Suite 2<\/li>\n<li>Chair:\u00a0Ricardo\u00a0Barahona<\/li>\n<\/ul>\n<div>\n<p><strong>Lorenzo Sch\u00f6nleber, Frankfurt SFM<\/strong> &#8211;\u00a0<strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0034-Lorenzo-Schonleber-2.pdf\">Expected Stock Returns and the Correlation Risk Premium<\/a><\/strong>\u00a0(with\u00a0Grigory Vilkov, Frankfurt SFM\u00a0and\u00a0Adrian\u00a0Buss, INSEAD)<\/p>\n<\/div>\n<div>\n<p><strong>Walter Distaso, Imperial College<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0102-Walter-Distaso.pdf\">Jump\u00a0risk and pricing implications<\/a><\/strong>(with\u00a0Nancy Zambon, University of Padua\u00a0and\u00a0Massimiliano Caporin,\u00a0University of Padua)<\/p>\n<\/div>\n<div><strong>Ricardo\u00a0Barahona, Tilburg University<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0139-Ricardo-Barahona.pdf\">Can unpredictable risk exposure be priced?<\/a>\u00a0<\/strong>(with\u00a0Joost Driessen, Tilburg University\u00a0and\u00a0Rik Frehen, Tilburg\u00a0University)<\/div>\n<hr \/>\n<div><span style=\"color: #993366\"><strong>16:30\u00a0&#8211;\u00a018:00\u00a0Parallel\u00a0Session\u00a05B:\u00a0Econometric Methods II: Portfolio optimisation<\/strong><\/span><\/div>\n<ul>\n<li>Room:\u00a0Conference Suite 3<\/li>\n<li>Chair:\u00a0Ekaterina\u00a0Kazak<\/li>\n<\/ul>\n<p><strong>Mengmeng\u00a0Ao, Xiamen Uiversity<\/strong>\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0055-Mengmeng-Ao.pdf\">Solving the Markowitz Optimization Problem for Large Portfolios<\/a><\/strong> (with\u00a0Yingying Li, HKUST\u00a0and\u00a0Xinghua\u00a0Zheng, HKUST)<\/p>\n<p><strong>Chulwoo\u00a0Han, Durham University<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0031-Chulwoo-Han.pdf\">Turnover Minimization: A Versatile Shrinkage Portfolio Estimator<\/a><\/strong><\/p>\n<div><\/div>\n<div><strong>Ekaterina\u00a0Kazak, University of Konstanz <\/strong>&#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFi-2018-0112-Ekaterina-Kazak.pdf\">Portfolio Pretesting with Machine Learning<\/a>\u00a0<\/strong>(with\u00a0Winfried Pohlmeier, University of Konstanz)<\/div>\n<div><\/div>\n<hr \/>\n<div><span style=\"color: #993366\"><strong>16:30-18:00\u00a0Parallel\u00a0Session\u00a05C:\u00a0Empirical Asset Pricing V<\/strong><\/span><\/div>\n<ul>\n<li>Room:\u00a0Bailrigg<\/li>\n<li>Chair:\u00a0Alex\u00a0Weissensteiner<\/li>\n<\/ul>\n<div>\n<p><strong>Olga Kolokolova, University of Manchester<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0121-Olga-Kolokolova.pdf\">Is it Efficient to Buy the Index? A Worldwide Tour with Stochastic Dominance<\/a><\/strong> (with\u00a0Olivier Le Courtois,\u00a0Emlyon Business School\u00a0and\u00a0Xia Xu, Emlyon Business School)<\/p>\n<p><strong>Richard Payne, Cass Business School<\/strong> &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0141-Richard-Payne.pdf\"><strong>The Skewness of the Stock Market at Long Horizons<\/strong><\/a> (with\u00a0Anthony\u00a0Neuberger,\u00a0Cass Business School)<\/p>\n<\/div>\n<div><\/div>\n<div>\n<p><strong>Alex\u00a0Weissensteiner, Free University of Bozen-Bolzano<\/strong> &#8211;<strong> <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFi-2018-0059-Alex-Weissensteiner.pdf\">Long-term asset allocation under\u00a0time-varying investment opportunities: Optimal portfolios with\u00a0parameter and model uncertainty<\/a> <\/strong>(with\u00a0Thomas Dangl, TU Wien)<\/p>\n<\/div>\n<div><\/div>\n<div>\n<hr \/>\n<\/div>\n<div><strong>19:15\u00a0Drinks\u00a0Reception<\/strong><\/div>\n<hr \/>\n<div><strong>19:30\u00a0Conference Dinner<\/strong><\/div>\n<div><strong>Best Paper Award:\u00a0Invesco IQS Factor Investing Prize<\/strong><\/div>\n<div><\/div>\n<hr \/>\n<p><strong><span style=\"font-size: 14pt\">Day Two<\/span><\/strong><\/p>\n<hr \/>\n<p><strong>8:30-8:50 