Conference Agenda

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

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

Market Structure and Corporate Payout Policy: Evidence from a Natural Experiment

Xiongshi Li¹, Mao Ye^2,3, 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

Initial Public Offerings and the Local Economy

Jess Cornaggia, Matthew Gustafson, Jason Kotter, Kevin Pisciotta

University of Kansas, United States of America

Financing Experimentation

Tong Liu

The Wharton School, University of Pennsylvania, United States of America

Technological Disruptiveness and the Evolution of IPOs and Sell-Outs

Laurent Fresard¹, Gerard Hoberg², Donald Bowen³

1: University of Lugano and Swiss Finance Institute; 2: University of Southern Californa; 3: Virginia Tech

Fewer and Less Skilled? Human Capital, Competition, and Entrepreneurial Success in Manufacturing

Meghana Ayyagari¹, Vojislav Maksimovic²

1: George Washington University, United States of America; 2: University of Maryland, United States of America

Local Taxes and the Demand for Skilled Labor: Evidence From Job Postings

Murillo Campello¹, Janet Gao², Qiping Xu³

1: Cornell University; 2: Indiana University, United States of America; 3: University of Notre Dame

Do Minimum Wage Increases Cause Financial Stress to Small Businesses? Evidence from 15 Million Establishments

Manpreet Singh, Sudheer Chava, Alex Oettl

Georgia Tech, United States of America

Expectations Uncertainty and Household Economic Behavior

Itzhak Ben-David², Elyas Fermand³, Camelia Kuhnen³, Geng Li¹

1: Federal Reserve Board, United States of America; 2: Ohio State University; 3: University of North Carolina

Crowdsourcing Financial Information to Change Spending Behavior

Francesco D'Acunto¹, Alberto G. Rossi², Michael Weber³

1: Boston College, United States of America; 2: University of Maryland; 3: University of Chicago

Shocked by Bank Funding Shocks: Evidence from Consumer Credit Cards

Sudheer Chava¹, Rohan Ganduri², Nikhil Paradkar¹, Linghang Zeng¹

1: Georgia Institute of Technology, United States of America; 2: Emory University, United States of America

Best Short

Pasquale Della Corte, Robert Kosowski, Nikolaos Rapanos

Imperial College Business School, United Kingdom

What Do Mutual Fund Managers' Private Portfolios Tell Us About Their Skills?

Markus Felix Ibert

Federal Reserve Board of Governors, United States of America

Text Sophistication and Sophisticated Investors

Juha Joenväärä¹, Jari Pekka Karppinen¹, Melvyn Teo³, Cristian Ioan Tiu²

1: University of Oulu, Finland; 2: University at Buffalo, United States; 3: Singapore Management University

Asset Prices and Corporate Responses to Bank of Japan ETF Purchases

Ben Charoenwong¹, Randall Morck^2,3,4,5, Yupana Wiwattanakantang^1,5

1: National University of Singapore, Singapore; 2: Alberta School of Business, University of Alberta; 3: National Bureau of Economic Research; 4: Asian Bureau of Finance and Economic Research; 5: European Corporate Governance Institute

Swing Pricing and Fragility in Open-end Mutual Funds

Felix Suntheim¹, Dunhong Jin², Marcin Kacperczyk³, Bige Kahraman²

1: International Monetary Fund; 2: Said Business School, University of Oxford; 3: Imperial College London

Phantom of the Opera: ETFs and Shareholder Voting

Richard Evans¹, Oguzhan Karakas², Rabih Moussawi³, Michael Young¹

1: University of Virginia, United States of America; 2: University of Cambridge; 3: Villanova University

The Aggregate Demand for Bank Capital

Milton Harris¹, Christian Opp², Marcus Opp³

1: University of Chicago; 2: University of Pennsylvania; 3: Stockholm School of Economics

The Anatomy of the Transmission of Macroprudential Policies

Viral V. Acharya², Katharina Bergant³, Matteo Crosignani⁴, Tim Eisert¹, Fergal McCann⁵

1: Erasmus University Rotterdam, Netherlands, The; 2: Reserve Bank of India; 3: Trinity College Dublin; 4: University of Michigan; 5: Central Bank of Ireland

Macroprudential FX Regulations:Shifting the Snowbanks of FX Vulnerability?

