Conference Agenda

Tips to navigate the program:

  • Overview of all papers on a specific day: click on the day (e.g. Date: Thursday, 24/Aug/2019). To download papers, you will need to access the session by clicking on its title first.
  • Program index: click on the Authors tab below.
  • Location name: to display all sessions taking place in that room
  • Search box: to search for authors, papers and sessions.

Please notes that changes in the program might occur.

If your name is not displayed in the program, please register in our conference system.

If your paper information is not up to date, please send us an email at

Registration to the conference closes on August 1st, 2019:

Only Sessions at Location/Venue 
Session Overview
Location: D -106
Date: Thursday, 22/Aug/2019
APE-10: Sovereign funding markets
Location: D -106
Chair: Andrea Buraschi, Imperial College Business School
Chair: Melissa Prado, Nova School of Business and Economics

Mind the (Convergence) Gap: Forward Rates Strike Back!

Andrea Tamoni1, Alberto Plazzi2, Andrea Berardi3, Michael Markovich4

1: London School of Economics, United Kingdom; 2: Universita della Svizzera italiana and SFI; 3: Universita Ca' Foscari Venezia; 4: Credit Suisse

Default Risk and the Pricing of U.S. Sovereign Bonds

Robert F. Dittmar1, Alex Hsu2, Guillaume Roussellet3, Peter Simasek2

1: University of Michigan, United States of America; 2: Georgia Technological University; 3: McGill University

Liquidity Risk and Funding Cost

Alexander Bechtel1, Angelo Ranaldo1, Jan Wrampelmeyer2

1: University of St. Gallen, Switzerland; 2: VU Amsterdam

MM-3: Private Information and Trade Informativeness
Location: D -106
Chair: Jerome Dugast, Universite Paris-Dauphine

Clients’ Connections: Measuring the Role of Private Information in Decentralised Markets

Gabor Pinter1, Peter Kondor2

1: Bank of England, United Kingdom; 2: London School of Economics

Insider Trading Under the Microscope

Andriy Shkilko

Wilfrid Laurier University, Canada

Dynamic Trade Informativeness

Jinyuan Zhang1, Bart Zhou Yueshen2

1: INSEAD, France; 2: INSEAD, Singapore

MM-4: Arbitrage and Informed Trading
Location: D -106
Chair: Laurence Lescourret, ESSEC Business School

Why is capital slow moving? Liquidity hysteresis and the dynamics of informed capital

James Dow1, Jungsuk Han2, Francesco Sangiorgi3

1: London Business School; 2: Stockholm School of Economics; 3: Frankfurt School of Finance & Management, Germany

Limits to Arbitrage in Markets with Stochastic Settlement Latency

Nikolaus Hautsch1,3,4, Christoph Scheuch1,2, Stefan Voigt1,2

1: Vienna Graduate School of Finance, Austria; 2: WU (Vienna University of Economics and Business), Austria; 3: University of Vienna, Austria; 4: Center for Financial Studies (CFS), Germany

Dynamic Adverse Selection and Liquidity

Ioanid Rosu

HEC Paris, France

IF-1: International Finance
Location: D -106
Chair: Tony Zhang, Boston University

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Gurdip Bakshi1, John Crosby2

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

Global Risks in the Currency Market

George Panayotov

HKUST, Hong Kong S.A.R. (China)

Time-Varying Risk Premia in Large International Equity Markets

Ines Chaieb1, Hugues Langlois2, Olivier Scaillet1

1: University of Geneva, Switzerland; 2: HEC Paris, France

Date: Friday, 23/Aug/2019
MM-5: Market design and Liquidity
Location: D -106
Chair: Elvira Sojli, University of New South Wales

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

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

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

APE-4: Liquidity in Corporate Bond Market
Location: D -106
Chair: Peter Feldhütter, Copenhagen Business School

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

Date: Saturday, 24/Aug/2019
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

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

Contact and Legal Notice · Contact Address:
Conference: EFA 2019
Conference Software - ConfTool Pro 2.6.129+TC
© 2001 - 2019 by Dr. H. Weinreich, Hamburg, Germany