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Humboldt-Universität zu Berlin - Finance Group

 

Recent Advances in Mutual Fund and Hedge Fund Research

August 21-22, 2017, Berlin

 


Humboldt University, in cooperation with the European School of Management and Technology (ESMT), is proud to host its fourth conference on Recent Advances in Mutual Fund and Hedge Fund Research.
 
Organizing Commitee: Tim Adam (Humboldt University), Guillermo Baquero (ESMT)
 
Programm Commitee: Vikas Agarwal (Georgia State University), Darwin Choi (CUHK) Francesco Franzoni (USI Lugano and Swiss Finance Institute), Nickolay Gantchev (University of North Carolina), Mariassunta Giannetti (Stockholm School of Economics), Javier Gil-Bazo (Universitat Pompeu Fabra), Hao Jiang (Michigan State University), Marcin Kacperczyk (NYU), Alberto Manconi (Tilburg University), Pedro Matos (University of Virginia Darden), Abhiroop Mukherjee (HKUST), Veronika Pool (Indiana University), Stefan Ruenzi (University of Mannheim), Sergei Sarkissian (McGill University), Martin Schmalz (University of Michigan), Clemens Sialm (University of Texas at Austin), Oliver Spalt (Tilburg University), Russ Wermers (University of Maryland)

 

Participation: We invite all interested academics and practitioners to attend the conference. You can register for the conference here. If you have any questions about the conference please contact Guillermo Baquero (baquero@esmt.org) or Tim Adam (tim.adam@hu-berlin.de).

 

 

Program

 

Monday, August 21, 2017, ESMT

 

8:45 – 9:00

Welcome address

 

  Information Flow

9:00 – 10:00

Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Transformation

Mariassunta Giannetti (Stockholm School of Economics), Francesco Franzoni (USI Lugano and the Swiss Finance Institute)

Discussant: Pedro Matos (U. Virginia)

10:00 – 11:00

Prime (Information) Brokerage

Nitish Kumar (U. Florida), Kevin Mullally (U. Alabama), Sugata Ray (U. Florida), Yuehua Tang (U. Florida)

Discussant: Francesco Franzoni (USI Lugano and  the Swiss Finance Institute)

11:00 – 11:30

Coffee break

 

  Investors Behavior

11:30 – 12:30

Do Corruption Perceptions Matter for Investors? Evidence from Hedge Funds

George O. Aragon (Arizona State University), Vikram Nanda (University of Texas at Dallas), Haibei Zhao (Lehigh University)

Discussant: Richard Evans (U. Virginia)

12:30 – 14:00

Lunch: ESMT

 

  Fund Families

14:00 – 15:00

 

 

Competition and Cooperation in Mutual Fund Families

Richard Evans (U. Virginia), Melissa Porras Prado (Nova School of Business and Economics), Rafael Zambrana Galacho (Nova School of Business and Economics)

Discussant: Darwin Choi (CUHK The Chinese University of Hong Kong)

15:00 – 15:30

Coffee break

 

  Trading Behavior

15:30 – 16:30

Limits of Arbitrage under the Microscope: Evidence from detailed Hedge Fund Transaction Data

Bastian von Beschwitz (Federal Reserve), Sandro Lunghi (Inalytics), Daniel Schmidt (HEC)

Discussant: Alberto Manconi (U. Bocconi)

16:30 – 17:30

Dynamic Liquidity Management by Corporate Bond Mutual Funds

Hao Jiang (Michigan), Dan Li (Federal Reserve), Ashley Wang (Federal Reserve)

Discussant: Christopher Clifford (U. Kentucky)

19:30

Dinner: TBA

 

 

 

Tuesday, August 22, 2017, ESMT

 

  Hedge Fund Activism

9:00 – 10:00

Portfolio Size and the Incentives for Shareholder Activism

Günter Strobl and Jing Zeng (Frankfurt School of Finance and Management)

Discussant: Nick Gantchev (UNC)

10:00 – 11:00

The Benefits of Friendship in Hedge Fund Activism

Yazhou Ellen Hey and Tao Li  (University of Warwick)

Discussant: Sergei Sarkissian (McGill University)

11:00 – 11:30

Coffee break

 

  Managerial Skill/Performance

11:30 – 12:30

 

 

 

Conditional Benchmarks and the Identification of Skill in Active Management

Scott Cederburg (U. Arizona), Michael S. O'Doherty (Missouri), N. E. Savinz (U. Iowa), Ashish Tiwari (U. Iowa)

Discussant: Marno Verbeek (Rotterdam School of Management, Erasmus University)

12:30 – 13:30 Lunch: ESMT
13:30 Adjourn

 

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