Institutions, Liquidity and Asset Prices

The Swedish Institute of Financial Research (SIFR) is pleased to invite interested academics and practitioners to a Conference on “Institutions, Liquidity, and Asset Prices” on August 31 and September 1, 2006, in Stockholm.

In recent decades, several empirical deviations from the predictions of neoclassical, frictionless asset pricing theories have been discovered. In order to explain these empirical patterns, researchers have started to study the role of frictions such as transaction costs, short‐sales constraints, asymmetric information, agency problems, investor irrationality, and the role of financial institutions and intermediaries in the pricing of financial assets.

The first conference day aims to bring together leading academics with financial practitioners and policymakers to discuss this research and its broader implications for practice and policy. There will be key‐note presentations by leading scholars in the field, which will be followed by a panel discussion where practitioners get to express their views on these issues. The second conference day has a standard academic format, and aims to provide an academic forum showcasing the frontier in asset pricing research.

Open Conference Program, Thursday, August 31

08:30 Coffee and welcome.

09:00‐12:30 Presentation: Darrell Duffie, Stanford University: “Capital Immobility: Implications for Asset Prices”.
Presentation: Andrew Metrick , University of Pennsylvania: “Liquidity Risk and Liquidity Constraints”.

Coffee.

Presentation: Kenneth French, Dartmouth College: “Equilibrium Markets: The Efficient Amount of Inefficiency”.

12:30‐13:30 Lunch

13:30‐17:00 Presentation: Owen Lamont, Yale University: “Smart Money, Dumb Money”.
Presentation: Jeremy Stein, Harvard University: “Arbitrage by Funds and Firms”.

Coffee

Panel Discussion: How do institutions affect asset prices?
Panel questions:
• Is increased institutional ownership stabilizing or destabilizing for asset prices and markets?
• What type of institutional owners will dominate in the future?
• Is short selling keeping market prices closer to their fundamental values?
• Do we need changes in regulation to make markets more efficient?

Panelists: Hans Dalborg, Nordea, Niklas Ekvall, Carnegie, Peter Norman, Seventh AP Fund, and Peter Thelin, Brummer & Partners.

17:00 Concluding remarks.

Academic Conference Program, Friday, September 1

08:30 Coffee.

09:00‐09:45 Presentation: Itay Goldstein, Wharton, and Wei Jiang, Columbia University: “Costly Communication, Shareholder Activism, and Limits to Arbitrage”.
Discussion: Jeremy Stein, Harvard University.

09:45‐10:30 Presentation: Chester Spatt, SEC and Carnegie Mellon University: “Equilibrium asset pricing and portfolio choice under asymmetric information”.
Discussion: Michael Brennan, UCLA.

10:30‐11:00 Coffee.

11:00‐11:45 Presentation: Nicolae Garleanu, Wharton: “Portfolio choice and pricing in illiquid markets”.
Discussion: Jean‐Pierre Zigrand, London School if Economics.

11:45‐12:30 Presentation: Darrell Duffie, Stanford University: “Systemic Dynamics in the Federal Funds Market”.
Discussion: TBA.

12:30‐13:30 Lunch.

13:30‐14:15 Presentation: Anna Scherbina, Harvard: “Inheriting Losers”.
Discussion: Ludovic Phalippou, University of Amsterdam.

14:15‐15:00 Presentation: Ingrid Werner, Ohio State: “Can short‐sellers predict returns? Daily evidence”.
Discussion: Frank de Jong, Tilburg University.

15:00‐15:15 Coffee

15:15‐16:00 Presentation: Owen Lamont, Yale: “The earnings announcement premium and trading volume”.
Discussion: Chris Malloy, London Business School.

16:00 Closing of conference.

Practical information 2006

August 31:

Time: 9:00 - 17:00. Registration starts at 8:30

Location: IVA Conference Center, Grev Turegatan 16, Stockholm

September 1:

Time: 9:00- 16:00. Registration starts at 8:30

Location: IVA Conference Center, Grev Turegatan 16, Stockholm

Keynotes

Darrell Duffie

James I. Miller Professor of Finance at the Graduate School of Business, Stanford University. Duffie’s research interests include over-the-counter market financial modeling, financial risk management, credit risk and valuation of defaultable securities, valuation and hedging of derivative securities, term structure of interest rate modeling, financial innovation, and security design.

Andrew Metrick

Associate Professor of Finance at the Wharton School, University of Pennsylvania. Metrick’s research interests cover venture capital, corporate governance, and decision-making under uncertainty.

Kenneth R. French

Carl E. and Catherine M. Heidt Professor of Finance at the Tuck School of Business, Dartmouth College. French’s recent research focuses on empirical estimates of the cross-section of expected stock returns, cost of capital, dividend policy, and capital structure.

Owen Lamont

Professor of Finance at the Yale School of Management, Yale University. Lamont’s research interests include imperfect capital markets, short selling, security prices and reaction to news, diversified firms and internal capital markets, and macroeconomic fluctuations and investment.

Jeremy C. Stein

Moise Y. Safra Professor of Economics at Harvard University. Stein’s research has covered such topics as behavioral finance and stock-market efficiency, corporate investment and financing decisions, risk management, capital allocation inside firms, financial intermediation, and monetary policy.

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