Conference Agenda


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Only Sessions at Location/Venue 
 
 
Session Overview
Location: Stream 02
Date: Thursday, 26/Aug/2021
1:30pm - 3:00pmAPE 02: Derivatives
Location: Stream 02
Session Chair: Christian Wagner, WU Vienna University of Economics and Business
Stream 02 
 
ID: 1489

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Fousseni Chabi-Yo1, Chukwuma Dim2, Grigory Vilkov2

1Isenberg School of Management, University of Massachusetts-Amherst; 2Frankfurt School of Finance & Management

Discussant: Johnathan Loudis (University of Notre Dame)

1489-APE-EFA2021-Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks.pdf


ID: 952

Structural Stochastic Volatility

Federico Bandi1, Nicola Fusari1, Roberto Reno2

1Johns Hopkins University, United States of America; 2University of Verona

Discussant: Maria T Gonzalez-Perez (Banco de Espana)

952-APE-EFA2021-Structural Stochastic Volatility.pdf


ID: 821

Testing for Asset Price Bubbles using Options Data

Nicola Fusari1, Robert Jarrow2, Sujan Lamichhane3

1Johns Hopkins University; 2Cornell University; 3Johns Hopkins University

Discussant: Dimitris Papadimitriou (University of Bristol)

821-APE-EFA2021-Testing for Asset Price Bubbles using Options Data.pdf
 
3:30pm - 5:00pmAPE 04: Financial Innovation and Asset Prices
Location: Stream 02
Session Chair: Alberto Rossi, Georgetown University
Stream 02 
 
ID: 780

Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases

Jules H. van Binsbergen1, Xiao Han2, Alejandro Lopez-Lira3

1The Wharton School, University of Pennsylvania; 2Bayes Business School, City, University of London; 3Warrington College of Business, University of Florida

Discussant: Jillian Grennan (Duke University)

780-APE-EFA2021-Man vs Machine Learning.pdf


ID: 791

The use and usefulness of big data in finance: Evidence from financial analysts

Feng Chi1, Byoung-Hyoun Hwang1, Yaping Zheng2

1Cornell University, United States of America; 2McGill University, Canada

Discussant: Marcus Painter (Saint Louis University)

791-APE-EFA2021-The use and usefulness of big data in finance.pdf


ID: 1420

Attention-Induced Trading and Returns:Evidence from Robinhood Users

Brad Barber1, Xing Huang2, Terrance Odean3, Christopher Schwarz4

1UC Davis, United States of America; 2Washington University in St Louis; 3UC Berkeley, United States of America; 4UC Irvine, United States of America

Discussant: Antonio Gargano (University of Houston)

1420-APE-EFA2021-Attention-Induced Trading and Returns.pdf
 
5:30pm - 7:00pmAPE 06: The cross-section of corporate bond returns
Location: Stream 02
Session Chair: Nils Friewald, NHH Norwegian School of Economics
Stream 02 
 
ID: 1879

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

Sohnke Bartram1, Mark Grinblatt2, Yoshio Nozawa3

1University of Warwick and CEPR, United Kingdom; 2UCLA Anderson and NBER; 3Hong Kong University of Science and Technology

Discussant: Jaewon Choi (University of Illinois Urbana-Champaign)

1879-APE-EFA2021-Book-to-Market, Mispricing, and the Cross-Section.pdf


ID: 156

Switching Perspective: How Does Firm-Level Distress Risk Price the Cross-Section of Corporate Bond Returns?

Shuwen Yang1, Kevin Aretz2

1PBC School of Finance, Tsinghua University; 2Alliance Manchester Business School, University of Manchester

Discussant: Giorgio Ottonello (Nova School of Business and Economics)

156-APE-EFA2021-Switching Perspective.pdf


ID: 2242

The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times

Ruggero Jappelli1, Loriana Pelizzon1,2,3, Alberto Plazzi4,5

1Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt; 2Ca' Foscari University of Venice; 3CEPR; 4Università della Svizzera Italiana; 5Swiss Finance Institute

Discussant: Patrick Augustin (McGill University)

