Conference Agenda

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Session Overview
Date: Saturday, 24/Aug/2019
APE-7: Alternative Asset Classes
Location: D -104
Chair: Pedro Saffi, University of Cambridge

“We’ll Always Have Paris”: Out-of-Country Buyers in the Housing Market

Dragana Cvijanovic1, Christophe Spaenjers2

1: UNC Chapel Hill, United States of America; 2: HEC Paris

How Alternative Are Private Markets?

Ludovic Phalippou1, Elise Gourier2, William Goetzmann3

1: University of Oxford; 2: ESSEC Business School; 3: Yale School of Management

Crude Awakening: Oil Prices and Bond Returns

Eric Jondeau1, Qunzi Zhang2, Xiaoneng Zhu3

1: University of Lausanne; 2: Shandong University; 3: Shanghai University of Finance and Economics

MM-2: Market Microstructure: Liquidity and Volume
Location: D -105
Chair: Anna Obizhaeva, New Economic School

Market Microstructure Invariance: A Dynamic Equilibrium Model

Anna Obizhaeva, Albert Kyle

New Economic School, Russian Federation

Liquidity, Volume, and Volatility

Vincent Bogousslavsky1, Pierre Collin-Dufresne2

1: Boston College; 2: SFI@EPFL

Do ETFs Increase Liquidity?

Mehmet Saglam1, Tugkan Tuzun2, Russ Wermers3

1: University of Cincinnati, United States of America; 2: Federal Reserve Board; 3: University of Maryland

APE-1: News effects
Location: D -106
Chair: Alberto G Rossi, University of Maryland

News Momentum

Hao Jiang1, Sophia Zhengzi Li2, Hao Wang3

1: Michigan State University; 2: Rutgers Business School; 3: Prime Quantitative Research LLC

Temperature Shocks and Industry Earnings News

Jawad M. Addoum, David Ng, Ariel Ortiz-Bobea

Cornell University, United States of America

News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

Yoontae Jeon1, Thomas H. McCurdy2, Xiaofei Zhao3

1: Ted Rogers School of Management, Ryerson University; 2: Rotman School of Management, University of Toronto; 3: McDonough School of Business, Georgetown University

CFGE-8: Corporate Social Responsibility
Location: D -107
Chair: Nuno Fernandes, Católica Lisbon and ECGI

ESG Shareholder Engagement and Downside Risk

Andreas Hoepner1, Ioannis Oikonomou2, Zacharias Sautner3, Laura Starks4, Xiaoyan Zhou5

1: University College Dublin (UCD); 2: Henley Business School; 3: Frankfurt School of Finance & Management; 4: University of Texas at Austin; 5: University of Oxford, United Kingdom

Standing out from the crowd via ESG engagement: Evidence from non-fundamental-driven price pressure

Lei Gao1, Jack He2, Julie Wu3

1: Iowa State University, United States of America; 2: University of Georgia; 3: University of Nebraska – Lincoln

Real Effects of Climate Policy: Financial Constraints and Spillovers

Söhnke M. Bartram1, Kewei Hou2, Sehoon Kim3

1: University of Warwick, United Kingdom; 2: The Ohio State University, United States of America; 3: University of Florida, United States of America

CFGE-17: Crime, politics, and firm value
Location: D -110
Chair: Pat Akey, University of Toronto

Investor Rewards to Climate Responsibility: Evidence from the 2016 Climate Policy Shock

Stefano Ramelli1, Alexander Wagner2, Richard Zeckhauser3, Alexandre Ziegler1

1: University of Zurich; 2: University of Zurich, Swiss Finance Institute, CEPR, ECGI; 3: Harvard University, NBER

Organized Crime and Firms: Evidence from Italy

Pablo Slutzky1, Stefan Zeume2

1: University of Maryland; 2: University of Michigan, United States of America

Who pays a visit to Brussels? Cross-border firm value effects of meetings with European Commissioners

Kizkitza Biguri2, Jörg Stahl1

1: Católica Lisbon School of Business&Economics, Portugal; 2: BI Norwegian Business School

CFGT-4: Dynamic Financing and Investment
Location: D -111
Chair: Josef Zechner, WU Vienna

Optimal Short-Termism

Tak-Yuen Wong1, Dirk Hackbarth2, Alejandro Rivera3

1: Shanghai University of Finance and Economics, China, People's Republic of; 2: Boston University; 3: University of Texas at Dallas

Debt, Innovation, and Growth

Thomas Geelen2, Jakub Hajda3, Erwan Morellec1

1: EPFL, Switzerland; 2: Copenhagen Business School; 3: University of Lausanne, Switzerland

