Conference Agenda

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Only Sessions at Location/Venue 
Session Overview
Date: Thursday, 24/Aug/2017
FMG-7: Finance and Institutions
Location: O145
Chair: Gyongyi Loranth, University of Vienna

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

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

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

Date: Friday, 25/Aug/2017
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Hasty Deleverage and Liquidity Spiral: Evidence from Margin Trading of Individual Stocks (withdrawn)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

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

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

Date: Saturday, 26/Aug/2017
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

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

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Conference: EFA 2017
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