Conference Agenda


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Only Sessions at Location/Venue 
 
 
Session Overview
Location: Stream 04
Date: Thursday, 26/Aug/2021
1:30pm - 3:00pmAPT 01: International Risks
Location: Stream 04
Session Chair: Fulvio Ortu, Bocconi University
Stream 04 
 
ID: 296

Concealed Carry

Spencer Andrews1, Riccardo Colacito1, Mariano Massimiliano Croce2, Federico Gavazzoni3

1UNC; 2Bocconi; 3INSEAD

Discussant: Robert Richmond (NYU Stern School of Business)

296-APT-EFA2021-Concealed Carry.pdf


ID: 1772

The Hedging Channel of Exchange Rate Determination

Gordon Liao, Tony Zhang

Federal Reserve Board, United States of America

Discussant: Walker Ray (London School of Economics)

1772-APE-EFA2021-The Hedging Channel of Exchange Rate Determination.pdf


ID: 483

Pricing currency risks

Mikhail Chernov2, Magnus Dahlquist1, Lars Lochstoer2

1Stockholm School of Economics, Sweden; 2UCLA

Discussant: Craig Burnside (Duke University)

483-APE-EFA2021-Pricing currency risks.pdf
 
3:30pm - 5:00pmMM 02: Market Microstructure: Order Informativeness and Exchange Data Fees
Location: Stream 04
Session Chair: Barbara Rindi, Bocconi University
Stream 04 
 
ID: 2026

Competition and Exchange Data Fees

Jonathan Brogaard1, James Brugler2, Dominik Roesch3

1University of Utah; 2University of Melbourne; 3University of Buffalo

Discussant: Sunil Wahal (Arizona State University)

2026-MM-EFA2021-Competition and Exchange Data Fees.pdf


ID: 1028

Refusing the Best Price?

Sida Li1, Mao Ye1,2, Miles Zheng1

1University of Illinois at Urbana-Champaign, United States of America; 2National Bureau of Economic Research

Discussant: Kumar Venkataraman (Southern Methodist University)

1028-MM-EFA2021-Refusing the Best Price.pdf


ID: 792

The Conduits of Price Discovery: A Machine Learning Approach

Amy Kwan1, Richard Philip1, Andriy Shkilko2

1University of Sydney, Australia; 2Wilfrid Laurier University, Canada

Discussant: Rama Cont (University of Oxford)

792-MM-EFA2021-The Conduits of Price Discovery.pdf
 
5:30pm - 7:00pmAPT 02: Asset Pricing and Capital Market Frictions
Location: Stream 04
Session Chair: Stavros Panageas, UCLA Anderson School of Management
Stream 04 
 
ID: 236

Barriers to Global Capital Allocation

Bruno Pellegrino1, Enrico Spolaore2, Romain Wacziarg3

1University of Maryland; 2Tufts University; 3UCLA

Discussant: Moritz Lenel (Princeton University)

236-APT-EFA2021-Barriers to Global Capital Allocation.pdf


ID: 584

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Bruno Biais

HEC Paris

Discussant: Alexander Zentefis (Yale School of Management)

584-APT-EFA2021-Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing.pdf


ID: 1893

Capital Commitment

Elise Gourier1, Ludovic Phalippou2, Mark Westerfield3

1ESSEC; 2Saïd Business School, United Kingdom; 3University of Washington

Discussant: Michael Ewens (California Institute of Technology)

1893-APT-EFA2021-Capital Commitment.pdf
 
Date: Friday, 27/Aug/2021
1:30pm - 3:00pmAPT 03: Beliefs, disagreement and equilibrium fluctuations
Location: Stream 04
Session Chair: Johan Walden, University of California, Berkeley
Stream 04 
 
ID: 1798

Demand Disagreement

Christian Heyerdahl-Larsen1, Philipp Illeditsch2

1Indiana University, United States of America; 2Texas A&M University, United States of America

Discussant: Harjoat Bhamra (Imperial College Business School)

1798-APT-EFA2021-Demand Disagreement.pdf


ID: 612

Dynamic Equilibrium with Costly Short-Selling and Lending Market

Adem Atmaz1, Suleyman Basak2, Fangcheng Ruan1

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

Discussant: Nathan Foley-Fisher (Federal Reserve Board)

612-APT-EFA2021-Dynamic Equilibrium with Costly Short-Selling and Lending Market.pdf


ID: 1331

Where there is amplification, there are sunspots

Paymon Khorrami1, Fernando Mendo2

1Imperial College London, United Kingdom; 2Central Bank of Chile

Discussant: Jungsuk Han (Stockholm School of Economics)

1331-APT-EFA2021-Where there is amplification, there are sunspots.pdf
 
3:30pm - 5:00pmAPT 04: Capital Markets: New Facts & Theories
Location: Stream 04
Session Chair: Anna Pavlova, London Business School
Stream 04 
 
ID: 1188

Learning about the Stock market from Interest Rates: Implications for Informational and Real Efficiency

Matthijs Breugem1, Adrian Buss2, Joel Peress2

1Collegio Carlo Alberto and Università degli Studi di Torino, Italy; 2INSEAD

Discussant: Harjoat Bhamra (Imperial College Business School)

1188-APT-EFA2021-Learning about the Stock market from Interest Rates.pdf


ID: 1155

Unsecured credit supply risk and bond prices

Pierre Mabille

INSEAD

Discussant: Lorenzo Bretscher (London Business School)

1155-APT-EFA2021-Unsecured credit supply risk and bond prices.pdf


ID: 1784

State Ownership Structure, Monetary Supply Shocks and Asset Prices in China

Frederico Belo1, Dapeng Hao2, Xiaoji Lin3, Zhigang Qiu2, Jincheng Tong4

1Insead; 2Renmin University; 3University of Minnesota; 4University of Toronto

Discussant: Kai Li (Peking University)

1784-APT-EFA2021-State Ownership Structure, Monetary Supply Shocks and Asset Prices.pdf
 
5:30pm - 7:00pmAPT 05: FOMC Meetings and the Pre-Announcement Drift
Location: Stream 04
Session Chair: Anna Cieslak, Duke University
Stream 04 
 
ID: 174

Information Acquisition and the Pre-Announcement Drift

Hengjie Ai2, Ravi Bansal3, Leyla Jianyu Han1

1Boston University; 2University of Minnesota; 3Duke University and NBER

Discussant: Mariana Khapko (University of Toronto)

174-APT-EFA2021-Information Acquisition and the Pre-Announcement Drift.pdf


ID: 138

The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance

Chao Ying

University of Minnesota, United States of America

Discussant: S. \"Vish\" Viswanathan (Duke University)

138-APT-EFA2021-The Pre-FOMC Announcement Drift and Private Information.pdf


ID: 1609

The Voice of Monetary Policy

Yuriy Gorodnichenko1, Tho Pham2, Oleksandr Talavera3

1University of California, Berkeley; 2University of Reading; 3University of Birmingham

Discussant: Roberto Gomez Cram (London Business School)

1609-APE-EFA2021-The Voice of Monetary Policy.pdf
 

 
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