Conference Agenda

Session
Factors
Time:
Friday, 30/May/2025:
2:30pm - 4:15pm

Session Chair: Jie Cao, Hong Kong Polytechnic University
 Location: Studio 8

Presentations

The Idiosyncratic Financial Factor: An Explanation for the Role of Size Factors and the Weak Intertemporal Risk-Return Relation

SungJe Byun1, Johnathan Loudis2, Lawrence Schmidt3

1Federal Reserve Bank of Dallas; 2University of Notre Dame; 3Massachusetts Institute of Technology

Discussant: Jun Kyung Auh (Yonsei University)


Factor Investing with Delays

Alex Dickerson1, Yoshio Nozawa2, Cesare Robotti3

1University of New South Wales; 2University of Toronto; 3Warwick University

Discussant: Xintong Zhan (Fudan University)


Macro Strikes Back: Term Structure of Risk Premia

Svetlana Bryzgalova1, Jiantao Huang2, Christian Julliard3

1London Business School; 2University of Hong Kong; 3London School of Economics

Discussant: Heebum Lee (Korea University)