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2nd Annual Conference on Econometrics of Hedge Funds
Markets, Liquidity and Fund Managers' Incentives
Organizers: Serge Darolles (Lyxor AM and CREST)
Christian Gouriéroux (CREST and University of Toronto)
David Thesmar (HEC Paris)
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8.30 – 9.00 REGISTRATION
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9.00-11.00 Session 1: Hedge Funds Returns
Chair: J. Harris (CFTC)
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1
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I.Makarov (London Business School), G. Plantin (London Business School, TSE, and CEPR)
Discussant: G. Chemla (Imperial College and DRM-CNRS)
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2
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S. Darolles (Lyxor AM and CREST), C. Gouriéroux (University of Toronto and CREST)
Discussant: L. Grillet Aubert (AMF)
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3
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V. Agarwal (Georgia State University), V. Fos (Columbia University), W. Jiang (Columbia University)
Discussant: A. Galichon (Ecole Polytechnique)
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11.00-11.30 TEA/COFFEE
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11.30 – 12.30 Invited Session 1
Chair : David Thesmar (HEC Paris)
Destabilizing Speculation and Crowded Trades
Harrison Hong (Princeton University
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12.30-14.00 LUNCH
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14.00 -16.00 Session 2: Systemic Risk
Chair: O. Toutain (Moodys)
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4
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M. Billio (University of Venice), M. Getmanski (University of Massachusetts), A. Lo (MIT), L. Pelizzon (University of Venice)
Discussant: G. Le Fol (University of Evry and CREST)
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Measuring Systemic Risk in the Hedge Fund, Finance and Insurance Sectors
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5
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B. Büyüksahin (CFTC), M. Robe (CFTC and American University)
Discussant: C. Perignon (HEC Paris)
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6
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M Anton (London School of Economics), C. Polk (London School of Economics)
Discussant: A Landier (TSE)
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16.00-16.30 Tea/Coffee & Poster Session 1
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16.30-17.50 Session 3: Liquidity I
Chair: G. Phillips (University of Maryland)
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7
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Melvin Teo (Singapore Management University)
Discussant: Joël Peress (Insead)
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8
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Ronnie Sadka (Boston College)
Discussant: J. Hombert (HEC Paris)
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18.00-19.30 Panel Session: Revisiting the Classification of Hedge Funds
Chair: Sophie van Straelen (Asterias)
J. Harris, Chief Economist, CFTC
D. Beaudoin, Founer and CEO, Finaltis
E. Debonnet, Head of Research, HDF Finance
M. Kalbreier, Head of Business Development, Boussard & Gavaudan
From traditional strategies to a classification by liquidity terms and assets traded
From opacity in the process to plain vanilla strategies?
From co-mingled funds to dedicated portfolios?
Liquidity for mass market offering?
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