Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance

Yuekun Liu¹, Martijn Cremers², Timothy Riley³

1: University of Manchester; 2: University of Notre Dame; 3: University of Arkansas

Discussant: Konark Saxena (ESCP)

Anomalies as New Hedge Fund Factors

Yong Chen¹, Sophia Li², Yushan Tang³, Guofu Zhou⁴

1: Texas A&M University, United States of America; 2: Rutgers Business School; 3: Shanghai University of Finance and Economics; 4: Washington University in St. Louis

Discussant: Sugata Ray (Univ. of Alabama)

Optimal Hedge Fund Allocation

Gregory Brown¹, Juha Joenvaara², Christian Lundblad¹, Richard Maxwell¹

1: UNC Kenan-Flagler Business School, United States of America; 2: Aalto University School of Business

Discussant: Elise Gourier (ESSEC Business School)

Managing Hedge Fund Liquidity Risks

Serge Darolles¹, Guillaume Roussellet²

1: Université Paris Dauphine - PSL, France; 2: McGill University, Canada

Discussant: Charles-Albert LEHALLE (Ecole Polytechnique)

Bargain Haircuts: The Influence Of Hedge Funds' Bargaining Power On Counterparty Credit Risk Measures

Christian Bittner^1,2, Stephan Jank¹

1: Deutsche Bundesbank; 2: Goethe University Frankfurt

Betting Against Sustainability: evidence from US equity short selling activity

John Coadou^1,2, Serge Darolles²

1: amundi asset management, France; 2: University Paris Dauphine - PSL

Deep Learning For VWAP Execution

Rémi Genet^1,2, Fabrice Riva²

1: Aplo, France; 2: Dauphine Research in Management, France

Social Responsibility Ratings and Limited Arbitrage

Jie {Jay} Cao¹, R. David McLean², Xintong {Eunice} Zhan³, Weiming {Elaine} Zhang⁴

1: The Hong Kong Polytechnic University; 2: Georgetown University; 3: Fudan University; 4: IE Business School

Discussant: Marie Briere (Amundi)

ESG Skill of Mutual Fund Managers

Marco Ceccarelli¹, Richard B. Evans², Simon Glossner³, Mikael Homanen⁴, Ellie Luu⁵

1: VU Amsterdam; 2: University of Virginia, Darden School of Business; 3: Board of Governors of the Federal Reserve System; 4: PRI and Bayes Business School; 5: Strathclyde Business School

Discussant: Cristian Ioan Tiu (University at Buffalo)

See the Gap: Firm Returns and Shareholder Incentives

Eitan Goldman¹, Jinkyu Kim², Wenyu Wang³

1: Kelley School of Business, Indiana University, United States of America; 2: Kelley School of Business, Indiana University, United States of America; 3: Kelley School of Business, Indiana University, United States of America

Discussant: Zoran Filipovic (Universite Paris Dauphine - PSL)

AI Democratization, Return Predictability, and Trading Inequality

Anne Chang¹, Xi Dong¹, Xiumin Martin², Changyun Zhou³

1: Baruch College-CUNY; 2: Washington University in Saint Louis; 3: Southwestern University of Finance and Economics

Discussant: Fabrice Riva (Université Paris Dauphine - PSL)

The Missing Data Bias in Modern Fund Portfolio Data

Floris van Dijk^1,2

1: Banque de France; 2: CREST

Discussant: Christian Mücke (ESCP Business School)

Are Hedge Funds Too Exposed to Prime Broker Risk?

Magnus Dahlquist^1,2, Simon Rottke³, Valeri Sokolovski⁴

1: Stockholm School of Economics; 2: CEPR; 3: University of Amsterdam; 4: University of Alberta

Discussant: René Garcia (Université de Montréal)

Stealthy Shorts: Informed Liquidity Supply

Amit Goyal^1,2, Adam Reed³, Esad Smajlbegovic⁴, Amar Soebhag^4,5

1: University of Lausanne; 2: Swiss Finance Institute; 3: University of North Carolina; 4: Erasmus School of Economics; 5: Robeco Quantitative Investments

Discussant: Sara Ain Tommar-Thomas (NEOMA Business School)

Mutual Fund Shorts and the Marginal Benefits of Acquiring Information

Boone Bowles¹, Adam Reed²

1: Texas A&M University; 2: University of North Carolina

Discussant: Vincent Tena (Paris Dauphine University)

Institutional Investors' Subjective Risk Premia: Time Variation and Disagreement

Spencer Couts¹, Andrei Goncalves², Johnathan Loudis³, Yicheng Liu²

1: University of Southern California, United States of America; 2: Ohio State Fisher School of Business; 3: Notre Dame Mendoza College of Business

Discussant: Paul Karehnke (ESCP Business School)

Institutions' Return Expectations across Assets and Time

Magnus Dahlquist², Markus Felix Ibert¹

1: Copenhagen Business School, Denmark; 2: Stockholm School of Economics, Sweden

Discussant: Laurent Barras (University of Luxembourg)

MiFID II Research Unbundling: Cross-border Impact on Asset Managers

Richard Evans¹, Juan Pedro Gomez², Rafael Zambrana³

1: University of Virginia; 2: IE Business School; 3: University of Notre Dame, United States of America

Discussant: Olga Kolokolova (Lancaster University Management School)

The Stick or the Carrot? The Role of Regulation and Liquidity in Activist Short-Termism

Adrian Aycan Corum

Cornell University - Johnson Graduate School of Management, United States of America

Discussant: Catherine Casamatta (University Toulouse Capitole)