Conference Agenda

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Session Overview
Date: Saturday, 26/Aug/2017
8:00am
-
9:00am
Coffee & Snacks - Conference check-in
Location: East Wing (Conference Venue)
9:00am
-
10:30am
FIIT-1: Bank Capital
Location: O151
Chair: Jan Pieter Krahnen, Goethe University Frankfurt
 

Bank Capital, Risk-Taking, and the Composition of Credit

Milton Harris1, Christian Opp2, Marcus Matthias Opp3

1: University of Chicago; 2: University of Pennsylvania; 3: UC Berkeley


Dynamic Bank Capital Requirements

Tetiana Davydiuk

University of Pennsylvania


Bank Capital Buffers in a Dynamic Model

Jochen Mankart1, Alexander Michaelides2, Spiros Pagratis3

1: Deutsche Bundesbank; 2: Imperial College Business School; 3: Athens University of Economics and Business

FIIE-4: Systemic Risk
Location: O148
Chair: Artem Neklyudov, University of Lausanne
 

Bank Networks and Systemic Risk: Evidence from the National Banking Acts

Mark Paddrik1, Haelim Park1, Jessie Jiaxu Wang2

1: U.S. Department of Treasury; 2: Arizona State University


The Failure of a Clearinghouse: Empirical Evidence

Guillaume Vuillemey1, Vincent Bignon2

1: HEC Paris, CEPR; 2: Bank of France


Credit Risk Hedging

Nina Boyarchenko1, Anna Costello2, Jennifer La'O3, Or Shachar1

1: Federal Reserve Bank of New York; 2: University of Michigan; 3: Columbia University

FMG-4: Market Design
Location: O145
Chair: Erik Theissen, University of Mannheim
 

Trading Fees and Intermarket Competition

Marios Panayides1, Barbara Rindi2, Ingrid M. Werner3

1: University of Pittsburgh; 2: Bocconi University; 3: The Ohio State University


Traders' Order Routing Decisions - Evidence from a Dark Pool Experiment

Florian El Mouaaouy

Ludwig-Maximilians-Universität München, PwC


Do You See What I See? Transparency and Bond Issuing Costs

James Andrew Brugler, Carole Comerton-Forde, Spencer Martin

University of Melbourne

APE-13: Corporate Finance and Asset Pricing
Location: O142
Chair: Evgeny Lyandres, Boston University
 

Leveraged Buyouts and Credit Spreads

Yael Eisenthal1, Peter Feldhütter2, Vikrant Vig2

1: IDC Herzliya; 2: London Business School


The Fragility of Organization Capital

Oliver Boguth1, David Ian Newton2, Mikhail Simutin3

1: Arizona State University; 2: Concordia University; 3: Toronto University


Market Risk Premium and Corporate Activities

Erik Lie1, Bo Meng1, Yiming Qian1, Guofu Zhou2

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

APE-4: Factor Models
Location: SN169
Chair: Andrea Gamba, University of Warwick
 

One-Factor Asset Pricing

Stefanos Delikouras1, Alexandros Kostakis2

1: University of Miami; 2: University of Manchester


A Diagnostic Criterion for Approximate Factor Structure

Elisa Ossola1, Patrick Gagliardini2, Olivier Scaillet3

1: European Commission Joint Research Centre; 2: Università della Svizzera italiana, Swiss Finance Institute; 3: University of Geneve, Swiss Finance Institute


A Portfolio Perspective on the Multitude of Firm Characteristics

Victor DeMiguel1, Alberto Martin-Utrera2, Francisco J. Nogales3, Raman Uppal4

1: London Business School; 2: Lancaster University; 3: Universidad Carlos III de Madrid; 4: EDHEC

APT-4: Cross-Sectional Asset Pricing
Location: O135
Chair: Paul Ehling, BI Norwegian Business School
 

Technology Adoption and the Capital Age Spread

Xiaoji Lin1, Berardino Palazzo2, Fan Yang3

1: The Ohio State University; 2: Boston University; 3: University of Connecticut


Labor Rigidity and the Dynamics of the Value Premium

Roberto Marfè

Collegio Carlo Alberto


Asset Collateralizability and the Cross-Section of Expected Returns

Jun Li1, Hengjie Ai2, Kai Li3, Christian Schlag1

1: Goethe University Frankfurt; 2: University of Minnesota; 3: Hong Kong University of Science and Technology

CGE-6: Institutional Investors and Shareholder Voting
Location: O133
Chair: Ruediger Fahlenbrach, École Polytechnique Fédérale de Lausanne (EPFL)
 

Are Shareholder Votes Rigged?

