Conference Agenda

Tips to navigate the program:

  • Overview of all papers on a specific day: click on the day (e.g. Date: Thursday, 24/Aug/2017). To download papers, you will need to access the session by clicking on its title first.
  • Program index: click on the Authors tab below.
  • Location name: to display all sessions taking place in that room
  • Search box: to search for authors, papers and sessions.

Please notes that changes in the program might occur.

If your name is not displayed in the program, please register in our conference system.

If your paper information is not up to date, please send us an email at

Session Overview
Date: Friday, 25/Aug/2017
Coffee & Snacks - Conference check-in
Location: East Wing (Conference Venue)
FL-2: Finance and Human Capital Investments
Location: O151
Chair: Andrew Ellul, Indiana University

Bankruptcy, Team-Specific Human Capital, and Innovation: Evidence from U.S. Inventors

Ramin P. Baghai1, Rui Silva2, Luofu Ye2

1: Stockholm School of Economics; 2: London Business School

Finance in the New US Economy: Does Local Finance Influence Post-Industrial Job Growth?

Elizabeth A. Berger

Cornell University

Drivers of Effort: Evidence from Employee Absenteeism

Morten Bennedsen1, Margarita Tsoutsoura2, Daniel Wolfenzon3

1: INSEAD; 2: University of Chicago; 3: Columbia University

FIIE-5: Fund Performance
Location: O148
Chair: Stefan Ruenzi, University of Mannheim

Are Hedge Fund Capacity Constraints Binding? Evidence on Scale and Competition

Charles Cao1, Raisa Velthuis2

1: Penn State University; 2: Villanova University

Diseconomies of Scope and Mutual Fund Manager Performance

Richard Evans1, Javier Gil-Bazo2, Marc Lipson1

1: University of Virginia; 2: Pompeu Fabra University

Cheaper Is Not Always Better: On the Superior Performance of High-Fee Mutual Funds

Jinfei Sheng1, Mikhail Simutin2, Terry Zhang1

1: University of British Columbia; 2: University of Toronto

FMG-1: Financial Crises
Location: O145
Chair: Elena Carletti, Bocconi University

Hasty Deleverage and Liquidity Spiral: Evidence from Margin Trading of Individual Stocks (withdrawn)

Jing Chen, Ya Tang, Jianguo Xu

Peking University

Systematic Liquidity and Leverage

Bige Kahraman1, Heather Tookes2

1: University of Oxford; 2: Yale University

Sovereign Risk and Bank Risk-Taking

Anil Ari

University of Cambridge

BIS-1: Financial Innovation and Changes in Markets' Infrastructure
Location: O142
Chair: Leonardo Gambacorta, Bank for International Settlements

Central Counterparty Capitalization and Misaligned Incentives

Wenqian Huang

Vrije Universiteit Amsterdam

P2P Lenders versus Banks: Cream Screaming or Bottom Fishing?

Calebe de Roure1, Loriana Pelizzon2, Anjan Thakor3

1: Frankfurt School of Finance and Management; 2: Goethe University Frankfurt; 3: Washington University in St. Louis

"Smart" Settlement

Mariana Khapko1, Marius Andrei Zoican2

1: University of Toronto; 2: Université Paris-Dauphine

APE-7: Testing Asset Pricing Models
Location: SN163
Chair: Raman Uppal, EDHEC

In Search of Preference Shock Risks: Evidence from Longevity Risks and Momentum Profits

Zhanhui Chen, Bowen Yang

Nanyang Technological University

Asset Pricing with Beliefs-Dependent Utility and Learning

Tony Berrada1, Jerome Detemple2, Marcel Rindisbacher2

1: University of Geneva, Swiss Finance Institute; 2: Boston University

Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

Tania Babina1, Chotibhak Jotikasthira2, Christian Lundblad3, Tarun Ramadorai4

1: Columbia University; 2: Southern Methodist University; 3: UNC Chapel Hill; 4: Imperial College Business School

BH-2: Consumer Credit
Location: SN169
Chair: Jose Maria Liberti, Northwestern University

Politicizing Consumer Credit

Pat Akey1, Rawley Heimer2, Stefan Lewellen3

1: University of Toronto; 2: Federal Reserve Bank of Cleveland; 3: London Business School

Costly Mistakes in Credit Markets: Evidence from Consumer Credit

Jacelly Carolina Cespedes

University of Texas at Austin

Economic Scarcity and Consumers' Credit Choice

Marieke Bos1, Chloe le Coq2, Peter van Santen3

1: Swedish House of Finance; 2: Stockholm School of Economics; 3: Sveriges Riksbank

APT-3: Market Structure, Information, and Learning
Location: O135
Chair: Ioanid Rosu, HEC Paris

