Welcome and Opening Remarks

Professor Stephen Decent, Vice-Chancellor, Lancaster University

Session 1 – Keynote (Plenary)

Matthias Hanauer, Robeco
“Fama-French Factors are Dead, Long Live Quant”

Session 2A – Factor Models 1

• Brandon McBride, University of Cambridge
  Value and Momentum Leftovers (with Lucio Sarno and Bo Yuan, University of Cambridge and Gabriele Zinna, Bank of Italy)
• Malek Alkshaik, University of St Andrews
  An Auto-Residual Factor Model
• Bruno Moreira, Lancaster University
  The Frequency-Domain Structure of Asset-Pricing Factors (with Ingmar Nolte and Sandra Nolte, Lancaster University)
• Qihui Chen, The Chinese University of Hong Kong
  Economically Guided Sparse Factors (with Lin William Cong, Cornell University and Chunyu Qi, The Chinese University of Hong Kong)

Session 2B – ETFs and Indexing

• Anthony Limburg, University of Oxford
  FIndex Disruption: The Promise and Pitfalls of Self-Indexed ETFs (with Sida Li, Brandeis International Business School and Bige Kahraman, University of Oxford)
• Ziwei Zhao, HEC Lausanne and Swiss Finance Institute
  The Impact of Active Managers on the Pricing of Underlying Assets in ETFs (with Charles Trzcinka, Indiana University)
• Ying Liu, The World Federation of Exchanges
  Advising the Advisors: Evidence from ETFs (with Jonathan Brogaard, University of Utah and Nataliya Gerasimova, BI Norwegian Business School)
• Marcel Mueller, Karlsruhe Institute of Technology
  Same Same But Different: The Risk Profile of Corporate Bond ETFs (with Johannes Dinger, Marliese Uhrig-Homburg, Karlsruhe Institute of Technology and Aleksandra Rzeźnik, York University)

Session 2C – Options and Volatility

• Aleksey Kolokolov, New Economic School
  Latent Jumps (with Torben G. Andersen, Viktor Todorov, Northwestern University and Bo Zhou, Virginia Tech)
• Luuk de Wit, Erasmus University Rotterdam
  Clustering-Based Estimation of Score-Driven Models for Extremes (with Onno Kleen, Erasmus University Rotterdam)
• Rodrigo Hizmeri, University of Liverpool
  F0DTE Asset Pricing (with Caio Almeida, Princeton University and Gustavo Freire, Erasmus University Rotterdam)
• Emanuele Luzzi, USI Lugano and Swiss Finance Institute
  Learning the Stochastic Discount Factor via Nonparametric Option Portfolios (with Paul Schneider, USI Lugano and Swiss Finance Institute and Rohan Sen, USI Lugano)

Session 3 – Keynote (Plenary)

Álvaro Cartea, University of Oxford
“AI Bubbles with Large Language Models”

Session 4A – CAPM

• Constantin Stici, University of Neuchâtel
  The Golden CAPM (with Michael Hasler, University of Neuchâtel)
• Ran Tao, University of Bristol
  Market-level Tug of War and Asset Pricing (with Lei Zhao, ESCP Business School and Chardin Wese Simen, University of Liverpool)
• Yuekun Liu, University of Manchester
  Assessing Market Beta Estimates (with Petri Jylhä and Matthijs Lof, Aalto University)

Session 4B – Volatility Investing

• Gianluca De Nard, University of Zurich
  Low Risk, High Variability: Practical Guide for Portfolio Construction (with Antonello Cirulli, University of Zurich and Patrick Walker and Joshua Traut, University of St. Gallen)
• Hsianghung Tien, University of Iowa
  Fundamental Volatility (with Tong Yao, University of Iowa and Xiaoyan Zhang, Tsinghua University
• Junxiong Gao, Shanghai Advanced Institute of Finance (SAIF)
  Idiosyncratic Risk Premium (with Jun Liu, University of California)

Session 4C – High Frequency: Betas and Forecasting

• Shifan Yu, University of Oxford
  Realized Regularized Regressions (with Aleksey Kolokolov, New Economic School)
• Andreas Christopoulos, University of Cambridge and Yeshiva University
  (Every) 15 Seconds to alpha: Long/short Optimization with EVT (with Joshua Barratt, Barratt Consulting)
• Heqing Shi, University of Edinburgh
  Bridging Structured Knowledge and Data: A Unified Framework with Finance Applications (with Yi Cao, Xi’an Jiaotong-Liverpool University, Zexun Chen, University of Edinburgh & Lin William Cong, Nanyang Technological University)

