Workshop in Financial Economics
Moscow, Shabolovka st. 26, building 3, room 3211
Friday, November 7
Program Program with abstracts
10.30 Session 1 “Asset Pricing and General Equilibrium”
Short-Term Momentum and Long-Term Reversal in General Equilibrium
Presenter: Pablo Beker, University of Warwick (co-author: Emilio Espino)
Discussant: Dmitry Makarov, New Economic School, Moscow
A One Factor Benchmark Model for Asset Pricing
Presenter: Christian Julliard, London School of Economics (co-authors: Anisha Gosh and Alex P. Taylor)
Discussant: Patrick Kelly, New Economic School, Moscow
12.00 Coffee break
12.30
Monetary Uncertainty and Default
Presenter: Dimitrios P. Tsomocos, Saïd Business School and St. Edmund Hall, University of Oxford (co-authors: Kwangwon Ahn, Chansoo Kim and Luxi Wang)
Discussant: Valery Charnavoki, New Economic School, Moscow
13.15 Lunch break
14.30 Session 2 “Stock Markets, mutual funds and M&A”
Stock liquidity in forefront of anticipated announcements
Presenter: Sergey Gelman, ICEF, Higher School of Economics (co-author: Roman Lushchikov)
Discussant: Igor Kheifets, New Economic School, Moscow
ETF expansion and alpha discovery in the mutual fund industry
Presenter: Oleg Shibanov, New Economic School, Moscow
Discussant: Carsten Sprenger, ICEF, Higher School of Economics
16.00 Coffee break
16.30
Repetitive Cross-border Mergers and Acquisitions
Presenter: Kyeong Hun Lee, ICEF, Higher School of Economics (co-authors: Amrita Nain and Qianying (Emma) Xu)
Discussant: Marie-Ann Betschinger, ICEF and Faculty of Management, Higher School of Economics, Moscow
17.30 Reception
Saturday, November 8
10.30 Session 3 “Market Microstructure”
Market Microstructure Invariance as an Implication of a Structural Model
Presenter: Anna Obizhaeva, New Economic School, Moscow (co-author: Albert S. Kyle)
Discussant: Emiliano Catonini, ICEF, Higher School of Economics
High Frequency Trading and the 2008 Short Sale Ban
Presenter: Terence Hendershott, Haas School of Business, University of California Berkeley (co-authors: Jonathan Brogaard and Ryan Riordan)
Discussant: Vladimir Sokolov, ICEF, Higher School of Economics
12.00 Coffee break
12.30
Inconspicuousness and Obfuscation: How Large Shareholders Dynamically Manipulate Output and Information for Trading Purposes
Presenter: Bart Taub, Adam Smith Business School, University of Glasgow
Discussant: Alex Boulatov, Higher School of Economics
13.30 Lunch
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