July 6-9, 2023, Online and Onsite in Shanghai, China

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Session

The Cross Section of Stock Returns

Time:Sunday, July 9, 2023 13:30 - 15:15Location:Stream 3Session Chair:Dong Lou, London School of Economics Zoom:

Inflation Forecasting from Cross-Sectional Stocks

Claire Yurong Hong, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University

Jun Pan, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University

Shiwen Tian, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University

 Presenter: Claire Yurong Hong, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University

 Discussant: Pengfei Sui, The Chinese University of Hong Kong, Shenzhen

Price Impact: Continuous Trading, Closing Auctions, and Opening Auctions

Amit Goyal, University of Lausanne

Narasimhan Jegadeesh, Emory University

Yanbin Wu, University of Florida

 Presenter: Yanbin Wu, University of Florida

 Discussant: Hong Xiang, Hong Kong Polytechnic University

Flow-Based Asset Pricing: A Factor Framework of Cross-Sectional Price Impacts

Yu An, Johns Hopkins University

Yinan Su, Johns Hopkins University

Chen Wang, University of Notre Dame

 Presenter: Yu An, Johns Hopkins University

 Discussant: Xin Liu, Renmin University of China

The Return of Return Dominance: Decomposing the Cross-Section of Prices

Ricardo De la O, University of Southern California

Xiao Han, City, University of London

Sean Myers, The Wharton School

 Presenter: Xiao Han, City, University of London

 Discussant: Jiantao Huang, The University of Hong Kong

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