2018 Consortium on Trading Strategies and Institutional Investing

Cambridge

Tuesday, 6 February 2018
Cambridge’s Judge Business School
Trumpington Street, Cambridge, CB2 1AG, United Kingdom

Presented by University College Cork (UCC) and Financial Management Association International (FMA), the consortium is sponsored by the Cambridge Endowment for Research in Finance (CERF). 

The Consortium Coordinators are Mark Hutchinson, Head of the Department of Accounting, Finance and Information Systems (AFIS) and Co-Director of the Centre for Investment Research, University College Cork; Mark Mulcahy, Senior Lecturer, University College Cork; and Pedro Saffi, University Lecturer, University of Cambridge and Fellow, Cambridge Endowment for Research in Finance (CERF). Distinguished members of the finance profession, and practitioners will provide feedback to presenters and discuss issues in institutional investing as well as aspects of academic publishing and career development. Click to view the program

The consortium will be focused, with 5-6 high quality papers, discussants, and a limited number of other researchers.  The goals of the consortium are to provide a forum to:

  • Present high quality new and unpublished research
  • Bring together younger scholars working in institutional investing, trading strategies, and related topics and help them benefit from engaging with each other and gaining exposure to more senior faculty

Registration

Nonmembers & Members: $60 USD

Note: Presenters and discussants are exempt from paying the registration fee and are invited to a consortium networking dinner. One night’s accommodation (small double room) will be covered for presenters. Click here for hotel information.

Click here to register.

Consortium Program

All presentations will take place in Room W2.01 of the Cambridge Judge Business School unless noted otherwise. 

08:15 - 09:00       

Welcome & Introductions
Mark Hutchinson, Professor of Finance, University College Cork; Mark Mulcahy, Senior Lecturer, University College Cork; and Pedro Saffi, University Lecturer, University of Cambridge and Fellow, Cambridge Endowment for Research in Finance (CERF)

 09:00 - 9:45

The Sustainability Footprint of Institutional Investors
Rajna Gibson Brandon and Philipp Krüger*
Discussant: Oğuzhan Karakaş, Cambridge Judge Business School

 09:45 - 10:30

Slow Trading and Stock Return Predictability
Allaudeen Hameed, Matthijs Lof,* Matti Suominen
Discussant: Adam Reed, UNC Kenan-Flagler Business School

 10:30 - 11:00

Break with Coffee and Tea

 11:00 - 11:45

Cross-Sectional Dispersion and Expected Returns
Thanos Verousis* and Nikolaos Voukelatos
Discussant: Petri Jylhä, Aalto University

 11:45 - 12:30

The Limits of Fundamental Arbitrage: Evidence from Detailed Hedge Fund Transaction Data
Bastian von Beschwitz, Sandro Lunghi, Daniel Schmidt*
Discussant: Thummim Cho, London School of Economics

 12:30 - 13:30

Lunch (2nd Floor Common Area)

 13:30 - 14:30

Keynote Presentation

Tim Jenkinson

Tim Jenkinson
Professor of Finance
University of Oxford

Tim Jenkinson is Professor of Finance at the Said Business School. One of the leading authorities on private equity, IPOs, and institutional asset management, Tim is renowned for his ability to collect critical, previously inaccessible, data by building strong links with institutional investors, banks and other players in the financial industry. His research is widely quoted and has been published in the top academic journals.

He is Director of the Private Equity Institute, Oxford, and is one of the founders of the Private Equity Research Consortium. Tim is a renowned teacher and presenter, and teaches executive courses on private equity, entrepreneurial finance, and valuation. He is a frequent keynote speaker at practitioner conferences and his research has recently been awarded the 2016 Harry Markowitz Prize (for his work on Private Equity returns), the 2015 Commonfund Prize (for the paper with the most relevance to institutional investors) and a 2014 Brattle Group Prize (awarded by the American Finance Association for the best research on corporate finance). He is also a Professorial Fellow at Keble College, University of Oxford and a Research Associate of the European Corporate Governance Institute

 14:30 - 14:45

Break with Coffee and Tea

 14:45 - 15:30

The Absolute Return Wedge: A New Measure That Predicts Hedge Fund Performance
Vikas Agarwal, Stefan Ruenzi, and Florian Weigert*
Discussant: Nick Baltas, Goldman Sachs & Imperial College Business School

 15:30 - 16:15

House of Funds
Nataliya Gerasimova*
Discussant: Jason Sturgess, Queen Mary University of London

 16:15 - 16:30

Closing Remarks

18:45

Dinner for Presenters and Discussants (Invite only)

 *Presenting author.

