Conference Agenda

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Session Overview
Date: Thursday, 24/Aug/2017
Coffee & Snacks - Conference check-in
FIIE-8: Investment and Information
Location: O151
Chair: Jennifer Dlugosz, Washington University in St. Louis

The Causal Effects of Proximity on Investment: Evidence from Flight Introductions

Leonardo Madureira1, Jesse Ellis2, Shane Underwood3

1: Case Western Reserve University; 2: North Carolina State University; 3: Baylor University

Local Crowding Out in China

Yi Huang1, Marco Pagano2, Ugo Panizza3

1: Graduate Institute of International and Development Studies; 2: Università di Napoli Federico II; 3: Graduate Institute of International and Development Studies

Asymmetric Information and the Securitization of SME Loans

Ugo Albertazzi1, Margherita Bottero1, Leonardo Gambacorta2, Steven Ongena3

1: Banca d'Italia; 2: Bank for International Settlements; 3: University of Zurich

FIIE-1: Hedge Funds
Location: O148
Chair: Elvira Sojli, University of New South Wales

Public Hedge Funds

Lin Sun, Melvyn Teo

Singapore Management University

How Smart is Institutional Trading?

Jingi Ha, Jianfeng Hu

Singapore Management University

Limits of Arbitrage under the Microscope: Evidence from detailed Hedge Fund Transaction Data

Bastian von Beschwitz1, Sandro Lunghi2, Daniel Schmidt3

1: Federal Reserve Board; 2: Inalytics; 3: HEC Paris

FMG-7: Finance and Institutions
Location: O145
Chair: Sudipto Dasgupta, Lancaster University

The Impact of Institutions on Innovation

Alexander Donges1, Jean-Marie A. Meier2, Rui Silva2

1: University of Mannheim; 2: London Business School

Creditor Rights and Entrepreneurship: Evidence from Fraudulent Transfer Law

Rustom Irani1, Nuri Ersahin1, Katherine Waldock2

1: University of Illinois at Urbana-Champaign; 2: NYU Stern School of Business

What's in a (School) Name? Racial Discrimination in Higher Education Bond Markets

Casey Mark Dougal1, Pangjie Gao2, William Mayew3, Christopher Parsons4

1: Drexel University; 2: Notre Dame University; 3: Duke University; 4: UC San Diego

APE-1: Derivatives
Location: O142
Chair: Christian Wagner, Copenhagen Business School

The Informational Role of Index Option Trading

Tarun Chordia1, Alexander Kurov2, Dmitriy Muravyev3, Avanidhar Subrahmanyam4

1: Emory University; 2: West Virginia University; 3: Boston College; 4: UCLA

On the Relation Between S&P 500 Options and VIX Derivatives

Yang-Ho Park

Federal Reserve Board

How Do Informed Investors Trade in the Options Market

Patrick Augustin1, Menachem Brenner2, Gunnar Grass3, Marti Subrahmanyam2

1: McGill University; 2: NYU Stern School of Business; 3: HEC Montréal

APE-11: Asset Price Predictability I
Location: SN163
Chair: Angelo Ranaldo, University of St. Gallen

Extracting Consumer Demand: Credit Card Spending and Post-Earnings Returns

Sumit Agarwal1, Wenlan Qian2, Xin Zou2

1: Georgetown University; 2: National University of Singapore

Fire Sale Risk and Expected Stock Returns

George O. Aragon1, Min S. Kim2

1: Arizona State University; 2: University of New South Wales

Margin Credit and Stock Return Predictability

Prachi Deuskar, Nitin Kumar, Jeramia Allan Poland

Indian School of Business

BH-7: Herding and Externalities
Location: SN169
Chair: Markku Kaustia, Aalto University

Herding And Capital Allocation Efficiency: Evidence From Peer Lending

Oleg Chuprinin1, Chang-Mo Kang1, Maggie Hu2

1: University of New South Wales; 2: Chinese University of Hong Kong

Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion

Neil D. Pearson1, Zhishu Yang2, Qi Zhang3

1: University of Illinois at Urbana-Champaign; 2: Tsinghua University; 3: University of Durham

Financial Literacy Externalities

Michael Haliassos1, Thomas Jansson2, Yigitcan Karabulut3

1: Goethe University Frankfurt, CEPR; 2: Sveriges Riksbank; 3: Erasmus University Rotterdam, CEPR

