Conference Agenda


Program and access to virtual conference

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Only Sessions at Location/Venue 
 
 
Session Overview
Location: Stream 03
Date: Thursday, 26/Aug/2021
1:30pm - 3:00pmMM 01: Market Microstructure: Closing Auctions and Floor Trading
Location: Stream 03
Session Chair: Stefano Lovo, HEC Paris
Stream 03 
 
ID: 1658

Trading @ the Close

Carole Comerton-Forde1, Barbara Rindi2

1UNSW Business School; 2Bocconi University, IGIER and Baffi-Carefin

Discussant: Fany Declerck (Toulouse School of Economics)

1658-MM-EFA2021-Trading @ the Close.pdf


ID: 2149

Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets

Edwin Hu1, Dermot Murphy2

1NYU School of Law, United States of America; 2University of Illinois at Chicago

Discussant: Sophie Moinas (Toulouse School of Economics)

2149-MM-EFA2021-Vestigial Tails Floor Brokers at the Close in Modern Electronic Markets.pdf


ID: 489

Does Floor Trading Matter?

Jonathan Brogaard2, Matthew Ringgenberg2, Dominik Roesch1

1University at Buffalo, United States of America; 2University of Utah

Discussant: Laurence Daures-Lescourret (ESSEC Business School)

489-MM-EFA2021-Does Floor Trading Matter.pdf
 
3:30pm - 5:00pmNBIM: Understanding the long-run drivers of asset prices
Location: Stream 03
Session Chair: Dagfinn Rime, BI Norwegian Business School
Stream 03 
 
ID: 1850

Disaster Resilience and Asset Prices

Marco Pagano1, Christian Wagner2, Josef Zechner2

1University of Naples Federico II, Italy; 2WU Vienna University of Economics and Business, Austria

Discussant: Laura Veldkamp (Columbia Business School)

1850-APE-EFA2021-Disaster Resilience and Asset Prices.pdf


ID: 570

Bond, Currencies and Expectational Errors

Eleonora Granziera1, Markus Sihvonen2

1Norges Bank, Norway; 2Bank of Finland

Discussant: Hanno Lustig (Stanford University)

570-APT-EFA2021-Bond, Currencies and Expectational Errors.pdf


ID: 1526

Risks and Risk Premia in the US Treasury Market

Gabriele Zinna1, Lucio Sarno2,3, Junye Li4

1Bank of Italy, Italy; 2Cambridge Judge Business School, University of Cambridge, United Kingdom; 3Centre for Economic Policy Research, United Kingdom; 4Fudan University, School of Management, China

Discussant: Zhiguo He (University of Chicago)

1526-APE-EFA2021-Risks and Risk Premia in the US Treasury Market.pdf
 
5:30pm - 7:00pmAPE 07: Sentiments, Biases and Stock Returns
Location: Stream 03
Session Chair: Lawrence Jin, California Institute of Technology
Stream 03 
 
ID: 442

Investor Sentiment and the Pricing of Characteristics-Based Factors

Zhuo Chen1, Bibo Liu1, Huijun Wang2, Zhengwei Wang1, Jianfeng Yu1

1Tsinghua University; 2University of Melbourne

Discussant: Thummim Cho (London School of Economics)

442-APE-EFA2021-Investor Sentiment and the Pricing of Characteristics-Based Factors.pdf


ID: 1847

Horizon Bias and the Term Structure of Equity Returns

Peter Kelly2, Stefano Cassella1, Benjamin Golez2, Huseyin Gulen3

1Tilburg University; 2University of Notre Dame; 3Purdue University

Discussant: Katrin Godker (Maastricht University)

1847-APE-EFA2021-Horizon Bias and the Term Structure of Equity Returns.pdf


ID: 928

Music Sentiment and Stock Returns Around the World

Alex Edmans2, Adrian Fernandez-Perez3, Alexandre Garel1, Ivan Indriawan3

1Audencia Business School, France; 2London Business School, United Kingdom; 3Auckland University of Technology, New Zealand

Discussant: Nancy Xu (Boston College)