Registration\/Coffee<\/strong><\/p>\n<hr \/>\n<p><strong>9:00-10:00 Keynote Speech &#8211; Session 6 (Plenary) &#8211; Chair: Alberto Martin-Utrera<\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li><strong>Raman Uppal,<\/strong> EDHEC Business School<\/li>\n<li>Title: <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-Raman-Uppal.pdf\">A Portfolio Perspective on the Multitude of Firm Characteristics<\/a><\/strong><\/li>\n<\/ul>\n<hr \/>\n<p><strong><span style=\"color: #3366ff\">10:15-12:15 Parallel Session 7A: Empirical Asset Pricing VI: Fixed income investing <\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li>Chair:\u00a0Demir Bektic<\/li>\n<\/ul>\n<p><strong>Martin Martens, Robeco<\/strong> &#8211;\u00a0 <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0146-Martin-Martens-1.pdf\"><strong>Carry Investing on the Yield Curve<\/strong> <\/a><strong>\u00a0<\/strong>(with Paul Beekhuizen, Robeco, Johan Duyvesteyn, Robeco and Casper Zomerdijk, Robeco)<\/p>\n<p><strong>Stig Vinther M\u00f8ller, Aarhus University &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0177-Stig-Vinther-M\u00f8ller.pdf\">Global connectedness across bond markets<\/a>\u00a0<\/strong>(with Jesper Rangvid, Copenhagen Business School)<\/p>\n<p><strong>Mary Pieterse-Bloem, ABN AMRO Bank\/Erasmus School of Economics<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0093-Mary-Pieterse-Bloem.pdf\">Dynamic Portfolio Strategies in the European Corporate Bond Market<\/a>\u00a0<\/strong>(with Willem F C Verschoor, Vrije University, Zhaowen Qian, Erasmus School of Economics and Remco Zwinkels, University of Amsterdam)<\/p>\n<p><strong> Demir Bektic, Darmstadt University of Technology<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0041-Demir-Bektic.pdf\">\u00a0<\/a><\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0041-Demir-Bektic.pdf\">Extending Fama-French Factors to Corporate Bond Markets<\/a><\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0041-Demir-Bektic.pdf\">\u00a0<\/a><\/strong>(with Josef-Stefan Wenzler, Deka Investment, Michael Wegener, Deka Investment, Dirk Schiereck, Darmstadt University of Technology and Timo Spielmann, Deka Investment)<\/p>\n<hr \/>\n<p><span style=\"color: #3366ff\"><strong>10:15 -12:15 Parallel Session 7B: Option markets and asset prices <\/strong><\/span><\/p>\n<ul>\n<li>Room: Conference Suite 3<\/li>\n<li>Chair:\u00a0Ohad Kadan<\/li>\n<\/ul>\n<p><strong>Kevin Aretz, University of Manchester<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0065-Kevin-Aretz.pdf\">The Early Exercise Risk Premium<\/a> <\/strong>(with Ian Garrett, University of Manchester and Adnan Gazi, University of Manchester)<\/p>\n<p><strong>Konstantinos Gkionis, University of Manchester<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0020-Konstantinos-Gkionis.pdf\">Risk-Neutral Skewness and Stock Outperformance<\/a> <\/strong>(with Alexandros Kostakis, University of Manchester, George Skiadopoulos, Queen Mary University of London and Przemyslaw S Stilger, University of Manchester)<\/p>\n<p><strong>Rom\u00e9o T\u00e9dongap, ESSEC Business School<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0150-Rom\u00e9o-Tedongap.pdf\">Variance Premium, Downside Risk, and Expected Stock Returns<\/a>\u00a0<\/strong>(with Bruno Feunou, Bank of Canada, Ricardo Lopez Aliouchkin, Syracuse University and Lai Xu, Syracuse University)<\/p>\n<p><strong>Ohad Kadan, Washington University in St. Louis<\/strong> &#8211;<strong> <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0048-Ohad-Kadan.pdf\">A Forward-Looking Factor Model for Volatility: Estimation and Implications for Predicting Disasters<\/a><\/strong>\u00a0(with Bruno Feunou, Bank of Canada, Ricardo Lopez Aliouchkin, Syracuse University and Lai Xu, Syracuse University)<\/p>\n<hr \/>\n<p><span style=\"color: #3366ff\"><strong>10:15-12:15 Parallel Session 7C: Empirical Asset Pricing VII: Factor zoo and dividends <\/strong><\/span><\/p>\n<ul>\n<li>Room: Bailrigg<\/li>\n<li>Chair:\u00a0Jac Kragt<\/li>\n<\/ul>\n<p><strong>Alexandre Rubesam, IESEG School of Management<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0092-Alex-Rubesam.pdf\">Searching the Factor Zoo<\/a>\u00a0<\/strong>(with Soosung Hwang, Sungkyunkwan University)<\/p>\n<p><strong>Chuanping Sun, Queen Mary University of London<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/09\/FoFI-2018-0131-Chuanping-Sun.pdf\">Regularising the factor zoo using OWL\u00a0<\/a><\/strong><\/p>\n<p><strong>Tomas Fiala, University of Lugano<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0062-Tomas-Fiala.pdf\">Term and Stochasticity Risk Premia <\/a><\/strong>(with Paul Schneider, University of Lugano)<\/p>\n<p><strong>Jac Kragt, Tilburg University<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0060-Jac-Kragt-.pdf\">The Valuation of Future Dividends in Cross-Sectional Models of Stock Returns<\/a><\/strong><\/p>\n<hr \/>\n<p><strong>12:15-13:15 Lunch and Poster Session II <\/strong><\/p>\n<ul>\n<li><strong>Venue: Conference Suite 1<\/strong><\/li>\n<\/ul>\n<hr \/>\n<p><strong>13:15-14:15 Keynote Speech &#8211; Session 8 Plenary &#8211; Chair Anastasios Kagkadis<\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li><strong>Daniel Giamouridis,<\/strong> Bank of America Merrill Lynch<\/li>\n<li>Title: <strong>Returns, Risk, and Liquidity in a Bundled Investing World<\/strong><\/li>\n<\/ul>\n<hr \/>\n<p><strong>14:15-14:30 Refreshment Break<\/strong><\/p>\n<hr \/>\n<p><strong><span style=\"color: #800000\">14:30-16:00 Parallel Session 9A: Empirical Asset Pricing VIII: Disappearing anomalies <\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li>Chair:\u00a0Sebastian M\u00fcller<\/li>\n<\/ul>\n<p><strong>Filip Bekjarovski, Amundi\/Tilburg University\/Toulouse University<\/strong> &#8211; <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0029-Filip-Bekjarovski.pdf\">How do short selling costs and restrictions affect the profitability of stock anomalies<\/a><\/strong><\/p>\n<p><strong> Julien Penasse, University of Luxembourg<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0089-Julien-Penasse.pdf\">Understanding Alpha Decay<\/a><\/strong><\/p>\n<p><strong>Sebastian M\u00fcller, German Graduate School of Management and Law Heilbronn &#8211;<a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0174-Sebastian-M\u00fcller2.pdf\">Anomalies across the globe: Once public, no longer existent?<\/a><\/strong> (with Heiko Jacobs, University of Mannheim)<\/p>\n<hr \/>\n<p><strong><span style=\"color: #800000\">14:30-16:00 Parallel Session 9B: Risk Management <\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 3<\/li>\n<li>Chair:\u00a0Lars Kaiser<\/li>\n<\/ul>\n<p><strong>David Happersberger, Lancaster University<\/strong> &#8211;\u00a0<strong> <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0149-David-Happersberger.pdf\">Estimating Portfolio Risk for Tail Risk Protection Strategies<\/a><\/strong> (with Harald Lohre, Invesco\/EMP and Ingmar Nolte, Lancaster University)<\/p>\n<p><strong> Lars Kaiser, Universit\u00e4t Liechtenstein<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0140-Lars-Kaiser.pdf\">ESG Integration: Value, Growth and Momentum<\/a><\/strong><\/p>\n<p><strong>16:15-16:30 Refreshment Break<\/strong><\/p>\n<hr \/>\n<p><span style=\"color: #666699\"><strong>16:30-18:00 Parallel Session 10A: Fund Investing <\/strong><\/span><\/p>\n<ul>\n<li>Room: Conference Suite 2<\/li>\n<li>Chair:\u00a0Anmar Al Wakil<\/li>\n<\/ul>\n<p><strong>Christos Argyropoulos, Lancaster University<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0138-Christos-Argyropoulos.pdf\">Unveiling the Risk