Conference Agenda

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Session Overview
Date: Friday, 23/Aug/2019
7:30
-
8:30
Women in Finance networking breakfast
Location: Azure Restaurant (on Nova SBE campus)

The session aims to encourage women working in finance to get to know each other and share their career experiences. The breakfast will be organized with round tables where senior and junior researchers can discuss and address current issues. We strongly encourage all women in finance to attend.

8:30
-
10:00
APE-11: The cross-section of expected returns
Location: D -104
Chair: Dacheng Xiu
 

Arbitrage Portfolios

Soohun Kim2, Robert A. Korajczyk1, Andreas Neuhierl3

1: Northwestern University, United States of America; 2: Georgia Institute of Technology, United States of America; 3: University of Notre Dame, United States of America



Estimating The Anomaly Baserate

Alexander Chinco1, Andreas Neuhierl2, Michael Weber3

1: UIUC, United States of America; 2: University of Notre Dame; 3: University of Chicago



Thousands of Alpha Tests

Stefano Giglio1, Yuan Liao2, Dacheng Xiu3

1: Yale University; 2: Rutgers University, United States of America; 3: University of Chicago

APT-5: Crash Risk
Location: D -105
Chair: Anders Trolle
 

Credit and Option Risk Premia

Lars-Alexander Kuehn1, David Schreindorfer2, Florian Schulz3

1: Carnegie Mellon University, United States of America; 2: Arizona State University; 3: University of Washington



The Dynamics of the Implied Volatility Surface

Alexandre Jeanneret1, Michael Hasler2

1: HEC Montréal, Canada; 2: University of Texas at Dallas



Downside Risks and the Price of Variance Uncertainty

Friedrich Lorenz1, Malte Schumacher2

1: University of Münster, Germany; 2: University of Zurich, Switzerland

MM-5: Market design and Liquidity
Location: D -106
Chair: Elvira Sojli
 

Market Structure and Corporate Payout Policy: Evidence from a Natural Experiment

Xiongshi Li1, Mao Ye2,3, Miles Zheng2

1: Guangxi University, China, People's Republic of; 2: University of Illinois Urbana-Champaign; 3: NBER



Dark Trading and the Fundamental Information in Stock Prices

Jonathan Brogaard1, Jing Pan2

1: David Eccles School of Business, University of Utah; 2: Cox School of Business, Southern Methodist University



Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity

Hans Degryse1, Rudy De Winne2, Carole Gresse3, Richard Payne4

1: KU Leuven, IWH, CEPR; 2: UCLouvain, Louvain School of Management; 3: Université Paris-Dauphine, PSL, DRM, CNRS; 4: Cass Business School, City University of London

CFGE-5: New theory and evidence on IPOs
Location: D -107
Chair: Per Strömberg
 

Initial Public Offerings and the Local Economy

Jess Cornaggia, Matthew Gustafson, Jason Kotter, Kevin Pisciotta

University of Kansas, United States of America



Financing Experimentation

Tong Liu

The Wharton School, University of Pennsylvania, United States of America



Technological Disruptiveness and the Evolution of IPOs and Sell-Outs

Laurent Fresard1, Gerard Hoberg2, Donald Bowen3

1: University of Lugano and Swiss Finance Institute; 2: University of Southern Californa; 3: Virginia Tech

CFGE-14: Labor and Finance
Location: D -110
Chair: Ashwini Agrawal
 

Fewer and Less Skilled? Human Capital, Competition, and Entrepreneurial Success in Manufacturing

Meghana Ayyagari1, Vojislav Maksimovic2

1: George Washington University, United States of America; 2: University of Maryland, United States of America



Local Taxes and the Demand for Skilled Labor: Evidence From Job Postings

Murillo Campello1, Janet Gao2, Qiping Xu3

1: Cornell University; 2: Indiana University, United States of America; 3: University of Notre Dame



Do Minimum Wage Increases Cause Financial Stress to Small Businesses? Evidence from 15 Million Establishments

Manpreet Singh, Sudheer Chava, Alex Oettl

Georgia Tech, United States of America

HH-1: Household Consumption-Debt Behavior
Location: D -111
Chair: Adair Morse
 

Expectations Uncertainty and Household Economic Behavior

Itzhak Ben-David2, Elyas Fermand3, Camelia Kuhnen3, Geng Li1

1: Federal Reserve Board, United States of America; 2: Ohio State University; 3: University of North Carolina



