RISKS 2017 Program
This conference run through all 2 days from 27 - 28 March 2017Work in progress, please come back soon to check the program
Day 1
Monday March 27, 2017
Day 2
Tuesday March 28, 2017
13:00 - 13:15
Registration
13:15 - 13:30
SALLE DES FÊTES
Welcome Address
Welcome Address by Jean-Michel BEACCO Chairman, Institut Louis Bachelier (ILB), Marie BRIERE, Chairman of the Scientific Committee & Didier KLING, Chairman, Chambre de commerce et d’industrie de région Paris Ile-de-France
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13:30 - 15:00
SALLE DES FÊTES
Plenary Session I – The FinTech Revolution and its Regulation
Chairman: Laurent CLERC, Director Financial Stability, Banque de France. Slides
Guest speaker: Fatih GUVENEN, Professor of Economics, University of Minnesota. Slides
"What do Data on Millions of US Workers Reveal about Life-Cycle Earnings Dynamics"
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Pierre BIENVENU, Fintech Innovation Expert – Fintech Innovation Unit, Autorité de Contrôle Prudentiel et de Résolution, Banque de France.
Domitille DESSERTINE, Policy Advisor, Affairs and Policy Department, Autorité des Marchés Financiers (AMF).
Sébastien PALLE, Deputy Head, Group Public Affairs,, Société Générale.
Guest speaker: Fatih GUVENEN, Professor of Economics, University of Minnesota. Slides
"What do Data on Millions of US Workers Reveal about Life-Cycle Earnings Dynamics"
Panel session 1: Fintechs Regulation
Pierre BIENVENU, Fintech Innovation Expert – Fintech Innovation Unit, Autorité de Contrôle Prudentiel et de Résolution, Banque de France.Domitille DESSERTINE, Policy Advisor, Affairs and Policy Department, Autorité des Marchés Financiers (AMF).
Sébastien PALLE, Deputy Head, Group Public Affairs,, Société Générale.
15:00 - 17:00
SALLE DES FÊTES
Parallel Sessions
Parallel session 1: Development in FinTech
Chairman: Frédéric ABERGEL, Ecole Centrale Paris.
“ The Emergence of the Global FinTech Market: Economic and Technological Determinants”, Christian HADDAD, University of Lille and SKEMA Business School, and Lars HORNUF , University of Trier and Max Planck Institute for Innovation and Competition. Slides
Discussant: Olena HAVRYLCHYK, University of Lille. Discussion
“ Drivers of a FinTech Hub, The Case of Switzerland”, Thomas ANKENBRAND and Denis BIERI, Lucerne University of Applied Sciences and Arts. Slides
Discussant: Marianne VERDIER, Université Paris 2 Panthéon Assas. Discussion
“ What Drives the Expansion of the P2P Lending?”, Carlotta MARIOTTO, Université Paris 2, Panthéon Assas, Olena HAVRYLCHYK, University of Lille and Marianne VERDIER, Université Paris 2, Panthéon Assas. Slides
Discussant: Thomas ANKENBRAND, Lucerne University of Applied Sciences and Arts. Discussion
“ The Emergence of the Global FinTech Market: Economic and Technological Determinants”, Christian HADDAD, University of Lille and SKEMA Business School, and Lars HORNUF , University of Trier and Max Planck Institute for Innovation and Competition. Slides
Discussant: Olena HAVRYLCHYK, University of Lille. Discussion
“ Drivers of a FinTech Hub, The Case of Switzerland”, Thomas ANKENBRAND and Denis BIERI, Lucerne University of Applied Sciences and Arts. Slides
Discussant: Marianne VERDIER, Université Paris 2 Panthéon Assas. Discussion
“ What Drives the Expansion of the P2P Lending?”, Carlotta MARIOTTO, Université Paris 2, Panthéon Assas, Olena HAVRYLCHYK, University of Lille and Marianne VERDIER, Université Paris 2, Panthéon Assas. Slides
Discussant: Thomas ANKENBRAND, Lucerne University of Applied Sciences and Arts. Discussion
SALLE DES SEANCES
Parallel session 2: Predictability and Risks
Chairman: Jean-Michel ZAKOIAN, CREST and Lille University.
