2024 SAIF-CAFR Financial Research Summer Camp
July 12 -13, 2024
Shanghai, China
The Seventh SAIF-CAFR Financial Research Summer Camp, jointly organized by Shanghai Advanced Institute of Finance (SAIF) and China Academy of Financial Research (CAFR) at Shanghai Jiao Tong University, will take place from July 12 to 13, 2024 in the city of Shanghai, China.
Designed for emerging scholars in China and beyond, the SAIF-CAFR Financial Research Summer Camp introduces the participants to the frontiers of academic research in finance and provides them with cutting-edge research methodologies and fresh perspectives, with the objective of inspiring their future academic careers and enhancing the overall quality of research and teaching in finance in China. This year’s Summer Camp consists of onsite lectures given by three renowned finance scholars. Listed in the alphabetical order, they are:
Adlai Fisher
Professor of Finance, Sauder School of Business, University of British Columbia
Professor Adlai Fisher has published widely in top finance and economics journals including Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics and Journal of Econometrics. Among the awards and honors, he has won a Smith Breeden Distinguished Paper Prize by Journal of Finance, and the Alex Wilson Research Prize as well as the Research Excellence Award by Sauder School of Business, UBC. He served as an associate editor for the Journal of Finance and Review of Finance. His research interests include financial economics, financial econometrics, macro-finance and asset pricing, etc.
Prof. Fisher’s webpage: https://www.sauder.ubc.ca/people/adlai-fisher
Zhaogang Song
Professor of Finance, Carey Business School, Johns Hopkins University, and Visiting Professor, Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University
Professor Zhaogang Song conducts academic research on financial markets and real estate finance, focusing on asset prices, market structure and liquidity, nonbank financial intermediaries, FinTech, monetary policy, China financial markets, and financial econometrics. He has published papers in leading academic journals including Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics and Management Science. He has won various research awards such as the NASDAQ Best Paper Award in Market Microstructure, the Dennis J. Aigner Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics, the Q Group Research Award, the Research Award of the Global Association of Risk Professionals, and the Research Award of the Montreal Institute of Structured Products and Derivatives. Professor Song is also actively involved in policy issues on financial markets and investment practice of financial industry. He served as an Academic Expert for the US Commodity Futures Trading Commission (CFTC), consulted with the Dimensional Fund Advisors (DFA) on fixed-income investment, and has been a visiting scholar at the Federal Reserve Bank of Philadelphia, and serves as a Research Scholar of the Monetary Research Programs at the Hong Kong Institute for Monetary and Financial Research.
Prof. Song’s webpage: https://carey.jhu.edu/faculty/faculty-directory/zhaogang-song-phd
Guofu Zhou
Frederick Bierman and James E. Spears Professor of Finance, Olin Business School, Washington University in St. Louis, and Visiting Research Professor, Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University
Professor Guofu Zhou’s research interest covers a wide range in finance, with current work primarily in AI, big data and machine learning. His research 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. He is a co-author of the book “Financial Economics”, and a contributor to several books, including “Advanced Fixed-Income Valuation Tools”, and “Q-finance”, etc. Presently, he serves as an Associate Editor of Journal of Financial and Quantitative Analysis, and on the Editorial Boards of Journal of Portfolio Management, International Journal of Portfolio Analysis & Management, Annals of Economics and Finance. He has received the Reid Teaching Award, Special Recognition for Excellence in mentoring graduate students. He was named Marcile and James Reid Chair for his consistently outstanding teaching at the Washington University in St Louis.
Prof. Zhou’s webpage: https://en.saif.sjtu.edu.cn/faculty-research/zhou-guofu
The SAIF-CAFR Summer Camp lectures are provided free of charge and will be offered in English. If you are interested, please follow the link below to submit your registration by 20 June:
https://www.wenjuan.com/s/jYZRruQ/
All registrations are subject to a screening process. We will inform you if you have successfully registered for the event in due time.
Please note that expenses related to participation in the summer camp, such as travel and accommodation, are of your own responsibility.
We look forward to meeting you in person at the summer camp soon.
2024 SAIF-CAFR Financial Research Summer Camp
Preliminarily Program
9:00AM - 12:00PM, July 12, 2024
The Federal Reserve, Financial Markets, and Financial Research
Professor Zhaogang Song
Carey Business School, Johns Hopkins University
In this presentation, I provide an account of the interplay between financial markets and the U.S. Federal Reserve. I first present a summary of the key structure, functions, and entities of the Federal Reserve System. I then discuss the objectives, strategies, and tools of the U.S. monetary policy. I finally describe the roles played by financial research and research economists in the making of monetary policies. Academic research on the interactions between the U.S. monetary policies and financial markets serves as the organizing framework throughout the presentation.
2:00PM - 5:00PM, July 12, 2024
Technological Innovation and Asset Pricing / Announcements in Finance
Professor Adlai Fisher
Sauder School of Business, University of British Columbia
This lecture addresses two topics: first, the role of technological innovation in asset pricing, and second, the role of various types of announcements in finance. In both cases we begin with broad overviews of the literature to give students ideas about important and accessible topics, and then narrow to recent research. For the first topic, we review theories and empirical facts regarding the importance of technological innovation for asset prices and the economy, and then consider new facts about how technological innovators stand out among other pricing anomalies. For the second topic, we broadly survey similarities and differences among different types of announcements: scheduled and unscheduled, macroeconomic and firm-level, and theoretical foundations. We then discuss return predictability around scheduled macroeconomic announcements, as well as announcement effects and risk changes around unscheduled corporate announcements.
9:00AM - 12:00PM, July 13, 2024
Predictability, ChatGPT, ML Models, and Portfolio Optimization
Professor Guofu Zhou
Olin Business School, Washington University in St. Louis
We review first ideas and methods for time-series and cross-section predictability, and then discuss the latest research on how to use ChatGPT and various machine learning methods to uncover market risk premium and expected individual stock returns. Next, we review and provide recent advances in optimal portfolio choice under estimation uncertainty, which ultimately utilizes any valuable information obtained from the ChatGPT and AI in general.