APT-5: Politics and Policy
Location: O135
Chair: Francesco Sangiorgi, Stockholm School of Economics

Preventing Controversial Catastrophes

Steven Baker1, Burton Hollifield2, Emilio Osambela3

1: University of Virginia; 2: Carnegie Mellon University; 3: Federal Reserve Board

Political Cycles and Stock Returns

Lubos Pastor, Pietro Veronesi

University of Chicago

Level and Volatility Shocks to Fiscal Policy: Term Structure Implications

Lorenzo Bretscher1, Alex Hsu2, Andrea Tamoni1

1: London School of Economics; 2: Georgia Institute of Technology

CGE-2: The Value of Networks
Location: O133
Chair: Bang Nguyen, University of Cambridge

Friends During Hard Times: Evidence from the Great Depression

Diego Garcia1, Tania Babina2, Geoffrey Tate3

1: University of Colorado Boulder; 2: Columbia University; 3: UNC Chapel Hill

The Value of Labor Networks to Managers and Firms

Isaac Hacamo, Kristoph Kleiner

Indiana University

The Benefits of Friendship in Hedge Fund Activism

Tao Li, Yazhou Ellen He

University of Warwick

CFE-3: Dynamic Models in Corporate Finance
Location: O131
Chair: Enrique Schroth, Cass Business School

Firm Selection and Corporate Cash Holdings

Berardino Palazzo1, Juliane Maria Begenau2

1: Boston University; 2: Harvard University

Dynamic Financial Constraints: Which Frictions Matter for Corporate Policies?

Boris Nikolov1, Roberto Steri2, Lukas Schmid3

1: University of Lausanne, Swiss Finance Institute; 2: University of Lausanne; 3: Duke University

Misvaluation of Investment Options

Evgeny Lyandres1, Egor Matveyev2, Alexei Zhdanov3

1: Boston University; 2: University of Alberta; 3: Penn State University

CFGT-1: Shareholder Activism
Location: O129
Chair: Amil Dasgupta, London School of Economics

Blockholder Voting

Heski Bar-Isaac1, Joel Shapiro2

1: University of Toronto; 2: University of Oxford

Portfolio Size and the Incentives for Shareholder Activism

Günter Strobl, Jing Zeng

Frankfurt School of Finance and Management

Proxy Advisory Firms: The Economics of Selling Information to Voters

Andrey Malenko1, Nadya Malenko2

1: Massachusetts Institute of Technology; 2: Boston College

Coffee break
FIIT-3: Financial Institutions: Risks & Profit Sharing
Location: O151
Chair: Sergey Zhuk, University of Vienna

Markets, Banks and Shadow Banks

David Martinez-Miera1, Rafael Repullo2

1: Universidad Carlos III de Madrid; 2: CEMFI

Asset Encumbrance, Bank Funding and Fragility

Toni Ahnert1, Kartik Anand2, Prasanna Gai3, James Chapman1

1: Bank of Canada; 2: Deutsche Bundesbank; 3: University of Auckland

Profit Sharing: A Contracting Solution to Harness the Wisdom of the Crowd

Jiasun Li

George Mason University

FIIE-3: VC, PE and Entrepreneurship
Location: O148
Chair: Carsten Bienz, NHH Norwegian School of Economics

VC Financing and the Entrepreneurship Gender Gap

Sahil Raina

University of Alberta

Adverse Selection and the Performance of Private Equity Co-Investments

Reiner Braun1, Tim Jenkinson2, Christoph Schemmerl1

1: Technical University Munich; 2: University of Oxford

Winning a Deal in Private Equity: Do Educational Networks Matter?

