Conference Agenda

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Only Sessions at Location/Venue 
Session Overview
Date: Thursday, 24/Aug/2017
APE-11: Asset Price Predictability I
Location: SN163
Chair: Angelo Ranaldo, University of St. Gallen

Disaggregated Sales and Stock Returns

Sumit Agarwal1, Wenlan Qian2, Xin Zou2

1: Georgetown University; 2: Hong Kong Baptist University

Fire Sale Risk and Expected Stock Returns

George O. Aragon1, Min S. Kim2

1: Arizona State University; 2: University of New South Wales

Margin Credit and Stock Return Predictability

Prachi Deuskar, Nitin Kumar, Jeramia Allan Poland

Indian School of Business

APE-5: News
Location: SN163
Chair: Roberto Marfè, Collegio Carlo Alberto

Macro News, Micro News, and Stock Prices

Jinfei Sheng

University of British Columbia

Front Page News: The Effect of News Consumption on Financial Markets

Anastassia Fedyk

Harvard University

The Price of News Arrivals: Evidence from Equity Options

Yoontae Jeon

University of Toronto

APE-3: Aggregate Risk
Location: SN163
Chair: Paolo Sodini, Stockholm School of Economics

Asset Pricing and Ambiguity: Empirical Evidence

Menachem Brenner1, Yehuda Izhakian2

1: NYU Stern School of Business; 2: Baruch College

Implied Volatility Duration and the Early Resolution Premium

Christian Schlag, Julian Thimme, Rüdiger Weber

Goethe University Frankfurt

Global Variance Term Premia and Intermediary Risk Appetite

Peter Van Tassel, Erik Vogt

Federal Reserve Bank of New York

Date: Friday, 25/Aug/2017
APE-7: Testing Asset Pricing Models
Location: SN163
Chair: Raman Uppal, EDHEC

In Search of Preference Shock Risks: Evidence from Longevity Risks and Momentum Profits

Zhanhui Chen, Bowen Yang

Nanyang Technological University

Asset Pricing with Beliefs-Dependent Utility and Learning

Tony Berrada1, Jerome Detemple2, Marcel Rindisbacher2

1: University of Geneva, Swiss Finance Institute; 2: Boston University

Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

Tania Babina1, Chotibhak Jotikasthira2, Christian Lundblad3, Tarun Ramadorai4

1: Columbia University; 2: Southern Methodist University; 3: UNC Chapel Hill; 4: Imperial College Business School

APE-12: Asset Price Predictability II
Location: SN163
Chair: Loriana Pelizzon, Goethe University Frankfurt

Margin Requirements and Equity Option Returns

Steffen Hitzemann1, Michael Hofmann2, Marliese Uhrig-Homburg2, Christian Wagner3

1: The Ohio State University; 2: Karlsruhe Institute of Technology; 3: Copenhagen Business School

Equity Premium Predictability from Cross-Sectorial Downturns

Jose Faias1, Juan Zambrano2

1: Católica Lisbon School of Business and Economics; 2: University of Reading

Gold, Platinum, and Expected Stock Returns (paper withdrawn)

Darien Huang

Cornell University

APE-9: Momentum
Location: SN163
Chair: Jennie Bai, Georgetown University

Feedback Loops in Industry Trade Networks and the Term Structure of Momentum Profits

Ali Sharifkhani, Mikhail Simutin

University of Toronto

Geographic Momentum

Riccardo Sabbatucci1, Christopher A. Parsons2, Sheridan Titman3

1: Stockholm School of Economics; 2: UC San Diego; 3: University of Texas at Austin

Speed Matters: Limited Attention and Supply-Chain Information Diffusion

Michael Hertzel1, Ling Cen2, Christoph Maximilian Schiller2

1: Arizona State University; 2: University of Toronto

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