Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

 
Session Overview
Date: Monday, 25/May/2020
6:00pm
-
8:00pm
MONRECEPTION: Welcome Reception
Date: Tuesday, 26/May/2020
8:00am
-
8:45am
TUESREG: Registration
8:45am
-
9:40am
TUES01-1: Shareholders' rights, liabilities, and conflicts of interest
Chair: Ian Appel, Boston College
Discussant: MING YANG, Duke University
 

Trading and Shareholder Democracy

Doron Levit1, Nadya Malenko2, Ernst Maug3

1: University of Pennsylvania; 2: Boston College; 3: University of Mannheim

TUES02-1: Motivations for Mergers
Chair: Audra Boone, Texas Christian University
Discussant: Alice Bonaime, University of Arizona
 

Build or Buy? Human Capital and Corporate Diversification

Victor Lyonnet1, Camille Hebert2, Paul Beaumont3

1: The Ohio State University; 2: The University of Toronto; 3: Paris Dauphine University

TUES03-1: Distress, trust, and restructuring
Chair: Simi Kedia, Rutgers University
Discussant: Huseyin Gulen, Purdue University
 

Do Firms Hedge During Distress?

Heitor Almeida1, Kristine Hankins2, Ryan Williams3

1: UIUC; 2: Kentucky; 3: Arizona

TUES04-1: Taxes in corporate and household finance
Chair: Oliver Levine, University of Wisconsin-Madison
 

Winner's Curse? Corporate Subsidies and Borrowing Costs of Local Governments

Sudheer Chava1, Baridhi Malakar3, Manpreet Singh2

1: Georgia Tech; 2: Georgia Tech; 3: Georgia Tech

TUES05-1: Market Technicals and Asset Prices
Chair: Jennifer Conrad, UNC
Discussant: Yunzhi Hu, UNC Chapel Hill
 

Asset Prices and Liquidity with Market Power and non-Gaussian Payoffs

Sergei Glebkin1, Semyon Malamud2, Alberto Teguia3

1: INSEAD; 2: EPFL; 3: UBC Sauder Business School

TUES06-1: Uncertainty, Profits, and Growth
Chair: Xavier Giroud, Columbia University
Discussant: John Bai, Northeastern University
 

Uncertainty-Induced Reallocations and Growth

Ravi Bansal1, Max Croce2, Wenxi Liao1, Samuel Rosen3

1: Duke University; 2: Bocconi University; 3: Temple University

TUES07-1: Derivatives
Chair: Mahyar Kargar, University of Illinois at Urbana-Champaign
Discussant: Dmitriy Muravyev, Michigan State University
 

Very Noisy Option Prices and Inference Regarding Option Returns

Jefferson DUARTE1, Christopher Jones2, Junbo Wang3

1: Rice University; 2: University of Southern California; 3: Louisiana State University

TUES08-1: Fintech and Banking
Chair: DR. MANJU PURI, DUKE UNIVERSITY
Discussant: Tetyana Balyuk, Emory University
 

The Value of Privacy: Evidence from Online Borrowers

Huan Tang

HEC Paris

TUES09-1: Bank Deposits and Lending
Chair: Alexi Savov, NYU
 

Deposit Market Power, Funding Stability and Long-Term Credit

Lei Li1, Elena Loutskina2, Philip Strahan3

1: Federal Reserve Board of Governors; 2: University of Virginia; 3: Boston College

9:55am
-
10:50am
TUES01-2: Shareholders' rights, liabilities, and conflicts of interest
Chair: Ian Appel, Boston College
Discussant: Deeksha Gupta, Carnegie Mellon University
 

Does Increased Shareholder Liability Always Reduce Bank Moral Hazard?

Haelim Anderson1, Daniel Barth2, Dong Beom Choi3

1: FDIC; 2: Office of Financial Research, U.S. Department of Treasury; 3: Seoul National University

TUES02-2: Motivations for Mergers
Chair: Audra Boone, Texas Christian University
Discussant: Merih Sevilir, kelley school of business, indiana university
 

How Do Mergers and Acquisitions Foster Corporate Innovation? Inventor-level Evidence

Kai Li1, Jin Wang2

1: University of Britsh Columbia; 2: Wilfrid Laurier University

TUES03-2: Distress, trust, and restructuring
Chair: Simi Kedia, Rutgers University
Discussant: Malcolm Ian Wardlaw, University of Georgia
 

Trust and Contracts: Empirical Evidence

Francesco D'Acunto1, Jin Xie2, Jiaquan Yao3

1: Boston College; 2: The Chinese University of Hong Kong; 3: Jinan University

TUES04-2: Taxes in corporate and household finance
Chair: Oliver Levine, University of Wisconsin-Madison
Discussant: Steffen Meyer, University of Southern Denmark (SDU), Danish Finance Institute
 

Attention and Biases: Evidence from Tax-Inattentive Investors

Justin Birru2, Fernando Chague1, Rodrigo De-Losso3, Bruno Giovannetti1

1: Getulio Vargas Foundation; 2: Ohio State University; 3: University of Sao Paulo

TUES05-2: Market Technicals and Asset Prices
Chair: Jennifer Conrad, UNC
Discussant: Brian Weller, Duke University
 

Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates

Matteo Aquilina1, Eric Budish2, Peter ONeill1

1: Financial Conduct Authority; 2: University of Chicago Booth School of Business and NBER

