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 efa2019@novasbe.pt.

Registration to the conference closes on August 1st, 2019: www.conftool.com/efa2019

Only Sessions at Location/Venue 
 
 
Session Overview
Location: D -104
Date: Thursday, 22/Aug/2019
8:30
-
10:00
APE-2: Time-varying liquidity and risk premia
Location: D -104
Chair: Rossen Valkanov, UCSD
 

The TIPS Liquidity Premium

Martin M. Andreasen1, Jens Christensen2, Simon Ridell3

1: Aarhus University, Denmark; 2: Federal Reserve Bank of San Francisco; 3: Amazon



The Time Variation in Risk Appetite and Uncertainty

Geert Bekaert1, Eric Engstrom2, Nancy R. Xu3

1: Columbia Business School, United States of America; 2: Federal Reserve Board, United States of America; 3: Boston College, Carroll School of Management, United States of America



Can unpredictable risk exposure be priced?

Ricardo Barahona, Joost Driessen, Rik Frehen

Tilburg University, Netherlands, The

10:30
-
12:00
NBIM-1: Understanding the Long-run Drivers of Asset Prices
Location: D -104
Chair: Dagfinn Rime, BI Norwegian Business School
 

Long-Term Discount Rates do not Vary Across Firms

Matti Keloharju1, Juhani Linnainmaa2, Peter Nyberg1

1: Aalto University, Finland; 2: University of Southern California



The Cross-Section of Risk-Taking and Asset Prices

Nuno Coimbra1, Helene Rey2, Rustam Jamilov2

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



On the Economic Value of Stock Market Return Predictors

Scott Cederburg1, Travis L. Johnson2, Michael S. O'Doherty3

1: University of Arizona; 2: University of Texas at Austin; 3: University of Missouri

13:30
-
15:00
APE-12: Empirical macro-finance
Location: D -104
Chair: Michael Weber, University of Chicago
 

Demand Elasticities, Nominal Rigidities and Asset Prices

Nuno Clara

London Business School, United Kingdom



How Safe Are Safe Havens?

Sven Klingler1, Suresh Sundaresan2

1: BI Oslo, Norway; 2: Columbia University



The Short Duration Premium

Andrei Goncalves

University of North Carolina at Chapel Hill, United States of America

15:30
-
17:00
APE-3: Expectations Management by Central Banks
Location: D -104
Chair: Emanuel Moench, Deutsche Bundesbank
 

What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices

Thomas Mertens1, John Williams2

1: Federal Reserve Bank of San Francisco, United States of America; 2: Federal Reserve Bank of New York



How does the Fed manage interest rate expectations?

Robin Darius Tietz1,2

1: Cass Business School, United Kingdom; 2: Harvard University



Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press

Shantanu Banerjee, Michiel De Pooter, Olesya V. Grishchenko, Brad Strum, Cait Walsh

Federal Reserve Board, United States of America

Date: Friday, 23/Aug/2019
8:30
-
10:00
APE-11: The cross-section of expected returns
Location: D -104
Chair: Dacheng Xiu, University of Chicago
 

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

10:30
-
12:00
APE-5: Economic Risk Factors
Location: D -104
Chair: Francisco Gomes, London Business School
 

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

13:30
-
15:00
APE-6: Cross-section of stock returns: higher-order moments and mis-specification
Location: D -104
Chair: Grigory Vilkov, Frankfurt School of Finance and Management
 

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

Date: Saturday, 24/Aug/2019
9:00
-
10:30
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

11:00
-
12:30
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)


 
Contact and Legal Notice · Contact Address:
Conference: EFA 2019
Conference Software - ConfTool Pro 2.6.128+TC
© 2001 - 2019 by Dr. H. Weinreich, Hamburg, Germany