Recent Advances in Mutual Fund and Hedge Fund Research
Conference Organizers: Tim Adam (Humboldt) and Guillermo Baquero (ESMT)
Conference Program
Monday, August 21, 2017, ESMT
8:45 – 9:00
Welcome address
Information Flows
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
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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
Sponsors
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