“ Return Predictability and Risk Management”, Mamiko YAMASHITA and Nour MEDDAHI, Toulouse School of Economics. Slides
“ Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures”, Claudia WELLENREUTHER, University of Munster and Pierre SIKLOS, Wilfrid Laurier University. Slides
Discussant: Denisa BANULESCU , Orléans University. Discussion
“ Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling”, Chunhua MA , School of Mathematical Sciences Nankai University. Slides
“ High-Dimensional Multivariate Realized Volatility Estimation”, Serge NYAWA , Nour MEDDAHI, Toulouse School of Economics and Tim BOLLERSLEY, Duke University. Slides
Discussant: Christophe HURLIN, Orléans University. Discussion
“ Return Predictability and Risk Management”, Mamiko YAMASHITA and Nour MEDDAHI, Toulouse School of Economics. Slides
“ Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures”, Claudia WELLENREUTHER, University of Munster and Pierre SIKLOS, Wilfrid Laurier University. Slides
Discussant: Denisa BANULESCU , Orléans University. Discussion
“ Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling”, Chunhua MA , School of Mathematical Sciences Nankai University. Slides
“ High-Dimensional Multivariate Realized Volatility Estimation”, Serge NYAWA , Nour MEDDAHI, Toulouse School of Economics and Tim BOLLERSLEY, Duke University. Slides
Discussant: Christophe HURLIN, Orléans University. Discussion
AUDITORIUM MERCURE
Parallel session 3: Individual Investors
Chairman: Bertrand VILLENEUVE, University Dauphine
“ Informative Social Interactions”, Hector CALVO-PARDO, University of Southhampton, Luc ARRONDEL , Paris School of Economics, Chryssi GIANNITSAROU, University of Cambridge and Michael HALIASSOS, Goethe Universitat and CEPR. Slides
“ The First Cut is the Deepest: Primacy Bias in Stock Market Participation”, Gi H. KIM , Ozlem ARIKAN, Arie E. GOZLUKLU and Hiroaki SAKAGUCHI,University of Warwick. Slides
Discussant: Yulia VELD-MERKOULOVA, Monash University.
“ Why Do Individuals Not Participate in The Stock Market?”, Yulia VELD-MERKOULOVA, Chris VELD and Stephen BROWN, Monash University. Slides
Discussant: Luc ARRONDEL, Paris School of Economics. Discussion
“ Informative Social Interactions”, Hector CALVO-PARDO, University of Southhampton, Luc ARRONDEL , Paris School of Economics, Chryssi GIANNITSAROU, University of Cambridge and Michael HALIASSOS, Goethe Universitat and CEPR. Slides
“ The First Cut is the Deepest: Primacy Bias in Stock Market Participation”, Gi H. KIM , Ozlem ARIKAN, Arie E. GOZLUKLU and Hiroaki SAKAGUCHI,University of Warwick. Slides
Discussant: Yulia VELD-MERKOULOVA, Monash University.
“ Why Do Individuals Not Participate in The Stock Market?”, Yulia VELD-MERKOULOVA, Chris VELD and Stephen BROWN, Monash University. Slides
Discussant: Luc ARRONDEL, Paris School of Economics. Discussion
17:00 - 17:30
GRANDE SALLE A MANGER
POSTER SESSION 1: Coffee Break
Chairman: Clara CHAMPAGNE, CREST and ENS.
“Can Smoking Harm Your Long-Term Saving Decisionss? An Investigation of Time Preferences, Life Expectancy and Annuity Versus Lump-Sum Choices ”, Abigail HURWITZ, The Hebrew University of Jerusalem.
“The Whole is Greater than the Sum of Its Parts”, Eugene LEE , Retirement Income Security LLC.
“Life Insurance as an Asset Class The Role of Cash Flow Capacity Model Submission with Authors ”, Sergey BARABANOV , University of Saint Thomas.
“Can Smoking Harm Your Long-Term Saving Decisionss? An Investigation of Time Preferences, Life Expectancy and Annuity Versus Lump-Sum Choices ”, Abigail HURWITZ, The Hebrew University of Jerusalem.
“The Whole is Greater than the Sum of Its Parts”, Eugene LEE , Retirement Income Security LLC.
“Life Insurance as an Asset Class The Role of Cash Flow Capacity Model Submission with Authors ”, Sergey BARABANOV , University of Saint Thomas.
17:30 - 19:00
SALLE DES FÊTES
Parallel Sessions
Parallel session 4: Online Banking
Chairman: Patrick WAELBROECK, Telecom ParisTech.
