Conference Agenda

Program and access to virtual conference

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Only Sessions at Location/Venue 
Session Overview
Location: Stream 01
Date: Thursday, 26/Aug/2021
1:30pm - 3:00pmAPE 01: Asset Pricing with Artificial Intelligence
Location: Stream 01
Session Chair: Markus Pelger, Stanford
Stream 01 
ID: 1722

Test Assets and Weak Factors

Stefano Giglio1, Dacheng Xiu2, Dake Zhang2

1Yale University, United States of America; 2Chicago Booth

Discussant: Andrea Tamoni (Rutgers Business School)

1722-APE-EFA2021-Test Assets and Weak Factors.pdf

ID: 1185

Forest through the Trees: Building Cross-Sections of Stock Returns

Svetlana Bryzgalova1, Markus Pelger2, Jason Zhu2

1London Business School, UK; 2Stanford, United States of America

Discussant: Andrew Patton (Duke University)

1185-APE-EFA2021-Forest through the Trees.pdf

ID: 656

(Re-)Imag(in)ing Price Trends

Jingwen Jiang1, Bryan Kelly2, Dacheng Xiu3

1University of Chicago; 2Yale University; 3University of Chicago

Discussant: Scott Murray (Georgia State University)

656-APE-EFA2021-(Re-)Imag(in)ing Price Trends.pdf
3:30pm - 5:00pmAPE 03: International flows
Location: Stream 01
Session Chair: Linda S. Goldberg, Federal Reserve Bank of New York
Stream 01 
ID: 209

Arbitraging Covered Interest Rate Parity Deviations: Testing a New Channel of Bank Lending

Lorena Keller

Wharton School, University of Pennsylvania, United States of America

Discussant: Xiang Li (Halle Institute for Economic Research)

209-APE-EFA2021-Arbitraging Covered Interest Rate Parity Deviations.pdf

ID: 917

Currency Hedging: Managing Cash Flow Exposure

Laura Alfaro1, Mauricio Calani2, Liliana Varela3

1Harvard Business School and NBER; 2Central Bank of Chile; 3London School of Economics and CEPR

Discussant: Saskia Ter Ellen (Norges Bank)

917-APE-EFA2021-Currency Hedging.pdf

ID: 1041

Foreign Sentiment

Azi Ben-Rephael1, Xi Dong2, Massimo Massa3, Changyun Zhou2

1Rutgers Business School, United States of America; 2Zicklin School of Business, Baruch College; 3INSEAD

Discussant: Leslie Shen (Federal Reserve Board)

1041-APE-EFA2021-Foreign Sentiment.pdf
5:30pm - 7:00pmAPE 05: International Finance
Location: Stream 01
Session Chair: Andrea Vedolin, Boston University
Stream 01 
ID: 1217

A portfolio approach to global imbalances

Zhengyang Jiang1, Robert Richmond2, Tony Zhang3

1Northwestern University; 2New York University; 3Federal Reserve Board

Discussant: Riccardo Colacito (University of North Carolina at Chapel Hill)

1217-APE-EFA2021-A portfolio approach to global imbalances.pdf

ID: 1166

Risk, Monetary Policy and Asset Prices in a Global World

Geert Bekaert1, Marie Hoerova2, Nancy Xu3

1Columbia Business School; 2European Central Bank; 3Boston College, United States of America

Discussant: Matteo Crosignani (New York Fed)

1166-APE-EFA2021-Risk, Monetary Policy and Asset Prices in a Global World.pdf

ID: 991

Democratization, Inequality, and Risk Premia

Max Miller

The Wharton School, United States of America

Discussant: Irina Zviadadze (HEC Paris)

991-APE-EFA2021-Democratization, Inequality, and Risk Premia.pdf
7:30pm - 9:00pmDigital Technology and Finance
Location: Stream 01

Chair: Xavier Vives, IESE Business School and EFA 2022 Program Chair

Stream 01 
Date: Friday, 27/Aug/2021
1:30pm - 3:00pmAPE 08: Man vs. Machine in Financial Markets
Location: Stream 01
Session Chair: Kelly Shue, Yale University
Stream 01 
ID: 475

