Conference Agenda

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

10:30am
-
12:00pm
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

3:30pm
-
5:00pm
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
8:30am
-
10:00am
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

10:30am
-
12:00pm
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

1:30pm
-
3:00pm
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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