“The Role of Hard and Soft Information in Peer-to-Peer Lending”, Monica PAIELLA, University of Naples Parthenope and Ester FAIA, Goethe University and CEPR. Slides
“Optimal Investment in Online Loans”, Nina TROHA , Kay GIESECKE and Abhishek SHESHADRI , Stanford University. Slides
Discussant: Yann BALGOBIN, Telecom ParisTech. Discussion (PAIELLA) Discussion (TROHA)
" Payment Instruments, Financial Privacy and Online Purchases”, Yann BALGOBIN , David BOUNIE, Martin QUINN and Patrick WAELBROECK , Telecom ParisTech. Slides
Discussant: Monica PAIELLA , University of Naples Parthenope . Discussion
“The Role of Hard and Soft Information in Peer-to-Peer Lending”, Monica PAIELLA, University of Naples Parthenope and Ester FAIA, Goethe University and CEPR. Slides
“Optimal Investment in Online Loans”, Nina TROHA , Kay GIESECKE and Abhishek SHESHADRI , Stanford University. Slides
Discussant: Yann BALGOBIN, Telecom ParisTech. Discussion (PAIELLA) Discussion (TROHA)
" Payment Instruments, Financial Privacy and Online Purchases”, Yann BALGOBIN , David BOUNIE, Martin QUINN and Patrick WAELBROECK , Telecom ParisTech. Slides
Discussant: Monica PAIELLA , University of Naples Parthenope . Discussion
SALLE DES SEANCES
Parallel session 5: Default Bankruptcy
Chairman: Jean-Paul LAURENT, Paris 1 University.
“ Asymptotic Risk Factor Model with Volatility Factors”, Abdoul Aziz BAH, André TIOMO , Crédit Agricole SA and Christian GOURIEROUX, CREST and University of Toronto. Slides
“The Sustainability of Households Debt Restructuring Plan: Evidence from the French Experience ”, Henri FRAISSE, Banque de France and ACPR. Slides
Discussant: Olivier TOUTAIN, Banque de France. Discussion (BAH) Discussion (FRAISSE)
“ Composite Indirect Inference with Application to Corporate Risks”, Christian GOURIEROUX, CREST and University of Toronto, and Alain MONFORT, CREST and Banque de France. Slides
Discussant: Valentin PATILEA, CREST and ENSAI.
“ Asymptotic Risk Factor Model with Volatility Factors”, Abdoul Aziz BAH, André TIOMO , Crédit Agricole SA and Christian GOURIEROUX, CREST and University of Toronto. Slides
“The Sustainability of Households Debt Restructuring Plan: Evidence from the French Experience ”, Henri FRAISSE, Banque de France and ACPR. Slides
Discussant: Olivier TOUTAIN, Banque de France. Discussion (BAH) Discussion (FRAISSE)
“ Composite Indirect Inference with Application to Corporate Risks”, Christian GOURIEROUX, CREST and University of Toronto, and Alain MONFORT, CREST and Banque de France. Slides
Discussant: Valentin PATILEA, CREST and ENSAI.
AUDITORIUM MERCURE
Parallel session 6: Financial Literacy and Financial Advice
Chairman: Marie BRIERE, Amundi, Université Paris-Dauphine, Université Libre de Bruxelles.
“ Does Financial Advice and Word-of-Mouth Communication Influence the Association Between Investor Personality and Trading Behavior? Evidence from Chinese Stock Market”, Muhammad Zubair TAUNI , Dongbei University of Finance and Economics or Economic Research. Slides
“ Financial Literacy and Portfolio Dynamics”, Milo BIANCHI, Université Toulouse 1.
Discussant: Kathleen NGANGOUE, German Institute for Economic Research. Discussion
“ Trading Under Ambiguity and the Effect of Learning”, Kathleen NGANGOUE, German Institute for Economic Research. Slides
Discussant: Milo BIANCHI, Université Toulouse 1. Discussion
“In Search of Repeatable Performance", Campbell HARVEY, Duke University and Fuqua School of Business; National Bureau of Economic Research, and Yan LIU, Texas A&M University. Slides
The Scientific Outlook in Financial Economics, American Finance Association's Presidential Address, 2017. :
“ Does Financial Advice and Word-of-Mouth Communication Influence the Association Between Investor Personality and Trading Behavior? Evidence from Chinese Stock Market”, Muhammad Zubair TAUNI , Dongbei University of Finance and Economics or Economic Research. Slides
“ Financial Literacy and Portfolio Dynamics”, Milo BIANCHI, Université Toulouse 1.
