The Seventh Annual Conference of The Paul Woolley Centre for the Study of Capital Market Dysfunctionality took place at the London School of Economics on 5-6 June 2014.
Organising Commitee: Georgy Chabakauri, Amil Dasgupta, Dong Lou, Igor Makarov, Christopher Polk, Dimitri Vayanos, Michela Verardo, Kathy Yuan, and Kostas Zachariadis.
The conference comprised 5 sessions:
1. Leverage, asset prices, and the macroeconomy
2. Benchmarking, portfolio choice and equilibrium prices
3. Institutional investors and market liquidity
4. Information and incentives in financial markets
5. Insurance markets and safety premia
Sessions
Session 1: Leverage, asset process and the macroeconomy
A model of monetary policy and risk premia
Itamar Drechsler (New York University and NBER)
Alexi Savov (New York University)
Philipp Schnabl (New York University, CEPR and NBER)
A macroeconomic framework for quantifying systemic risk
Zhiguo He (University of Chicago and NBER)
Arvind Krishnamurthy (Northwestern University and NBER)
Session 2: Benchmarking, portfolio choice and equilibrium prices
Asset management contracts and equilibrium prices
Andrea Buffa (Boston University)
Dimitri Vayanos (LSE, CEPR and NBER)
Paul Woolley (LSE)
On the demand for high-beta stocks: evidence from mutual funds
Susan E. K. Christoffersen (University of Toronto and CBS)
Mikhail Simutin (University of Toronto)
Session 3: Institutional investors and market liquidity
Investor composition and liquidity: an analysis of Japanese stocks
Hao Jiang (University of Texas and Erasmus University)
Sheridan Titman (University of Texas)
Takeshi Yamada (National University of Singapore and University of Adelaide)
Leverage constraints and liquidity: what can we learn from margin trading?
C. Bige Kahraman (Stockholm School of Economics)
Heather Tookes (Yale School of Management)
Session 4: Information and incentives in financial markets
Risk-taking, rent-seeking, and corporate short-termism when financial markets are noisy
Elias Albagli (USC Marshall)
Christian Hellwig (Toulouse School of Economics and CEPR)
Aleh Tsyvinski (Yale University)
Credit ratings: strategic issuer disclosure and optimal screening
Jonathan Cohn (University of Texas)
Uday Rajan (University of Michigan)
Günter Strobl (Frankfurt School of Management)
Session 5: Insurance markets and safety premia
Shadow insurance
Ralph S.J. Koijen (London Business School)
Motohiro Yogo (Federal Reserve Bank of Minneapolis)
Preferred habitats and safe haven effects: evidence from the London housing market
Cristian Badarinza (University of Oxford)
Tarun Ramadorai (University of Oxford and NBER)
