New Developments in Long-Term Asset Management Conference
Organized by Monika Piazzesi and Luis M. Viceira
Supported by Norges Bank Investment Management
May 3-4, 2018
Intercontinental Times Square, 300 West 44th Street, New York , New York
Thursday, May 3
12:00 pm
Lunch, Central Park Room
12:55 pm
Welcome and Introductory Remarks
Authors and discussants each have 20 minutes followed by 20 minutes of general discussion
1:00 pm

The Endowment Model and Modern Portfolio Theory

Stephen G. Dimmock, Nanyang Technological University
Neng Wang, Cheung Kong Graduate School of Business
Jinqiang Yang, Shanghai University of Finance and Economics

Discussant:
Thomas J. Gilbert, University of Washington
2:00 pm

Is Index Trading Benign?

Shmuel Baruch, University of Oklahoma
Xiaodi (Eddie) Zhang, University of Central Florida

Discussant:
Laura Veldkamp, Columbia University and NBER
3:00 pm
Break
3:15 pm

Skin or Skim? Inside Investment and Hedge Fund Performance (slides)

Arpit Gupta, New York University
Kunal Sachdeva, University of Michigan

Discussant:
Jules H. van Binsbergen, University of Pennsylvania and NBER
4:15 pm
Break
4:30 pm
Panel on Key Challenges for Long-Term Investors
Ole Christian Bech-Moen, The Norwegian Finance Initiative
Edwin Cass, Canada Pension Plan Investment Board
Elizabeth Hewitt, Sloan Foundation
5:30 pm
Adjourn
6:30 pm
Reception and Dinner, Private Dining Room
Speaker: Lawrence Summers, Harvard University and NBER
Friday, May 4
8:00 am
Breakfast
8:30 am

Characteristics Are Covariances: A Unified Model of Risk and Return

Bryan T. Kelly, Yale University and NBER
Seth Pruitt, Arizona State University
Yinan Su, Johns Hopkins University

Discussant:
Jonathan Lewellen, Dartmouth College and NBER
9:30 am
Break
9:45 am

Do Intermediaries Matter for Aggregate Asset Prices? (slides)

Valentin Haddad, University of California, Los Angeles and NBER
Tyler Muir, University of California, Los Angeles and NBER

Discussant:
Motohiro Yogo, Princeton University and NBER
10:45 am
Break
11:00 am

Do Foreign Investors Improve Market Efficiency? (slides)

Marcin Kacperczyk, Imperial College London
Savitar Sundaresan, Imperial College London
Tianyu Wang, Tsinghua University

Discussant:
Thomas Philippon, New York University and NBER
12:00 pm
Lunch
12:20 pm
Panel Discussion on Current Developments in Asset Markets
Kent D. Daniel, Columbia University and NBER
Michael J. Fleming, Federal Reserve Bank of New York
Antti Ilmanen, AQR
1:15 pm
Break
1:30 pm

What Drives Anomaly Returns?

Lars Lochstoer, University of California, Los Angeles and NBER
Paul Tetlock, Columbia University

Discussant:
Christopher Polk, London School of Economics and Political Science (LSE)
2:30 pm

Replicating Anomalies (slides)

Kewei Hou, The Ohio State University
Chen Xue, University of Cincinnati
Lu Zhang, The Ohio State University and NBER

Discussant:
Robert F. Stambaugh, University of Pennsylvania and NBER
3:30 pm
Adjourn