Daniel Metzger, Laurent Bach

Stockholm School of Economics


Blockholder Heterogeneity, Multiple Blocks, and the Dance Between Blockholders

Miriam Schwartz-Ziv, Hadlock Charles

Michigan State University


Monitoring the Monitor: Distracted Institutional Investors and Board Governance

Claire Yang Liu1, Angie Low2, Ronald Masulis1, Le Zhang1

1: University of New South Wales; 2: Nanyang Technological University

FL-4: Careers and Compensation
Location: O131
Chair: Kasper Meisner Nielsen, Hong Kong University of Science and Technology
 

CEO Marketability, Employment Opportunities, and Compensation: Evidence from Compensation Peer Citations

Daewoung Choi1, David Clay Cicero2, Shawn Mobbs1

1: University of Alabama; 2: Auburn University


Career Risk and Market Discipline in Asset Management

Andrew Ellul1, Marco Pagano2, Annalisa Scognamiglio2

1: Indiana University; 2: Università di Napoli Federico II


The Effect of Superstar Firms on College Major Choice

Darwin Choi1, Dong Lou2, Abhiroop Mukherjee3

1: Chinese University of Hong Kong; 2: London School of Economics; 3: Hong Kong University of Science and Technology

IF-1: CIRP & Carry
Location: O129
Chair: Wenxin Du, Federal Reserve Board
 

Optimal Factor Strategy in FX Markets

Thomas Maurer1, Thuy-Duong To2, Ngoc-Khanh Tran1

1: Washington University in St. Louis; 2: University of New South Wales


Segmented Money Markets and Covered Interest Parity Arbitrage

Dagfinn Rime1, Andreas Schrimpf2, Olav Syrstad3

1: BI Norwegian Business School; 2: Bank for International Settlements; 3: Norges Bank


Limits to Arbitrage in the Foreign Exchange Market: Evidence from FX Trade Repository Data

Gino Cenedese1, Pasquale Della Corte2, Tianyu Wang2

1: Bank of England; 2: Imperial College Business School

10:30am
-
11:00am
Coffee break
Location: East Wing (Conference Venue)
11:00am
-
12:30pm
FIIT-2: Monetary Policy and Financial Regulation
Location: O151
Chair: Sascha Steffen, Frankfurt School of Finance & Management gemeinnützige GmbH
 

Credit Expansion and Credit Misallocation

Alexander Bleck1, Xuewen Liu2

1: University of British Columbia; 2: Hong Kong University of Science and Technology


A Theory of Collateral for the Lender of Last Resort

Tanju Yorulmazer1, Dong Beom Choi2, Joao Santos2

1: University of Amsterdam; 2: Federal Reserve Bank of New York


Multinational Banks and Supranational Supervision

Giacomo Calzolari1, Jean-Edouard Colliard2, Gyongyi Loranth3

1: University of Bologna, CEPR; 2: HEC Paris; 3: University of Vienna, CEPR

FIIE-6: Bank Risk
Location: O148
Chair: Reint E. Gropp, Halle Institute for Economic Research
 

Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives

Viral Acharya1, Yalin Gündüz2, Timothy C. Johnson3

1: NYU Stern School of Business, CEPR, NBER; 2: Deutsche Bundesbank; 3: University of Illinois at Urbana-Champaign


Geographic Diversification and Banks’ Funding Costs

Ross Levine1, Chen Lin2, Wensi Xie3

1: UC Berkeley, NBER; 2: University of Hong Kong; 3: Chinese University of Hong Kong


Do Corporate Depositors Risk Everything for Nothing? The Importance of Deposit Relationships, Interest Rates and Bank Risk

Daniel Friedmann1, Bjorn Imbierowicz2, Anthony Saunders3, Sascha Steffen4

1: Goethe University Frankfurt; 2: Copenhagen Business School; 3: NYU Stern School of Business; 4: Frankfurt School of Finance and Management