TUES06-2: Uncertainty, Profits, and Growth
Chair: Xavier Giroud, Columbia University
Discussant: Hyunseob Kim, Cornell University
 

The Finance Uncertainty Multiplier

Ivan Alfaro1, Nicholas Bloom2, Xiaoji Lin3

1: Norwegian Business School; 2: Stanford University; 3: University of Minnesota

TUES07-2: Derivatives
Chair: Mahyar Kargar, University of Illinois at Urbana-Champaign
Discussant: Ryan Lewis, University of Colorado at Boulder
 

Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options

Dragon Tang

The University of Hong Kong

TUES08-2: Fintech and Banking
Chair: DR. MANJU PURI, DUKE UNIVERSITY
Discussant: N. R. Prabhala, Johns Hopkins University
 

Financial Technology Adoption

Sean Higgins

Northwestern University

TUES09-2: Bank Deposits and Lending
Chair: Alexi Savov, NYU
 

Low Rates and Bank Loan Supply: Theory and Evidence from Japan

Cynthia Mei Balloch1, Yann Koby2

1: London School of Economics; 2: Princeton University

11:05am
-
12:00pm
TUES01-3: Shareholders' rights, liabilities, and conflicts of interest
Chair: Ian Appel, Boston College
Discussant: Brandon Julio, University of Oregon
 

Do Shareholders Gain from Their Right to Sue? Evidence from Federal Judge Turnover

Stefano Cassella1, A. Emanuele Rizzo2

1: Tilburg University; 2: Nova School of Business and Economics

TUES02-3: Motivations for Mergers
Chair: Audra Boone, Texas Christian University
Discussant: Andrey Golubov, University of Toronto
 

Beyond the Target: M&A Decisions and Rival Ownership

Miguel Anton, Jose Azar, Mireia Gine, Luca Lin

IESE Business School

TUES03-3: Distress, trust, and restructuring
Chair: Simi Kedia, Rutgers University
Discussant: David Smith, University of Virginia
 

Rent extraction by super-priority lenders

Espen Eckbo1, Kai Li2, Wei Wang3

1: Dartmouth College; 2: University of British Columbia; 3: Queen's University

TUES04-3: Taxes in corporate and household finance
Chair: Oliver Levine, University of Wisconsin-Madison
 

Personal Income Taxes and Labor Downskilling: Evidence from 27 Million Job Postings

Murillo Campello2, Janet Gao3, Qiping Xu1

1: University of Illinois Urbana Champaign; 2: Cornell University; 3: Indiana University

TUES05-3: Market Technicals and Asset Prices
Chair: Jennifer Conrad, UNC
Discussant: John Shim, University of Notre Dame
 

High-Frequency Trading, Endogenous Capital Commitment and Market Quality

Yenan Wang

Duke University

TUES06-3: Uncertainty, Profits, and Growth
Chair: Xavier Giroud, Columbia University
Discussant: Francois Gourio, Federal Reserve Bank of Chicago
 

Q: Risk, Rents, or Growth?

Alexandre Corhay3, Howard Kung2, Lukas Schmid1

1: Duke University; 2: London Business School; 3: University of Toronto

TUES07-3: Derivatives
Chair: Mahyar Kargar, University of Illinois at Urbana-Champaign
Discussant: Deeksha Gupta, Carnegie Mellon University
 

Competition and Manipulation in Derivative Contract Markets

Anthony Lee Zhang

University of Chicago Booth School of Business

TUES08-3: Fintech and Banking
Chair: DR. MANJU PURI, DUKE UNIVERSITY
Discussant: Daniel Ferreira, London School of Economics
 

Token-Based Platform Finance

Will Cong1, Ye Li2, Neng Wang3

1: Cornell University Johnson School; 2: Ohio State University Fisher College of Business; 3: Columbia Business School

TUES09-3: Bank Deposits and Lending
Chair: Alexi Savov, NYU
 

Zombie Credit and (Dis-)Inflation: Evidence from Europe

Viral Acharya1, Matteo Crosignani2, Tim Eisert3, Christian Eufinger4

1: NYU Stern; 2: University of Michigan; 3: Erasmus Rotterdam; 4: IESE

12:00pm
-
1:20pm
Tuesday Lunch: Lunch and SFS Membership Meeting
1:30pm
-
2:25pm
TUES01-4: Shareholders' rights, liabilities, and conflicts of interest
Chair: Ian Appel, Boston College
Discussant: Pedro Matos, University of Virginia
 

Common-Ownership and Portfolio Rebalancing

Eyub Yegen

University of Toronto, Rotman School of Management

TUES02-4: Motivations for Mergers
Chair: Audra Boone, Texas Christian University
Discussant: Geoffrey Tate, University of Maryland
 

Mergers under the Microscope: Analysing Conference Call Transcripts

Sudipto Dasgupta1,3, Jarrad Harford2, Fangyuan Ma1, Daisy Wang4, Haojun Xie1

1: Chinese University of Hong Kong; 2: University of Washington; 3: CEPR; ABFER; 4: Ohio State University

TUES03-4: Distress, trust, and restructuring
Chair: Simi Kedia, Rutgers University
Discussant: Lubomir Litov, University of Oklahoma
 

Restructurings of Distressed Public Debt and Corporate Investment

Xin Fan

University of Pittsburgh

TUES04-4: Taxes in corporate and household finance
Chair: Oliver Levine, University of Wisconsin-Madison
Discussant: Daniel G. Garrett, Duke University
 

