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: Sudipto Dasgupta, Lancaster University

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

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 Giglio, Dacheng Xiu

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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