Conference Agenda

Tips to navigate the program:

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Only Sessions at Location/Venue 
 
 
Session Overview
Date: Thursday, 24/Aug/2017
8:30am
-
10:00am
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

10:30am
-
12:00pm
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

3:30pm
-
5:00pm
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

Date: Friday, 25/Aug/2017
8:30am
-
10:00am
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

10:30am
-
12:00pm
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

1:30pm
-
3:00pm
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

Date: Saturday, 26/Aug/2017
9:00am
-
10:30am
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

11:00am
-
12:30pm
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


 
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