Conference Agenda
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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! 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 1: University of Michigan, United States of America; 2: Georgia Technological University; 3: McGill University Liquidity Risk and Funding Cost 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 1: Bank of England, United Kingdom; 2: London School of Economics Insider Trading Under the Microscope Wilfrid Laurier University, Canada Dynamic Trade Informativeness 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 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 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 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 1: Temple University, United States of America; 2: University of Maryland, United States of America Global Risks in the Currency Market HKUST, Hong Kong S.A.R. (China) Time-Varying Risk Premia in Large International Equity Markets 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 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 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 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 University of Georgia, United States of America Liquidity Risk? Boston College, United States of America Gamma Fragility 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 Federal Reserve Board, United States of America Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets 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 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 1: Michigan State University; 2: Rutgers Business School; 3: Prime Quantitative Research LLC Temperature Shocks and Industry Earnings News Cornell University, United States of America News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 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 1: Bocconi University; 2: Federal Reserve Board; 3: Temple University, Fox School of Business, United States of America Sovereign Debt Ratchets and Welfare Destruction 1: Copenhagen Business School; 2: Stanford University; 3: University of Chicago A "Bad Beta, Good Beta" Anatomy of Currency Risk Premiums and Trading Strategies UNC Charlotte, United States of America |
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