Crowdsourcing Financial Information to Change Spending Behavior

Francesco D'Acunto1, Alberto G. Rossi2, Michael Weber3

1: Boston College, United States of America; 2: University of Maryland; 3: University of Chicago



Shocked by Bank Funding Shocks: Evidence from Consumer Credit Cards

Sudheer Chava1, Rohan Ganduri2, Nikhil Paradkar1, Linghang Zeng1

1: Georgia Institute of Technology, United States of America; 2: Emory University, United States of America

FIIE-1: Fund performance
Location: D -112
Chair: Charlotte Christiansen
 

Best Short

Pasquale Della Corte, Robert Kosowski, Nikolaos Rapanos

Imperial College Business School, United Kingdom



What Do Mutual Fund Managers' Private Portfolios Tell Us About Their Skills?

Markus Felix Ibert

Federal Reserve Board of Governors, United States of America



Text Sophistication and Sophisticated Investors

Juha Joenväärä1, Jari Pekka Karppinen1, Melvyn Teo3, Cristian Ioan Tiu2

1: University of Oulu, Finland; 2: University at Buffalo, United States; 3: Singapore Management University

FIIE-9: Exchange-Traded Funds and Fund Flows
Location: D -113
Chair: Francesco Franzoni
 

Asset Prices and Corporate Responses to Bank of Japan ETF Purchases

Ben Charoenwong1, Randall Morck2,3,4,5, Yupana Wiwattanakantang1,5

1: National University of Singapore, Singapore; 2: Alberta School of Business, University of Alberta; 3: National Bureau of Economic Research; 4: Asian Bureau of Finance and Economic Research; 5: European Corporate Governance Institute



Swing Pricing and Fragility in Open-end Mutual Funds

Felix Suntheim1, Dunhong Jin2, Marcin Kacperczyk3, Bige Kahraman2

1: International Monetary Fund; 2: Said Business School, University of Oxford; 3: Imperial College London



Phantom of the Opera: ETFs and Shareholder Voting

Richard Evans1, Oguzhan Karakas2, Rabih Moussawi3, Michael Young1

1: University of Virginia, United States of America; 2: University of Cambridge; 3: Villanova University

FIIT-1: Banks' responses to macroprudential policies
Location: D -114
Chair: Leonardo Gambacorta
 

The Aggregate Demand for Bank Capital

Milton Harris1, Christian Opp2, Marcus Opp3

1: University of Chicago; 2: University of Pennsylvania; 3: Stockholm School of Economics



The Anatomy of the Transmission of Macroprudential Policies

Viral V. Acharya2, Katharina Bergant3, Matteo Crosignani4, Tim Eisert1, Fergal McCann5

1: Erasmus University Rotterdam, Netherlands, The; 2: Reserve Bank of India; 3: Trinity College Dublin; 4: University of Michigan; 5: Central Bank of Ireland



Macroprudential FX Regulations:Shifting the Snowbanks of FX Vulnerability?

Dennis Reinhardt1, Kristin Forbes2, Toni Ahnert3, Christian Friedrich3

1: Bank of England, United Kingdom; 2: MIT, NBER, CEPR; 3: Bank of Canada

 
10:00
-
10:30
Coffee break offered by WRDS
10:30
-
12:00
APE-5: Economic Risk Factors
Location: D -104
Chair: Francisco Gomes
 

Hedging Risk Factors

Bernard Herskovic1, Alan Moreira2, Tyler Muir1

1: UCLA; 2: University of Rochester



News Shocks and Asset Prices

Lorenzo Bretscher1, Aytek Malkhozov2, Andrea Tamoni3

1: London Business School, United Kingdom; 2: Federal Reserve Board; 3: London School of Economics



Decomposing Firm Value

Frederico Belo1, Vito Gala2, Juliana Salomao3, Maria Ana Vitorino1

1: INSEAD, France; 2: PIMCO; 3: University of Minnesota

APT-4: Information and Entry
Location: D -105
Chair: Bradyn Breon-Drish
 

Delayed Information Acquisition and Entry into New Trading Opportunities

Snehal Banerjee, Bradyn Breon-Drish

UC San Diego, United States of America



Time-Varying Market Participation, Consumption Risk-Sharing, and Asset Dynamics

Redouane Elkamhi, Chanik Jo

University of Toronto, Canada



Why Does Public News Augment Information Asymmetries?

