Timing the factor zoo

Christoph Reschenhofer¹, Andreas Neuhierl², Otto Randl¹, Josef Zechner¹

¹Vienna University of Economics and Business, Austria; ²Washington University in St. Louis

Discussant: Miao Zhang (University of Southern California)

ETFs, Anomalies and Market Efficiency

Guofu Zhou¹, Ilias Filippou¹, Songrun He¹, Sophia Zhengzi Li²

¹Olin Business School, Washington University in St. Louis; ²Rutgers University

Discussant: Christoph Reschenhofer (Vienna University of Economics and Business)

Wisdom of the Institutional Crowd: Implications for Anomaly Returns

Miao Zhang, AJ Chen, Gerard Hoberg

University of Southern California, United States of America

Discussant: Joren Koëter (Rotterdam School of Management, Erasmus University)

Identification of Factor Risk Premia

Maziar Mahdavi Kazemi¹, Peter Hansen²

¹Arizona State University; ²Purdue University

Discussant: Julian Thimme (Karlsruhe Institute of Technology)

Crypto Carry

Karamfil Todorov¹, Maik Schmeling², Andreas Schrimpf¹

¹Bank for International Settlements; ²Goethe University Frankfurt

Discussant: Shihao Yu (Columbia University)

Horizon effects in the pricing kernel: How investors price short-term versus long-term risks

Joren Koëter¹, Joost Driessen², Ole Wilms³

¹Rotterdam School of Management, Erasmus University, The Netherlands; ²Tilburg University, The Netherlands; ³Hamburg University, Germany

Discussant: Jonas Nygaard Eriksen (Aarhus University)

Is there an Equity Duration Premium?

Dominik Rudolf Walter¹, Rüdiger Weber²

¹Vienna Graduate School of Finance, Austria; ²Vienna University of Economics and Business, Austria

Discussant: Emmanouil Platanakis (University of Bath)

Subjective expectations and house prices

Jonas Nygaard Eriksen¹, Jeppe Bro²

¹Aarhus University, Denmark; ²Norges Bank Investment Management, Norway

Discussant: Christoph Meinerding (Deutsche Bundesbank)

Trades, Quotes, and Information Shares

Albert J. Menkveld², Björn Hagströmer¹

¹Stockholm Business School, Sweden; ²VU Amsterdam, The Netherlands

Discussant: Ganesh Viswanath Natraj (Warwick Business School)

The Information Content of Blockchain Fees

Shihao Yu, Agostino Capponi, Ruizhe Jia

Columbia University, United States of America

Discussant: Andrea Barbon (University of St.Gallen)