Friday, October 11
Invited Session 1 (Chair: E. Renault)
R. Korajczyk (Northwestern University): Small-sample Properties of Factor Mimicking Portfolio Estimates (with Zhuo Chen and Gregory Connor)
Contributed Session 1: Factor Models and Asset Pricing (Chair: F. Trojani)
S. Ahn, A. Horenstein, N. Wang: Beta Matrix and Common Factors in Stock Returns, Paper
T. Chordia, A. Goyal, J. Shanken: Cross-Sectional Asset Pricing with Individual Stocks: Betas vs. Characteristics, Slides
P. Gagliardini, E. Ossola, O. Scaillet: Time-Varying Risk Premium in large Cross-Sectional Equity Datasets- Paper, Slides
Poster Session
E. Andreou, E. Ghysels: What Drives the VIX and the Volatility Risk Premium?
T. Berrada, S. Coupy: It Does Pay to Diversify
S. Darolles, S. Dubecq, C. Gouriéroux: Contagion Analysis in the Banking Sector
D. Karstanje, M. van der Wel, D. van Dijk: Common Factors in Commodity Futures Curves
P. Maio, D. Philip: Macro factors and the cross-section of stock returns, Paper
Contributed Session 2: Dynamic Factor Models (Chair: M. Deistler)
G. Fiorentini, E. Sentana: Dynamic Specification Tests for Dynamic Factor Models- Paper, Slides
M. Forni, M. Hallin, M. Lippi, P. Zaffaroni: One-Sided Representations of Generalized Dynamic Factor Models
Invited Session 2 (Chair: E. Ghysels)
C. Gourieroux (CREST and University of Toronto): Positional Portfolio Management (with P. Gagliardini and M. Rubin)- Paper
Contributed Session 3: Systemic Risk (Chair: S. Darolles)
J. Boivin, M. P. Giannoni, D. Stevanovic: Dynamic Effects of Credit Shocks in a Data-Rich Environment
S. Giglio, B. Kelly, S. Pruitt, X. Quiao: Systemic Risk and the Macroeconomy: An Empirical Evaluation
B. Schwaab, S. J. Koopman, A. Lucas: Modeling Global Financial Sector Stress and Credit Market Dislocation
Saturday, October 12
Invited Session 3 (Chair: F. Diebold)
Alexei Onatski (University of Cambridge): Loss-Efficient Selection of the Number of Factors
Contributed Session 4: Model Specification (Chair: O. Scaillet)
M. Carrasco, B. Rossi: In-sample Inference and Forecasting in Misspecified Factor Models
F. Pegoraro, A. Siegel, L. Tiozzo Pezzoli: Specification Analysis of International Treasury Yield Curve Factors
F. Kleibergen, Z. Zhan: Unexplained Factors and their Effects on Second Pass R-Squared’s and t-Tests- Paper, Slides
Invited Session 1 (Chair: E. Renault)
R. Korajczyk (Northwestern University): Small-sample Properties of Factor Mimicking Portfolio Estimates (with Zhuo Chen and Gregory Connor)
Contributed Session 1: Factor Models and Asset Pricing (Chair: F. Trojani)
S. Ahn, A. Horenstein, N. Wang: Beta Matrix and Common Factors in Stock Returns, Paper
T. Chordia, A. Goyal, J. Shanken: Cross-Sectional Asset Pricing with Individual Stocks: Betas vs. Characteristics, Slides
P. Gagliardini, E. Ossola, O. Scaillet: Time-Varying Risk Premium in large Cross-Sectional Equity Datasets- Paper, Slides
Poster Session
E. Andreou, E. Ghysels: What Drives the VIX and the Volatility Risk Premium?
T. Berrada, S. Coupy: It Does Pay to Diversify
S. Darolles, S. Dubecq, C. Gouriéroux: Contagion Analysis in the Banking Sector
D. Karstanje, M. van der Wel, D. van Dijk: Common Factors in Commodity Futures Curves
P. Maio, D. Philip: Macro factors and the cross-section of stock returns, Paper
Contributed Session 2: Dynamic Factor Models (Chair: M. Deistler)
G. Fiorentini, E. Sentana: Dynamic Specification Tests for Dynamic Factor Models- Paper, Slides
M. Forni, M. Hallin, M. Lippi, P. Zaffaroni: One-Sided Representations of Generalized Dynamic Factor Models
Invited Session 2 (Chair: E. Ghysels)
C. Gourieroux (CREST and University of Toronto): Positional Portfolio Management (with P. Gagliardini and M. Rubin)- Paper
Contributed Session 3: Systemic Risk (Chair: S. Darolles)
J. Boivin, M. P. Giannoni, D. Stevanovic: Dynamic Effects of Credit Shocks in a Data-Rich Environment
S. Giglio, B. Kelly, S. Pruitt, X. Quiao: Systemic Risk and the Macroeconomy: An Empirical Evaluation
B. Schwaab, S. J. Koopman, A. Lucas: Modeling Global Financial Sector Stress and Credit Market Dislocation
Saturday, October 12
Invited Session 3 (Chair: F. Diebold)
Alexei Onatski (University of Cambridge): Loss-Efficient Selection of the Number of Factors
Contributed Session 4: Model Specification (Chair: O. Scaillet)
M. Carrasco, B. Rossi: In-sample Inference and Forecasting in Misspecified Factor Models
F. Pegoraro, A. Siegel, L. Tiozzo Pezzoli: Specification Analysis of International Treasury Yield Curve Factors
F. Kleibergen, Z. Zhan: Unexplained Factors and their Effects on Second Pass R-Squared’s and t-Tests- Paper, Slides