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Past Conferences

Recent Research on Hedge Funds and Performance Measurement
August 14-15, 2006

Read a summary of the conference in the story "Hedge fund experts convene at Kellogg School"

For more information, including the conference program and schedule, please visit Prof. Ravi Jagannathan's Web site.

Conference on Investments in Imperfect Capital Markets
April 26-28, 2002

Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University

Lawrence Glosten, Campbell Harvey, Ravi Jagannathan, Maureen O’Hara and Sheridan Titman.

Date and Venue
The conference will begin after lunch on Friday, April 26, 2002 at the Allen Center at Northwestern University, Evanston, Illinois and end with lunch on Sunday, April 28, 2002.

Aim Of The Conference And Overview
The goal of the conference is to bring together leading researchers from around the world to present and discuss recent research in the area of asset pricing, portfolio choice, and market microstructure with a focus on equity investments. Traditionally the literature in the asset pricing and portfolio choice areas assume that capital markets are perfect and that transactions costs are of second order in importance and can be ignored. In contrast transactions costs play a central role in the market microstructure literature, where they arise endogenously from the need for liquidity in and the industrial organization of financial markets. However, most microstructure analyses are partial equilibrium and hence have nothing to say about asset pricing. An objective of the conference is to highlight research that brings these areas closer together.

The conference will cover research on the following topics.

  • Optimal asset allocation and trading rules in the presence of transactions costs and taxes.
  • Estimating variances and covariances using high frequency data taking market microstructure effects into account.
  • Trading costs and order execution.
  • Understanding the risks and rewards to relatively illiquid investment – viz., Hedge funds, Private Equities, Venture Capital, etc.
  • Performance evaluation when the managed portfolio contains illiquid assets.

The Review Process
Papers for the conference will be selected based on double blind reviews by members of the Program Committee. The Program Committee will consist of leading academics from around the world doing research in the market microstructure, portfolio choice and asset pricing areas. The composition of the Program Committee will be announced some time in the future.

Format of the Conference
There will be 12 papers in the conference. An expert discussant will critique the paper following its presentation by the author(s). This will be followed by exchange of views among the conference participants.

The organizers will pay for travel (subject to a maximum of $500), boarding and lodging expenses of the author who presents the paper and the discussant.

©2001 Kellogg School of Management, Northwestern University