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Conferences
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
Co-sponsor
Financial Institutions and Markets Research Center, Kellogg
School of Management, Northwestern University
Organizers
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.
Expenses
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.
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