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Conference program 2014
1. Third ITAM Finance Conference
Mexico City
P R O G R A M
ITAM Santa Teresa
Mexico City, Mexico
June 6-7, 2014
Instituto Tecnológico Autónomo de México - ITAM,
and Fundación de Estudios Financieros - FUNDEF
www.itamfin.com
Organized by Guillermo Zamarripa, Pablo Galván,
and Aurelio Vásquez
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2. Day One: Friday, June 6, 2014
Registration at ITAM Santa Teresa
8:00-9:00 Breakfast and Welcome
Keynote Address– 9:00-10:00
Cracking the Emerging Markets Enigma
Andrew Karolyi, Cornell University
10:00-10:30 COFFEE BREAK
Friday Morning Session 1: Asset Pricing – 10:30-12:20
Valuation Risk and Asset Pricing
Authors: Rui Albuquerque, Martin Eichenbaum and Sergio Rebelo
Presenter: Rui Albuquerque, Boston University
Discussant: Thomas Maurer, Washington University in St. Louis
Fake Alphas, Tail Risk and Reputation Traps
Authors: Marco Di Maggio
Presenter: Marco Di Maggio, Columbia University
Discussant: Fernando Duarte, Federal Reserve Bank of New York
Dissecting Factors
Authors: Joseph Gerakos and Juhani T. Linnainmaa
Presenter: Joseph Gerakos, University of Chicago
Discussant: Alex Horenstein, University of Miami
12:20-14:00 LUNCH
Keynote Address
Reference-Founded Decisions in Finance
Fernando Zapatero, University of Southern California
3. Friday Afternoon Session 1: Options – 14:00-15:15
Options on Initial Public Offerings
Authors: Thomas Chemmanur, Chayawat Ornthanalai and Padma Kadiyala
Presenter: Chayawat Ornthanalai, University of Toronto
Discussant: Travis Johnson, University of Texas at Austin
Tail and Volatility Indices from Option Prices
Authors: Jian Du and Nikunj Kapadia
Presenter: Nikunj Kapadia, University of Massachusetts
Discussant: Scott Murray, University of Nebraska - Lincoln
15:15-15:45 COFFEE BREAK
Friday Afternoon Session 2: CDS – 15:45-17:00
CDS Auctions and Informative “Biases” in CDS Recovery Rates
Authors: Sudip Gupta and Rangarajan K. Sundaram
Presenter: Sudip Gupta, Indiana University
Discussant: Dmitriy Muravyev, Boston College
The Anatomy of the CDS Market
Authors: Martin Oehmke and Adam Zawadowskiz
Presenter: Martin Oehmke, Columbia University
Discussant: JingZhi Huang, Penn State University
7:15
DINNER COCKTAIL
Day Two: Saturday, June 7, 2014
4. Day Two: Saturday, June 7, 2014
8:00-9:00 Breakfast
Saturday Morning Session 1: Asset Pricing 2 – 9:00-10:15
A Simple Consumption-Based Asset Pricing Model and the Cross-Section of Equity
Returns
Author: Robert F. Dittmar and Christian Lundbladz
Presenter: Robert F. Dittmar, University of Michigan
Discussant: Sorin Sorescu, Texas A&M University
Heterogeneous Innovations, Firm Creation and Destruction, and Asset Prices
Authors: Jan Bena, Lorenzo Garlappi and Patrick Grüning
Presenter: Lorenzo Garlappi, University of British Columbia
Discussant: Francisco Palomino, University of Michigan
10:15-10:45 COFFEE BREAK
Saturday Morning Session 2: 10:45-12:00
A Granular Analysis of Corporate Investment
Authors: Gustavo Grullon, John Hund and James Weston
Presenter: John Hund, Rice University
Discussant: Sergey Chernenko, Ohio State University
Commodity Trade and the Carry Trade: A Tale of Two Countries
Authors: Robert Ready, Nikolai Roussanov and Colin Ward
Presenter: Nikolai Roussanov, Wharton School
Discussant: Michael Gallmeyer, University of Virginia
12:00
LUNCH
13:00-19:00
Visit to the Pyramids of Teotihuacan
5. CONFERENCE FEES and REGISTRATION
(NB: Hotel fees are separate – see below)
Practitioners:
Early birds until May 19th: MXN$4,000 or USD$333
After May 20th: MXN$4,800 or USD$400
Professors*:
Early birds until May 19th: MXN$2,000 or USD$167
After May 20th: MXN$2,400 or USD$200
Students**: MXN$1,100 or USD$92
*ITAM professors get a MXN$250 discount
**ITAM students get a MXN$100 discount
Spaces are limited. For conference registration, please contact Aurelio Vasquez at 52 (55)
5628-4000 ext. 6518 (aurelio.vasquez@itam.mx).
ACCOMMODATION
Conference participants are eligible for discounted hotel rates (MXN$1,368.50 or about
US$120.00 per day) from Thursday June 5 to Sunday June 8, 2014 at the conference hotel,
Camino Real Pedregal, within a short walking distance of the ITAM campus.
For more information about the hotel, please visit Hotel Camino Real Pedregal
Hotel Camino Real Pedregal
Periférico Sur No. 3647
Col. Héroes de Padierna
México D.F. 10700
The conference will take place at ITAM, campus Santa Teresa that is located within
walking distance from the hotel at
Av. Camino a Santa Teresa No. 930
Col. Héroes de Padierna
México D.F. 10700
As part of the conference, we will be visiting the Pyramids of Teotihuacan on the
afternoon of Saturday June 7, 2014.
6. Program Committee
Peter Christoffersen, University of Toronto
Kris Jacobs, University of Houston
Andrew Karolyi, Cornell University
Fernando Zapatero, University of Southern California
Organizing Committee
Guillermo Zamarripa Escamilla, Fundación de Estudios Financieros
Pablo Galván, Instituto Tecnológico Autónomo de México
Aurelio Vásquez, Instituto Tecnológico Autónomo de México