Julio A. Crego

Tilburg University, Netherlands, The

APE-9: Leverage Constraints and Liquidity in Equity Markets
Location: D -106
Chair: Naveen Gondhi
 

Leveraged Funds and the Shadow Cost of Leverage Constraints

Zhongjin Lu, Zhongling Qin

University of Georgia, United States of America



Liquidity Risk?

Jeffrey Pontiff

Boston College, United States of America



Gamma Fragility

Andrea Barbon1, Andrea Buraschi2

1: USI Lugano and SFI; 2: Imperial College London

CFGE-6: Ownership and governance
Location: D -107
Chair: Heitor Almeida
 

Why are firms with more managerial ownership worth less?

Kornelia Fabisik1, Ruediger Fahlenbrach1, Rene Stulz2, Jerome Taillard3

1: EPFL, Switzerland; 2: Ohio State University; 3: Babson College



Corporate Capture of Blockchain Governance

Daniel Ferreira1, Jin Li2, Radoslawa Nikolowa3

1: London School of Economics; 2: Hong Kong University; 3: Queen Mary University of London



Does corporate governance impact equity volatility? Theory and worldwide evidence

Louis Gagnon1, Alexandre Jeanneret2

1: Queen's University, Canada; 2: HEC Montreal

CFGE-16: Spillover effects
Location: D -110
Chair: Morten Bennedsen
 

Business Group Spillovers: Evidence from the Golden Quadrilateral in India

S.Lakshmi Naaraayanan1, Daniel Wolfenzon2

1: HKUST, Hong Kong S.A.R. (China); 2: Columbia University and NBER



Corporate rivalry and return comovement

Eric de Bodt1, Espen B. Eckbo2, Richard Roll3

1: NHH Norwegian School of Economics; 2: Tuck School of Business at Dartmouth, USA; 3: California Institute of Technology, USA



Institutional horizontal shareholdings and generic entry in the pharmaceutical industry

Jin Xie1, Joseph Gerakos2

1: Chinese University of Hong Kong, Hong Kong S.A.R. (China); 2: Tuck School of Business at Dartmouth College

HH-2: Discrimination
Location: D -111
Chair: Daniel Paravisini
 

Predictably Unequal? The Effects of Machine Learning on Credit Markets

Andreas Fuster3, Paul Goldsmith-Pinkham2, Tarun Ramadorai1, Ansgar Walther1

1: Imperial College London; 2: Yale School of Management; 3: Swiss National Bank



Discrimination in the Auto Loan Market

Alexander Butler1, Erik Mayer2, James Weston1

1: Rice University, United States of America; 2: Southern Methodist University, United States or America



Performance Isn't Everything: Personal Characteristics and Career Outcomes of Mutual Fund Managers

Anna D. Scherbina1, Brad Barber2, Bernd Schlusche3

1: Brandeis University, United States of America; 2: University Of California Davis; 3: Board of Governors of the Federal Reserve System

ECB-1: Interaction of monetary and macroprudential policies, impact of regulations and spillover across the financial sector
Location: D -112
Chair: Angela Maria Maddaloni
 

Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation

Yufeng Wu1, Yifei Wang2, Toni Whited2, Kairong Xiao3

1: University of Illinois, Urbana-Champaign; 2: University of Michigan; 3: Columbia University



Inspecting the Mechanism of Quantitative Easing in the Euro Area

Francois Koulischer1, Ralph Koijen2, Motohiro Yogo3, Benoit Nguyen4

1: Universite du Luxembourg, Luxembourg; 2: Chicago Booth Business School; 3: Princeton University; 4: Banque de France



Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers

Carlo Altavilla1, Miguel Boucinha1, José-Luis Peydró2,3,4,5,6, Frank Smets1

1: ECB; 2: ICREA-Universitat Pompeu Fabra; 3: CREI; 4: Barcelona GSE; 5: Imperial College London; 6: CEPR

FIIE-10: Asset Management
Location: D -113
Chair: Richard Evans
 

Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations

Mathias Kronlund2, Veronika Pool3, Clemens Sialm1, Irina Stefanescu4

1: University of Texas at Austin; 2: University of Illinois at Urbana-Champaign; 3: Indiana University; 4: Board of Governors of the Federal Reserve System



Finding Fortune: How Do Institutional Investors Pick Asset Managers?

