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2023 Consortium on Asset Management 

Monday, 13th March 2023
Cambridge, England

Supported by Cambridge Judge Business School's Centre for Endowment Asset Management (CEAM) and FMA, the Consortium is designed for European finance faculty who are currently working on research in asset management and related topics. Priority will be given to researchers who have received their doctorates within the last five years.

The consortium will be focused, with 5-6 high-quality papers, discussants, and a limited number of other researchers. Distinguished members of the finance profession, and practitioners, will provide feedback to presenters and discuss issues in asset management as well as aspects of academic publishing and career development.

The theme for this year’s workshop will be Asset Management. We particularly encourage papers within this theme that focus on: investing over the long-term; index investing; responsible investing; fund governance; factor investing; disruptive trends/technologies and how they’re influencing investors; and machine learning applications to asset management.

The consortium will be held as an in-person event in Cambridge, England.

Accepted Papers

Electronic Program Note: there will be no print copies of the program


08:45 – 09:00

Welcome & Introductions

Conference Chairs:

David Chambers, Invesco Professor of Finance, Cambridge Judge Business School
Mark Hutchinson, Professor and Chair of Finance, University College Cork
Oğuzhan Karakaş, Associate Professor in Finance, Cambridge Judge Business School, University of Cambridge
Mark Mulcahy, Professor in Corporate Finance, University College Cork
Pedro Saffi, Professor of Financial Economics, Cambridge Judge Business School, University of Cambridge

Session Chair: Oğuzhan Karakaş, University of Cambridge

09:00 – 09:45

Defining Greenwashing

Ariadna Dumitrescu, Javier Gil-Bazo, Feng Zhou

Discussant: Florian Weigert, University of Neuchatel

09:45 – 10:30

Green or Brown: Which Overpriced Stock to Short Sell?

Xintong (Eunice) Zhan, Weiming (Elaine) Zhang

Discussant: Annalisa Tonetto, University of Cambridge

10:30 – 11:00

Break with Coffee and Tea

Session Chair: Nikolaos Vasilas, Lancaster University

11:00 – 11:45

Seasonal Momentum in Option Returns

Steven L. Heston, Christopher S. Jones, Mehdi Khorram, Shuaiqi Li, Haitao Mo

Discussant: John O'Brien, University College Cork

11:45 – 12:30

Resurrecting the Value Factor from its Redundancy

Manuel Ammann, Tobias Hemauer, Simon Straumann

Discussant: Sabine Bernard, Goethe University

12:30 – 13:30

Lunch

13:30 – 14:30

Keynote Presentation:

Mariassunta Giannetti - Is disclosure a solution to greenwashing?

14:30 – 14:45

Break with Coffee and Tea

Session Chair: Elias Ohneberg, University of Cambridge

14:45 – 15:30

Back to the Roots: Ancestral Origin and Mutual Fund Manager Portfolio Choice

Manuel Ammann, Alexander Cochardt, Simon Straumann, Florian Weigert

Discussant: Marc Lipson, University of Virginia

15:30 – 16:15

Social Ties, Comovements, and Predictable Returns

Lin Peng, Sheridan Titman, Muhammed Yönaç, Dexin Zhou

Discussant: Abhinav Goyal, University of Birmingham

16:15 - 16:25

Best Paper Voting

16:25 – 16:40

Break with Coffee and Tea

16:40 – 16:55

Closing Remarks

 

Keynote Presenter

Mariassunta Giannetti - Is disclosure a solution to greenwashing?

We are delighted to confirm Professor Mariassunta Giannetti as the Keynote Presenter at the Consortium. 

Professor Giannetti is a professor of Finance at the Stockholm School of Economics, a CEPR research fellow, and a research associate of the ECGI. She holds a Ph.D. in Economics from the University of California, Los Angeles, and completed her B.A. and M.Sc. at Bocconi University (Italy).

Professor Giannetti has broad research interests in corporate finance and financial intermediation. She has published highly-cited research in leading journals in Finance, Economics, and Management, including the Journal of Political Economy, the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the American Economic Review, the Journal of Financial and Quantitative Analysis, the Review of Finance, and Management Science.

Professor Giannetti currently serves as associate editor of the Journal of Finance and the Journal of Financial Economics and was an associate editor of the Review of Financial Studies and the Review of Finance, among other journals.

 

Registration

Registration is now open. The fee to attend the conference is $60 USD. Travel expenses, and accommodation, are the responsibility of each registrant. Lunch and refreshments will be provided on the day.

Click here to register

Location

The Consortium will take place in the Webb Library, Jesus College.

Please note that photography is not permitted on College grounds.

Directions

 

Consortium Co-Chairs

  • David Chambers, Invesco Professor of Finance, Cambridge Judge Business School, University of Cambridge
  • Mark Hutchinson, Professor and Chair of Finance, University College Cork
  • Oğuzhan Karakaş, Associate Professor in Finance, Cambridge Judge Business School, University of Cambridge
  • Mark Mulcahy, Professor in Corporate Finance, University College Cork
  • Pedro Saffi, Professor of Financial Economics, Cambridge Judge Business School, University of Cambridge

Consortium Goals

  • Present high-quality new and unpublished research
  • Bring together younger scholars working in asset management and related topics and help them benefit from engaging with each other and gaining exposure to more senior faculty

Program Participation Applications and Selection Process

Click here to view the Call for Papers. Applications to present current research will be selected on a competitive basis, with priority given to European finance faculty who have been awarded their doctorate within the last five years. Criteria will include the nature of the research problem, implications of the proposed research, the quality of the research design, and the expected contribution of the research to the literature.

The paper submission fee is $25 USD for members and $35 USD for non-members.

The submission period has closed.

Accepted presenters will be exempted from paying the registration fee and will be invited to a conference networking dinner. One night’s accommodation will be covered for presenters. 

Program Committee Member Application

The submission period has closed.

Best Paper Prize

The Best Paper recipient will receive $500 USD and an invitation to present the paper at a future FMA European Conference.

 

Formal Participant Letters & Invitations

For participants seeking a formal invitation from FMA for either institution support or visa requirements, please contact Dawn Appleby at +1.833.946.4512 or [email protected]. Participants must be registered for the conference in order to receive a requested letter. 

 

 

THANK YOU to our sponsors and supporters

We would like to thank the Cambridge Centre for Endowment Asset Management (CEAM) for their kind support and collaboration.

 

                        

 

Past Consortium Programs

  • View the program from the 2022 Consortium on Asset Management and Fintech 
  • View the program from the 2020 Consortium on Asset Management
  • View the program from the 2019 Consortium on Factor Investing
  • View the program from the 2018 Consortium on Trading Strategies and Institutional Investing
  • 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

#FMAConsortium2023 - Follow the Conversation

During the conference, use the hashtag #FMAConsortium2023 to follow the conversation on Twitter (@finmgmtassoc) and Facebook (www.facebook.com/FMA.org).