Friday, July 16
10:55 am
Welcome
11:00 am

The Cross-Section of Household Preferences (slides)

Laurent E. Calvet, EDHEC Business School
John Y. Campbell, Harvard University and NBER
Francisco Gomes, London Business School
Paolo Sodini, Stockholm School of Economics

Discussant:
Johannes Stroebel, New York University and NBER
11:45 am

Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle

Victor Duarte, University of Illinois at Urbana-Champaign
Julia Fonseca, University of Illinois Urbana-Champaign
Aaron S. Goodman, Vanguard
Jonathan A. Parker, Massachusetts Institute of Technology and NBER

Discussant:
Alexander Michaelides, Imperial College London
12:30 pm
Break
1:00 pm

Do We Need Traditional Dealers in OTC Markets?

Terrence Hendershott, University of California at Berkeley
Dmitry Livdan, University of California, Berkeley
Norman Schurhoff, University of Lausanne

Discussant:
Bruno Biais, HEC Paris
1:45 pm

Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates

Matteo Aquilina, Bank for International Settlements
Eric Budish, University of Chicago and NBER
Peter O'Neill, Financial Conduct Authority

Discussant:
Albert Menkveld, VU University Amsterdam
2:30 pm
Break
3:00 pm

Cybersecurity Risk

Chris Florakis, University of Liverpool
Christodoulos Louca, Cyprus University of Technology
Roni Michaely, University of Hong Kong
Michael Weber, University of Chicago and NBER

Discussant:
Scott R. Baker, Northwestern University and NBER
3:45 pm

Real-time Price Discovery via Verbal Communication: Method and Application to Fedspeak

Marco Grotteria, London Business School
Roberto Gomez Cram, New York University

Discussant:
Jesse M. Shapiro, Harvard University and NBER
4:30 pm
Adjourn
Saturday, July 17
11:00 am

When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models

Danqi Hu, Peking University
Charles M. Jones, Columbia University
Xiaoyan Zhang, Tsinghua University

Discussant:
Karl Diether, Brigham Young University
11:45 am

Informed Trading Intensity

Vincent Bogousslavsky, Boston College
Vyacheslav Fos, Boston College and NBER
Dmitriy Muravyev, University of Illinois Urbana-Champaign

Discussant:
Tarun Chordia, Emory University
12:30 pm
Break
1:00 pm

Inverse Selection

Markus K. Brunnermeier, Princeton University and NBER
Rohit Lamba, Pennsylvania State University
Carlos Segura-Rodriguez, Banco Central de Costa Rica

Discussant:
Hanming Fang, University of Pennsylvania and NBER
1:45 pm

Do Common Factors Really Explain the Cross-Section of Stock Returns? (slides)

Alejandro Lopez-Lira, University of Florida
Nikolai Roussanov, University of Pennsylvania and NBER

Discussant:
Stefano Giglio, Yale University and NBER
2:30 pm
Break
Four Research Proposals
3:00 pm

Forecasting Realized Covariance via Big Data and Machine Learning

Sophia Zhengzi Li, Rutgers University
Yushan Tang, Rutgers University
3:25 pm

Speculation and Liquidity in Stock and Bond Markets

Paolo Pasquariello, University of Michigan
Mirela Sandulescu, University of North Carolina, Chapel Hill
3:50 pm

Using Big Data to Understand Cryptocurrency Derivatives Markets and Regulation

Nicolas Christin, Carnegie Mellon University
Bryan Routledge, Carnegie Mellon University
Kyle Soska, Carnegie Mellon University
Ariel Zetlin-Jones, Carnegie Mellon University
4:15 pm

Analyzing Clickstream Data: The Information Set of Online Investors (slides)

Toomas Laarits, New York University
Jeffrey Wurgler, New York University and NBER
4:40 pm
Adjourn