Corporate Taxes and Retail Prices

Scott Baker2, Stephen Sun3, Constantine Yannelis1

1: University of Chicago; 2: Northwestern University; 3: CUHK

TUES05-4: Market Technicals and Asset Prices
Chair: Jennifer Conrad, UNC
Discussant: Diego Garcia, University of Colorado Boulder
 

“Pump and Dump” through Media Tone: The Role of Cross-Blockholders in Corporate Litigation

Jie He1, Han Xia2, Yabo Zhao2

1: University of Georgia; 2: University of Texas at Dallas

TUES06-4: Uncertainty, Profits, and Growth
Chair: Xavier Giroud, Columbia University
Discussant: M. Cecilia Bustamante, University of Maryland
 

Competition, Profitability, and Risk Premia

Winston Dou1, Yan Ji2, Wei Wu3

1: The Wharton School at the University of Pennsylvania; 2: Hong Kong University of Science and Technology; 3: Texas A&M University

TUES07-4: Derivatives
Chair: Mahyar Kargar, University of Illinois at Urbana-Champaign
Discussant: Emil Siriwardane, HBS
 

Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives

Viral Acharya1, Yalin Gunduz2, Timothy C. Johnson3

1: NYU Stern School of Business; 2: Deutsche Bundesbank; 3: University of Illinois, Urbana-Champaign

TUES08-4: Fintech and Banking
Chair: DR. MANJU PURI, DUKE UNIVERSITY
Discussant: Jennifer Dlugosz, Washington University in St. Louis
 

Why Do Banks Hide Losses?

Amiyatosh Purnanandam1, Thomas Flanagan2

1: University of Michigan; 2: University of Michigan

TUES09-4: Bank Deposits and Lending
Chair: Alexi Savov, NYU
 

Deposit Insurance Premiums and Arbitrage

Edward Kim1, Marcelo Rezende2

1: UCLA Anderson School of Management.; 2: Federal Reserve Board

2:40pm
-
3:35pm
TUES01-5: Shareholders' rights, liabilities, and conflicts of interest
Chair: Ian Appel, Boston College
 

Activist Settlements

Adrian Aycan Corum

Cornell University - Johnson Graduate School of Management

TUES02-5: Motivations for Mergers
Chair: Audra Boone, Texas Christian University
Discussant: Xinxin Wang, Kenan-Flagler Business School
 

Acquiring Innovation Under Information Frictions

Murat Alp Celik1, Xu Tian1, Wenyu Wang2

1: University of Toronto; 2: Indiana University, USA

TUES03-5: Distress, trust, and restructuring
Chair: Simi Kedia, Rutgers University
Discussant: Priyank Gandhi, Rutgers Business School
 

Information Management in Times of Crisis

Haelim Anderson1, Adam Copeland2

1: FDIC; 2: NY Fed

TUES04-5: Taxes in corporate and household finance
Chair: Oliver Levine, University of Wisconsin-Madison
 

The Downstream Impact of Upstream Tariffs: Evidence from Investment Decisions in Supply Chains

Thorsten Martin1, Clemens Otto2

1: Bocconi; 2: Singapore Management University

TUES05-5: Market Technicals and Asset Prices
Chair: Jennifer Conrad, UNC
Discussant: Andriy Shkilko, Wilfrid Laurier University
 

What is the Impact of Introducing a Parallel OTC Market? Theory and Evidence from the Chinese Interbank FX Market

Craig Holden1, Dong Lu2, Volodymyr Lugovskyy3, Daniela Puzzello4

1: Indiana University; 2: Renmin University of China; 3: Indiana University; 4: Indiana University

TUES06-5: Uncertainty, Profits, and Growth
Chair: Xavier Giroud, Columbia University
Discussant: Lars Kuehn, Carnegie Mellon University
 

Labor Hiring and Discount Rates

Frederico Belo1, Andres Donangelo2, Xiaoji Lin3, Ding Luo4

1: INSEAD and NBER; 2: University of Texas at Austin; 3: University of Minnesota; 4: City University of Hong Kong

TUES07-5: Derivatives
Chair: Mahyar Kargar, University of Illinois at Urbana-Champaign
Discussant: Hitesh Doshi, University of Houston
 

Pricing Recovery - Evidence from Markets, CDS Auctions and Ultimate Recovery

Sunil Teluja

University of Arizona

TUES08-5: Fintech and Banking
Chair: DR. MANJU PURI, DUKE UNIVERSITY
Discussant: Meghana Ayyagari, George Washington University
 

Financial Access Under the Microscope

Sumit Agarwal1, Thomas Kigabo2, Camelia Minoiu3, Andrea Presbitero4, Andre F. Silva3

1: National University of Singapore; 2: National Bank of Rwanda; 3: Federal Reserve Board; 4: International Monetary Fund

TUES09-5: Bank Deposits and Lending
Chair: Alexi Savov, NYU
 

Bank Entrepreneurs

Kristoph Kleiner1, Manju Puri2, Chiwon Yom3

1: Indiana University; 2: Duke University, FDIC; 3: FDIC

3:45pm
-
4:30pm
RAPS Keynote: RAPS Keynote by Campbell Harvey

Campbell Harvey

6:00pm
-
8:00pm
TUESRECEPTION: Awards Reception
Date: Wednesday, 27/May/2020
8:00am
-
8:45am
WEDREG: Registration
8:45am
-
9:40am
WED01-1: Dissecting Risk Factors
Chair: Serhiy Kozak, University of Maryland
 

