Overview

Theme:The Forefront of Technology and Data

With the development of new technologies like artificial intelligence, big data analysis, and blockchain, and the emergence of alternative data like social media data, textual data and news data, a revolution is taking place in financial research. New technologies and new data not only provide us a broader perspective of financial research but also increase the knowledge and understanding of finance in academia and investment industry. Therefore, based on the cutting-edge research in finance, this symposium aims to arouse thinking and discussion, which promote academic exchanges and cooperation.

Symposium Chair:

Wenfeng Wu

(Shanghai Jiao Tong University)

Program Chairs:

Jun Tu

(Singapore Management University)

Ran Zhang

(Shanghai Jiao Tong University)

Organizations

Antai College of Economics and Management

Antai College of Economics and Management (ACEM), Shanghai Jiao Tong University boasts a rich history and tradition which dates back to the Business School of Nan Yang Public School founded in 1903. ACEM is dedicated to educate economic and management talents with international competencies. It promotes scientific and academic innovation, caters to economic and social development, and supports the growth of business. After over 30 years’ unremitting efforts, ACEM has established itself as a modern business school with a good reputation home and abroad, and the first business school in mainland China to have been triply accredited by AACSB, EQUIS and AMBA, the three largest and most influential business school accreditation associations in the world.

Agenda

Saturday, December 19 Sunday, December 20
7:40-8:00Welcome Speech
8:00-8:30 Paper 1: Searching for the Equity Premium
Hang Bai \ University of Connecticut
Lu Zhang \ The Ohio State and NBER
Presenter: Lu Zhang \ The Ohio State University
Discussant: David McLean \ Georgetown University
8:30-9:00Paper 2: The Aftermath of Corporate Default with Chinese Characteristics
Jing Ai \ University of Hawai'i at Manoa
Warren Bailey \ Cornell University
Haoyu Gao \ Renmin University of China
Xiaoguang Yang \ Chinese Academy of Sciences
Lin Zhao \ Chinese Academy of Sciences
Presenter: Warren Bailey \ Cornell University
Discussant: Ruichang Lu \ Peking University
9:00-9:30Paper 3: Maximizing the Sharpe Ratio: A Genetic Programming Approach
Yang Liu \ Tsinghua University
Guofu Zhou \ Washington University in St. Louis
Yingzi Zhu \ Tsinghua University
Presenter: Guofu Zhou \ Washington University in St. Louis
Discussant: Allaudeen Hameed \ National University of Singapore
9:30-10:00Paper 4: Why Does Option Volume Predict Stock Returns? The Role of Investor Disagreement and Mispriced Stocks
Allaudeen Hameed \ National University of Singapore
Byounghyun Jeon \ Marquette University
Presenter: Allaudeen Hameed \ National University of Singapore
Discussant: Lei Jiang \ Tsinghua University
10:00-11:00Keynote Speech:Return Horizon and Mutual Fund Performance
Hendrik Bessembinder \ Arizona State University
Michael J. Cooper \ University of Utah
Feng Zhang \ University of Utah
Speaker: Hendrik Bessembinder \ Arizona State University

Speakers

Keynote Speaker

Hendrik Bessembinder

Arizona State University

Presenters

Warren Bailey

Cornell University

Turan G. Bali

Georgetown University

Allaudeen Hameed

National University of Singapore

David McLean

Georgetown University

Paul H. Schultz

the University of Notre Dame

Kumar Venkataraman

Southern Methodist University

Lu Zhang

The Ohio State University

Guofu Zhou

Washington University in St. Louis

Practical Information

Antai College of Economics and Management, Shanghai Jiao Tong University
No. 1954 Huashan Rd, Pao Zhao-Long Library, Shanghai 200030 P.R.China
Email:sffs@acem.sjtu.edu.cn

Hendrik Bessembinder
Professor/Francis J. and Mary B. Labriola Endowed Chair in Competitive Business
Managing Editor, Journal of Financial and Quantitative Analysis, August 2003-present
Associate Editor: Journal of Financial Economics, January 2001-present
Associate Editor: Journal of Financial Markets, October 2000-present

E-mail:hb@asu.edu
Personal Page:https://wpcarey.asu.edu/people/profile/2717225

Hank Bessembinder is a professor and the Francis J. and Mary B. Labriola Endowed Chair in Competitive Business. He returned to Arizona State University, where taught for a decade before heading to Emory University and the University of Utah. Prior to his first assignment with ASU, Professor Bessembinder taught at the University of Rochester. His research focuses on the design and regulation of financial markets, including stock, foreign exchange, fixed income, futures, and energy markets. He has published numerous articles in the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, among others.