Discussant: Kathleen NGANGOUE, German Institute for Economic Research. Discussion
“ Trading Under Ambiguity and the Effect of Learning”, Kathleen NGANGOUE, German Institute for Economic Research. Slides
Discussant: Milo BIANCHI, Université Toulouse 1. Discussion
“In Search of Repeatable Performance", Campbell HARVEY, Duke University and Fuqua School of Business; National Bureau of Economic Research, and Yan LIU, Texas A&M University. Slides
The Scientific Outlook in Financial Economics, American Finance Association's Presidential Address, 2017. :
19:00
End of the day
08:00 - 08:30
Registration and Welcome Coffee
08:30 - 09:45
SALLE DES FÊTES
Plenary Session II – The Future of Deep Learning in Finance / Insurance
Chairman: Christian GOURIEROUX, Professor of Economics, University of Toronto and CREST. Slides
Guest Speaker: Nicholas POLSON, Professor of Econometrics and Statistics, University of Chicago. Slides
"Deep Learning for Finance: Deep Portfolios"
Aimé LACHAPELLE, Data Science Director, Capgemini.
Guillaume LECUE, Researcher, CREST and CNRS.
Guest Speaker: Nicholas POLSON, Professor of Econometrics and Statistics, University of Chicago. Slides
"Deep Learning for Finance: Deep Portfolios"
Panel session 2: DeepLearning in Finance and Insurance
Michael DEFOIN-PLATEL Senior Data Scientist, DSI Innovation and DataLab, MédiamétrieAimé LACHAPELLE, Data Science Director, Capgemini.
Guillaume LECUE, Researcher, CREST and CNRS.
09:45 - 10:00
Grande salle à manger
Coffee Break
10:00 - 12:00
SALLE DES FÊTES
Parallel Sessions
Parallel session 7: Social Media
Chairman: Antoine BOZIO, Paris School of Economics.
“ Pump-and-Dump or News? Stock Market Manipulation on Social Media”, Thomas RENAULT, Université Paris 1 Panthéon Sorbonne and IESEG School of Management. Slides
“Zero-Revelation Regulation: Detecting Risk through Corporate Emails and News”, Seoyoung KIM, Sanjiv DAS, Santa Clara University and Bhushan KOTHARI, Deloitte. Slides
Discussant: Sébastien FRIES, CREST and University Paris-Saclay. Discussion
“Is Corporate Tweeting Informative or Is It Just Hype? Evidence from the SEC Social Media Regulation”, Mohamed AL GUINDY, Queen's University. Slides
“Informed Trading in Oil Futures Markets”, Benoit SEVI, Nantes University and Olivier ROUSSE, Grenoble Alpes University. Slides
Discussant: Thomas RENAULT,Université Paris 1 Panthéon Sorbonne and IESEG School of Management. Discussion (GUINDY) Discussion (SEVI)
“ Pump-and-Dump or News? Stock Market Manipulation on Social Media”, Thomas RENAULT, Université Paris 1 Panthéon Sorbonne and IESEG School of Management. Slides
“Zero-Revelation Regulation: Detecting Risk through Corporate Emails and News”, Seoyoung KIM, Sanjiv DAS, Santa Clara University and Bhushan KOTHARI, Deloitte. Slides
Discussant: Sébastien FRIES, CREST and University Paris-Saclay. Discussion
“Is Corporate Tweeting Informative or Is It Just Hype? Evidence from the SEC Social Media Regulation”, Mohamed AL GUINDY, Queen's University. Slides
“Informed Trading in Oil Futures Markets”, Benoit SEVI, Nantes University and Olivier ROUSSE, Grenoble Alpes University. Slides
Discussant: Thomas RENAULT,Université Paris 1 Panthéon Sorbonne and IESEG School of Management. Discussion (GUINDY) Discussion (SEVI)
SALLE DES SEANCES
Parallel session 8: Pension
Chairman: Didier BLANCHET, INSEE.
