Fifth annual conference

The Fifth Annual Conference of The Paul Woolley Centre for the Study of Capital Market Dysfunctionality was held at the London School of Economics on 7-8 June 2012.

The conference comprised of 4 sessions:

1. Incentives of fund managers
2. Asset prices and intermediary capital
3. Information asymmetries and market performance
4. Return predictability and real decisions

The conference programme can be downloaded here.|[PDF]

Session 1: Incentives of fund managers

• The Wall Street walk when Blockholders compete for flows
  Amil Dasgupta (LSE)
  Giorgia Piacentino (LSE)
  Discussant: Andrey Malenko (MIT) (presentation)
• The industrial organisation of money management (and presentation)
  Simon Gervais (Duke)
  Gunter Strobl (University of North Carolina)
  Discussant: Hongjun Yan (Yale) (presentation)
• How safe are money market funds? Evidence from the financial crisis of 2007-2010
  Marcin Kacpercyzk (STERN and NBER)
  Philipp Schnabl (STERN)
  Discussant: Patrick McCabe (Federal Reserve System)

Session 2: Asset prices and intermediary capital

• ETFs, arbitrage and contagion (and presentation)
  Itzhak Ben-David (Fisher College of Business)
  Francesco Franzoni (Swiss Finance Institute and the University of Lugano)
  Rabih Moussawi (University of Pennsylvania)
  Discussant: Harald Hau (University of Geneva) (presentation)
• Funding liquidity and its risk premiums (and presentation)
  Jaehoon Lee (University of Illinois)
  Discussant: Jean- Sebastien Fontaine (Bank of Canada) (presentation)
• Financial intermediary capital (and presentation)
  Adriano Rampini (Duke)
  S. Viswanathan (Duke)
  Discussant: Peter Kondor (Central European Bank)

Session 3: Information asymmetries and market performance

•  Equilibrium high frequency trading (and presentation)
  Bruno Biais (Toulouse School of Economics)
  Thierry Foucault (HEC)
  Sophie Moinas (Toulouse School of Economics)
  Discussant: Emiliano Pagnotta (New York University)
• Precision of ratings (and presentation)
  Anastasia V. Kartasheva (University of Pennsylvania)
  Bilge Yilmaz (University of Pennsylvania)
  Discussant: Joel Shapiro (Oxford University) (presentation)

Session 4: Return predictability and real decisions

•  Carry (and presentation)
  Ralph S.J. Koijen (Booth and NBER)
  Tobias Moskowitz (Booth and NBER)
  Lass Pederson (NYU Stern School of Business, Copenhagen Business School, CEPR, NBER and AQR Capital Management)
  Evert Vrugt (University of Amsterdam)
  Discussant: Kent Daniel (Columbia University) (Presentation)
• Cross market timing in security issuance
  Pengje Gao (Mendoza College of Business)
  Dong Lou (LSE)
  Discussant: Adi Sunderam (Harvard Business School) (presentation)