Dennis Reinhardt¹, Kristin Forbes², Toni Ahnert³, Christian Friedrich³

1: Bank of England, United Kingdom; 2: MIT, NBER, CEPR; 3: Bank of Canada

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

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

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

Why are firms with more managerial ownership worth less?

Kornelia Fabisik¹, Ruediger Fahlenbrach¹, Rene Stulz², Jerome Taillard³

1: EPFL, Switzerland; 2: Ohio State University; 3: Babson College

Corporate Capture of Blockchain Governance

Daniel Ferreira¹, Jin Li², Radoslawa Nikolowa³

1: London School of Economics; 2: Hong Kong University; 3: Queen Mary University of London

Does corporate governance impact equity volatility? Theory and worldwide evidence

Louis Gagnon¹, Alexandre Jeanneret²

1: Queen's University, Canada; 2: HEC Montreal

Business Group Spillovers: Evidence from the Golden Quadrilateral in India

S.Lakshmi Naaraayanan¹, Daniel Wolfenzon²

1: HKUST, Hong Kong S.A.R. (China); 2: Columbia University and NBER

Corporate rivalry and return comovement

Eric de Bodt¹, Espen B. Eckbo², Richard Roll³

1: NHH Norwegian School of Economics; 2: Tuck School of Business at Dartmouth, USA; 3: California Institute of Technology, USA

Institutional horizontal shareholdings and generic entry in the pharmaceutical industry

Jin Xie¹, Joseph Gerakos²

1: Chinese University of Hong Kong, Hong Kong S.A.R. (China); 2: Tuck School of Business at Dartmouth College

Predictably Unequal? The Effects of Machine Learning on Credit Markets

Andreas Fuster³, Paul Goldsmith-Pinkham², Tarun Ramadorai¹, Ansgar Walther¹

1: Imperial College London; 2: Yale School of Management; 3: Swiss National Bank

Discrimination in the Auto Loan Market

Alexander Butler¹, Erik Mayer², James Weston¹

1: Rice University, United States of America; 2: Southern Methodist University, United States or America

Performance Isn't Everything: Personal Characteristics and Career Outcomes of Mutual Fund Managers

Anna D. Scherbina¹, Brad Barber², Bernd Schlusche³

1: Brandeis University, United States of America; 2: University Of California Davis; 3: Board of Governors of the Federal Reserve System

Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation

Yufeng Wu¹, Yifei Wang², Toni Whited², Kairong Xiao³

1: University of Illinois, Urbana-Champaign; 2: University of Michigan; 3: Columbia University

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Francois Koulischer¹, Ralph Koijen², Motohiro Yogo³, Benoit Nguyen⁴

1: Universite du Luxembourg, Luxembourg; 2: Chicago Booth Business School; 3: Princeton University; 4: Banque de France

Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers

Carlo Altavilla¹, Miguel Boucinha¹, José-Luis Peydró^2,3,4,5,6, Frank Smets¹

1: ECB; 2: ICREA-Universitat Pompeu Fabra; 3: CREI; 4: Barcelona GSE; 5: Imperial College London; 6: CEPR

Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations

Mathias Kronlund², Veronika Pool³, Clemens Sialm¹, Irina Stefanescu⁴

1: University of Texas at Austin; 2: University of Illinois at Urbana-Champaign; 3: Indiana University; 4: Board of Governors of the Federal Reserve System

Finding Fortune: How Do Institutional Investors Pick Asset Managers?

Preetesh Kantak¹, Gregory Brown², Oleg Gredil³

1: Indiana University, Bloomington, United States of America; 2: University of North Carolina, Chapel Hill; 3: Tulane University

How much labor do you need to manage capital?