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

Svetlana Bryzgalova1, Markus pelger2, Jason Zhu2

1: London Business School; 2: Stanford University

WED02-1: Corporate Investment
Chair: Lukas Schmid, Duke University
Discussant: Lorenzo Bretscher, London Business School
 

Foreign investment of US multinationals: the effect of tax policy and agency conflicts

James F Albertus1, Brent Glover1, Oliver Levine2

1: Carnegie Mellon University; 2: University of Wisconsin-Madison

WED03-1: Behavioral Influences on Learning in Finance: Experience effects, associative learning, and social learning
Chair: Lawrence Jin, Caltech
Discussant: Justin Birru, The Ohio State University
 

Peak-Bust Rental Spreads

Marco Giacoletti1, Christopher Parsons2

1: University of Southern California; 2: University of Washington

WED04-1: Capital Markets Theory
Chair: Barney Hartman-Glaser, UCLA
 

Sustainable Investing in Equilibrium

Lubos Pastor2, Robert F. Stambaugh1, Lucian Taylor1

1: Wharton School, University of Pennsylvania; 2: University of Chicago Booth School of Business

WED05-1: New Capital Market Empirics
Chair: Alon Brav, Duke University
Discussant: Jonathan Zandberg, Boston College, Carroll School of Management
 

The Impact of Venture Capital Screening

Rustam Abuzov

Swiss Finance Institute, HEC Lausanne

WED06-1: The role of behavioral biases in trading, financing, and consumption decisions
Chair: Enrichetta Ravina, Northwestern University
Discussant: Marieke Bos, Stockholm School of Economics
 

Smoking hot portfolios? Self-control and investor decisions

Charline Uhr2, Steffen Meyer1, Andreas Hackethal2

1: University of Southern Denmark (SDU), Danish Finance Institute; 2: Goethe Universität Frankfurt, Research Center SAFE

WED07-1: Household Leverage
Chair: Jack Favilukis, UBC
Discussant: Kartik Athreya, FRB-Richmond
 

The Impact of Debt Relief Generosity and Liquid Wealth on Household Bankruptcy

Sasha Indarte

Duke University

WED08-1: Information and Asset Prices
Chair: Lars Lochstoer, UCLA Anderson School of Management
 

Information Production and Market Feedback

Itay Goldstein1, Jan Schneemeier2, Liyan Yang3,4

1: University of Pennsylvania; 2: Indiana University; 3: Johns Hopkins University; 4: University of Toronto

WED09-1: Bank Risk Taking and Regulation
Chair: Nicola Cetorelli, Federal Reserve Bank of New York
Discussant: Ernest Liu, Princeton University
 

Watch What They Do, Not What They Say: Estimating Regulatory Costs From Revealed Preferences

Adrien Alvero1, Sakai Ando2, Kairong Xiao1

1: Columbia University; 2: International Monetary Fund, United States of America

9:55am
-
10:50am
WED01-2: Dissecting Risk Factors
Chair: Serhiy Kozak, University of Maryland
 

Correcting misspecified stochastic discount factors

Raman Uppal1, Paolo Zaffaroni2, Irina Zviadadze3

1: EDHEC Business School; 2: Imperial College Business School; 3: HEC Paris

WED02-2: Corporate Investment
Chair: Lukas Schmid, Duke University
Discussant: Mindy Xiaolan, University of Texas at Austin
 

The decline in US public firms

Tetiana Davydiuk, Brent Glover, Rachel Szymanski

Carnegie Mellon University

WED03-2: Behavioral Influences on Learning in Finance: Experience effects, associative learning, and social learning
Chair: Lawrence Jin, Caltech
Discussant: Peter Kelly, University of Notre Dame
 

Dynamic Inconsistency in Risky Choice: Evidence from the Lab and Financial Markets

Rawley Heimer2, Zwetelina Iliewa1, Alex Imas3, Martin Weber4

1: Max Planck Institute for Research on Collective Goods; 2: Boston College; 3: Carnegie Mellon University; 4: University of Mannheim

WED04-2: Capital Markets Theory
Chair: Barney Hartman-Glaser, UCLA
 

Risk-Sharing, Investment, and Asset Prices According to Cournot and Arrow-Debreu

Daniel Neuhann, Michael Sockin

University of Texas at Austin

WED05-2: New Capital Market Empirics
Chair: Alon Brav, Duke University
Discussant: Andrew Patton, Duke University
 

Unsmoothing Returns of Illiquid Funds

Andrea Rossi1, Andrei Goncalves2, Spencer Couts3

1: University of Arizona; 2: University of North Carolina at Chapel Hill; 3: University of Southern California, Lusk Center of Real Estate

WED06-2: The role of behavioral biases in trading, financing, and consumption decisions
Chair: Enrichetta Ravina, Northwestern University
Discussant: Jeremy Tobacman, University of Delaware
 

Perceived Precautionary Savings Motives: Evidence from FinTech

Francesco D'Acunto1, Thomas Rauter2, Christoph Scheuch3, Michael Weber2

1: Boston College - Carroll School of Management; 2: University of Chicago Booth School of Business; 3: Vienna Graduate School of Finance

