Conference Agenda

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Only Sessions at Location/Venue 
Session Overview
Date: Thursday, 24/Aug/2017
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-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-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
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

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

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
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-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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Conference: EFA 2017
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