Международный семинар Лаборатории финансовой экономики

Москва, Шаболовка 26, стр.3, аудитория 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

Paper  Presentation  Discussion

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

Presentation  Discussion

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

Presentation  Discussion

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

Paper  Presentation

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

Presentation  Discussion

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

Paper  Presentation  Discussion

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

Paper  Presentation  Discussion

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

Paper  Presentation  Discussion

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