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International Laboratory of Financial Economics

Contacts
Head of Laboratory:
Vladimir Sokolov
vsokolov@hse.ru
(495) 772-95-90 *27094

Manager (academic issues):
Sergey Konyshev
Skonyshev@hse.ru
(495) 772-95-90 *27085

Manager (financial issues):
Alexander Pryanichnikov
apryanichnikov@hse.ru
(495) 772-95-90 *27078

11 Pokrovsky Boulevard, building T, Moscow, 109028, Russia
(495) 772-95-90 *27085,
lfe@hse.ru

Conference Program

List of speakers and abstracts

Keynote speeches

	Friday, November 8
10.00	Opening speeches Sergey Yakovlev, Director of ICEF Konstantin Sonin, Vice Rector of the Higher School of Economics
10.10	Session 1 “Aggregate dynamics and financial markets” Aggregate Investment and Stock Returns Presenter: Dmitry Livdan, Haas School of Business, University of California Berkeley (co-authors: Fernando Duarte and Leonid Kogan) Discussant: Dimitrios Tsomocos, Saïd Business School, University of Oxford Presentation, Discussion Volatility Risk Premia and Exchange Rate Predictability Presenter: Lucio Sarno, Cass Business School, City University London and CEPR (co-authors: Pasquale della Corte and Tarun Ramadorai) Discussant: Vladimir Sokolov, ICEF, Higher School of Economics, Moscow Presentation, Discussion
12.00	Keynote speech 1 The Macroeconomic Determinants of Financial Predictability Rajnish Mehra, Luxembourg School of Finance, W.P. Carey School of Business, Arizona State University, and NBER
13.20	Lunch
14.30	Session 2 “Corporate Finance” Does Nationalization Work? Evidence from Russian State Takeovers Presenter: Carsten Sprenger, ICEF, Higher School of Economics, Moscow Discussant: Thomas Noe, Saïd Business School, University of Oxford Presentation, Discussion Empirics of Executive Compensation: What Determines CEO Pay? Presenter: Stanimir Morfov, ICEF, Higher School of Economics, Moscow Discussant: Bart Taub, Adam Smith Business School, University of Glasgow Presentation, Discussion
16.00	Coffee break
16.30	Session 3 “Option Pricing and Market Microstructure” Affine Option Pricing Model in Discrete Time Presenter: Stanislav Khrapov, New Economic School, Moscow Discussant: Marcelo Fernandes, Queen Mary University London Presentation, Discussion Dealer Networks: Market Quality in Over-The-Counter Markets Presenter: Norman Schurhoff, University of Lausanne, Swiss Finance Institute, and CEPR (co-author: Dan Li) Discussant: Christian Julliard, London School of Economics Presentation, Discussion
18.00	Coffee break
18.30	Keynote speech 2 Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis Marco Pagano, Università di Napoli Federico II, CSEF, EIEF and CEPR
20.00	Reception
	Saturday, November 9
10.00	Session 4 “Econometrics and finance” Who’s afraid of selection bias? Robust inference in the presence of competitive selection Presenter: Thomas Noe, Saïd Business School, University of Oxford Discussant: Alexey Boulatov, ICEF, Higher School of Economics Presentation, Discussion Conditional alphas and realized betas Presenter: Marcelo Fernandes, Queen Mary University London (co-authors Walter Distaso and Valentina Corradi) Discussant: Sergey Gelman, ICEF, Higher School of Economics Presentation, Discussion
11.30	Coffee break
12.00	Session 5 “Mutual and hedge funds” Hedge Fund (Non)Transparency: Skill or Risk-taking? Presenter: Olga Kuzmina, New Economic School, Moscow (with Sergiy Gorovyy) Discussant: Branko Urošević, University of Belgrade and National Bank of Serbia Presentation, Discussion Competition among Portfolio Managers and Asset Specialization Presenter: Dmitry Makarov, New Economic School, Moscow Discussant: Mihail Zervos, London School of Economics Presentation, Discussion
13.30	Lunch

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