Tenth Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Tenth Annual Conference on Advances in the Analysis of Hedge Fund Strategies

Hosted, Organised and Supported by
CEPR
Imperial College Business School
Brevan Howard Centre for Financial Analysis
Thursday 3rd December 2015, Imperial College London, United Kingdom

Session 1: Capacity constraints and performance
Chair: Robert Kosowski (Imperial College Business School and CEPR)

Paper 1: Augustin Landier (Toulouse School of Economics)
The Capacity of Trading Strategies (co-authored with Guillaume Simon and David Thesmar)
Discussant: Sylvain Champonnois (Blackrock)

Paper 2: Keynote speaker Lubos Pastor (The University of Chicago Booth School of Business and CEPR)
Do Funds Make More When They Trade More? (co-authored with Robert Stambaugh and Lucian Taylor)
Discussant: Francesco Franzoni (University of Lugano)

Session 2: Portfolio construction
Chair: Vasant Naik (PIMCO)

Paper 3: Raman Uppal (EDHEC and CEPR)
Portfolio Choice with Model Misspecication: A Foundation for Alpha and Beta Portfolios (co-authored with Paolo Zaffaroni)
Discussant: Lubos Pastor (The University of Chicago Booth School of Business and CEPR)

Paper 4: Christopher Hrdlicka (University of Washington)
Correcting the Bias in Network-Based Tests of Price Discovery (co-authored with Aaron Burt)
Discussant: Cesare Robotti (Imperial College Business School)

Session 3: Return predictability
Chair: Nick Baltas (UBS)

Paper 5: Esad Smajlbegovic (University of Mannheim)
Dissecting Short-Sale Performance: Evidence from Large Position Disclosures (co-authored with Stephan Jank)
Discussant: Pedro Saffi (University of Cambridge)

Paper 6: Xintong Zhan (Chinese University of Hong Kong)
Option return predictability (co-authored with Jie Cao, Bing Han, and Qing Tong)
Discussant: Christian Schlag (Goethe University of Frankfurt)

Session 4 : Equities
Chair: Petri Jylha (Imperial College Business School)

Paper 7: Tianyu Wang (Imperial College Business School)
Market closures and mean reversion (co-authored with Pasquale Della Corte and Robert Kosowski)
Discussant: Dong Lou (London School of Economics and CEPR)

Paper 8: Christian Wagner (Copenhagen Business School)
Low Risk Anomalies (co-authored with Paul Schneider and Josef Zechner)
Discussant: Pietro Veronesi (The University of Chicago Booth School of Business and CEPR)

Organisers: Robert Kosowski and Petri Jylha