Centre for Asset Pricing Research (CAPR)
The Centre for Asset Pricing Research (CAPR) serves as a bridge between academia and the financial industry.
INDUSTRY SEMINARS - LUNCH SEMINARS - WORKSHOPS - CONFERENCES
Mark your calendars for seminars, workshops and conferences arranged by CAPR. An overview of all events can be found on this page.
Previous industry seminars
- November 8: Industry seminar with Jørgen Stenshagen and Ole Petter Kjerkreit of Stenshagen Invest.
- October 19: Industry seminar with Knut Anton Mork on the report of the committee to assess the equity allocation of the GPFG (“the Oil Fund”). Joint with the Centre for Applied Macro-and Petroleum economics (CAMP) and the Centre for Monetary Economics (CME).
- October 11: Industry seminar on "The revenge of the nerds: dynamic factor investing" with Bernt Christian Brun of Fronteer Solutions.
- May 3: Industry seminar on "Property bubbles" with Arnold Kling. See slides from the seminar here.
- November 3: Industry seminar on "Corporate risk management and firm value" with Halvor Hoddevik (Executive Chairman of Rann Rådgivning AS).
- October 13: Industry seminar on "Insights into operatonal and financial restructuring" with Leif Christian Salomonsen (Founding Partner of Recore).
- September 1: Industry seminar on "Real effects of exchange rate fluctuations".
- February 24: Industry seminar on "Fat-tails and high peak in finance and other places" with Espen Haug (Norwegian University of Life Sciences).
- September 18: The Centre for Asset Pricing Research is organizing its first industry seminar on Intentional and unintentional policy errors and bond market plumbing" with Andreas Koutras (ITC markets).
Previous lunch seminars
- Aug 24 (AP): Ilan Cooper - "Equity risk factors and the intertemporal CAPM"
- Aug 31 (CF): Hamid Boustanifar - "Wages and human capital in finance"
- Sep 7 (AP): Håkon Tretvoll - "Trade in Commodities and Emerging Market Business Cycles"
- Sep 14 (CF): No Seminar
- Sep 21 (AP): Patrick Konermann (Univ. of Muenster) - "Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps"
- Sep 28 (CF): Artashes Karapetyan (Norges Bank) - "Collateral versus informed screening during banking relationships"
- Oct 5 (AP): Bernard Dumas (INSEAD) - "Pure Geographic Stock Returns Indexes"
- Oct 12 (AP): Skander Van den Heuvel (Federal Reserve Board) - "Welfare Effects of Bank Liquidity and Capital Requirements"
- Oct 19 (AP): Douglas Chung (BI) - "Trade imbalance and asset prices"
- Oct 26 (AP): Geir Bjønnes (BI) - "Price Discrimination and the Cost of Liquidity in OTC Markets"
- Nov 5 (Thursday) (AP): Michela Verardo (LSE) - "Does herding behavior reveal skill? An analysis of mutual fund performance"
- Nov 9 (AP): Siri Valseth (Stavanger) - "Informed trading in hybrid bond markets"
- Nov 16 (AP):
- Nov 23 (CF): Dan Zhang (BI) - "CEOs' Personal Risk Attitudes and Corporate Policies"
- Nov 30 (AP): Espen Henriksen (BI) - "Cyclical Volatility and Inflation Dynamics"
- Dec 7 (AP): Namhee Matheson (BI) - "Asset Prices with Heterogeneous Beliefs on Infrequent Events"
- Dec 14 (AP): Vasyl Kotsovskyi (BI) and Jo Saakvitne (BI)
- February 23 (AP): Maximilian Rohrer - "Aggregate Leverage and the Cross Section of Returns" (joint work with Jens Sørlie Kværner)
- March 2 (AP): Roy Chu - "Cyclicality of Investment Synchronicity"
- March 9 (AP): Thomas Leirvik - "Asset Allocation under Stochastic Interest Rates and Time-Varying Risk Premiums"
- March 16 (AP): Andreas Fagereng (SSB) - "Why do wealthy parents have wealthy children?"