WED07-2: Household Leverage
Chair: Jack Favilukis, UBC
 

Credit Cycles with Market-Based Household Leverage

William Diamond, Tim Landvoigt

Wharton School, University of Pennsylvania

WED08-2: Information and Asset Prices
Chair: Lars Lochstoer, UCLA Anderson School of Management
 

Choosing to Disagree in Financial Markets

Snehal Banerjee, Jesse Davis, Naveen Gondhi

UC San Diego

WED09-2: Bank Risk Taking and Regulation
Chair: Nicola Cetorelli, Federal Reserve Bank of New York
Discussant: Borghan Narajabad, Board of Governors
 

Unintended Consequences of Post-Crisis Liquidity Regulation

Kairong Xiao, Suresh Sundaresan

Columbia Business School

11:05am
-
12:00pm
WED01-3: Dissecting Risk Factors
Chair: Serhiy Kozak, University of Maryland
 

More than 100% of the equity premium: How much is really earned on macroeconomic announcement days?

Rory Ernst, Thomas Gilbert, Christopher Hrdlicka

University of Washington

WED02-3: Corporate Investment
Chair: Lukas Schmid, Duke University
Discussant: Michael Sockin, University of Texas at Austin
 

Robust q Theory

Qian Qi

SWUFE and NCFR, PKU

WED03-3: Behavioral Influences on Learning in Finance: Experience effects, associative learning, and social learning
Chair: Lawrence Jin, Caltech
Discussant: Peter Maxted, Harvard University
 

Associative learning and representativeness

Jessica Wachter, Michael Kahana

University of Pennsylvania

WED04-3: Capital Markets Theory
Chair: Barney Hartman-Glaser, UCLA
 

Agency Frictions, Managerial Compensation, and Disruptive Innovations

Murat Alp Celik, Xu Tian

University of Toronto

WED05-3: New Capital Market Empirics
Chair: Alon Brav, Duke University
Discussant: Nickolay Gantchev, Southern Methodist University
 

Active Short Selling by Hedge Funds

Ian Appel, Slava Fos

Boston College

WED06-3: The role of behavioral biases in trading, financing, and consumption decisions
Chair: Enrichetta Ravina, Northwestern University
Discussant: Camelia Kuhnen, University of North Carolina-Chapel Hill
 

The Consumption Effects of the Disposition to Sell Winners and Hold on to Losers

Benjamin Loos3, Steffen Meyer1, Michaela Pagel2

1: University of Southern Denmark (SDU), Danish Finance Institute; 2: Columbia Business School; 3: University of Technology Sydney

WED07-3: Household Leverage
Chair: Jack Favilukis, UBC
Discussant: Gonzalo Maturana, Emory
 

Is there a leverage cycle in the US housing market? The role of government and private actors

Manuel Adelino1, W Ben McCartney2, Antoinette Schoar3

1: Duke University; 2: Purdue University; 3: MIT

WED08-3: Information and Asset Prices
Chair: Lars Lochstoer, UCLA Anderson School of Management
 

More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency

Adrian Buss1,2, Savitar Sundaresan3

1: INSEAD; 2: CEPR; 3: Imperial College Business School

WED09-3: Bank Risk Taking and Regulation
Chair: Nicola Cetorelli, Federal Reserve Bank of New York
Discussant: Haelim Anderson, FDIC
 

Shareholder Liability and Bank Failure

Felipe Aldunate1, Dirk Jenter2, Arthur Korteweg3, Peter Koudijs4

1: Pontificia Universidad Catolica de Chile; 2: London School of Economics and Political Science; 3: University of Southern California; 4: Stanford University

12:00pm
-
1:20pm
Wednesday Lunch: Lunch and Keynote by Antoinette Schoar
1:30pm
-
2:25pm
WED01-4: Dissecting Risk Factors
Chair: Serhiy Kozak, University of Maryland
 

Realized Semibetas: Signs of Things to Come

Tim Bollerslev1, Andrew Patton1, Rogier Quaedvlieg2

1: Duke University; 2: Erasmus University Rotterdam

WED02-4: Corporate Investment
Chair: Lukas Schmid, Duke University
Discussant: Roberto Steri, University of Luxembourg
 

Leasing as a Risk-Sharing Mechanism

Kai Li, Chi-Yang Tsou

Hong Kong University of Science and Technology

WED03-4: Behavioral Influences on Learning in Finance: Experience effects, associative learning, and social learning
Chair: Lawrence Jin, Caltech
Discussant: Anna Scherbina, Brandeis International Business School
 

Testing Disagreement Models

Yen-Cheng Chang1, Pei-Jie Hsiao1, Alexander Ljungqvist2, Kevin Tseng3

1: National Taiwan University; 2: Stockholm School of Economics; 3: Federal Reserve Bank of Richmond

WED04-4: Capital Markets Theory
Chair: Barney Hartman-Glaser, UCLA
 

The Value of Green Energy under Regulation Uncertainty

Jerome Detemple1, Yerkin Kitapbayev2

1: Boston University Questrom School of Business; 2: North Carolina State University

WED05-4: New Capital Market Empirics
Chair: Alon Brav, Duke University
Discussant: Jesse Eugene Davis, University of North Carolina - Chapel Hill
 