Information and Competition with Symmetry

Pete Kyle1, Mina Lee2

1: University of Maryland; 2: Washington University in St. Louis

How Auctions Amplify House-Price Fluctuations

Alina Arefeva

Johns Hopkins University

Learning Through Crowdfunding

Katrin Tinn, Gilles Chemla

Imperial College Business School

CFGT-4: Uncertainty and Ambiguity
Location: O133
Chair: David L. Dicks, Baylor University

The Finance-Uncertainty Multiplier

Iván Alfaro1, Nicholas Bloom2, Xiaoji Lin1

1: The Ohio State University; 2: Stanford University

Robust Security Design

Seokwoo Lee1, Uday Rajan2

1: George Mason University; 2: University of Michigan

Ambiguity and the Tradeoff Theory of Capital Structure

Yehuda Izhakian1, David Yermack2, Jaime F. Zender3

1: Baruch College; 2: NYU Stern School of Business; 3: University of Colorado Boulder

CFE-8: Private Firms and IPOs
Location: O131
Chair: Francois Degeorge, USI Università della Svizzera italiana, Swiss Finance Institute

Do Private Firms (Mis)Learn from the Stock Market?

Dong Yan

Stockholm School of Economics

Management Quality and Innovation in Private Firms and the IPO Market Rewards to Innovative Activity

Thomas Chemmanur1, Manish Kumar Gupta2, Karen Simonyan3

1: Boston College; 2: University of Nottingham; 3: Suffolk University

Pre-IPO Trusts, Private Information, and Corporate Spillover

Michael Dambra1, Matthew Gustafson2, Phillip Quinn3

1: University at Buffalo; 2: Penn State University; 3: University of Washington

Coffee break
Location: East Wing (Conference Venue)
FL-3: Credit Markets and Human Capital
Location: O151
Chair: Ramin P. Baghai, Stockholm School of Economics

Credit Supply Shocks and Labor Outcomes: Evidence from a Change in the Accounting Norms of Bank Pension Plans

Andrada Bilan1, Claire Celerier2, Luciana Barbosa3

1: Swiss Finance Institute; 2: University of Toronto; 3: Banco de Portugal

Debt and Human Capital: Evidence from Student Loans

Vyacheslav Fos1, Andres Liberman2, Constantine Yannelis2

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

The Unintended Consequences of Employer Credit Check Bans on Labor and Credit Markets

Kristle Romero Cortes1, Andrew Glover2, Murat Tasci1

1: Federal Reserve Bank of Cleveland; 2: University of Texas at Austin

FIIE-11: Bank Governance
Location: O148
Chair: Stijn Claessens, Bank for International Settlements

Politics, Banks, and Sovereign Debt: Unholy Trinity or Divine Coincidence?

Alexander Popov1, Michael Koetter2

1: European Central Bank; 2: Halle Institute for Economic Research

Is the Fox Guarding the Henhouse? Regulatory Connections and Public Subsidies in Banks

Ivan Lim1, Jens Hagendorff2, Seth Armitage1

1: University of Edinburgh; 2: Cardiff University

Public Service or Private Benefits? Bankers in the Governance of the Federal Reserve System

Lamont Black1, Jennifer Dlugosz2

1: DePaul University; 2: Washington University in St. Louis

FE-1: Econometric Modeling of Risk and Risk Premia
Location: O145
Chair: Alberto G. Rossi, University of Maryland

Inference on Risk Premia in the Presence of Omitted Factors

Stefano Giglio1, Dacheng Xiu2

1: Yale School of Management; 2: University of Chicago

Macro Risks and the Term Structure of Interest Rates

Geert Bekaert1, Eric Engstrom2, Andrey Ermolov3

1: Columbia University, NBER; 2: Federal Reserve Board; 3: Fordham University

A Least Squares Regression Realized Covariation Estimation Under MMS Noise and Non-Synchronous Trading

Ingmar Nolte1, Michalis Vasios2, Valeri Voev3, Qi Xu4

1: Lancaster University; 2: Bank of England; 3: LEGO System A/S; 4: Zhejiang University

NBIM-1: Risk and the Macroeconomy
Location: O142
Chair: Fredrik Willumsen, Norges Bank Investment Management

Mind the Gap: An Empirical Foundation for Investment-Based Asset Pricing Models

Francesco Consonni1, Domenico Ferraro2, Roberto Steri3

1: Cornerstone Research; 2: Arizona State University; 3: University of Lausanne

Show Me the Money: The Monetary Policy Risk Premium

Ali Ozdagli1, Mihail Velikov2

1: Federal Reserve Bank of Boston; 2: Federal Reserve Bank of Richmond

Government Debt and Risk Premia

Yang Liu

University of Pennsylvania

APE-12: Asset Price Predictability II
Location: SN163
Chair: Loriana Pelizzon, Goethe University Frankfurt

Margin Requirements and Equity Option Returns

Steffen Hitzemann1, Michael Hofmann2, Marliese Uhrig-Homburg2, Christian Wagner3

1: The Ohio State University; 2: Karlsruhe Institute of Technology; 3: Copenhagen Business School

Equity Premium Predictability from Cross-Sectorial Downturns

Jose Faias1, Juan Zambrano2

1: Católica Lisbon School of Business and Economics; 2: University of Reading

Gold, Platinum, and Expected Stock Returns (paper withdrawn)

Darien Huang

Cornell University

BH-3: Behavior and Investment
Location: SN169
Chair: Martin Weber, University of Mannheim

Anomalies Across the Globe: Once Public, No Longer Existent?