- March 23 (AP): Alfonso Irarrazabal (Econ, BI) - "Optimal Asset Allocation for Commodity Sovereign Wealth Funds"
- March 30: Easter
- April 6: Easter
- April 13 (AP): Steffen Grønneberg (Econ, BI) - "On Partial Sums of Smooth Functions of ARMA-X Residuals"
- April 20 (AP): Tommy Sveen (Econ, BI) - "Commodity Futures and Forecasting Commodity Currencies"
- April 27 (AP): Namhee Matheson - "Heterogeneous belief on rare disaster"
- May 4 (CF): Cancelled
- May 11 (AP): Douglas Chung - "The Overlooked Beta"
- May 18 (CF): Jacopo Bizzotto (UiO) - "Contingent Payments and Certification Quality"
- May 25: Whit Monday
- June 1 (CF): Charlotte Ostergaard - "Contractual Governance in the Absence of Law: Bylaws of Norwegian Firms in the Early 20th Century"
- June 8 (AP): Dagfinn Rime - "Exchange rates, interest rates, and the global carry trade"
- June 15 (CF): Valeriya Dinger (University of Osnabruck) - "Bank SEO: Determinants, Costs and Systemic Effects"
- June 22: Samuli Knupfer (BI) - "Are CEOs born leaders? Lessons from traits of a million individuals"
- September 8: Espen Henriksen (UC Davis) - "The Risky Capital of Emerging Markets"
- September 15: Kjell Jørgesen and Dagfinn Rime (BI) - "Foreign Exchange Order Flow" and "The Time-Varying Effect of Fundamentals and Message to Trade Ratios at the Oslo Stock Exchange" (30 min each)
- September 22: Georgy Chabakauri (LSE) - "Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims"
- September 29: Kim Peijnenburg (Bocconi) - "Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence"
- October 6: Paul Ehling & Ben Yang (BI) - "Portfolio Tax Trading Strategies with Carry-Over-Losses "
- October 13: Remy Praz (CBS) - "Asymmetric Information and Inventory Concerns in Over-the-Counter Markets"
- October 20: Mogens Steffensen (University of Copenhagen) - "From Utility Optimization to Good Advice and Good Product Design"
- October 27: Maximilian Rohrer (BI) - "Sentiment, growth options, and a negative price of risk"
- November 3: Arash Aloosh (BI) - "Global Variance Risk Premium and Forex Returns Predictability"
- November 10: Jungsuk Han (SSE) - "An Information-based Theory of Financial Fire Sales"
- November 11: Bernard Dumas (INSEAD)
- November 17: Nam Huong Dau (BI) - "Equilibrium Interaction of Borrowing and Short-Sale Constraints and Asset Pricing"
- November 24: Di Cui (BI) - "Investor Recognition and Post-Acquisition Performance of Acquirers"
- December 1: Andreea Mitrache (BI) - "Growth Options and The Cross-Section of Residual Variances"
- December 8: Namhee Matheson (BI) - "Heterogeneous Belief and Multiple Risk Factors" and Roy Chu (BI) - "Cyclicality of Investment Synchronicity" (30 mins each)
- December 15: Douglas Chung (BI) - "Institutional Trading"
- February 25: Genaro Sucarrat (BI) - "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown"
- March 10: Philipp Illeditsch (Wharton) - "Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model"
- March 12: Xavier Ragot (Paris School of Economics) - "Money, limited participation and heterogeneity: An alternative view of monetary policy"
- March 24: Adrien Vigier (UiO) - "Long live the pundits! The failure of financial markets to evaluate experts"
- March 31: Håkon Tretvoll (BI) - "Consumption Correlations and the Composition of International Trade"
- April 7: Irina Zviadadze (Stockholm School of Economics) - "Crash Risk in Currency Returns"
- April 14: Easter
- April 23: Nils Hjort (UiO) - "Distributions of confidence"