Florian Fuchs1, Roland Fuess1, Tim Jenkinson2, Stefan Morkoetter1

1: University of St. Gallen; 2: University of Oxford

FMG-2: Fast Trading
Location: O145
Chair: Marios Panayides, University of Pittsburgh

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Andriy Shkilko, Konstantin Sokolov

Wilfrid Laurier University

The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets

Haoming Chen1, Sean Foley2, Michael A. Goldstein3, Thomas Ruf1

1: University of New South Wales; 2: University of Sydney; 3: Babson College

Dark Pool Reference Price Latency Arbitrage

Matteo Aquilina1, Sean Foley2, Peter O'Neill3, Thomas Ruf3

1: Financial Conduct Authority; 2: University of Sydney; 3: University of New South Wales

APE-6: Term Structure I
Location: O142
Chair: Christian Heyerdahl-Larsen, London Business School

Central Bank Communication and the Yield Curve

Matteo Leombroni1, Andrea Vedolin2, Gyuri Venter3, Paul Whelan3

1: Stanford University; 2: London School of Economics; 3: Copenhagen Business School

Information in (and not in) Treasury Options

Hoyong Choi

Erasmus University Rotterdam

Explaining the Failure of the Expectations Hypothesis with Short-Term Rates

Angelo Ranaldo, Matthias Stephan Rupprecht

University of St. Gallen

APE-5: News
Location: SN163
Chair: Roberto Marfè, Collegio Carlo Alberto

Macro News, Micro News, and Stock Prices

Jinfei Sheng

University of British Columbia

Front Page News: The Effect of News Consumption on Financial Markets

Anastassia Fedyk

Harvard University

The Price of News Arrivals: Evidence from Equity Options

Yoontae Jeon

University of Toronto

BH-6: Time Consistency and Dynamic Decisions
Location: SN169
Chair: Alexandra Niessen-Ruenzi, University of Mannheim

Weighted Discounting - On Group Diversity, Time-Inconsistency, and Consequences for Investment

Sebastian Ebert1, Wei Wei2, Xunyu Zhou3

1: Tilburg University; 2: University of Oxford; 3: Columbia University

Probability Weighting, Stop-Loss and the Disposition Effect

Vicky Henderson1,2, David Hobson1, Alex Sing Lam Tse3

1: University of Warwick; 2: University of Oxford; 3: University of Cambridge

Impulsive Consumption and Financial Wellbeing: Evidence from an Increase in the Availability of Alcohol

Marieke Bos1, Itzhak Ben-David2

1: Swedish House of Finance; 2: The Ohio State University, NBER

APT-1: Networks and Learning
Location: O135
Chair: Irina Zviadadze, Stockholm School of Economics

Distress Propagation in Networks and Asset Pricing

Andrea Buraschi1, Claudio Tebaldi2

1: Imperial College Business School; 2: Bocconi University

Equilibrium Asset Pricing in Directed Networks

Nicole Branger1, Patrick Konermann2, Christoph Meinerding3, Christian Schlag4

1: University of Muenster; 2: BI Norwegian Business School; 3: Deutsche Bundesbank; 4: Goethe University Frankfurt

Asset Pricing with Learning

Daniel Andrei1, Michael Hasler2, Alexandre Jeanneret3

1: UCLA; 2: University of Toronto; 3: HEC Montréal

CGE-5: Politics and Finance
Location: O133
Chair: Pat Akey, University of Toronto

The Value of Offshore Secrets - Evidence from the Panama Papers

James O'Donovan1, Hannes F. Wagner2, Stefan Zeume3

1: INSEAD; 2: Bocconi University; 3: University of Michigan

Leviathan Inc. and Corporate Environmental Engagement

Po-Hsuan Hsu1, Hao Liang2, Pedro Matos3

1: University of Hong Kong; 2: Singapore Management University; 3: University of Virginia

Debt in Political Campaigns

Alexei V. Ovtchinnikov1, Philip Valta2

1: HEC Paris; 2: University of Bern, University of Geneva, Swiss Finance Institute

CFE-7: Law and Finance
Location: O131
Chair: Brandon Julio, University of Oregon

Anti-Collusion Enforcement: Justice for Consumers and Equity for Firms

Sudipto Dasgupta1,2, Alminas Zaldokas1

1: Hong Kong University of Science and Technology; 2: Lancaster University

Roadblock to Innovation: The Role of Patent Litigation in Corporate R&D

Filippo Mezzanotti

Northwestern University

Shareholder Litigation and Corporate Innovation

Chen Lin1, Sibo Liu1, Gustavo Manso2

1: University of Hong Kong; 2: UC Berkeley

CFGT-2: Disclosure and News
Location: O129
Chair: Chong Huang, UC Irvine

The Forward-Looking Disclosures of Corporate Managers: Theory and Evidence

Julian Alexander Opferkuch1, Reint E. Gropp2, Rasa Karapandza3

1: Goethe University Frankfurt; 2: Halle Institute for Economic Research; 3: European Business School