Heiko Jacobs1, Sebastian Mueller2

1: University of Mannheim; 2: German Graduate School of Management and Law

The Dividend Disconnect

Samuel Hartzmark1, David Howard Solomon2

1: University of Chicago; 2: University of Southern California

Purging Investor Sentiment Index from Too Much Fundamental Information

Liya Chu1, Qianqian Du2, Jun Tu1

1: Singapore Management University; 2: Southwestern University of Finance and Economics

CGE-3: CEO Turnover
Location: O135
Chair: Dirk Jenter, London School of Economics

Personal Cost of Executive Turnovers

Kasper Meisner Nielsen

Hong Kong University of Science and Technology

Changing of the Guards: Does Succession Planning Matter?

Dragana Cvijanovic, Nickolay Gantchev, Sunwoo Hwang

UNC Chapel Hill

Powerful Blockholders and CEO Turnover

Chishen Wei, Lei Zhang

Nanyang Technological University

CFGT-6: M&A and Product Markets
Location: O133
Chair: Andrey Malenko, Massachusetts Institute of Technology

Selling Innovation in Bankruptcy

Song Ma1, Joy Tong2, Wei Wang3

1: Yale University; 2: Duke University; 3: Queen's University

Why Are Underperforming Firms Rarely Acquired?

Yufeng Wu1, Wenyu Wang2

1: University of Illinois at Urbana-Champaign; 2: Indiana University

Portfolio Diversification, Market Power, and the Theory of the Firm

Jose Ariel Azar

IESE Business School

CFE-2: Corporate Debt
Location: O131
Chair: S. Abraham Ravid, Yeshiva University

Shareholders as Creditors of First Resort

Andriy Bodnaruk1, Marco Rossi2

1: University of Illinois at Chicago; 2: Texas A&M University

The Role of Subsidiary Debt for the Borrowing Cost of Diversified Firms

Michela Altieri

Goethe University Frankfurt

Do Changes in Lenders’ Monitoring Impact Timely Loss Recognition?

Janet Gao1, Chuchu Liang2, Kenneth Merkley2, Joseph Pacelli1

1: Indiana University; 2: Cornell University

Lunch break
Location: Mensa
FL-1: Entrepreneurship and Human Capital Risk
Location: O151
Chair: Margarita Tsoutsoura, University of Chicago

Angels, Entrepreneurship, and Employment Dynamics: Evidence from Investor Accreditation Rules

Laura A. Lindsey, Luke Stein

Arizona State University

Finding Success in Tragedy: Forced Entrepreneurs after Corporate Bankruptcy

Kristoph Kleiner, Isaac Hacamo

Indiana University

Private Equity and Human Capital Risk

Manfred Antoni1, Ernst Maug2, Stefan Obernberger3

1: Institute for Employment Research; 2: University of Mannheim; 3: Erasmus University Rotterdam

FIIE-9: Capital Regulation
Location: O148
Chair: Rainer Haselmann, Goethe University Frankfurt

Specialisation in Mortgage Risk under Basel II

Liam Patrick Kirwin1, Matteo Benneton2, Peter Eckley1, Nicola Garbarino1, Georgia Latsi3

1: Bank of England; 2: London School of Economics; 3: 4-most Europe

A Comprehensive View on Risk Reporting: Evidence from Supervisory Data

Michael Schmidt1, Puriya Abbassi2

1: Goethe University Frankfurt, SAFE; 2: Deutsche Bundesbank

Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?

