The Melbourne asset pricing meeting has a strong emphasis on building on existing research being undertaken by Australian based FIRN members. The program also includes a presentation by an international keynote. Program papers are selected in a variety of different formats each year depending upon the design of the program. 

Melbourne Asset Pricing Meeting

26 October 2021

Starting at 9:50am – Melbourne; 6:50am – Beijing, 12:50am – Paris, 6:50pm (on the 25th) – New York

The University of Melbourne and FIRN are hosting the 8th annual Melbourne Asset Pricing Meeting on Tuesday, 26 October 2021. This year we are honoured that Professor Kennneth R French (Dartmouth) has agreed to be the keynote speaker. The meeting format will include paper presentations, discussions, and the keynote address, with prizes for best paper and best discussant.

Keynote Speaker

Kenneth R. French is the Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth College. He is an expert on the behavior of security prices and investment strategies. He and co-author Eugene F. Fama are well known for their research into the value effect and multi-factor asset pricing models, including articles such as “The Cross-Section of Expected Stock Returns” and “Common Risk Factors in the Returns on Stocks and Bonds.” His recent research focuses on tests of asset pricing and the tradeoff between factor exposures and expected returns in U.S. and international financial markets.

French is a Research Associate at the National Bureau of Economic Research, an Advisory Editor of the Journal of Financial Economics, a former Associate Editor of the Journal of Finance and the Review of Financial Studies, and a former President of the American Finance Association. French is also a Fellow of the American Finance Association and the American Academy of Arts and Sciences, and a member of Grassroots Soccer’s Board of Directors and the International Rescue Committee’s Board of Advisors, and Chairman of the Global Board of Directors of the Valpo Surf Project.

Before joining Dartmouth, Professor French was on the faculty of MIT’s Sloan School of Management, the Yale School of Management, and the University of Chicago Booth School of Business. Professor French received his Ph.D. in finance from the University of Rochester in 1983. He also earned an M.S. and an MBA from the University of Rochester (1983) and a B.S. from Lehigh University (1975).

PROGRAM

9.50amWelcome
10.00amKeynote PresentationKenneth R. French (Dartmouth)
11:15amDiscussion & Break
Session 1
11.30am“Scale or Yield? A Present-Value Identity”Lukas Kremens (UW), Thummim Cho (LSE), Dongryeol Lee (UCLA), Christopher Polk (LSE)
Discussant: Francisco Barillas (UNSW)
12.05pm“The Economics of Security Analysis”Lu Zhang (OSU), Kewei Hou (OSU), Haitao Mo (LSU), Chen Xue (Cincinnati)
Discussant: Neal Galpin (Monash)
12.40pm“Unmasking Mutual Fund Derivative Use”Pingle Wang (Dallas), Ron Kaniel (Rochester)
Discussant: Minsoo Kim (UniMelb)
1.15pmLunch Break
Session 2
2.15pm“Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds”Xin Liu (Renmin), Shiyang Huang (HKU), Wenxi Jiang (CUHK), Xiaoxi Liu (BIS)
Discussant: Zhongyan Zhu (Monash)
2.50pm“Unlocking ESG Premium from Options”Amit Goyal (U. of Lausanne), Weiming Zhang (CUHK), Jie Cao (CUHK), Xintong Zhan (CUHK)
Discussant: Yichao Zhu (ANU)
3.25pmBreak
Session 3
3.40pm“Getting burned by frictionless financial markets”Anirudh Dhawan (UTS), Benjamin Loos (Technical University of Munich), Marco Navone (UTS), Tālis J. Putniņš (UTS)
Discussant: Carsten Murawski (UniMelb)
4.15pmTell me a story: Quantifying economic narratives and their role during COVID-19Erik C. M. Schütte (Aarhus), Daniel Borup (Aarhus), Jorge W. Hansen (Aarhus), Benjamin Liengaard (Aarhus)
Discussant: Nalini Prasad (UNSW)
4.50pmAwards presentation and concluding remarks
5.00pmConference ends

click here to see the full Program

please click here to register

Location : The University of Melbourne via Zoom

AWARDS: There will be prizes of A$1,000 awarded to the best paper and to the best discussion at the meeting.

PROGRAM COMMITTEE: Patrick Kelly, Yoon Kang Lee, and Oliver Randall.

For further information about the meeting please send an email to ap-meeting@unimelb.edu.au.

Past Programs

2019

2018

2017

2016

2015

2014

2013