Information flows and asset pricing

David Easley1, David Michayluk2, Maureen O'Hara1, Vinay Patel2, Talis Putnins2

1: Cornell University; 2: University of Technology Sydney

WED06-4: The role of behavioral biases in trading, financing, and consumption decisions
Chair: Enrichetta Ravina, Northwestern University
Discussant: Matthew Plosser, Federal Reserve Bank of New York
 

Humans vs machines: Soft and hard information in corporate loan pricing

Manuel Adelino1, Ivan Ivanov2, Michael Smolyansky3

1: Duke University; 2: Federal Reserve Board; 3: Federal Reserve Board

WED07-4: Household Leverage
Chair: Jack Favilukis, UBC
Discussant: Andra Ghent, University of North Carolina, Chapel Hill
 

The Economic Consequences of Bankruptcy Reform

Jialan Wang1, Tal Gross2, Raymond Kluender3, Matthew Notowidigdo4, Feng Liu5

1: University of Illinois at Urbana-Champaign; 2: Boston University; 3: Harvard; 4: Northwestern University; 5: Consumer Financial Protection Bureau

WED08-4: Information and Asset Prices
Chair: Lars Lochstoer, UCLA Anderson School of Management
 

Learning from Interest Rates: Implications for Stock-Market Efficiency

Matthijs Breugem2, Adrian Buss1, Joel Peress1

1: insead; 2: Collegio Carlo Alberto

WED09-4: Bank Risk Taking and Regulation
Chair: Nicola Cetorelli, Federal Reserve Bank of New York
Discussant: Isha Agarwal, University of British Columbia
 

Arbitrage Capital of Global Banks

Alyssa Anderson2, Wenxin Du1, Bernd Schlusche2

1: University of Chicago Booth School of Business; 2: Federal Reserve Board

2:40pm
-
3:35pm
WED01-5: Dissecting Risk Factors
Chair: Serhiy Kozak, University of Maryland
 

Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns

Alejandro Lopez-Lira

The Wharton School, University of Pennsylvania

WED02-5: Corporate Investment
Chair: Lukas Schmid, Duke University
Discussant: Zhi Da, University of Notre Dame
 

The Great Divorce Between Investment and Profitability

Miao Ben Zhang, Mete Kilic, Louis Yang

University of Southern California

WED03-5: Behavioral Influences on Learning in Finance: Experience effects, associative learning, and social learning
Chair: Lawrence Jin, Caltech
Discussant: Xing Huang, Washington University in St. Louis
 

Social Proximity to Capital: Implications for Investors and Firms

Theresa Kuchler2, Yan Li1, Lin Peng1, Johannes Stroebel2, Dexin Zhou1

1: Baruch College; 2: New York University

WED04-5: Capital Markets Theory
Chair: Barney Hartman-Glaser, UCLA
 

Is There Too Much Benchmarking in Asset Management?

Anil Kashyap2, Natalia Kovrijnykh3, Jian Li4, Anna Pavlova1

1: London Business School; 2: Booth School of Business, University of Chicago; 3: Arizona State University; 4: University of Chicago

WED05-5: New Capital Market Empirics
Chair: Alon Brav, Duke University
Discussant: Riccardo Colacito, UNC Chapel Hill
 

Asset Prices Under Climate Change Uncertainty

Michael Barnett

Arizona State University W. P. Carey School of Business

WED06-5: The role of behavioral biases in trading, financing, and consumption decisions
Chair: Enrichetta Ravina, Northwestern University
Discussant: Michael Reher, UCSD
 

Human Interactions and Financial Investment: A Video-Based Approach

Allen Hu, Song Ma

Yale School of Management

WED07-5: Household Leverage
Chair: Jack Favilukis, UBC
Discussant: Elena Pikulina, UBC
 

Social Collateral

Ha Diep-Nguyen1, Huong Dang2

1: Indiana University; 2: Foreign Trade University, Vietnam

WED08-5: Information and Asset Prices
Chair: Lars Lochstoer, UCLA Anderson School of Management
 

Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets

Chukwuma Dim, Francesco Sangiorgi, Grigory Vilkov

Frankfurt School of Finance and Management

WED09-5: Bank Risk Taking and Regulation
Chair: Nicola Cetorelli, Federal Reserve Bank of New York
Discussant: Brad Hackinen, Ivey Business School
 

The Partisanship of Financial Regulators

Joseph Engelberg1, Matthew Henriksson2, Asaf Manela3, Jared Williams2

1: University of California at San Diego; 2: University of South Florida; 3: Washington University St Louis

3:45pm
-
4:30pm
RCFS Keynote: RCFS Keynote by Thomas Philippon

Thomas Philippon

Date: Thursday, 28/May/2020
8:00am
-
8:45am
THURSREG: Registration
8:45am
-
9:40am
THURS01-1: Safe Assets, Collateral, and Defaults
Chair: Anna Cieslak, Duke University
Discussant: Krista Schwarz, Wharton
 

The Risks of Safe Assets

Yang Liu1, Lukas Schmid2, Amir Yaron3

1: University of Hong Kong; 2: Duke University; 3: Bank of Israel

THURS02-1: Unified factors, volatility and risk premia
Chair: Michael Brandt, Duke University
 

Volatility Expectations and Returns

Lars Lochstoer, Tyler Muir

UCLA Anderson School of Management

THURS03-1: Monetary Policy and Finance
Chair: Michael Weber, University of Chicago
Discussant: Ali Ozdagli, Federal Reserve Bank of Boston
 