Session 4D – ESG 1

• Celine Fei, University of Mannheim
  Doing Good, Investing Less? Substitutability between Digital Climate Effort and Green Investment (with Michele Bisceglia, Yale University and Sanxi Li, Renmin University of China)
• Serge Darolles, Université Paris Dauphine
  Doing well to doing good? Shifts in ESG Investing (with John Coadou and Gaëlle Le Fol, Université Paris Dauphine and Gulten Mero, CYU Cergy Paris Université)
• Pengxu Fu, Lancaster University
  ESG Rating Disagreement and Option Market Returns (with Vikas Raman and George Wang, Lancaster University

Drinks Reception and Canapes

Time

Details

Room

Session 5 – Keynote (Plenary)

Semyon Malamud, Swiss Federal Institute of Technology
“The Promise and Limits of Machine Learning in Factor Investing”

Session 5A – Factor Models 2

• Mazi Kazemi, Arizona State University
  Model-Free Factor Risk Premia
• Anastasija Tetereva, Erasmus University Rotterdam
  Multivariate Factors: Accounting for the Joint Dependence among Characteristics (with Gustavo Freire and and Rasmus Lönn, Erasmus University Rotterdam)
• Lukas Koerber, Goethe University Frankfurt
  Nonlinearities and Pricing Complexity in the Cross-Section of Stock Returns (with Fabio Girardi, WU Vienna and Christian Schlag, Goethe University Frankfurt)

Session 5B – Climate Finance

• Niels Grønborg, Aarhus University
  Carbon Tilts and Factor Returns (with Jonas Nygaard Eriksen and Magnus Bjørn Frische, Aarhus University)
• Lewei He, Lancaster University, Robeco
  The Price of Emissions: Carbon Risk in the European Equity Market (with Harald Lohre, Lancaster University, Robeco, Ingmar Nolte and Chelsea Yao, Lancaster University)
• Seyed Mojtaba Mousavi, Queen Mary University of London
  Climate Risk and Corporate Bond Returns: Decomposing Firm-Level Risk Using 10-K Filings

Session 5C – Forecasting Risk

• Wen Su, University of Oxford
  Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information (with Shuyi Ge, Nankai University, Shaoran Li, Peking University, Oliver Linton, University of Cambridge and Weiguang Liu, University College London)
• Marco Cinquetti, Lancaster University
  Volatility Forecasting Factors (with Seok Young Hong, NTU Singapore, Ingmar Nolte and Sandra Nolte, Lancaster University)
• Christopher Frey, Lancaster University
  Optimal Multi-Target Shrinkage for Covariance Matrices (with David Happersberger, Invesco)

Lunch Break and Poster Session II

Session 6 – Keynote (Plenary)

Andrew J. Patton, Duke University
“Skill and Efficiency in the U.S. Mutual Fund Industry”
(with Dong Hwan Oh, Federal Reserve System)

Session 7A – Non-Standard Errors

• Minghui Chen, Technical University of Munich
  Design Choices, Machine Learning, and the Cross-section of Stock Returns (with Matthias Hanauer, Technical University of Munich, Robeco and Tobias Kalsbach, Technical University of Munich, PwC Strategy)                                   
• Mikheil Esakia, Scientific Beta
  What Drives the Performance of Machine Learning Factor Strategies? (with Felix Goltz, Scientific Beta)
• Stefan Voigt, University of Copenhagen
  Uncertainty Everywhere: Integrating Conceptual Uncertainty in the Stochastic Discount Factor (with Patrick Weiss, Reykjavik University, Gregor Kastner and Luis Gruber, University of Klagenfurt)  

Session 7B – Mutual Funds

• Raman Uppal, EDHEC and CEPR
  Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha (with Alberto Martin-Utrera, Iowa State University and Victor DeMiguel, London Business School)
• Ao Wang, University of Warwick
  Risk and Return in Asset Demand Systems (with Ozan E. Akbas, University of Warwick)
• Simon Rottke, University of Amsterdam
  Inefficiencies in the Securities Lending Market (with Kent Daniel, Columbia and NBER and Alexander Klos, University of Kiel)