Debt covenants and the value of commitment

Andrea Gamba1, Lei Mao2

1: University of Warwick, UK; 2: Chinese University of Hong Kong, Shenzhen, China, People's Republic of

FIIE-3: Limits to Regulation
Location: D -112
Chair: Ralf Meisenzahl, Federal Reserve Board

Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China

Fabio Braggion1, Alberto Manconi2, Haikun Zhu3

1: Tilburg University, Netherlands, The; 2: Bocconi University, Italy; 3: Erasmus University, Netherlands, The

Winning Connections? Special Interests and the Sale of Failed Banks

Deniz Igan1, Thomas Lambert2, Wolf Wagner2, Eden Zhang3

1: IMF; 2: Erasmus University; 3: Monash University

Liquidity Support in Financial Institutions

Falko Fecht1, Egemen Genc2, Yigitcan Karabulut1,3

1: Frankfurt School of Finance and Management; 2: Rotterdam School of Management, Erasmus University; 3: CEPR

FIIE-12: Empirical banking and insurance
Location: D -113
Chair: Ishita Sen, London Business School

Seeking My Supervisor: Evidence from the Centralization of Banking Supervision in Europe

Franco Fiordelisi1, David Marques2, Itzhak Ben-David3, Giovanni Cerulli4

1: University of Rome III, Italy; 2: European Central Bank; 3: The Ohio State University and NBER; 4: National Research Council of Italy

Regulatory Limits to Risk Management

Ishita Sen

London Business School, United Kingdom

Can Risk be Shared Across Investor Cohorts? Evidence from a Popular Savings Product

Victor Lyonnet1, Johan Hombert2

1: Ohio State University, United States of America; 2: HEC Paris, France

FIIT-4: Collateral and market fragility
Location: D -114
Chair: John Chi-Fong Kuong, INSEAD
Chair: Sergio Vicente, Queen Mary University of London

The Opportunity Cost of Collateral

Jason Roderick Donaldson1, Mina Lee1, Giorgia Piacentino2

1: Washington University in St Louis, United States of America; 2: Columbia Business School, USA

Collateral Runs

Sebastian Infante, Alexandors P. Vardoulakis

Federal Reserve Board, United States of America

Dynamic Asset-Backed Security Design

Emre Ozdenoren2, Kathy Yuan1, Shengxing Zhang1

1: London School of Economics, United Kingdom; 2: London Business School

Coffee break
APE-8: Aggregate Risk and Return Predictability
Location: D -104
Chair: Frederico Belo, INSEAD

How Risky are the U.S. Corporate Assets?

Tetiana Davydiuk3, Scott Richard2, Ivan Shaliastovich1, Amir Yaron2

1: UW Madison, United States of America; 2: University of Pennsylvania; 3: Carnegie Mellon University

Expected returns and risk in the stock market

Alex Taylor1, Michael Brennan2

1: Alliance Manchester Business School, United Kingdom; 2: Anderson School, UCLA

Capital Heterogeneity, Time-To-Build, and Return Predictability

Ding Luo

City University of Hong Kong, Hong Kong S.A.R. (China)

APT-6: Money and Collateral
Location: D -105
Chair: Stefano Corradin, European Central Bank

Bitcoin as Decentralized Money: Prices, Mining, and Network Security

Emiliano Pagnotta

Imperial College Business School

Equilibrium Bitcoin Pricing

Bruno Biais2, Christophe Bisière1, Matthieu Bouvard3, Catherine Casamatta1, Albert Menkveld4

1: Toulouse School of Economics, Université Toulouse Capitole (TSM-Research); 2: HEC Paris; 3: McGill University; 4: Vrije Universiteit Amsterdam

Repo rates and the collateral spread puzzle

Kjell Nyborg1,2

1: University of Zurich, Switzerland; 2: Swiss Finance Institute

IF-2: International Macro Finance
Location: D -106
Chair: Federico Gavazzoni, INSEAD

SONOMA: a Small Open ecoNOmy for MAcrofinance

Max Croce1, Mohammad Jahan-Parvar2, Samuel Rosen3

1: Bocconi University; 2: Federal Reserve Board; 3: Temple University, Fox School of Business, United States of America

Sovereign Debt Ratchets and Welfare Destruction

Fabrice Tourre1, Peter DeMarzo2, Zhiguo He3

1: Copenhagen Business School; 2: Stanford University; 3: University of Chicago

A "Bad Beta, Good Beta" Anatomy of Currency Risk Premiums and Trading Strategies

I-Hsuan Ethan Chiang, Xi Mo

UNC Charlotte, United States of America

CFGE-9: Collateral and Corporate Policy
Location: D -107
Chair: Robert Prilmeier, Tulane University

Trademark Collateral and Debt Financing

Zhaoxia Xu

UNSW Business School, Australia

Property Rights and Debt Financing

Paula Suh

University of Georgia, United States of America

Collateral Requirements and Corporate Policy Decisions

Kizkitza Biguri1, Jörg Stahl2

1: BI Norwegian Business School, Norway; 2: Catolica Lisbon School of Business & Economics, Portugal

CFGE-18: Bankruptcy and uncertainty
Location: D -110
Chair: Carola Schenone, University of Virginia

The Dark Side of 2005 Bankruptcy Code Reform —Does Derivatives Privilege Affect Corporate Borrowing?