The Bond Lending Channel of Monetary Policy

Olivier Darmouni1, Oliver Giesecke1, Alexander Rodnyansky2

1: Columbia University; 2: University of Cambridge

THURS04-1: Housing Markets
Chair: Andra Ghent, University of North Carolina, Chapel Hill
Discussant: Paul Ho, FRB-Richmond
 

Expectations During the U.S. Housing Boom: Inferring Beliefs from Vacant Homes

Itzhak Ben-David1, Pascal Towbin2, Sebastian Weber3

1: Fisher College of Business, The Ohio State University; 2: Swiss National Bank; 3: International Monetary Fund

THURS05-1: Equilibrium Asset Pricing with Frictions: Constraints or Behavioral?
Chair: Alan Moreira, university of rochester
Discussant: Erik Loualiche, University of Minnesota
 

Prospect Theory and Stock Market Anomalies

Nicholas Barberis1, Lawrence Jin2, Baolian Wang3

1: Yale University; 2: California Institute of Technology; 3: University of Florida

THURS06-1: Household portfolios
Chair: Manuel Adelino, Duke University
Discussant: Tetyana Balyuk, Emory University
 

Do Robots Increase Wealth Dispersion?

Thomas Jansson2, Yigitcan Karabulut1,3

1: Frankfurt School of Finance and Management; 2: Sveriges Riksbank; 3: CEPR

THURS07-1: Time-(In)consistency in Corporate Finance Models
Chair: Geoffrey Tate, University of Maryland
 

Optimal Time-Consistent Debt Policies

Andrey Malenko1, Anton Tsoy2

1: Boston College; 2: University of Toronto

THURS08-1: Too much debt or too little?
Chair: Francesco D'Acunto, Boston College
Discussant: Melina Papoutsi, European Central Bank
 

Debt Issuance in the Era of Passive Investment

Michele Dathan, Sergei Davydenko

University of Toronto

THURS09-1: Productivity, Production Cycles, and Product Innovation
Chair: M. Cecilia Bustamante, University of Maryland
Discussant: Albert Sheen, University of Oregon
 

Product Innovation and Credit Market Disruptions

Joao Granja1, Sara Moreira2

1: University of Chicago; 2: Kellogg School of Management

9:55am
-
10:50am
THURS01-2: Safe Assets, Collateral, and Defaults
Chair: Anna Cieslak, Duke University
Discussant: Toomas Laarits, New York University Stern School of Business
 

Safe asset shortage and collateral reuse

Stephan Jank, Emanuel Moench

Deutsche Bundesbank

THURS02-2: Unified factors, volatility and risk premia
Chair: Michael Brandt, Duke University
 

Cross-sectional Skewness

Sangmin Oh1, Jessica Wachter2

1: Chicago Booth; 2: Wharton

THURS03-2: Monetary Policy and Finance
Chair: Michael Weber, University of Chicago
Discussant: Jack Favilukis, UBC
 

The Heterogenous Cost of Wage Rigidity: Evidence and Theory

Ester Faia1, Vincenzo Pezone2

1: Goethe University; 2: Goethe University

THURS04-2: Housing Markets
Chair: Andra Ghent, University of North Carolina, Chapel Hill
Discussant: Lawrence Jin, Caltech
 

Optimism and Extrapolation in Home-Price Beliefs

Haoyang Liu1, Christopher Palmer2

1: Federal Reserve Bank of New York; 2: MIT Sloan and NBER

THURS05-2: Equilibrium Asset Pricing with Frictions: Constraints or Behavioral?
Chair: Alan Moreira, university of rochester
Discussant: Paymon Khorrami, Imperial College Business School
 

Dynamic Equilibrium with Costly Short-Selling and Lending Market

Adem Atmaz1, Suleyman Basak2, Fangcheng Ruan1

1: Purdue University; 2: London Business School

THURS06-2: Household portfolios
Chair: Manuel Adelino, Duke University
Discussant: Jawad M. Addoum, Cornell University
 

Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden

Sylvain Catherine1, Paolo Sodini2, Yapei Zhang3

1: Wharton; 2: Swedish House of Finance; 3: ShanghaiTech University

THURS07-2: Time-(In)consistency in Corporate Finance Models
Chair: Geoffrey Tate, University of Maryland
 

Optimal Debt Dynamics, Issuance Costs, and Commitment

Luca Benzoni1, Lorenzo Garlappi2, Robert S. Goldstein3, Chao Ying3

1: Chicago Fed; 2: UBC; 3: University of Minnesota

THURS08-2: Too much debt or too little?
Chair: Francesco D'Acunto, Boston College
 

Losing Control? The 20-Year Decline in Loan Covenant Restrictions

Thomas Paul Griffin1, Greg Nini2, David Smith3

1: Villanova University; 2: Drexel University; 3: University of Virginia

THURS09-2: Productivity, Production Cycles, and Product Innovation
Chair: M. Cecilia Bustamante, University of Maryland
Discussant: Alex He, University of Maryland
 

Do Short-Term Incentives Affect Long-Term Productivity?