Leonard Kostovetsky¹, Alberto Manconi²

1: Boston College, United States of America; 2: Bocconi University

Illiquidity, Closure Policies and the Role of LOLR

Stefano Corradin¹, Suresh Sundaresan²

1: European Central Bank, Germany; 2: Columbia University

Stress Testing and Bank Lending

Joel Shapiro¹, Jing Zeng²

1: University of Oxford; 2: Frankfurt School of Finance and Management

Sovereign risk and bank fragility

Kartik Anand, Jochen Mankart

Deutsche Bundesbank

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

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 Putnins^2,5, Satchit Sagade^3,6, 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

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

Media and Shareholder Activism

Abhishek {Abhi} Ganguly

Indiana University, Bloomington, United States of America

Punish One, Teach A Hundred: The Sobering Effect of Punishment on the Unpunished

Francesco D'Acunto², Michael Weber¹, Jin Xie³

1: University of Chicago, United States of America; 2: Boston College, United States of America; 3: Chinese University Hong Kong

Peer Effects in Corporate Governance Practices: Evidence from Universal Demand Laws

Pouyan Foroughi¹, Alan Marcus², Vinh Nguyen³, Hassan Tehranian²

1: University of New South Wales (UNSW), Australia; 2: Boston College; 3: University of Hong Kong

Payday before Mayday: CEO Compensation Contracting for Distressed Firms

Mary Ellen Carter¹, Edith Hotchkiss¹, Mahdi Mohseni²

1: Boston College, United States of America; 2: Texas A&M, United States of America

Pay for Future Returns

Moqi Groen-Xu¹, Yiqing Lu²

1: London School of Economics, United Kingdom; 2: New York University Shanghai

Relative Performance Evaluation and Strategic Competition

Li He¹, Toni Whited², Ran Guo³

1: Rotterdam School of Management, Erasmus University Rotterdam; 2: Ross School of Business and the NBER, University of Michigan; 3: Lancaster University Management

Do Robots Increase Wealth Dispersion?

Thomas Jansson¹, Yigitcan Karabulut²

1: Sveriges riksbank, Sweden; 2: Frankfurt School of Finance and Management, Germany

Globalization, Competition and Entrepreneurial Activity: Evidence from US Households

Hadiye Aslan², Praveen Kumar¹

1: University of Houston, United States of America; 2: Georgia State University

Clustering Fosters Investment: Local Agglomeration and Household Portfolio Choice

Jawad M. Addoum¹, Stefanos Delikouras², Da Ke³, George M. Korniotis²

1: Cornell University, United States of America; 2: University of Miami, United States of America; 3: University of South Carolina, United States of America

The Credit Channel of Fiscal Policy Transmission

Andrew Bird¹, Stephen Karolyi¹, Stefan Lewellen², Thomas Ruchti¹

1: Carnegie Mellon University; 2: Pennsylvania State University

The (re)allocation of bank risk

Johannes Breckenfelder¹, Geert Bekaert²

1: European Central Bank, Germany; 2: Columbia GSB

”Brexit” and the Contraction of Syndicated Lending

Tobias Berg¹, Anthony Saunders², Larissa Schäfer¹, Sascha Steffen¹

1: Frankfurt School of Finance & Management, Germany; 2: New York University

Do Foreign Institutional Investors Improve Market Efficiency?

Marcin Kacperczyk¹, Savitar Sundaresan¹, Tianyu Wang²

1: Imperial College London; 2: Tsinghua University

Unbundling and Analyst Competition: Evidence from MiFID II

Yifeng Guo, Lira Mota

Columbia Business School

Credit default swaps around the world: Investment and financing effects

Sohnke Bartram², Jennifer Conrad³, Jongsub Lee¹, Marti Subrahmanyam⁴

1: Seoul National University, Korea, Republic of (South Korea); 2: Warwick Business School; 3: UNC Kenan-Flagler Business School; 4: NYU Stern School of Business

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Auctions

Nina Boyarchenko², David Lucca², Laura Veldkamp¹

1: Columbia Business School, United States of America; 2: Federal Reserve Bank of New York

Prime Broker Exposures, Collateral, and Resilience in Hedge Fund Credit Networks

Mathias S Kruttli^2,4, Phillip J Monin³, Sumudu W Watugala^1,4

1: Cornell University; 2: Federal Reserve Board of Governors; 3: Office of Financial Research, US Department of the Treasury; 4: Oxford-Man Institute of Quantitative Finance, University of Oxford

Risk-Sharing and Investment in Concentrated Markets

Daniel Neuhann, Michael Sockin

University of Texas at Austin, United States of America