Profile of Fund of Funds<\/a><\/strong> (with Ekaterini Panopoulou, University of Kent and Spryridon Vrontos, University of Essex)<\/p>\n<p><strong>Roger Rueegg, University of Zurich<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0137-Markus-Leippold.pdf\">Fifty Shades of Active and Index Alpha<\/a> <\/strong>(with Markus Leippold, University of Zurich)<\/p>\n<p><strong>Anmar Al Wakil, University Paris-Dauphine<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0079-Anmar-Al-Wakil.pdf\">Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options<\/a><\/strong> (with Serge Darolles, University Paris-Dauphine)<\/p>\n<hr \/>\n<p><strong><span style=\"color: #666699\">16:30 -18:00 Parallel Session 10B: Empirical Asset Pricing IX: FX strategies <\/span><\/strong><\/p>\n<ul>\n<li>Room: Conference Suite 3<\/li>\n<li>Chair:\u00a0Nelson Camanho<\/li>\n<\/ul>\n<p><strong>Giovanni Calice, Loughborough University<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0071-Giovanni-Calice.pdf\">The Term Structure of Sovereign CDS and the Cross-Section Exchange Rate Predictability <\/a><\/strong>(with Ming Zeng, Singapore Management University)<\/p>\n<p><strong>Huichou Huang, City University of Hong Kong<\/strong> &#8211; <strong>Global Positioning Risk and FX Trading Strategies\u00a0<\/strong>(with Lukas Menkhoff, Humboldt University of Berlin and DIW)<\/p>\n<p><strong>Nelson Camanho, UCP &#8211; Cat\u00f3lica Lisbon School of Business and Economics<\/strong> &#8211;\u00a0 <strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0148-Nelson-Camanho.pdf\">Global Portfolio Rebalancing and Exchange Rates<\/a><\/strong> (with Harald Hau, University of Geneva and Helene Rey, London Business School)<\/p>\n<hr \/>\n<p><strong>End of Conference<\/strong><\/p>\n<hr \/>\n<p><span style=\"font-size: 14pt\"><strong>Poster Session 1 &#8211; Monday 23rd April 2018 in\u00a0Conference Suite 1<\/strong><\/span><\/p>\n<div>\n<p><strong>Filip Bekjarovski, Amundi\/Tilburg University\/University of Toulouse &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0004-Filip-Bekjarovski-Poster.pdf\">Personal asset pricing and the premium investment framework<\/a><\/strong><\/p>\n<\/div>\n<p><strong>Daniel Borup, Aarhus University &#8211;\u00a0<\/strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0108-Daniel-Borup.pdf\"><strong>Volatility persistence in the Realized Exponential GARCH model<\/strong><\/a> (with Johan S Jakobsen, Aarhus University)<\/p>\n<div>\n<p><strong>Hannes Du Plessis, University of Cape Town &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0145-Hannes-Du-Plessis.pdf\">Risk-Based Portfolio Sensitivity to Estimation Error<\/a><\/strong> (with Paul van Rensburg, University of Cape Town)<\/p>\n<p><strong>Caio Natividade, Deutsche Bank &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0013-Caio-Natividade.pdf\">Volatility Risk Premium: New Dimensions<\/a><\/strong> (with Silvia Stanescu, Vivek Anand, Paul Ward, Simon Carter, Pam Finelli and Spyros Mesomeris, Deutsche Bank)<\/p>\n<p><strong>Anne Opschoor,Vrije University &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0099-Anne-Opschoor.pdf\">On the Factor Structure in Observation-driven Closed-form Copula Models<\/a><\/strong> (with Istvan Barra, King London)<\/p>\n<p><strong>Georgios Skoulakis, University of British Columbia &#8211;\u00a0<\/strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0127-Georgios-Skoulakis2.pdf\"><strong>Oil and Equity Index Return Predictability: The Importance of Dissecting Oil Price Changes<\/strong><\/a> (with Haibo Jiang,Tulane Universityand Jinming Xue, University of Maryland)<\/p>\n<p><strong>Vinay Utham, Durham University &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2017-0010-Vinay-Utham.pdf\">Investors\u2019 Activism and the Gains from Takeover