Preetesh Kantak1, Gregory Brown2, Oleg Gredil3

1: Indiana University, Bloomington, United States of America; 2: University of North Carolina, Chapel Hill; 3: Tulane University



How much labor do you need to manage capital?

Leonard Kostovetsky1, Alberto Manconi2

1: Boston College, United States of America; 2: Bocconi University

FIIT-2: Designing bank regulation and supervision
Location: D -114
Chair: Joao Santos
 

Illiquidity, Closure Policies and the Role of LOLR

Stefano Corradin1, Suresh Sundaresan2

1: European Central Bank, Germany; 2: Columbia University



Stress Testing and Bank Lending

Joel Shapiro1, Jing Zeng2

1: University of Oxford; 2: Frankfurt School of Finance and Management



Sovereign risk and bank fragility

Kartik Anand, Jochen Mankart

Deutsche Bundesbank

 
12:00
-
13:30
Lunch break
13:30
-
15:00
APE-6: Cross-section of stock returns: higher-order moments and mis-specification
Location: D -104
Chair: Grigory Vilkov
 

Correcting Misspecified Stochastic Discount Factors

Raman Uppal1, Paolo Zaffaroni2, Irina Zviadadze3

1: EDHEC Business School, United Kingdom; 2: Imperial College London; 3: Stockholm School of Economics



Higher-Moment Risk

Niels Joachim Gormsen2, Christian Skov Jensen1

1: Bocconi University; 2: University of Chicago, Booth School of Business



Crash Risk in Individual Stocks

Paola Pederzoli

University of Houston, United States of America

MM-1: The Speed and Transparency of Trading
Location: D -105
Chair: Batchimeg Sambalaibat
 

Endogenous Specialization and Dealer Networks

Batchimeg Sambalaibat

Indiana University, United States of America



High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Mario Bellia1, Kim Christensen2, Aleksey Kolokolov3, Loriana Pelizzon1, Roberto Reno4

1: Research Center SAFE - Goethe University; 2: CREATES, Aarhus University; 3: Alliance Manchester Business School; 4: Department of Economics, University of Verona



Quasi-dark trading: The effects of banning dark pools in a world of many alternatives

Thomas Johann1, Talis Putnins2,5, Satchit Sagade3,6, Christian Westheide4

1: University of Mannheim; 2: University of Technology Sydney; 3: University of Frankfurt; 4: University of Vienna; 5: Stockholm School of Economics, Riga; 6: Research Center SAFE

APE-4: Liquidity in Corporate Bond Market
Location: D -106
Chair: Peter Feldhütter
 

Corporate Bond Liquidity: Evidence from Government Guarantees

Lubomir Petrasek, Kurt Lewis

Federal Reserve Board, United States of America



Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

Hui Chen1, Zhuo Chen2, Zhiguo He3, Jinyu Liu4, Rengming Xie5

1: MIT Sloan School of Management and NBER; 2: PBC School of Finance, Tsinghua University; 3: Booth School of Business, University of Chicago, and NBER; 4: University of International Business and Economics, China, People's Republic of; 5: CITIC Securities



Market Accessibility, Corporate Bond ETFs, Liquidity

Craig Holden1, Jayoung Nam2

1: Indiana University, United States of America; 2: Southern Methodist University, United States of America

CFGE-7: Corporate Governance
Location: D -107
Chair: Vyacheslav Fos
 

Media and Shareholder Activism

Abhishek {Abhi} Ganguly

Indiana University, Bloomington, United States of America



Punish One, Teach A Hundred: The Sobering Effect of Punishment on the Unpunished

Francesco D'Acunto2, Michael Weber1, Jin Xie3

1: University of Chicago, United States of America; 2: Boston College, United States of America; 3: Chinese University Hong Kong



Peer Effects in Corporate Governance Practices: Evidence from Universal Demand Laws

Pouyan Foroughi1, Alan Marcus2, Vinh Nguyen3, Hassan Tehranian2

1: University of New South Wales (UNSW), Australia; 2: Boston College; 3: University of Hong Kong

CFGE-15: Contracts and Incentives
Location: D -110
Chair: Isaac Hacamo
 

Payday before Mayday: CEO Compensation Contracting for Distressed Firms

Mary Ellen Carter1, Edith Hotchkiss1, Mahdi Mohseni2

1: Boston College, United States of America; 2: Texas A&M, United States of America



Pay for Future Returns

Moqi Groen-Xu1, Yiqing Lu2

1: London School of Economics, United Kingdom; 2: New York University Shanghai



Relative Performance Evaluation and Strategic Competition

Li He1, Toni Whited2, Ran Guo3

1: Rotterdam School of Management, Erasmus University Rotterdam; 2: Ross School of Business and the NBER, University of Michigan; 3: Lancaster University Management

HH-4: Labor Markets and Human Capital
Location: D -111
Chair: Paolo Sodini
 

Do Robots Increase Wealth Dispersion?