2242-APE-EFA2021-The Core, the Periphery, and the Disaster.pdf
 
7:30pm - 9:00pmRF: Review of Finance
Location: Stream 02

Chairs: 
Alex Edmans, London Business School and RF Managing Editor
Marcin Kacperczyk, Imperial College London and RF Managing Editor-Elect

Stream 02 
Date: Friday, 27/Aug/2021
1:30pm - 3:00pmAPE 09: Advances in Macro-Finance: Theory and Evidence
Location: Stream 02
Session Chair: Mariano Max Croce, Bocconi University
Stream 02 
 
ID: 1632

Uncertainty, Risk, and Capital Growth

Gill Segal2, Ivan Shaliastovich1

1University of Wisconsin Madison, United States of America; 2University of North Carolina

Discussant: Lukas Schmid (University of Southern California)

1632-APE-EFA2021-Uncertainty, Risk, and Capital Growth.pdf


ID: 1444

Interest Rate Skewness and Biased Beliefs

Michael Bauer1, Mikhail Chernov2

1Universität Hamburg; 2UCLA Anderson School of Management

Discussant: Ricardo Reis (London School of Economics)

1444-APE-EFA2021-Interest Rate Skewness and Biased Beliefs.pdf


ID: 2211

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Xu Cheng1, Winston Dou2, Zhipeng Liao3

1University of Pennsylvania; 2The Wharton School, University of Pennsylvania; 3UCLA

Discussant: Christian Schlag (Goethe University Frankfurt and Leibniz Institute SAFE)

2211-APE-EFA2021-Macro-Finance Decoupling.pdf
 
3:30pm - 5:00pmAPE 12: Monetary Policy and Asset Prices
Location: Stream 02
Session Chair: Annette Vissing-Jorgensen, Board of Governors of the Federal Reserve
Stream 02 
 
ID: 1254

Unbundling Quantitative Easing: Taking a Cue from Treasury Auctions

Walker Ray1, Yuiry Gorodnichenko2, Michael Droste3

1London School of Economics; 2UC Berkeley; 3Harvard University

Discussant: Milena Wittwer (Boston College)

1254-APE-EFA2021-Unbundling Quantitative Easing.pdf


ID: 975

Monetary Policy Expectation Errors

Sigurd Steffensen1, Andreas Schrimpf2,4, Maik Schmeling3,4

1Danmarks Nationalbank, Denmark; 2Bank for International Settlements; 3Goethe University Frankfurt; 4CEPR

Discussant: Eric Swanson (University of California, Irvine)

975-APE-EFA2021-Monetary Policy Expectation Errors.pdf


ID: 1090

Quantitative Easing and the Safe Asset Illusion

Alexander Bechtel1, Jens Eisenschmidt2, Angelo Ranaldo1, Alexia Ventula Veghazy2

1University of St.Gallen, Switzerland; 2European Central Bank

Discussant: Lira Mota (Princeton University)

1090-APE-EFA2021-Quantitative Easing and the Safe Asset Illusion.pdf
 
5:30pm - 7:00pmAPE 14: Mutual funds: ratings and benchmarks
Location: Stream 02
Session Chair: Veronika K. Pool, Vanderbilt University
Stream 02 
 
ID: 1292

Mutual Fund Risk Shifting and Risk Anomalies

Xiao Han1, Nikolai Roussanov2, Hongxun Ruan3

1Bayes Business School, City, University of London; 2Wharton School, U. of Penn, United States of America; 3Peking University

Discussant: Clemens Sialm (University of Texas)

1292-APE-EFA2021-Mutual Fund Risk Shifting and Risk Anomalies.pdf


ID: 899

Discontinued Positive Feedback Trading and the Decline of Momentum Profitability

Andrea Rossi1, Itzhak Ben-David2, Jiacui Li3, Yang Song4

1University of Arizona; 2The Ohio State University; 3University of Utah; 4University of Washington

Discussant: Huaizhi Chen (University of Notre Dame)

899-APE-EFA2021-Discontinued Positive Feedback Trading and the Decline.pdf


ID: 1608

Benchmarking Intensity

Anna Pavlova, Taisiya Sikorskaya

London Business School, United Kingdom

Discussant: Simona Abis (Columbia Business School)

1608-APE-EFA2021-Benchmarking Intensity.pdf
 

 
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