2018 JHU CAREY FINANCE CONFERENCE
Frontiers in Macrofinance

June 1, 2018

More and more, macroeconomic outcomes are driving financial markets, and financial markets are being recognized as key contributors to macroeconomic dynamics. Consequently, the traditional distinction between economics and finance is losing relevance, while the field of macrofinance is rapidly gaining prominence within the profession. The 2018 JHU Carey Finance Conference: Frontiers in Macrofinance will feature presentations and discussions by world-renowned researchers in the field.

Sponsors

Organizer

Alessandro Rebucci, Johns Hopkins Carey Business School

Program Chairs

Program Committee

Program

  • 7:30-8:15 a.m.
    Registration and breakfast
  • 8:15-8:30 a.m.
    Welcoming remarks by Valerie Suslow, Johns Hopkins Carey Business School.
  • 8:30-10:15 a.m.
    Session 1: Asset Prices and Firms Characteristics
    Chair: Xian Sun, Johns Hopkins Carey Business

    Size Premium Waves
    Presenter: Howard Kung, London Business School.
    Discussant: Vadim Elenev, Johns Hopkins Carey Business School.

    The Real Value of China's Stock Market
    Presenter: Jennifer Carpenter, New York University.
    Discussant: Hui Tong, International Monetary Fund.
  • 10:15-10:45 a.m.
    Coffee break
  • 10:45 a.m.-12:30 p.m.
    Session 2: Predictability
    Chair: Kevin Cole, Campbell & Company.

    Term Structure of Risk in Expected Returns
    Presenter: Irina Zviadadze, Swedish House of Finance.
    Discussant: Gregory Duffee, Johns Hopkins Krieger School of Arts and Sciences.

    The Economics of the Fed Put
    Presenter: Anna Cieslak, Duke University.
    Discussant: Jonathan Wright, Johns Hopkins Krieger School of Arts and Sciences.
  • 12:30-1:00 p.m.
    Buffett lunch
  • 1:00-2:00 p.m.
    Keynote Speech
    Chair: Federico Bandi, Johns Hopkins Carey Business School.

    Keynote speaker: Robert F. Stambaugh, University of Pennsylvania.
  • 2:00-2:15 p.m.
    Coffee Break
  • 2:15-4:00 p.m.
    Session 3: Volatility
    Chair: Chris Faulkner-MacDonagh, T. Towe Price

    Liquidity Creation as Volatility Risk
    Presenter: Alan Moreira, University of Rochester.
    Discussant: Zhaogang Song

    Volatility Risk Pass-Through
    Presenter: Ric Colacito, University of North Carolina.
    Discussant: Olivier Jeanne, Johns Hopkins Krieger School of Arts and Sciences.
  • 4:00-5:00 p.m.
    Wine and cheese
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