- April 28: Benjamin Holcblat (BI) - "Econometric inference theories and multiple use of the same data"
- May 5: Paul Krühner (UiO), A consistent recalibration theory and applications to commodity markets
- May 12: Dagfinn Rime (BI): Order flow information and spot rate dynamics (with M Evans)
- May 19: Iñaki R. Longarela (Stockholm University), Arbitrage violations in currency markets
- May 26: Paul Ehling (BI) - "Disagreement about Inflation and the Yield Curve"
- June 2: Bernard Dumas (Insead) - "Hysteresis bands, holding period and transaction costs"
- June 16: Fernando Leibovici (York) - "Financial Development and International Trade"
- August 26: Diana Barro (Università Ca' Foscari Venezia) - “Downside risk in multiperiod tracking error models”
- September 02: Giulia Di Nunno (University of Oslo) - “Quadratic hedging and model risk”
- September 10: (TUESDAY) Saki Bigio (Columbia Business School) - “Banks, Liquidity Management and Monetary Policy”
- September 16: Andrea Mitrache (BI) - “The Cross-Section of Expected Returns, Variances, and Macroeconomic Aggregates”
- September 24: Paulo Maio (Hanken School of Economics) - “Does the stock market lead the economy?“
- September 30: Francesco Furlanetto (Norges Bank) - “Identification of financial factors in economic fluctuations“
- October 07: Huy-Vu Nguyen (BI) - “Interbank lending and bank’s credit spread: a spatial approach”
- October 14: CANCELLED
- October 21: Costas Xiouros (BI) - “The Representative Agent of an Economy with External Habit Formation and Heterogeneous Expectations”
- October 28: Kjetil Storesletten (UiO) - “Redistributive Taxation in a Partial Insurance Economy”
- November 04: Nam Dau (BI) - “The equilibrium impact of leverage and short-sale constraints”
- November 11: Paul Ehling (BI) - “Endogenous Stock Market Nonparticipation“
- November 18: Christian Heyerdahl-Larsen (LBS) - “Asset Prices and Portfolio Choice with Learning from Experience”
- November 25: Junhua Zhong (BI) - “Predictive Regressions Using Ex Ante Index Futures Market Information”
- December 02: Per Krusell (Stockholm University) - “Asset Trading and Valuation with Uncertain Exposure”
- March 04: Andreea Mitrache - “The Time-Series and Cross-Section of Returns and Variances”
- March 18: Juan Pedro Gomez (IE Business School) - “How Are Mutual Fund Portfolio Managers Compensated?”
- March 25: No Seminar
- April 08: Benjamin Holcblat - “From an ESP-like perspective on inference to robustness”
- April 15: Junhua Zhong - “Predictive Regressions Based on Ex Ante Index Futures Market Information”
- April 22: Håkon Tretvoll - “Investment Specific Technology Shocks and Recursive Preferences”
- April 29: Nam Dau - “Asset Pricing with Portfolio Constraints”
- May 06: Fred Espen (University of Oslo) - “A general approach to pricing in energy and weather markets”
- May 13: Dagfinn Rime (Norges Bank) - “Currency Order Flow and Real-Time Macroeconomic Information”
- May 20: Vu Nguyen - ”Does Interbank Lending Have Any Effect on Bank's Credit Spread ? A Spatial Approach”
- May 27: Romeo Tedongap (Stockholm School of Economics) - “Volatility Downside Risk”
- June 3: Astrid Schornick (Insead) - "Currency Premia in Open Economies"
- June 10: Di Cui -“Investor recognition, idiosyncratic volatility and cross-sectional expected return.”
- June 18: Workshop on Time-Varying Expected Returns
Previous BI-SHoF Conferences
- June: The 4th BI-SHoF Conference on Asset Pricing and Financial Econometrics