Maria Chiara Iannino, Thomas Gehrig

University of Vienna

IF-2: Monetary Policy and Currencies
Location: O145
Chair: Andreas Stathopoulos, University of Washington

International Real Yields

Andrey Ermolov

Fordham University

U.S. Monetary Policy Transmission and Liquidity Risk Premia Around the World

George Andrew Karolyi1, Kuan-Hui Lee2, Mathijs van Dijk3

1: Cornell University; 2: Seoul National University; 3: Erasmus University Rotterdam

Currency Manipulation

Thomas M. Mertens1, Tarek Hassan2, Tony Zhang2

1: Federal Reserve Bank of San Francisco; 2: University of Chicago

ECB-1: The Impact of Negative Interest Rate Policy
Location: O142
Chair: Simone Manganelli, European Central Bank

Bank Profitability and Risk Taking When Interest Rates are Negative

Christoph Basten1, Mike Mariathasan2

1: Swiss Financial Market Supervisory Authority FINMA; 2: KU Leuven

Monetary Policy and Bank Equity Values in a Time of Low Interest Rates

Miguel Ampudia, Skander Van den Heuvel

European Central Bank

Limits to Monetary Policy Transmission at the Zero Lower Bound and Beyond: The Role of Nonbanks

Gregory J. Cohen, Seung Jung Lee, Viktors Stebunovs

Federal Reserve Board

APE-9: Momentum
Location: SN163
Chair: Jennie Bai, Georgetown University

Feedback Loops in Industry Trade Networks and the Term Structure of Momentum Profits

Ali Sharifkhani, Mikhail Simutin

University of Toronto

Geographic Momentum

Riccardo Sabbatucci1, Christopher A. Parsons2, Sheridan Titman3

1: Stockholm School of Economics; 2: UC San Diego; 3: University of Texas at Austin

Speed Matters: Limited Attention and Supply-Chain Information Diffusion

Michael Hertzel1, Ling Cen2, Christoph Maximilian Schiller2

1: Arizona State University; 2: University of Toronto

BH-8: Economics of Households
Location: SN169
Chair: Daniel Dorn, Drexel University
Chair: Terrance Odean, UC Berkeley

Homeownership and the American Dream - An Analysis of Intergenerational Mobility Effects

Ulrike Malmendier1, Nirupama Kulkarni2

1: UC Berkeley; 2: Reserve Bank of India

Putting the Pension Back in 401(k) Plans: Optimal Versus Default Longevity Income Annuities

Vanya Horneff1, Raimond Maurer1, Olivia Mitchell2

1: Goethe University Frankfurt; 2: University of Pennsylvania

Financial Innovation and Stock Market Participation

Laurent Calvet1, Claire Celerier2, Paolo Sodini3, Boris Vallee4

1: EDHEC; 2: University of Toronto; 3: Stockholm School of Economics; 4: Harvard Business School

FIIE-13: Fire-Sales and Panic
Location: O135
Chair: Oren Sussman, University of Oxford

Fire-Sale Spillovers in Debt Markets

Antonio Falato1, Ali Hortaçsu2, Dan Li1, Chae Hee Shin1

1: Federal Reserve Board; 2: University of Chicago

Fire-Sale Cascades - Evidence from the Mutual Fund Industry

Tim Adam, Laurenz Klipper

Humboldt University

The Anatomy of a Banking Panic

Nagpurnanand Prabhala1, Nirupama Kulkarni2

1: University of Maryland; 2: Reserve Bank of India

CFGT-5: Risk Taking and Risk Management
Location: O133
Chair: Dirk Hackbarth, Boston University

Short-Term Debt and Incentives for Risk-Taking (Withdrawn)

Marco Della Seta1, Erwan Morellec2, Francesca Zucchi3

1: APG Asset Management; 2: EPFL; 3: Federal Reserve Board

Inventory and Corporate Risk Management

Marco Bianco1, Andrea Gamba2

1: University of Bologna; 2: University of Warwick

Optimal Contracting with Unobservable Managerial Hedging

Yu Huang1, Nengjiu Ju1, Hao Xing2

1: Shanghai Jiao Tong University; 2: London School of Economics

CFE-1: Boundaries of the Firm
Location: O131
Chair: Marco Rossi, Texas A&M University

Why Do Distressed Firms Acquire?

Quxian Zhang

Erasmus University Rotterdam

Search Frictions and M&A Outcomes: Theory and Evidence

Yelena Larkin1, Evgeny Lyandres2

1: York University; 2: Boston University

Acquiring Banking Networks

Ross Levine1, Chen Lin2, Zigan Wang2

1: UC Berkeley; 2: University of Hong Kong

Keynote Speech & Conference Paper Prizes
Location: SO108

by Prof. Campbell R. Harvey

Presentation title: "Hacking Finance".

CD: Deutsche Bundesbank Conference Dinner
Location: Mannheim - Schwetzingen

Train station from Mannheim main station

- Train leaves at 18:00, platform 8B (to board this train you don't need to buy a ticket)
- Access only with the conference dinner ticket, in your badge

The opening address will be held by Prof. Dr. Joachim Wuermeling from the Executive Board of the Deutsche Bundesbank.

During the evening distinguished members of the association will be honored for their outstanding contributions to the EFA.

Contact and Legal Notice · Contact Address:
Conference: EFA 2017
Conference Software - ConfTool Pro 2.6.113+TC
© 2001 - 2017 by H. Weinreich, Hamburg, Germany