Maggie Hu3, Chenyu Shan2, Rui Zhu1

1: City University of Hong Kong, Hong Kong S.A.R. (China); 2: Shanghai University of Economics and Finance; 3: Chinese University of Hong Kong

It’s Not So Bad: Director Bankruptcy Experience and Corporate Risk Taking

Radhakrishnan Gopalan1, Todd Gormley1, Ankit Kalda2

1: Washington University in St. Louis, United States of America; 2: Indiana University, United States of America

Uncertainty, Access to Debt, and Firm Precautionary Behavior

Giovanni Favara1, Janet Gao2, Mariassunta Giannetti3

1: Federal Reserve Board; 2: Indiana University; 3: Stockholm School of Economics

HH-3: Financial & Robo-Advising
Location: D -111
Chair: Marcin Kacperczyk, Imperial College Business School

Who Benefits from Robo-advising? Evidence from Machine Learning

Alberto G Rossi1, Stephen Utkus2

1: University of Maryland, United States of America; 2: Vanguard, United States of America

Assessing Risk using Self-Regulatory Organization Disclosures

Stephen Dimmock2, William Gerken1

1: University of Kentucky, United States of America; 2: Nanyang Technological University

Unlocking Clients

Umit Gurun1, Noah Stoffman2, Scott Yonker3

1: UT - Dallas, United States of America; 2: Indiana University, United States of America; 3: Cornell University, United States of America

FIIE-4: Access to Credit
Location: D -112
Chair: Andrea Polo, LUISS, EIEF

Collateral and Asymmetric Information in Lending Markets

Vasso Ioannidou1, Nicola Pavanini2, Yushi Peng3

1: Lancaster University, UK; 2: Tilburg University, Netherlands, The; 3: University of Zürich, Switzerland

The Digital Credit Divide: The Effect of Marketplace Lending on Entrepreneurship

Douglas Cumming1, Danny McGowan2, Hisham Farag2, Sofia Johan1

1: Florida Atlantic University; 2: University of Birmingham

Financial Access Under the Microscope

Sumit Agarwal1, Thomas Kigabo2, Camelia Minoiu3, Andrea Presbitero4, Andre F. Silva3

1: National University of Singapore; 2: National Bank of Rwanda; 3: Federal Reserve Board; 4: International Monetary Fund

FIIE-13: Incentives and Agency Conflicts
Location: D -113
Chair: Xiaoyun Yu, Indiana University

Deleting Misconduct: The Expungement of BrokerCheck Records

Colleen Honigsberg1, Matthew Jacob2

1: Stanford Law School, United States of America; 2: Harvard University

Incentives of Financial Analysts: Trading Turnover and Compensation

Egle Karmaziene

University of Groningen, Netherlands, The

Institutional Order Handling and Broker-Affiliated Trading Venues

Amber Anand1, Mehrdad Samadi2, Jonathan Sokobin3, Kumar Venkataraman2

1: Whitman School of Management, United States of America; 2: SMU Cox School of Business, United States of America; 3: FINRA, United States of America

FIIT-5: Funding liquidity
Location: D -114
Chair: Gyongyi Loranth, University of Vienna

A theory of liquidity in private equity

Per Strömberg1, Vincent Maurin1, David Robinson2

1: Stockholm School of Economics, Sweden; 2: Duke University

Crowdfunding, Initial Coin Offerings, and Consumer Surplus

Mina Lee1, Christine Parlour2

1: Washington University in St Louis, United States of America; 2: University of California Berkeley, United States of America

Dealer Funding and Market Liquidity

Max Bruche1, John Kuong2

1: Humboldt University of Berlin; 2: INSEAD

Lunch (bag)
13:00 Tours: Visit Lisbon-Cascais region

Cityrama offers two tours on Saturday afternoon specifically designed for the conference participants:

1. Lisbon City tour – Cascais and Belém
2. Sintra, Cabo da Roca and Estoril

Registration to attend the tours is required! Informaiton here.

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