Warren Bailey
Professor of Cornell University
Krause Faculty Fellowship in Real Estate
E-mail:wbb1@cornell.edu
Personal Page:https://courses.cit.cornell.edu/wbb1/content/contents.html

Professor Warren Bailey's interests include international finance, international securities markets, and investments. He is a professor of finance at the Johnson Graduate School of Management and has a special interest in emerging capital markets, particularly in Asia. He has been featured and quoted extensively in the financial and mainstream press, including The New York Times, The Economist, and The Far Eastern Economic Review, and television interviews on CNN-FN and CNBC. He is a co-editor of The Journal of Financial Services Research and an associate editor of The Journal of Financial and Quantitative Analysis and The Pacific Basin Finance Journal. He received the Class of 1992 Award for Teaching Excellence and the Stephen Russell Distinguished Teaching Award in 1999.

Turan G. Bali
Robert Parker Chair Professor of Finance
McDonough School of Business Georgetown University
Finance Area Coordinator
E-mail:Turan.Bali@georgetown.edu
Personal Page:https://sites.google.com/a/georgetown.edu/turan-bali

Turan G. Bali is the Robert S. Parker Chair Professor of Business Administration at the McDonough School of Business at Georgetown University. He received his Ph.D. from the Graduate School and University Center of the City University of New York in 1999. Before joining Georgetown University, Professor Bali was the David Krell Chair Professor of Finance at Baruch College and the Graduate School and University Center of the City University of New York. He also held visiting faculty positions at New York University and Princeton University. Professor Bali specializes in asset pricing, risk management, fixed income securities, and financial derivatives. A founding member of the Society for Financial Econometrics, he worked on consulting projects sponsored by major financial institutions and government organizations in the U.S. and other countries. He regularly presents his work at central banks, regulatory agencies, investment banks, hedge funds, and academic conferences. Professor Bali published three books and more than 50 articles in economics and finance journals, including the most prestigious journals in his field such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, Management Science, Journal of Financial and Quantitative Analysis, Journal of Business, and Review of Economics and Statistics. He has won several awards, including the Q-Group's Jack Treynor Prize for quantitative research in finance. He currently serves as an Associate Editor of Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Financial Management, and Journal of Portfolio Management. He also serves on the review committees of the National Science Foundation, Research Grants Council of Hong Kong, Social Sciences and Humanities Research Council of Canada, and Scientific and Technological Research Council of Turkey.

Allaudeen Hameed
Tang Peng Yeu Professor in Finance
Head of Department, Finance
E-mail:allaudeen@nus.edu.sg
Personal Page:https://bizfaculty.nus.edu.sg/faculty-details/?profId=1

Allaudeen Hameed is Tang Peng Yeu Professor in Finance at the National University of Singapore (NUS) Business School. Dr Hameed has also held visiting positions at the Chinese University of Hong Kong, University of North Carolina at Chapel Hill and the University of Texas at Austin.

Dr Hameed’s research interests include return-based trading strategies, stock return co-movement, liquidity, role of financial analysts and international financial markets. His research work has been published in leading finance journals such as The Journal of Finance, Journal of Financial Economics, The Review of Financial Studies, The Journal of Financial and Quantitative Analysis and Management Science. He serves on editorial boards of several academic journals including the Journal of Financial and Quantitative Analysis, International Review of Finance (Editor), Financial Management, and Pacific-Basin Finance Journal.

Dr Hameed has won several awards including the University of North Carolina Kenan-Flagler Alumni Merit Award (2011), Outstanding Researcher Award (2015 and 2003) from NUS Business School, and Best Paper Awards at the FMA (2016 and 2018), SGF Conference, Swiss Society (2014) and China International Finance Conference (2008).

