Program Second Annual Empirical Asset Pricing Retreat

Amsterdam, Tuesday June 27, 2006

Organized by:
The Finance Group of the University of Amsterdam Business School and Netspar

9.30 - 11.00 Ron Kaniel Duke University:
Why Do Investors Chase Return Trends?
Discussant: Alessandro Beber, HEC Lausanne

Antonio Diez de los Rios, Bank of Canada:
Assessing and Valuing the Nonlinear Structure of Hedge Fund Returns
Discussant: Marno Verbeek, Erasmus University Rotterdam


11.00 - 11.30 Break

11.30 - 13.00 Ayako Yasuda, Wharton Business School:
The Effective Cost of Fund Terms to Private Equity Investors
Discussant: Pedro Matos, University Southern California

Ralph Koijen, Tilburg University:
Dynamic Asset Allocation with Annuity Risk
Discussant: Otto van Hemert, NYU


13.00 - 14.00 Lunch break

14.00 - 15.30 Bing Liang, University Massachusetts, Amherst:
Do Market timing Hedge Funds time the Market
Discussant: George Aragon, Arizona State University

Vikas Agarwal, Georgia State University:
Risk and Return in convertible Arbitrage: Evidence from the Convertible Bond Market
Discussant: Mark Hutchinson, University College Cork

16.00 - 17.30 Akiko Fujimoto, University Alberta:
Time-Varying Liquidity Risk and The Cross-Section of Stock Returns
Discussant: Frank de Jong, Tilburg University and Netspar

Soeren Hvidkjaer, University of Maryland:
Small trades and the Cross-Section of Stock Returns
Discussant: Masahiro Watanabe, Rice University
Organizers:
Joost Driessen
Ludovic Phalippou

If you would like to attend this workshop, please send an email to: Assetpricing@uva.nl