Conference Agenda

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Only Sessions at Location/Venue 
Session Overview
Location: D -104
Date: Thursday, 22/Aug/2019
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

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

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

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
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

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

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
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

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)

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