He completed his Bachelor of Business Administration (Honours) at NUS Business School and PhD in Finance at the University of North Carolina in Chapel Hill.

David McLean
Professor of Finance and William G. Droms Chair
Georgetown University,
McDonough School of Business
E-mail:dm1448@georgetown.edu
Personal Page:https://sites.google.com/site/davidmcleanswebpage/

David McLean is the William G. Droms Chair Professor of Finance at the McDonough School of Business at Georgetown University and the Finance Area Coordinator. His teaching and research interests are in capital market imperfections and their ramifications for both asset prices and corporate finance. His papers have been published in leading finance journals, such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. His research has won several awards, including the Amundi Smith Breeden Award for the best paper in Journal of Finance and the Jensen Prize for the best paper in the Journal of Financial Economics. He serves on the editorial boards of several academic journals, including the Journal of Financial and Quantitative Analysis and Management Science.

David previously taught at DePaul University, the University of Alberta, and MIT. He has been a Visiting Chair Professor at Hong Kong Polytechnic University and a Visiting Scholar at the Development Bank of Japan. He received his PhD from Boston College and holds the Chartered Financial Analyst (CFA) designation.

Paul H. Schultz
John W. and Maude Clarke Professor of Finance,
the University of Notre Dame
E-mail:pschultz@nd.edu
Personal Page:https://mendoza.nd.edu/mendoza-directory/profile/?slug=paul-schultz

Paul H. Schultz is the John W. and Maude Clarke Professor of Finance at the University of Notre Dame. He received his B.A. from Macalester College, and his M.B.A. and Ph.D. in Finance and Economics from the University of Chicago. His expertise is in corporate finance and market microstructure. His recent research interests include the collapse of internet stock prices, arbitrage and the prices of dual class shares, and the ability of mutual funds to pick stocks. He serves as Associate Editor of Journal of Financial and Quantitative Analysis.

Schultz’s paper, “Options and the Bubble,” co-authored with Robert Battalio, was named as one of eight finalists for the 2006 Smith Breeden Award, given by the Journal of Finance. He had previously won the Smith Breeden Award for his paper, “Why Do Nasdaq Market Makers Avoid Odd-Eighth Quotes,” co-authored with Bill Christie. He has also received several outstanding teaching awards, as well as grants and fellowships, including the Morgan Stanley Equity Market Microstructure Research Grant in 2004.

Paul is the director of the Center for the Study of Financial Regulation.

Kumar Venkataraman
Professor of Finance,
Cox School of Business,
Southern Methodist University
E-mail:kumar@cox.smu.edu
Personal Page:https://people.smu.edu/kumar/

Kumar Venkataraman is the Professor of Finance and the Maguire Chair in Energy Management in the Cox School of Business at Southern Methodist University. He serves as Academic Director of the Maguire Energy Institute and the Kyle Miller Energy program. He was the Chairman of the Finance Department between 2012 and 2015. He has a Ph.D. in Finance from Arizona State University.

Professor Venkataraman serves as an inaugural member of the U.S. Securities and Exchange Commissions’s Fixed Income Market Structure Advisory Committee (FIMSAC). The Committee will provide advice to the Commission on the efficiency and resiliency of the fixed income markets and identify opportunities for regulatory improvements. Notably, Kumar was named among “The Best 40 B-School Profs Under the Age of 40” in the 2011 Poets & Quants ranking of Business School professors.

Research: Venkataraman specializes in the area of market microstructure and writes about financial market design; evaluation of trading strategies; and functioning of equity, fixed-income and energy markets. His research has been published in top-tier academic journals, such as Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, and featured in industry publications, such as The CFA Digest, in text books, and in the business press, including Wall Street Journal, Barrons, Financial Times, The Economist and Bloomberg News. He has worked on consulting projects sponsored by Financial Industry Regulatory Authority (FINRA) and the Commodity Futures Trading Commission (CFTC), and has served as expert witness in litigations, including the U.S. Department of Justice.