To view the program committee list, click here.

Accommodations

All participants are responsible for booking thier own travel and hotel. FMA has reserved a block of rooms at the following hotel.The room rates are below. To receive the promo code for the following room rates, please contact lbryan@usf.edu.

Regent Hotel
41 Regent Street
Cambridge CB2 1AB, UK

  • Small double rooms: £128.00
  • Standard rooms: £137.00
  • Executive room: £158.00
  • 3rd Floor Executive: £163.00
Click here to book your room.

Best Paper Awards

The authors of the best papers from the consortium will be invited to present their papers on special sessions at the 2018 FMA European Conference in Kristiansand, Norway (13 - 15 June 2018).

Past Consortium Programs

  • View the program from the 2017 Consortium on Institutional Investing and Hedge Funds
  • View the program from the 2015 Consortium on Activist Investors, Corporate Governance and Hedge Funds
  • View the program from the 2014 Consortium on Research in Hedge Funds, Trading Strategies & Related Topics

About the Cambridge Endowment for Research in Finance (CERF)

Cambridge Endowment for Research in Finance (CERF) was established in 2001 and is "devoted to the furtherance of research and study into all aspects of finance, financial institutions, and financial markets, and their relationship with the performance of the economy."

CERF is currently funding a variety of initiatives in the University of Cambridge ranging from research grants, studentships, postdocs, fellowships, visiting academics, conferences and seminars.

Thank you Program Committee

  • Jesse Blocher, Vanderbilt University
  • Jonathan Brogaard, University of Washington
  • Yong Chen, Texas A&M University
  • Si Cheng, Chinese University of Hong Kong
  • Darwin Choi, Chinese University of Hong Kong
  • James Clunie, Jupiter Asset Management
  • Mathijs Cosemans, Erasmus University Rotterdam
  • Amil Dasgupta, London School of Economics, CEPR, and ECGI
  • Gregory Eaton, Oklahoma State University
  • Chanaka Edirisinghe, Rensselaer Polytechnic Institute
  • Miguel Ferreira, Nova School of Business and Economics
  • Egemen Genc, Erasmus University
  • William Gerken, University of Kentucky
  • Amit Goyal, University of Lausanne
  • Moqi Groen-Xu, London School of Economics
  • Chinmay Jain, University of Ontario
  • Russell Jame, University of Kentucky
  • Liang Jin, Lancaster University
  • Thomas Keusch, INSEAD
  • Adam Lei, Midwestern State University
  • Tao Li, University of Florida
  • Christian Lundblad, University of North Carolina, Chapel Hill
  • Andrew Lynch, University of Mississippi
  • Guido Mantovani, Ca' Foscari University of Venice
  • Cesario Mateus, University of Greenwich
  • Pedro Matos, University of Virginia
  • M. Imtiaz Mazumder, St Ambrose University
  • Kevin Mullally, University of Alabama
  • Duc Duy Nguyen, University of St Andrews
  • Seongkyu Park, Hong Kong Polytechnic University
  • David Rakowski, University of Texas Arlington
  • Oliver Randall, Emory University
  • Adam Reed, University of North Carolina, Chapel Hill
  • Julia Reynolds, Università della Svizzera italiana
  • Russell Rhoads, Oklahoma State University & Cboe Global Markets
  • Stefan Ruenzi, University of Mannheim
  • Mehrdad Samadi, Southern Methodist University
  • Jan Schnitzler, VU University Amsterdam
  • Thomas Shohfi, Rensselaer Polytechnic Institute
  • Denitsa Stefanova, University of Luxembourg
  • Hui-Ju Tsai, Washington College
  • Thanos Verousis, Newcastle University
  • Sunil Wahal, Arizona State University
  • Ying Wang, SUNY at Albany
  • Zuobao Wei, University of Texas El Paso
  • Florian Weigert, University of St Gallen
  • Feixue Xie, University of Texas El Paso
  • Gulnara Zaynutdinova, West Virginia University