Session 7C – Momentum

• Björn Uhl, University of Hamburg
  Nonlinear Time Series Momentum (with Tobias J. Moskowitz, Yale University and NBER, Riccardo Sabbatucci, Stockholm School of Economics and Andrea Tamoni, University of Notre Dame)
• Albert Wietheger, University of Bremen
  (Dis)Imag(in)ing Price Trends: Simpler Models Do Better (with Nusret Cakici, Fordham University, Christian Fieberg, City University of Applied Sciences and Thorsten Poddig, University of Bremen)
• Andre B.M. Souza, ESADE Business School
  How to Bet on Winners (and Losers) (with Christian Brownlees, LUISS University)

Session 7D – Currencies

• Sohnke Bartram, University of Warwick and CEPR
  Monetary Policy Predicts Currency Movements (with Mark Grinblatt, UCLA Anderson and NBER and Yan Xu, HKU Business School)    
• Zheng Zhang, Bayes Business School
  Climate Transition Risk in Currency Markets (with Ana-Maria Fuertes and Kate Phylaktis, Bayes Business School) 
• Mads Markvart Kjær, Aarhus University
  The Hedging Ability of the US Dollar and Currency Risk Premia

Session 8A – Machine Learning in Asset Pricing 1

• Eghbal Rahimikia, University of Manchester
  Re(Visiting) Time Series Foundation Models in Finance (with Hao Ni, University College London and Weiguan Wang, Shanghai University)
• Gerrit Liedtke, University of Bremen
  Recurrent Neural Networks Meet Asset Pricing    
• Yao Li, University of Lausanne
  Recurrent Neural Networks Meet Asset Pricing  (with Michael Rockinger, University of Lausanne)

16:00-17:30

Session 8B – Factor Timing

• Emmanouil Platanakis, University of Bath
  Data-mined Anomalies and the Expected Market Return (with Peng Li, University of Bath, Xiaoxia Ye, University of Nottingham and Guofu Zhou, Washington University in St. Louis)  
• Jianxin Ma, The University of Warwick
  Breaks and Trends in Factor Premia (with Liyuan Cui and Guanhao Feng, City University of Hong Kong and Yinan Su, Johns Hopkins University)
• Jonas Frey, University of Gothenburg
  Timing Anomalies Through Investor Bias

Session 8C – Macro and International

• Tobias Neumaier, University of Bremen
  The Historical Average is Still Hard to Beat (with Nusret Cakici, Fordham University, Christian Fieberg, HSB Hochschule Bremen, Thorsten Poddig, University Bremen and Adam Zaremba, University of Manchester)
• Soohun Kim, KAIST
  International Investing: Diversification and Beyond (with Andreas Neuhierl, Purdue University and Robert Korajczyk, Northwestern University)        
• Ali Moin, Erasmus University Rotterdam
  Global News Network and Return Predictability (with Gustavo Freire, Alberto Quaini and Amar Soebhag, Erasmus University Rotterdam)

Session 8D – Asset Pricing Under Frictions

• Jiexiu Zhu, University of Oxford
  Bottom-Up Capacity Constraints and the Limits of Anomaly Profitability (with Álvaro Cartea, University of Oxford, Mihai Cucuringu, University of California, Los Angeles and Qi Jin, University of Oxford)       
• Hao Ma, Queen Mary University of London
  Transaction Costs and the Stochastic Discount Factors (with Daniele Bianchi, Queen Mary University of London)
• Dale Rosenthal, Parametric/Morgan Stanley
  Liquid Factor Models

Coaches will depart promptly from outside the Management School for Ashton Hall, Lancaster

Drinks Reception and Conference Dinner – Ashton Hall, Lancaster

Time

Details

Room

Session 9 – Keynote (Plenary)

Svetlana Bryzgalova, London Business School
“Macro Strikes Back: Term Structure of Risk Premia” (with Jiantao Huang, The University of Hong Kong and Christian Julliard. London School of Economics and Political Science – Centre for Economic Policy Research (CEPR))