Awards & Honors: Venkataraman serves on the Editorial Board of several journals including Journal of Financial and Quantitative Analysis and Journal of Financial Markets. He has received University-wide awards for teaching (the 2017-2019 Altshuler Distinguished Teaching Professor) and research (the 2008 Gerald J. Ford Senior Research Fellowship). He has also received multiple teaching and research awards from the Cox School of Business. His research has won several best paper awards at international conferences.

Lu Zhang
The John W. Galbreath Chair,
Professor of Finance,
The Ohio State University
E-mail:zhang.1868@osu.edu
Personal Page:http://theinvestmentcapm.com/index.html

Dr. Lu Zhang is The John W. Galbreath Chair, Professor of Finance, at Fisher College of Business, The Ohio State University, as well as Research Associate at National Bureau of Economic Research (Asset Pricing program) and Associate Editor for Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is Founding President of Macro Finance Society, which is an international academic society devoted to advancing and disseminating high-quality research at the intersection of financial economics and macroeconomics. Before joining Ohio State in 2010, he taught at Stephen M. Ross School of Business at University of Michigan and William E. Simon Graduate School of Business Administration at University of Rochester.

Dr. Zhang’s research focuses on asset pricing, in connection with macroeconomics, corporate finance, labor economics, and capital markets research in accounting. His major contribution is ''The investment CAPM,'' which provides a unified conceptual framework for understanding asset pricing anomalies. As its empirical implementation, ''The q-factor model'' is a leading workhorse factor pricing model in both academia and the investment management industry. His recent theoretical work on "Endogenous disasters" shows how labor market frictions give rise endogenously to economic disasters. Dr. Zhang has published extensively at prestigious academic journals. One chapter of his doctoral thesis "The value premium" won the Smith-Breeden Award for Best Paper for 2005 from American Finance Association and Journal of Finance. His academic research has been frequently featured in prominent media outlets such as The Wall Street Journal, Bloomberg, Shanghai Financial News, and The Economist.

Dr. Zhang has extensive teaching interests and experience at the undergraduate, M.B.A., and Ph.D. levels. He has taught a variety of courses including Investment Management, Derivative Securities, Capital Markets and Investment Strategy, Corporate Finance, Empirical Methodology in Finance, Theory of Finance, and Advanced Asset Pricing. In 2015, he was voted the Outstanding Working Professional MBA Elective Faculty Award recipient at Fisher College of Business, The Ohio State University.

Guofu Zhou
Frederick Bierman and James E. Spears Professor of Finance at Olin Business School (OBS),
Washington University in St. Louis
E-mail:zhou@wustl.edu
Personal Page:http://apps.olin.wustl.edu/faculty/zhou/

Guofu Zhou is the Frederick Bierman and James E. Spears Professor of Finance at Washington University in St. Louis. Professor Zhou’s research interests include portfolio choice, asset allocation, technical analysis, bubbles and crashes, anomalies, asymmetric information, asset pricing tests, Bayesian learning, model selection, econometric methods in finance. His journal publications have appeared in Journal of Finance,Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, and other leading academic journals. Also, He is co-author of the book Financial Economic, and contributor to several books, including Advanced Fixed-Income Valuation Tools, and Q-finance, etc. Presently, he also serves as Associate Editor of Journal of Financial and Quantitative Analysis, and on the Editorial Board of Journal of Portfolio Management, International Journal of Portfolio Analysis & Management, Annals of Economics and Finance. Professor Zhou received Reid Teaching Award (1997, 2010, 2014), Special Recognition for Excellence in mentoring graduate students (2003 and 2013). He was named Marcile and James Reid Chair for his consistently outstanding teaching (1998), etc.

Professor Zhou teaches Research Seminar in Empirical Finance at SAIF. At Washington University, Professor Zhou has taught extensive finance courses at undergraduate, master (MSFin, MBA and EMBA), and Ph.D. levels.

Professor Zhou holds a BS degree from Chengdu College of Geology, a MS in Computational Mathematics from Chengdu Branch, Academia Sinica, and a Ph.D. in Economics from Duke University in 1990.