Conference Agenda

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Only Sessions at Location/Venue 
 
 
Session Overview
Location: D -105
Date: Thursday, 22/Aug/2019
8:30
-
10:00
APT-1: Equilibrium Models in Asset Pricing
Location: D -105
Chair: Lorenzo Bretscher, London Business School
 

Q: Risk, Rents, or Growth?

Alexandre Corhay1, Howard Kung2, Lukas Schmid3

1: Rotman School of Management, Canada; 2: London Business School; 3: Fuqua School of Business, Duke University



Fuel is Pumping Premiums: A Consumption-based Explanation of the Value Anomaly

Robert Dittmar1, Christian Schlag2,3, Julian Thimme4

1: Ross School of Business, University of Michigan; 2: Goethe University Frankfurt, Germany; 3: SAFE; 4: Karlsruhe Institute of Technology



Parameter Learning in Production Economies

Mykola Babiak1, Roman Kozhan2

1: CERGE-EI; 2: University of Warwick

10:30
-
12:00
APT-2: New Models in Macro-Finance
Location: D -105
Chair: Ivan Shaliastovich, UW Madison
 

Endogenous Price War Risks

Winston Dou1, Yan Ji2, Wei Wu3

1: The Wharton School, University of Pennsylvania, United States of America; 2: Hong Kong University of Science and Technology; 3: Texas A&M University



Asset Pricing with Fading Memory

Stefan Nagel1, Zhengyang Xu2

1: University of Chicago; 2: University of Michigan



Time-varying state variable risk premia in an ICAPM

Martijn Boons1, Pedro Barroso2, Paul Karehnke3

1: Nova School of Business and Economics, Portugal; 2: University of New South Wales; 3: ESCP Europe, France

13:30
-
15:00
BIS-1: Exchange Rates and Financial Conditions
Location: D -105
Chair: Boris Hofmann, Bank for International Settlements
 

Intermediary Leverage and Currency Risk Premium

Xiang Fang

University of Pennsylvania, United States of America



Exchange Rate Exposure and Firm Dynamics

Juliana Salomao1, Liliana Varela2

1: University of Minnesota, United States of America; 2: University of Warwick



US Fiscal Cycle and the Dollar

Zhengyang Jiang

Kellogg School of Management, Northwestern University, United States of America

15:30
-
17:00
APT-3: Equilibrium Models in Asset Pricing
Location: D -105
Chair: Juliana Salomao, University of Minnesota
 

A Unified Model of Distress Risk Puzzles

Dirk Hackbarth1, Zhiyao Chen2, Ilya Strebulaev3

1: Boston University, CEPR, and ECGI; 2: Chinese University of Hong Kong; 3: Graduate School of Business, Stanford University, and NBER



Asset Prices and Unemployment Fluctuations

Pierlauro Lopez1, Patrick Kehoe2, Virgiliu Midrigan3, Elena Pastorino4

1: Banque de France; 2: Stanford University and Federal Reserve Bank of Minneapolis; 3: New York University; 4: Hoover Institution Stanford University



Leverage

Tano Santos1, Pietro Veronesi2

1: Columbia University; 2: University of Chicago, United States of America

Date: Friday, 23/Aug/2019
8:30
-
10:00
APT-5: Crash Risk
Location: D -105
Chair: Anders Trolle, HEC Paris
 

Credit and Option Risk Premia

Lars-Alexander Kuehn1, David Schreindorfer2, Florian Schulz3

1: Carnegie Mellon University, United States of America; 2: Arizona State University; 3: University of Washington



The Dynamics of the Implied Volatility Surface

Alexandre Jeanneret1, Michael Hasler2

1: HEC Montréal, Canada; 2: University of Texas at Dallas



Downside Risks and the Price of Variance Uncertainty

Friedrich Lorenz1, Malte Schumacher2

1: University of Münster, Germany; 2: University of Zurich, Switzerland

10:30
-
12:00
APT-4: Information and Entry
Location: D -105
Chair: Bradyn Breon-Drish, UC San Diego
 

Delayed Information Acquisition and Entry into New Trading Opportunities

Snehal Banerjee, Bradyn Breon-Drish

UC San Diego, United States of America



Time-Varying Market Participation, Consumption Risk-Sharing, and Asset Dynamics

Redouane Elkamhi, Chanik Jo

University of Toronto, Canada



Why Does Public News Augment Information Asymmetries?

Julio A. Crego

Tilburg University, Netherlands, The

13:30
-
15:00
MM-1: The Speed and Transparency of Trading
Location: D -105
Chair: Batchimeg Sambalaibat, Indiana University
 

Endogenous Specialization and Dealer Networks

Batchimeg Sambalaibat

Indiana University, United States of America



High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Mario Bellia1, Kim Christensen2, Aleksey Kolokolov3, Loriana Pelizzon1, Roberto Reno4

1: Research Center SAFE - Goethe University; 2: CREATES, Aarhus University; 3: Alliance Manchester Business School; 4: Department of Economics, University of Verona



Quasi-dark trading: The effects of banning dark pools in a world of many alternatives

Thomas Johann1, Talis Putnins2,5, Satchit Sagade3,6, Christian Westheide4

1: University of Mannheim; 2: University of Technology Sydney; 3: University of Frankfurt; 4: University of Vienna; 5: Stockholm School of Economics, Riga; 6: Research Center SAFE

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

11:00
-
12:30
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


 
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