Session 10A – Options and Variance Risk Premium

• Albert Menkveld, Vrije Universiteit Amsterdam
  Equilibrium VIX in Inelastic Markets
• Mattia Bevilacqua, University of Liverpool
  Early Birds Get the Vol: Morning Volatility Uncertainty and Variance Risk Premium (with Rodrigo Hizmeri, University of Liverpool)
• Katerina Tsakou, Swansea University
  Global Implied Volatility and Variance Risk Premium (with Abdulkarim Alhejaili, Swansea University and Stefano Soccorsi, Lancaster University         

Session 10B Machine Learning in Asset Pricing 2

• Rory Mullen, University of Warwick
  Beyond Patent Ownership: Learning About Technological Usefulness (with Jesus Gorrin, University of Warwick)      
• Sebastian Weibels, University of Cologne
  Hard to Process: Atypical Firms and the Cross-Section of Expected Stock Returns
• Shuting Li, Georgia State University
  The Value of Stock Analysis in News (with Zhen Shi, Yusen Xia and Baozhong Yang, Georgia State University)         

Session 10C – Macro

• Alberto Plazzi, USI and SFI
  Fiscal Imbalances and Asset Returns: Cross-Sector Fluctuations under the Aggregate Budget Constraint (with Junxiong Gao, Shanghai Jiao Tong University, Rossen Valkanov, University of California San Diego & Yan Xu, Hong Kong University)
• Eric Offner, Frankfurt School of Finance and Management
  Equity Duration and Monetary Policy                     

Session 10D – High-Dimensional Portfolio Construction

• Martijn Boons, Nova School of Business and Economics
  The Multifactor Risk-return Tradeoff (with Rik Frehen, Tilburg University, Fahiz Baba-Yara, Indiana University)
• Rasmus Lönn, Erasmus School of Economics
  Large Scale Mean–Variance Investing Via Nuclear Hedging (with Alberto Quaini, Erasmus School of Economics and Ming Yuan, Columbia University)
• Mo Pourmohammadi, Yale University
  Shrinkage Alignment in High-Dimensional Portfolios (with Shikun (Barry) Ke, Yale University) 

Lunch Break and Poster Session III

Session 11A – Analysts and Insiders

• Gabriel Cabrera, Alliance Manchester Business School
  Save The Date: Analyst/Investor Days as a Trading Signal (with Olga Kolokolova, Lancaster University and Sarah Zhang, Alliance Manchester Business School)
• Shen Zhao, University of Macau
  Hide in the Herd: Uncertainty and Informational Inefficiency (with Wen Chen, Texas Tech University and Guofu Zhou, Washington University in St. Louis)
• Ruiqing Hu, The University of Hong Kong
  Cross-Insider Trading (with Pulak Ghosh, India Institute of Management, Shiyang Huang and Ruiqing Hu, The University of Hong Kong)

Session 11B – Factor Models 3

• Alberto Quaini, Erasmus University Rotterdam
  Reducing Estimation Risk through Sparse Portfolio Selection (with Jiaqin Chen and Geng Deng, Wells Fargo and Ming Yuan, Columbia University)
• Kevin Schneider, University of Oxford
  SDF-Based Portfolio Choice (with Jaffe Greenwald, University of Cambridge, Richard Priestley, BI Norwegian Business School)
• Bastien Baude, CentraleSupélec, Paris-Saclay University
  Optimal Execution on Uniswap v2/v3 Under Transient Price Impact

Session 11C – Credit and Equities

• Alexey Ivashchenko, Vrije Universiteit Amsterdam
  Integrating Credit and Equity Markets: A Novel Benefit of Convertible Bonds (with Rex Wang, Renjie VU Amsterdam)
• Thomas Gruenthaler, Tilburg University
  A Credit-Risk Explanation for Momentum (with Zhaneta Tancheva, BI Norwegian Business School, Alberto Manconi, Bocconi University and Frans de Roon, Tilburg University)
• Rasmus Lönn, Erasmus University Rotterdam
  The Effects of Climate Change and Climate Policy on Credit Risk (with Matthijs Leegstra and Erik Kole, Erasmus University Rotterdam) 

Session 11D – ESG 2

• Yanxiu Piao, Maastricht University
  How Employee Voice Informs Firm Valuation: Evidence from Glassdoor (with Dennis Bams and Peiran Jiao, Maastricht University
• Da Chen, Lancaster University
  Beyond Greenwashing: ESG Disclosure Substance, Investor Flows, and Fund Behavior (with Tao Shu, Chinese University of Hong Kong and ABFER and Chelsea Yao, Lancaster University)