Optimal Leverage and Strategic Disclosure

Giulio Trigilia

University of Rochester

Spillovers from "Good-News" and Other Bankruptcies: Real Effects and Price Responses

Nina Baranchuk, Michael Rebello

University of Texas at Dallas

Lunch break
Panel Session
Location: SO 108

Renationalization of Western Countries: Impact on the Real and Financial Sectors of Economies
The latest uncompromising "me first" attitudes of some western governments provoke interesting questions on the future of international banking, monetary policy, and the system of internationally coordinated regulatory rules. Developments have wide-ranging implications for financial markets and firms' investment decisions.

The panel will be chaired by Prof. Franklin Allen from Imperial College London and includes the following top speakers:

  • Prof. Clemens Fuest, President ifo Institute, Munich
  • Dr. Alan Hippe, CFO / CIO Roche, Basel
  • Jean-Pierre Landau, SciencesPo, Paris
  • Prof. Frank Smets, Director General Economics European Central Bank, Frankfurt
Coffee break
FIIE-12: Bank Lending
Location: O151
Chair: Hans Degryse, KU Leuven

Sharing the Surplus with Clients: Evidence from the Protection of Bank Proprietary Information

Yupeng Lin1, Zilong Zhang2, Liping Zhao3

1: National University of Singapore; 2: City University of Hong Kong; 3: Hong Kong University of Science and Technology

Bank Lending in the Knowledge Economy

Giovanni Dell'Ariccia1, Dalida Kadyrzhanova2, Camelia Minoiu1, Lev Ratvnovski1

1: International Monetary Fund; 2: Georgia State University

Does Competition Affect Bank Risk?

Liangliang Jiang1, Ross Levine2, Chen Lin3

1: Hong Kong Polytechnic University; 2: UC Berkeley; 3: University of Hong Kong

FIIE-10: Liquidity Provision and Collateral
Location: O148
Chair: Peter Feldhütter, London Business School

Window-Dressing and Trading Relationships in the Tri-Party Repo Markets

Sriya Anbil, Zeynep Senyuz

Federal Reserve Board

The Role of the Government Bond Lending Market in Collateral Transformation

Reena Aggarwal1, Jennie Bai1, Luc Laeven2

1: Georgetown University; 2: European Central Bank

Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs

Jaewon Choi1, Yesol Huh2

1: University of Illinois at Urbana-Champaign; 2: Federal Reserve Board

FMG-3: Information and Price Discovery
Location: O145
Chair: Thierry Foucault, HEC Paris

Costly Interpretation of Asset Prices

Liyan Yang1, Xavier Vives2

1: University of Toronto; 2: IESE Business School

Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays

Michael Brolley1, David Cimon2

1: Wilfrid Laurier University; 2: Bank of Canada

Hidden in Plain Sight: Equity Price Discovery with Informed Private Debt

Jawad Addoum1, Justin R. Murfin2

1: Cornell University; 2: Yale University

APE-2: Term Structure II
Location: O142
Chair: Claudio Tebaldi, Bocconi University

Term Structure of Recession Probabilities and the Cross Section of Asset Returns

Ti Zhou

Southern University of Science and Technology

Dynamics of the Expectation and Risk Premium in the OIS Term Structure

Suresh Sundaresan1, Zhenyu Wang2, Wei Yang2

1: Columbia University; 2: Indiana University

Expected Term Structures

Andrea Buraschi1, Ilaria Piatti2, Paul Whelan3

1: Imperial College Business School; 2: University of Oxford; 3: Copenhagen Business School

APE-3: Aggregate Risk
Location: SN163
Chair: Paolo Sodini, Stockholm School of Economics

Asset Pricing and Ambiguity: Empirical Evidence

Menachem Brenner1, Yehuda Izhakian2

1: NYU Stern School of Business; 2: Baruch College

Implied Volatility Duration and the Early Resolution Premium

Christian Schlag, Julian Thimme, Rüdiger Weber

Goethe University Frankfurt

Global Variance Term Premia and Intermediary Risk Appetite

Peter Van Tassel, Erik Vogt

Federal Reserve Bank of New York

BH-4: Finance and the Family
Location: SN169
Chair: Henrik Cronqvist, University of Miami

Does Being An Only Child Matter for Entrepreneurship and Innovation?