FMG-5: OTC Markets
Location: O145
Chair: Peter Hoffmann, European Central Bank
 

Liquidity Fluctuations in Over the Counter Markets

Vincent Maurin

Stockholm School of Economics


Information and Liquidity of Over-the-Counter Securities

Song Han1, Alan Huang2, Madhu Kalimipalli3, Ke Wang1

1: Federal Reserve Board; 2: University of Waterloo; 3: Wilfrid Laurier University


A Network Map of Information Percolation

Björn Hagströmer1, Albert Menkveld2

1: Stockholm University; 2: VU University Amsterdam

APE-10: Idiosyncratic Risk
Location: O142
Chair: Andrea Tamoni, London School of Economics
 

Tax-Timing Options and the Demand for Idiosyncratic Volatility

Oliver Boguth, Luke Stein

Arizona State University


Idiosyncratic Risk Matters to Large Stocks!

Yangqiulu Luo1, Guojun Wu1, Yexiao Xu2

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


Good Volatility, Bad Volatility, and the Cross-Section of Stock Returns

Tim Bollerslev1, Sophia Zhengzi Li2, Bingzhi Zhao1

1: Duke University; 2: Michigan State University

APE-8: Short Selling Restrictions and Incentives
Location: SN169
Chair: Pasquale Della Corte, Imperial College Business School
 

Short Selling ETFs

Weikai Li1, Qifei Zhu2

1: Singapore Management University; 2: University of Texas at Austin


Do Institutional Incentives Distort Asset Prices?

Anton Lines

London Business School


The Limits to (Short) Arbitrage

Matthew Ringgenberg1, Jesse Blocher2

1: University of Utah; 2: Vanderbilt University

FIIE-2: Credit Ratings
Location: O135
Chair: Zhihua (Cissy) Chen, Shanghai University of Finance and Economics
 

Reputations and Credit Ratings - Evidence from Commercial Mortgage-Backed Securities

Ramin P. Baghai, Bo Becker

Stockholm School of Economics


Bank Standalone Credit Ratings

Michael R. King1, Steven Ongena2, Nikola Tarashev3

1: Western University; 2: University of Zurich; 3: Bank for International Settlements


Information Sharing and Lender Specialization: Evidence from the U.S. Commercial Lending Market

Jose Maria Liberti1,2, Jason Sturgess2, Andrew Sutherland3

1: Northwestern University; 2: Queen Mary University of London; 3: Massachusetts Institute of Technology

CGE-1: Boards of Directors
Location: O133
Chair: Markus Schmid, University of St. Gallen
 

How Costly is Forced Gender-Balancing of Corporate Boards?

Espen Eckbo1, Knut Nygaard2, Karin Thorburn3

1: Dartmouth College; 2: Oslo and Akershus University College of Applied Sciences; 3: NHH Norwegian School of Economics


Board Changes and the Director Labor Market: The Case of Mergers

David A. Becher1, Ralph A. Walkling1, Jared Ian Wilson2

1: Drexel University; 2: Indiana University


Do Lead Directors Enhance Board Monitoring? Evidence from Forced CEO Turnover

Han Ma, Mark Chen

Georgia State University

CFE-4: Innovation
Location: O131
Chair: Jan Bena, University of British Columbia
 

Measuring Innovation Around the World

Ping-Sheng Koh1, David Reeb2, Elvira Sojli3, Wing Wah Tham3

1: ESSEC Business School; 2: National University of Singapore; 3: University of New South Wales


Innovation in Mature Firms: A Text-Based Analysis

J. Anthony Cookson, Gustaf Bellstam, Sanjai Bhagat

University of Colorado Boulder


Human Capital, Skilled Immigrants, and Innovation

Rasha Ashraf1, Rina Ray2

1: Georgia State University; 2: University of Colorado Denver

BH-5: Attention and Information
Location: O129
Chair: Matti Keloharju, Aalto University
 

Does it Pay to Pay Attention?

Antonio Gargano1, Alberto G. Rossi2

1: University of Melbourne; 2: University of Maryland


Attention on Volatility and Options

Yan Xu1, Shu Yan2, Yuzhao Zhang3

1: University of Hong Kong; 2: Oklahoma State University; 3: Rutgers University


First-Round Knock-out: Complexity, Disclosed Margins, and Ex-Post Returns of Structured Products

Petra Vokatá

Aalto University

12:30pm
-
1:30pm
Lunch break
Location: East Wing (Conference Venue)

 
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