Kindly hosted by and organised in co-operation with University of Sussex

Risk Premia in Bond, Equity and Currency Markets

Gibson Hall, 13 Bishopsgate, London, EC2N 3BA

21st May 2018

We are pleased to announce that the 12th Inquire Business School Seminar will take place in central London on 21 May 2018. The Seminar will be hosted by University of Sussex Business School and is organised around the theme of modelling and estimating risk premia and expected returns. 

A great set of papers has been selected for presentation by top researchers. Their papers offer important new insights to the determinants of risk premia across different asset classes and how they vary over time and in the cross-section. Papers have been chosen with the interests of practical investment management in mind – expected returns and their risk drivers are important to us all. Remarkably, we know all too little about the roles of higher moments and time varying risk factors in determining the expected returns of the assets in which we invest. But current research is shedding new light on these issues. We are confident that Inquire sponsors will find that the Seminar presentations and papers have interesting and important lessons for their work.

Scheduled papers and presenters include: 

• International Correlation Risk –  Philippe Mueller (Warwick Business School)

• Earnings Announcement Risk –  Andreas Kaeck* (University of Sussex) 

• Time Varying Factors in the Performance of European Corporate Bonds – Ranko Jelic (University of Sussex)

• What is the Expected Return on a Stock? –  Ian Martin (London School of Economics)

• Volatility and the Cross-Section of Returns on FX Options – Ian Marsh* Cass Business School

• Estimating Bond Risk Premia via Sequential Learning – Nikolas Karouzakis (University of Sussex)

• Regime Dependence in S&P 500 Variance, Skew and Kurtosis Risk Premia – Carol Alexander (University of Sussex)

 

Members can log in to register below, non-members please email This email address is being protected from spambots. You need JavaScript enabled to view it. for more details on attending this conference and our membership offering. 

Programme

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Programme

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