Foundation for Advancement of Research in Financial Economics
The Fifth Conference and Fourth Ross Prize Award
MIT's Endicott House, 80 Haven Street, Dedham, MA
02026
October 16, 2015
6:00-7:30 Reception and Appetizers (Gun Room)
7:30 Dinner (Living Room)
October 17, 2015
7:30 - 8:30: Breakfast
7:30: Full Breakfast
Buffet in Dining Room for those staying at Endicott
8:00: Continental
Breakfast in BC Lobby for other conference participants
8:30 - 9:45: Session 1
Chair: John Campbell, Harvard University, Ross Prize Lecture
Affine Modeling in Finance Through the 20th Century!
Darrell Duffie, Stanford University
The making of DPS, a personal account
Jun Pan, MIT
Reflections on the Empirical and Economic Relevance of Affine Models
Kenneth Singleton, Stanford University
9:45 - 10:05: Coffee Break
10:05 - 11:35: Session 2
Chair: Jiang Wang, MIT
The Term Structure of Variance Swaps and Risk Premia
Yacine Ait-Sahalia, Princeton University
Mustafa Karaman, UBS AG
Loriano Manicini, Swiss Finance Institute
Discussant: Ivan Shaliastovich, The Wharton School
Informed Trading and Option Prices: Evidence from Activist Trading
Pierre Colin Dufresne, Swiss Finance Institute
Vyacheslav Fos, Boston College
Dmitriy Muravyev, Boston College
Discussant: Vish Viswanathan, Duke University
11:35 - 12:55: Lunch Break (Living Room)
12:55 - 2:40: Session 3: Papers presented by “juniors” (25 min. present, 10 min. general comments))
Chair: Mark Grinblatt, UCLA
Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
Hui Chen, MIT
Rui Cui, University of Chicago
Zhiguo He, University of Chicago
Konstantin Milbradt, Northwestern
Model of Monetary Policy and Risk Premia
Itamar Drechsler, NYU
Alexi Savov, NYU
Philipp Schnabl, NYU
The Price of Political Uncertainty: Theory and Evidence from the Option Market
Bryan Kelly, University of Chicago
Lubos Pastor, University of Chicago
Pietro Veronesi, University of Chicago
2:40 - 3:00: Coffee Break
3:00 - 4:00: Panel on “Is bond market liquidity really getting worse? If so, why?”
Moderator: Chester Spatt, Carnegie Mellon University
Panelists:
Darrell Duffie, Stanford University
Jonathan Sokobin, FINRA
Scott Richard, The Wharton School
4:00 - 5:00: Panel on “Finance and Big Data: Practices, Challenges, Lessons?”
Moderator: Steve Ross
Panelists:
Pete Kyle, University of Maryland
Charles Jones, Columbia Business School
Owen Lamont, Wellington Management & Harvard University
5:10 - 6:10: FARFE annual members meeting
6:10 - 7:30: Reception and Appetizers7:30: Dinner