928-APE-EFA2021-Music Sentiment and Stock Returns Around the World.pdf
 
7:30pm - 9:00pmInternational Job Market
Location: Stream 03

This session is organized by the four EFA Doctoral Event Co-Chairs: Esther Eiling (University of Amsterdam), Gyöngyi Lóránth (University of Vienna), Frans de Roon (Tilburg University), and Kristian R. Miltersen (CBS)

Stream 03 
Date: Friday, 27/Aug/2021
1:30pm - 3:00pmAPE 10: Understanding stock returns
Location: Stream 03
Session Chair: Massimo Guidolin, Bocconi University
Stream 03 
 
ID: 660

A Stock Return Decomposition Using Observables

Benjamin Knox1, Annette Vissing-Jorgensen2

1Copenhagen Business School; 2University of California Berkeley

Discussant: Tolga Cenesizoglu (HEC Montreal)

660-APE-EFA2021-A Stock Return Decomposition Using Observables.pdf


ID: 144

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Jules H. van Binsbergen

The University of Pennsylvania, United States of America

Discussant: Andrei Goncalves (University of North Carolina at Chapel Hill)

144-APE-EFA2021-Duration-Based Stock Valuation.pdf


ID: 1376

Market Return Around the Clock: A Puzzle

Oleg Bondarenko2, Dmitriy Muravyev1

1Michigan State University, United States of America; 2University of Illinois at Chicago

Discussant: Yixin Chen (University of Rochester Simon Business School)

1376-APE-EFA2021-Market Return Around the Clock.pdf
 
3:30pm - 5:00pmMM 03: Over the counter intermediation
Location: Stream 03
Session Chair: Ailsa Roell, Imperial College Business School
Stream 03 
 
ID: 1026

Liquidity in the Cross Section of OTC Assets

Semih Uslu1, Guner Velioglu2

1Johns Hopkins University, United States of America; 2Loyola University Chicago, United States of America

Discussant: Norman Schuerhoff (SFI at University of Lausanne)

1026-MM-EFA2021-Liquidity in the Cross Section of OTC Assets.pdf


ID: 2086

Information Chasing versus Adverse Selection

Junyuan ZOU1, Gabor Pinter2, Chaojun Wang3

1INSEAD; 2Bank of England; 3The Wharton School

Discussant: Vincent Fardeau (NRU Higher School of Economics)

2086-MM-EFA2021-Information Chasing versus Adverse Selection.pdf


ID: 2256

Size Discount and Size Penalty: Trading Costs in Bond Markets

Gabor Pinter1, Chaojun Wang2, Junyuan Zou3

1Bank of England; 2University of Pennsylvania; 3INSEAD

Discussant: Weiling Liu (Northeastern University)

2256-MM-EFA2021-Size Discount and Size Penalty.pdf
 
5:30pm - 7:00pmMM 04: Exchange market design
Location: Stream 03
Session Chair: Albert Menkveld, Vrije Universiteit Amsterdam
Stream 03 
 
ID: 456

Banning Dark Pools: Venue Selection and Investor Trading Costs

Christian Neumeier1, Arie Gozluklu2, Peter Hoffmann3, Peter O'Neill4, Felix Suntheim5

1Justus Liebig University Giessen, Macquarie University, Rozetta Institute, Fincancial Conduct Authority; 2Warwick Business School; 3European Central Bank (DG-Research); 4Financial Conduct Authority; 5International Monetary Fund

Discussant: Thomas Ernst (University of Maryland)

456-MM-EFA2021-Banning Dark Pools.pdf


ID: 143

High-Frequency Traders and Single-Dealer Platforms

Fatemeh Aramian, Lars L. Nordén

Stockholm Business School, Stockholm University, Sweden

Discussant: Markus Baldauf (UBC)

143-MM-EFA2021-High-Frequency Traders and Single-Dealer Platforms.pdf


ID: 2041

The Tradeoff between Discrete Pricing and Discrete Quantities: Evidence from U.S.-listed Firms

Sida Li1, Mao Ye1,2

1University of Illinois at Urbana-Champaign, United States of America; 2NBER

Discussant: Hendrik Bessembinder (Arizona State University)

2041-MM-EFA2021-The Tradeoff between Discrete Pricing and Discrete Quantities.pdf
 

 
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