Weixing Cai1, Feng Hu2, Laurence Van Lent3, Jingzhou Pan4, Cheng Zeng5

1: Guangdong University of Finance and Economics; 2: University of Science and Technology Beijing; 3: Tilburg University; 4: Tianjin University; 5: University of Manchester

Savvy Parent, Savvy Child? Intergenerational Correlations in Returns to Financial Wealth

Samuli Knüpfer1, Elias Rantapuska2, Matti Sarvimäki2

1: BI Norwegian Business School; 2: Aalto University

How Important Are Bequest Motives? Evidence Based on Shocks to Mortality

Jens Kvaerner

BI Norwegian Business School

APT-2: Preferences and Portfolios
Location: O135
Chair: Howard Kung, London Business School

Financial Innovation and Asset Prices

Adrian Buss1, Raman Uppal2, Grigory Vilkov3

1: INSEAD; 2: EDHEC; 3: Frankfurt School of Finance and Management

Tail Risk, Robust Portfolio Choice, and Asset Prices

Xing Jin1, Dan Luo2, Xudong Zeng2

1: University of Warwick; 2: Shanghai University of Finance and Economics

Habits and Leverage

Tano Santos1, Pietro Veronesi2

1: Columbia University, NBER, CEPR; 2: University of Chicago, NBER, CEPR

CGE-7: CEO Incentives
Location: O133
Chair: Oliver Spalt, Tilburg University

Perks or Peanuts? The Dollar Profits to Insider Trading

Jasmin Gider1, Peter Cziraki2

1: University of Bonn; 2: University of Toronto

The Role of Peer Firm Selection in Explicit Relative Performance Awards

John Bizjak1, Swaminathan Kalpathy1, Frank Li2, Brian Young3

1: Texas Christian University; 2: University of Western Ontario; 3: Southern Methodist University

Skin in the Game, Wealth and Risk-Taking

Carsten Bienz1, Karin Thorburn1, Uwe Walz2

1: NHH Norwegian School of Economics; 2: Goethe University Frankfurt

CFE-5: Investment
Location: O131
Chair: Nickolay Gantchev, UNC Chapel Hill

Downward Wage Rigidity, Corporate Investment, and Firm Value

DuckKi Cho

Arizona State University

Multinational Firms and The International Transmission of Financial Crises: The Real Economy Channel

Jan Bena1, Serdar Dinc2, Isil Erel3

1: University of British Columbia; 2: Rutgers University; 3: The Ohio State University

Information, Competition, and Investment Sensitivity to Peer Stock Prices

Malcolm Ian Wardlaw1, Arzu Ozoguz2, Michael Rebello1

1: University of Texas at Dallas; 2: Rice University

CFGT-3: Corporate Cash Policy
Location: O129
Chair: Boris Nikolov, University of Lausanne, Swiss Finance Institute

The Interest Sensitivity of Corporate Cash

Xiaodan Gao1, Toni M. Whited2, Na Zhang3

1: National University of Singapore; 2: University of Michigan, NBER; 3: Fudan University

Transitory Versus Permanent Shocks: Explaining Corporate Savings and Investment

Sebastian Gryglewicz1, Loriano Mancini2, Erwan Morellec3, Enrique Schroth4, Philip Valta5

1: Erasmus University Rotterdam; 2: EPFL, Swiss Finance Insitute; 3: EPFL, Swiss Finance Institute, CEPR; 4: Cass Business School, CEPR; 5: University of Bern, University of Geneva, Swiss Finance Institute

R&D Dynamics and Corporate Cash

Xiaodan Gao1, Jake Zhao2

1: National University of Singapore; 2: Peking University

EFA General Assembly
Location: SN163
HC: Heidelberg Cruise
Location: Mannheim - Ladenburg - Heidelberg

Meeting point - Bus

  • Buses for the cruise will leave from the university courtyard between 18.00-18.20
  • Access will be given only with Heidelberg Cruise ticket (in your badge).

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