New Developments in Long-Term Asset Management Conference

Monika Piazzesi and Luis M. Viceira, Organizers

May 3-4, 2018

Gotham III Room

Intercontinental Times Square, 300 West 44th Street, New York , New York

Conference Code of Conduct

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
Stephen G. Dimmock, Nanyang Technological University
Neng Wang, Columbia University and NBER
Jinqiang Yang, Shanghai University of Finance and Economics

The Endowment Model and Modern Portfolio Theory
Discussant: Thomas J. Gilbert, University of Washington
2:00 pm
Shmuel Baruch, University of Rome Tor Vergata
Xiaodi (Eddie) Zhang, University of Central Florida

Is Index Trading Benign?
Discussant: Laura Veldkamp, Columbia University and NBER
3:00 pm
3:15 pm
Arpit Gupta, New York University
Kunal Sachdeva, Rice University

Skin or Skim? Inside Investment and Hedge Fund Performance (slides)
Discussant: Jules H. van Binsbergen, University of Pennsylvania and NBER
4:15 pm
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
6:30 pm
Reception and Dinner, Private Dining Room
Speaker: Lawrence Summers, Harvard University and NBER
Friday, May 4
8:00 am
8:30 am
Bryan T. Kelly, Yale University and NBER
Seth Pruitt, Arizona State University
Yinan Su, Johns Hopkins University

Characteristics Are Covariances: A Unified Model of Risk and Return
Discussant: Jonathan Lewellen, Dartmouth College and NBER
9:30 am
9:45 am
Valentin Haddad, University of California, Los Angeles and NBER
Tyler Muir, University of California, Los Angeles and NBER

Do Intermediaries Matter for Aggregate Asset Prices? (slides)
Discussant: Motohiro Yogo, Princeton University and NBER
10:45 am
11:00 am
Marcin Kacperczyk, Imperial College London
Savitar Sundaresan, Imperial College London
Tianyu Wang, Tsinghua University

Do Foreign Investors Improve Market Efficiency? (slides)
Discussant: Thomas Philippon, New York University and NBER
12:00 pm
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
1:30 pm
Lars Lochstoer, University of California, Los Angeles and NBER
Paul Tetlock, Columbia University

What Drives Anomaly Returns?
Discussant: Christopher Polk, London School of Economics
2:30 pm
Kewei Hou, The Ohio State University
Chen Xue, University of Cincinnati
Lu Zhang, The Ohio State University and NBER

Replicating Anomalies (slides)
Discussant: Robert F. Stambaugh, University of Pennsylvania and NBER
3:30 pm