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
Details regarding the 9th Annual Melbourne Asset Pricing Meeting will be available here shortly.
The 8th Annual Melbourne Asset Pricing Meeting was held online on Tuesday 26th October 2021.
The meeting was well attended, with nearly 80 participants from across the globe and a range of FIRN institutions. The meeting started with a great keynote address by Professor Kenneth R French (Dartmouth) titled “Using and Abusing Factors”, followed by 7 interesting papers, discussions and Q&As. Links to the papers and videos of the presentations, discussions and Q&A are available below.
- The Best Paper Prize was awarded to “Scale or Yield? A Present-Value Identity” presented by Lukas Kremens (University of Washington).
- The Best Discussion Prize was awarded to Yichao Zhu (ANU) for his discussion of “Unlocking ESG Premium from Options”.
The organisers Patrick Kelly, Yoon Kang Lee, and Oliver Randall want to thank everyone for contributing to a great day, and look forward to next year’s conference, hopefully welcoming everyone back to campus at the University of Melbourne.
Location : The University of Melbourne via Zoom
AWARDS: Prizes of A$1,000 were 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.
PROGRAM
| 9.50am | Welcome | |
| 10.00am | Keynote Presentation | Kenneth R. French (Dartmouth) |
| 11:15am | Discussion & Break | |
| Session 1 | ||
| 11.30am | Lukas Kremens (UW), Thummim Cho (LSE), Dongryeol Lee (UCLA), Christopher Polk (LSE) Discussant: Francisco Barillas (UNSW) |
|
| 12.05pm | Lu Zhang (OSU), Kewei Hou (OSU), Haitao Mo (LSU), Chen Xue (Cincinnati) Discussant: Neal Galpin (Monash) |
|
| 12.40pm | Pingle Wang (Dallas), Ron Kaniel (Rochester) Discussant: Minsoo Kim (UniMelb) |
|
| 1.15pm | Lunch 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 | Amit Goyal (U. of Lausanne), Weiming Zhang (CUHK), Jie Cao (CUHK), Xintong Zhan (CUHK) Discussant: Yichao Zhu (ANU) |
|
| 3.25pm | Break | |
| Session 3 | ||
| 3.40pm | Anirudh Dhawan (UTS), Benjamin Loos (Technical University of Munich), Marco Navone (UTS), Tālis J. Putniņš (UTS) Discussant: Carsten Murawski (UniMelb) |
|
| 4.15pm |
“Tell me a story: Quantifying economic narratives and their role during COVID-19 |
Erik C. M. Schütte (Aarhus), Daniel Borup (Aarhus), Jorge W. Hansen (Aarhus), Benjamin Liengaard (Aarhus) Discussant: Nalini Prasad (UNSW) |
| 4.50pm | Awards presentation and concluding remarks | |
| 5.00pm | Conference ends |
Click here to see the full Program.
Kenneth R. French, Tuck School of Business at Dartmouth College.
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).