Thomas Jansson1, Yigitcan Karabulut2

1: Sveriges riksbank, Sweden; 2: Frankfurt School of Finance and Management, Germany



Globalization, Competition and Entrepreneurial Activity: Evidence from US Households

Hadiye Aslan2, Praveen Kumar1

1: University of Houston, United States of America; 2: Georgia State University



Clustering Fosters Investment: Local Agglomeration and Household Portfolio Choice

Jawad M. Addoum1, Stefanos Delikouras2, Da Ke3, George M. Korniotis2

1: Cornell University, United States of America; 2: University of Miami, United States of America; 3: University of South Carolina, United States of America

FIIE-2: Reallocation of risk accross countries
Location: D -112
Chair: Hans Degryse
 

The Credit Channel of Fiscal Policy Transmission

Andrew Bird1, Stephen Karolyi1, Stefan Lewellen2, Thomas Ruchti1

1: Carnegie Mellon University; 2: Pennsylvania State University



The (re)allocation of bank risk

Johannes Breckenfelder1, Geert Bekaert2

1: European Central Bank, Germany; 2: Columbia GSB



”Brexit” and the Contraction of Syndicated Lending

Tobias Berg1, Anthony Saunders2, Larissa Schäfer1, Sascha Steffen1

1: Frankfurt School of Finance & Management, Germany; 2: New York University

FIIE-11: International Capital Markets
Location: D -113
Chair: Pedro Matos
Chair: Richard Evans
 

Do Foreign Institutional Investors Improve Market Efficiency?

Marcin Kacperczyk1, Savitar Sundaresan1, Tianyu Wang2

1: Imperial College London; 2: Tsinghua University



Unbundling and Analyst Competition: Evidence from MiFID II

Yifeng Guo, Lira Mota

Columbia Business School



Credit default swaps around the world: Investment and financing effects

Sohnke Bartram2, Jennifer Conrad3, Jongsub Lee1, Marti Subrahmanyam4

1: Seoul National University, Korea, Republic of (South Korea); 2: Warwick Business School; 3: UNC Kenan-Flagler Business School; 4: NYU Stern School of Business

FIIT-3: Dealers and market power
Location: D -114
Chair: Katrin Tinn
 

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Auctions

Nina Boyarchenko2, David Lucca2, Laura Veldkamp1

1: Columbia Business School, United States of America; 2: Federal Reserve Bank of New York



Prime Broker Exposures, Collateral, and Resilience in Hedge Fund Credit Networks

Mathias S Kruttli2,4, Phillip J Monin3, Sumudu W Watugala1,4

1: Cornell University; 2: Federal Reserve Board of Governors; 3: Office of Financial Research, US Department of the Treasury; 4: Oxford-Man Institute of Quantitative Finance, University of Oxford



Risk-Sharing and Investment in Concentrated Markets

Daniel Neuhann, Michael Sockin

University of Texas at Austin, United States of America

Panel 2: The EC Sustainable Finance Action Plan: the potential of regulation to tackle climate change
Location: D 139

Organized in collaboration with the European Commission – Joint Research Centre

15:00
-
15:30
Coffee break
15:30
-
17:10
KS.GA: Keynote Speech - Prize Ceremony - EFA General Assembly
Location: Hovione Atrium

Keynote Address by Professor Andrei Shleifer (Harvard University)

EFA Paper Prizes, Review of Finance Prizes and the EFA Doctoral Tutorial Prizes

18:30 Bus Conference Dinner: Check exact route time and book your ride on time!
19:00
-
23:00
CD: Conference Dinner
Location: SUD Lisboa

Participants are invited to join the highlight of the social program. The Conference Dinner will be held at the restaurant SUD Lisboa, which offers a wonderful view of the Tagus River and it is located close to the famous Belém area.


 
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