JHU Carey Finance Conference

Discover Carey Day

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” featured presentations and discussions by world-renowned researchers in the field.

Sponsors

  • Johns Hopkins Carey Business School
  • Campbell and Company
  • T. Rowe Price

Organizer

Program Chairs

  • Federico Bandi, Johns Hopkins Carey Business School
  • Kevin Cole, Campbell & Company
  • Chris Faulkner-MacDonagh, T. Rowe Price

Program Committee

  • Vadim Elenev
  • Nicola Fusari
  • Wei Li
  • Jim Kyung-Soo Liew
  • Zhaogang Song
  • Xian Sun
  • Semih Uslu
  • Pierre Noual

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 Firm 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.: Buffet lunch

1:00-2:00 p.m.: Keynote Speech: Size and Value in China
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. Rowe 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