Market Efficiency in the Age of Machine Learning

Leonidas Barbopoulos1, Rui Dai2, Talis Putnins3, Anthony Saunders4

1University of Edinburgh, UK; 2University of Pennsylvania, USA; 3University of Technology Sydney, Australia; 4New York University, USA

Discussant: Simona Abis (Columbia Business School)

475-APE-EFA2021-Market Efficiency in the Age of Machine Learning.pdf

ID: 518

Automation and the Displacement of Labor by Capital: Asset Pricing Theory and Empirical Evidence

Jiri Knesl

University of Oxford, Said Business School, United Kingdom

Discussant: Anastassia Fedyk (University of California at Berkeley)

518-APE-EFA2021-Automation and the Displacement of Labor by Capital.pdf

ID: 922

Diverging roads: Theory-based vs. machine learning-implied stock risk premia

Joachim Grammig1,4, Constantin Hanenberg1, Christian Schlag2,3, Jantje Sönksen1

1Eberhard Karls University Tübingen, Germany; 2Center for Financial Studies, Frankfurt, Germany; 3University of Frankfurt and Leibniz Institute for Financial Research SAFE, Germany; 4Centre for Financial Research, Cologne, Germany

Discussant: Svetlana Bryzgalova (London Business School)

922-APE-EFA2021-Diverging roads.pdf
3:30pm - 5:00pmAPE 11: Corporate Policies and Asset Prices
Location: Stream 01
Session Chair: Jules H. van Binsbergen, The University of Pennsylvania
Stream 01 
ID: 576

Marking to Market Corporate Debt

Lorenzo Bretscher1, Lukas Schmid2, Peter Feldhutter3, Andrew Kane4

1London Business School, United Kingdom; 2USC Marshall; 3Copenhagen Business School; 4Duke University

Discussant: Florian Nagler (Bocconi University)

576-APE-EFA2021-Marking to Market Corporate Debt.pdf

ID: 1654

Equity Factors and Firms’ Perceived Cost of Capital

Niels Gormsen

University of Chicago Booth School of Business, United States of America

Discussant: Thummim Cho (London School of Economics)

1654-APE-EFA2021-Equity Factors and Firms’ Perceived Cost of Capital.pdf

ID: 2218

Competition Network, Distress Propagation, and Stock Returns

Mingming Ao1, Winston Wei Dou2, Shane Johnson3, Wei Wu3

1San Diego State University; 2The Wharton School at University of Pennsylvania; 3Texas A&M University

Discussant: Timothy McQuade (Berkeley Haas)

2218-APE-EFA2021-Competition Network, Distress Propagation, and Stock Returns.pdf
5:30pm - 7:00pmAPE 13: Bond convenience yield
Location: Stream 01
Session Chair: Kathy Yuan, London School of Economics and Political Science
Stream 01 
ID: 681

Bond Convenience Yields in the Eurozone Currency Union

Zhengyang Jiang4, Hanno Lustig2, Stijn Van Nieuwerburgh1, Mindy Xiaolan3

1Columbia University Graduate School of Business, United States of America; 2Stanford University Graduate School of Business; 3University of Texas at Austin McCombs School; 4Northwestern University Kellogg School of Management

Discussant: Quentin Vandeweyer (University of Chicago: Booth)

681-APE-EFA2021-Bond Convenience Yields in the Eurozone Currency Union.pdf

ID: 334

Safe Asset Carry Trade

Benedikt Ballensiefen1,3, Angelo Ranaldo1,2

1University of St.Gallen; 2Swiss Finance Institute; 3World Bank Group

Discussant: Karamfil Todorov (Bank for International Settlements)

334-APE-EFA2021-Safe Asset Carry Trade.pdf

ID: 1088

The term structure of CIP violations

Patrick Augustin1, Mikhail Chernov2, Lukas Schmid3, Dongho Song4

1Desautels Faculty of Management, McGill University, Canada; 2Anderson School of Management, UCLA; NBER; CEPR, USA; 3Marshall School of Business, USC; CEPR, USA; 4Carey Business School, Johns Hopkins University, USA

Discussant: Ran Shi (London School of Economics)

1088-APE-EFA2021-The term structure of CIP violations.pdf

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