CDI 2020

Wednesday − September 2, 2020, 12:30pm EDT

12:35 p.m.

• "Engineering Lemons" by Petra Vokata (OSU), slides, video

• Discussion: Neil Pearson (UIUC), slides

1:25 p.m.

• "Extrapolation and Complexity" by Donghwa Shin (UNC), slides, video

• Discussion: Boris Vallée (Harvard), slides

Wednesday − September 9, 2020, 12:30pm EDT

12:35 p.m.

• "Price Pressures and Option Returns"* by Ruslan Goyenko and C. Zhang, slides, video

• Discussion: Albert Menkveld (VU Amsterdam), slides

1:25 p.m.

• "Market Return Around the Clock: A Puzzle" by O. Bondarenko and Dmitriy Muravyev, slides, video

• Discussion: Charles Martineau (Toronto), slides

Wednesday − September 16, 2020, 12:30pm EDT

12:35 p.m.

• "Bond Funds and Credit Risk" by Jaewon Choi, A. Dasgupta and J.Y.J. Oh, slides, video

• Discussion: Vikas Agarwal (GSU), slides

1:25 p.m.

• "Risk Appetite and Intermediation by Swap Dealers" by S. Mixon and Esen Onur, slides, video

• Discussion: Lars Lochstoer (UCLA), slides

*Research sponsored by CDI research grants

Wednesday − September 23, 2020, 12:30pm EDT

12:35 p.m.

• "The Cross Section of the Monetary Policy Announcement Premium" by H. Ai, L.J. Han, Xuhui (Nick) Pan, and L. Xu, slides, video

• Discussion: Michael Weber (Chicago), slides

1:25 p.m.

• "Fed Tails: FOMC Announcements and Stock Market Uncertainty" by Heiner Beckmeyer, N. Branger and T. Grünthaler, slides, video

• Discussion: Emanuel Moench (Bundesbank), slides

Wednesday − September 30, 2020, 12:30pm EDT

12:35 p.m.

• "Modeling Volatility in Dynamic Term Structure Models" by H. Doshi, K. Jacobs and Rui Liu, slides, video

• Discussion: Guillaume Roussellet (McGill), slides

1:25 p.m.

• "The Dark Matter in Equity Index Volatility Dynamics: Assessing the Economic Rationales for Unspanned Risks" by Gurdip Bakshi, J. Crosby and X. Gao, slides, video

• Discussion: Winston Dou (Wharton), slides

Scientific Committee

• Patrick Augustin (McGill)

• Mikhail Chernov (UCLA)

• Christian Dorion (HEC Montréal)

• Mathieu Fournier (HEC Montréal)

• Pascal François (HEC Montréal)

• Piotr Orłowski (HEC Montréal)

• Chayawat Ornthanalai (University of Toronto)

• Neil Pearson (University of Illinois)

• Aurelio Vasquez (ITAM)