Conference Agenda

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Only Sessions at Location/Venue 
 
 
Session Overview
Location: D -106
Date: Thursday, 22/Aug/2019
8:30
-
10:00
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

10:30
-
12:00
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

13:30
-
15:00
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

15:30
-
17:00
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
8:30
-
10:00
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

10:30
-
12:00
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

13:30
-
15:00
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
9:00
-
10:30
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

11:00
-
12:30
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


 
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