“Voting in the Aftermath of a Pension Reform: the Role of Economic Literacy”, Anna LO PRETE and Elsa FORNERO, University of Torino and CeRP. Slides
“Does Financial Regulation Unintentionally Ignore Less Privileged Populations?”, Orly SADE and Maya HARAN ROSEN, The Hebrew University of Jerusalem. Slides
Discussant: Anne LAVIGNE, Conseil d'Orientation des retraites.
“Longevity Risk:To Bear or to Insure”, Ling-Li BOON, Tilburg University and Université Paris-Dauphine, Marie BRIERE, Amundi, Université Paris-Dauphine, and Université Libre de Bruxelles and Bas WERKER, Tilburg University. Slides
“Mass Customization versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”, Lionel MARTELLINI and Vincent MILHAU, EDHEC Risk Institute.
Discussant: Jérôme GLACHANT, Université Paris I and LabEx ReFi.
“Voting in the Aftermath of a Pension Reform: the Role of Economic Literacy”, Anna LO PRETE and Elsa FORNERO, University of Torino and CeRP. Slides
“Does Financial Regulation Unintentionally Ignore Less Privileged Populations?”, Orly SADE and Maya HARAN ROSEN, The Hebrew University of Jerusalem. Slides
Discussant: Anne LAVIGNE, Conseil d'Orientation des retraites.
“Longevity Risk:To Bear or to Insure”, Ling-Li BOON, Tilburg University and Université Paris-Dauphine, Marie BRIERE, Amundi, Université Paris-Dauphine, and Université Libre de Bruxelles and Bas WERKER, Tilburg University. Slides
“Mass Customization versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem”, Lionel MARTELLINI and Vincent MILHAU, EDHEC Risk Institute.
Discussant: Jérôme GLACHANT, Université Paris I and LabEx ReFi.
AUDITORIUM MERCURE
Parallel session 9: Systemic Risks
Chairman: Laurent CLERC, Banque de France.
“The European CCP Ecosystem”, Angela ARMAKOLLA, Université Paris 1 Panthéon Sorbonne. and Benedetta BIANCHI, Trinity College Dublin Slides
“The Failure of a Clearinghouse”, Guillaume VUILLEMEY, HEC Paris and CEPR, and Vincent BIGNON, Banque de France. Slides
Discussant: Christophe PERIGNON, HEC Paris. Discussion
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“The European CCP Ecosystem”, Angela ARMAKOLLA, Université Paris 1 Panthéon Sorbonne. and Benedetta BIANCHI, Trinity College Dublin Slides
“The Failure of a Clearinghouse”, Guillaume VUILLEMEY, HEC Paris and CEPR, and Vincent BIGNON, Banque de France. Slides
Discussant: Christophe PERIGNON, HEC Paris. Discussion
"What is a SIFI? On the Systemic Importance of Financial Institutions as Determined by an Extended CAPM with Systemic Risk”, Bertrand MAILLET, Variances and EM Lyon Business School, Jean-Charles GARIBAL Variances and University of Orléans, Patrick KOUONTCHOU, ABN AMRO and University of Lorraine, and Sessi TOKPAVI, ABN AMRO and University of Orléans.
Discussant: Sylvain BENOIT, Université Paris-Dauphine. Discussion
13:00 - 14:15
Buffet Lunch – GRANDE SALLE A MANGER
14:15 - 16:00
SALLE DES FÊTES
Plenary Session III – Blockchain
Chairman: Michel CROUHY, Head of Research and Development, Natixis.
Guest speaker: Campbell HARVEY, Professor of Finance, Duke University. Slides
“Cryptocurrencies and Blockchain Technology”
Alexis COLLOMB, Professor of Finance, Director of EFAB Department, CNAM and IdR Blockchain Perspectives. Slides
Luca COMPARINI, Blockchain Leader, IBM.
Frédéric DALIBARD, Head of Digital for Corporate and Investment Bank, Natixis.
Johann PALYCHATA, Manager of the Blockchain Lab, BNP Paribas Securities.
Guest speaker: Campbell HARVEY, Professor of Finance, Duke University. Slides
“Cryptocurrencies and Blockchain Technology”
Panel session 3: Blockchain in Banking and Financial Services
Alexis COLLOMB, Professor of Finance, Director of EFAB Department, CNAM and IdR Blockchain Perspectives. SlidesLuca COMPARINI, Blockchain Leader, IBM.
Frédéric DALIBARD, Head of Digital for Corporate and Investment Bank, Natixis.
Johann PALYCHATA, Manager of the Blockchain Lab, BNP Paribas Securities.