Deals<\/a> <\/strong>(with Jie Guo, Durham University, Krishna Paudyal, Strathclyde Business School and Xiaofei Xing, University of Birmingham)<\/p>\n<p><strong>Lukas Zimmermann, University of Mannheim &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0156-Lukas-Zimmermann2.pdf\">Do Contented Customers Make Shareholders Wealthy? Implications of Intangibles for Security Pricing<\/a> <\/strong>(with Erik Theissen, University of Mannheim)<\/p>\n<hr \/>\n<p><span style=\"font-size: 14pt\"><strong>Poster Session 2 &#8211; Tueday, 24th April 2018 in Conference Suite 1<\/strong><\/span><\/p>\n<p><strong>Jie Cao, Nottingham University &#8211; A neural network enhanced volatility component model<\/strong><strong>\u00a0<\/strong>(with Jia Zhai, University of Surrey and Xiaoquan Liu, University of Salford)<\/p>\n<p><strong>Sebastian Fischer, University of St. Gallen &#8211;\u00a0<\/strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0064-Sebastian-Fischer.pdf\"><strong>Do mutual fund managers have risk factor timing skills?<\/strong><\/a> (with Manuel Ammann, University of St. Gallen and Florian Weigert, University of St. Gallen)<\/p>\n<p><strong>Sebastian M\u00fcller, German Graduate School of Management and Law Heilbronn &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0173-Sebastian-M\u00fcller1.pdf\">&#8216;&#8230;and nothing else matters? On the dimensionality and predictability of international stock returns<\/a><\/strong> (with Heiko Jacobs, University of Mannheim)<\/p>\n<p><strong>Bacem Rezgui, EDHEC Risk Institute &#8211;\u00a0<\/strong><strong>Low Volatility Factor &#8211; Analysis of the Anomaly In Different Interest Rate Environment<\/strong> (with Lionel Martellini, EDHEC-Risk Institute)<\/p>\n<p><strong>Lorenzo Sch\u00f6nleber,\u00a0Frankfurt School of Finance and Management &#8211; <a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/04\/FoFI-2017-0033-Lorenzo-Schonleber-1.pdf\">Option-Implied Correlations, Factor Models, and Market Risk<\/a><\/strong>\u00a0(with\u00a0Grigory Vilkov, Adrian Buss, Frankfurt School of Finance and Management)<\/p>\n<p><strong>Lili Yan, University of Essex &#8211;\u00a0<\/strong><strong>The Forecast Performance of the Range-based Multivariate Volatility Models?<\/strong> (with Neil Kellard, University of Essex and Lyudmyla Hvozdyk, University of Essex)<\/p>\n<p><strong>Shuwen Yang, University of Manchester &#8211;\u00a0<\/strong><strong><a href=\"http:\/\/wp.lancs.ac.uk\/fofi2018\/files\/2018\/03\/FoFI-2018-0110-Shuwen-Yang.pdf\">Consumption Betas and the Cross-Section of Option Returns<\/a><\/strong> (with Kevin Aretz, University of Manchesterand Hening Liu, University of Manchester)<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Programme Schedule &#8211; Download PDF Conference Programme Presentations: 25 minutes followed by 5 minutes general discussion. Session chairs and presenters should meet 10 minutes before the start of the session to set up their talks. Please note, all conference delegates &hellip; <a href=\"https:\/\/wp.lancs.ac.uk\/fofi2018\/\">Continue reading <span class=\"meta-nav\">&rarr;<\/span><\/a><\/p>\n","protected":false},"author":607,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-130","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/pages\/130","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/users\/607"}],"replies":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/comments?post=130"}],"version-history":[{"count":88,"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/pages\/130\/revisions"}],"predecessor-version":[{"id":350,"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/pages\/130\/revisions\/350"}],"wp:attachment":[{"href":"https:\/\/wp.lancs.ac.uk\/fofi2018\/wp-json\/wp\/v2\/media?parent=130"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}