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6th Asset Pricing Conference by LTI@UniTO

10 October 2023 @ 09:50 - 17:50


  • Past event


10 October 2023
09:50 - 17:50
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Academic Events

6th Asset Pricing Conference by LTI@UniTO

This one-day conference aims to promote the highest level and up-to-date research in asset pricing within the European academic community. Speakers and discussants are selected among the most innovative junior researchers and established scholars.

Call for Job Market Paper

One presentation slot is devoted to the PhD candidate for the best paper in Asset Pricing. The winner of this slot for this year is Ruggero Jappelli from the Leibniz Institute for Financial Research SAFE. He will receive a discussion of Bernard Dumas (INSEAD) during the conference and will be awarded a prize of €500.

Conference program 

9:50 – 10:00 Welcome
Pietro Garibaldi, Collegio Carlo Alberto

10:00 – 10:50 “Investment Horizon and the Term Structure of Market Efficiency”
Matthijs Breugem, Collegio Carlo Alberto
Discussant: Diego Garcia, University of Colorado Boulder

10:50 – 11:10 Coffee

11:10 – 11:50 “Imputing Mutual Fund Trades”
Dion Bongaerts, Rotterdam School of Management
Discussant: Aytek Malkhozov, Queen Mary University of London

11:50 – 12:40 “Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified”
Laurent Barras, University of Luxembourg
Discussant (online): Daniel Schmidt, HEC Paris

12:40 – 14:00 Lunch

14:00 – 14:50 “Beyond the VIX: Option-Driven Insights into COVID-19 Market Turbulence”
Lukas Zimmer, Karlsruher Institute of Technology
Discussant: Max Croce, Bocconi University

14:50 – 15:40 “Deciphering monetary policy shocks”
Christian Wagner, WU Vienna University of Economics and Business
Discussant: Fabio Trojani, University of Geneva, SFI, University of Torino

15:40 – 16:10 Coffee

16:10 – 17:00 “CHILE”
Sergey Glebkin, INSEAD
Discussant: Vincent Maurin, HEC Paris

17:00 – 17:50 “Dynamic Asset Pricing with Passive Investing”
Ruggero Jappelli, Leibniz Institute for Financial Research SAFE
Discussant: Bernard Dumas, INSEAD