16:00 - 16:30
GRANDE SALLE A MANGER
POSTER SESSION 2: Coffee Break
Chairman: Christian FRANCK, CREST and Lille University.“How Efficient are the European Banks”, Gabriel KAISER and Filip FIDANOSKI, University of Luxembourg.
“Open Innovation in Banking and Insurance: What are the Risks, Constraints and Success Key Factors? Case of Tunisian Financial Institutions”, Othman GHORBEL, Montpellier Business School.
“Words are not all Created Equal: A new Measure of the ECB Communication”, Matthieu PICAULT, IESEG School of Management.
16:30 - 18:30
SALLE DES FÊTES
Parallel Sessions
Parallel session 10: Crowdfunding
Chairman: Serge DAROLLES, Université Paris-Dauphine.
“Crowdfunding and Risk”, David CIMON, Bank of Canada. Slides
“Learning Through Crowdfunding”, Katrin TINN, Imperial College Business School and Gilles CHEMLA, Imperial College Business School and CNRS. Slides
Discussant: Jiasun LI, Georges Mason University. Discussion
“Crowdfunding and Risk”, David CIMON, Bank of Canada. Slides
“Learning Through Crowdfunding”, Katrin TINN, Imperial College Business School and Gilles CHEMLA, Imperial College Business School and CNRS. Slides
Discussant: Jiasun LI, Georges Mason University. Discussion
“Profit Sharing: A Contracting Solution to Harness the Wisdom of the Crowd”, Jiasun LI, Georges Mason University. Paper
Discussant: David CIMON, Bank of Canada. Discussion
SALLE DES SEANCES
Parallel session 11: Changes in Market Structure
Chairman: Olivier de BANDT, ACPR.
“Retail Order Flow Segmentation”, Corey GARRIOTT, and Adrian WALTON, Bank of Canada. Slides
“Smart Settlement”, Marius A. ZOICAN, Université Paris-Dauphine and Mariana KHAPKO, University of Toronto. Slides
Discussant: Charles-Albert LEHALLE, Capital Fund Management. Discussion
“The Market Reaction to the Adoption of IFRS in the European Insurance Industry”, Abed Al-Nasser ABDALLAH, and Mohammed FERAS SALAMAH, American University of Sharjah and Wissam ABDALLAH, Cardiff University.
Discussant: Pierre THEROND, Galea & Associés and ISFA, Université Lyon 1.
“Retail Order Flow Segmentation”, Corey GARRIOTT, and Adrian WALTON, Bank of Canada. Slides
“Smart Settlement”, Marius A. ZOICAN, Université Paris-Dauphine and Mariana KHAPKO, University of Toronto. Slides
Discussant: Charles-Albert LEHALLE, Capital Fund Management. Discussion
“The Market Reaction to the Adoption of IFRS in the European Insurance Industry”, Abed Al-Nasser ABDALLAH, and Mohammed FERAS SALAMAH, American University of Sharjah and Wissam ABDALLAH, Cardiff University.
Discussant: Pierre THEROND, Galea & Associés and ISFA, Université Lyon 1.
AUDITORIUM MERCURE
Parallel session 12: Asset Pricing
Chairman: Jean-David FERMANIAN, CREST.“Moneyness, Total, Systematic, and Idiosyncratic Volatility and the Cross-Section of European Option Returns”, Kevin ARETZ and Ser-Huang POON, Manchester Business School, and Ming-Tsung LIN, De Monfort University. Slides
“Flight to Gold: Extreme Weather Events and Stock Returns”, Matthew G. LANFEAR, Abraham LIOUI and Mark G. SIEBERT, EDHEC Business School.
Discussant: Eser ARISOY, Université Paris-Dauphine. Discussion
“Smart Alpha: a Post Factor Investing Paradigm”, Christophe BOUCHER, University of Paris Ouest, Alexandre JASINSKI, ABN AMRO Investment Solutions, Patrick KOUONTCHOU, ABN AMRO and University of Lorraine and Sessi TOKPAVI, CNRS and University of Orléans. Slides
Discussant: Emmanuel JURCZENKO, Ecole Hôtelière de Lausanne. Discussion
“Lucky Factors”, Campbell HARVEY, Duke University and Fuqua School of Business, National Bureau of Economic Research, and Yan LIU, Texas A&M University. Slides
18:15