Heitor Almeida1, Nuri Ersahin3, Slava Fos2, Rustom Irani1, Mathias Kronlund1

1: University of Illinois at Urbana-Champaign; 2: Boston College; 3: Michigan State University

11:05am
-
12:00pm
THURS01-3: Safe Assets, Collateral, and Defaults
Chair: Anna Cieslak, Duke University
Discussant: Briana Chang, UW Madison
 

A Dynamic Theory of Collateral Quality and Long-term Interventions

Michael Junho Lee2, Daniel Neuhann1

1: University of Texas at Austin; 2: Federal Reserve Bank of New York

THURS02-3: Unified factors, volatility and risk premia
Chair: Michael Brandt, Duke University
 

One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns

Nishad Kapadia1, Matthew Linn2, Bradley Paye3

1: Tulane University; 2: University of Massachusetts at Amherst; 3: Virginia Polytechnic

THURS03-3: Monetary Policy and Finance
Chair: Michael Weber, University of Chicago
Discussant: Anna Cieslak, Duke University
 

The Passthrough of Treasury Supply to Bank Deposit Funding

WENHAO LI1, Yiming Ma2, Yang Zhao3

1: University of Southern California, Marshall School of Business; 2: Columbia Business School; 3: Stanford Graduate School of Business

THURS04-3: Housing Markets
Chair: Andra Ghent, University of North Carolina, Chapel Hill
Discussant: Jaromir Nosal, Boston College
 

Housing Finance, Boom-Bust Episodes, and Macroeconomic Fragility

Carlos Garriga1, Aaron Hedlund2

1: Federal Research Bank of St. Louis; 2: University of Missouri

THURS05-3: Equilibrium Asset Pricing with Frictions: Constraints or Behavioral?
Chair: Alan Moreira, university of rochester
Discussant: Pavel Zryumov, University of Rochester
 

On the magnification of small biases in decision-making

Shaun Davies, Edward Van Wesep, Brian Waters

University of Colorado, Boulder

THURS06-3: Household portfolios
Chair: Manuel Adelino, Duke University
Discussant: Natalie Bachas, Princeton University
 

Student Loan Supply, Parental Saving and Portfolio Allocation

Emiel Jerphanion

Tilburg University

THURS07-3: Time-(In)consistency in Corporate Finance Models
Chair: Geoffrey Tate, University of Maryland
 

Time Inconsistency and Financial Covenants

Haotian Xiang

Peking University

THURS08-3: Too much debt or too little?
Chair: Francesco D'Acunto, Boston College
Discussant: Igor Cunha, University of Kentucky
 

Do Firms Save Too Much Cash? Evidence from a Tax on Corporate Savings

Hwanki Brian Kim1, Woojin Kim2, Mathias Kronlund3

1: Baylor University; 2: Seoul National University; 3: University of Illinois at Urbana-Champaign

THURS09-3: Productivity, Production Cycles, and Product Innovation
Chair: M. Cecilia Bustamante, University of Maryland
Discussant: Dalida Kadyrzhanova, Georgia State
 

Financial Constraints and Product Market Decisions: the Role of Production Cycles

Diogo Mendes

Nova School of Business and Economics

12:00pm
-
1:20pm
THURS Lunch: Lunch and TBA
1:30pm
-
2:25pm
THURS01-4: Safe Assets, Collateral, and Defaults
Chair: Anna Cieslak, Duke University
Discussant: Andrea Tamoni, Rutgers Business School
 

Public Debt and the Slope of the Term Structure

Thien Nguyen

Ohio State University

THURS02-4: Unified factors, volatility and risk premia
Chair: Michael Brandt, Duke University
 

One anomaly to explain them all

Jack Favilukis2, Terry Zhang1

1: Australian National University; 2: University of British Columbia

THURS03-4: Monetary Policy and Finance
Chair: Michael Weber, University of Chicago
Discussant: Florian Heider, European Central Bank
 

Expansionary Yet Different:\\ Credit Supply and Real Effects of Negative Interest Rate Policy

Margherita Bottero2, Camelia Minoiu5, Jose-Luis Peydro3, Andrea Polo4, Andrea Presbitero1, Enrico Sette2

1: International Monetary Fund; 2: Bank of Italy; 3: Imperial College London; 4: Luiss University; 5: Federal Reserve Board

THURS04-4: Housing Markets
Chair: Andra Ghent, University of North Carolina, Chapel Hill
Discussant: Marco Giacoletti, University of Southern California
 

Leveraged Commercial Property Cycles

Ivan Jaccard

European Central Bank

THURS05-4: Equilibrium Asset Pricing with Frictions: Constraints or Behavioral?
Chair: Alan Moreira, university of rochester
Discussant: Barney Hartman-Glaser, UCLA
 

A Model of Market Discipline

Colin Ward, Chao Ying

University of Minnesota

THURS06-4: Household portfolios
Chair: Manuel Adelino, Duke University
Discussant: Vincent Yao, Georgia State University
 

Shale Shocked: The Long Run Effect of Wealth on Household Debt

Tony Cookson3, Erik Gilje2, Rawley Heimer1

1: Boston College; 2: Wharton; 3: CU - Boulder

THURS07-4: Time-(In)consistency in Corporate Finance Models
Chair: Geoffrey Tate, University of Maryland
 

Debt covenants and the value of commitment

Andrea Gamba1, Lei Mao2

1: Finance Group - Warwick Business School, University of Warwick; 2: School of Management and Economics, Chinese University of Hong Kong, Shenzhen

THURS08-4: Too much debt or too little?
Chair: Francesco D'Acunto, Boston College
Discussant: Mark Leary, Washington University in St. Louis
 

The Decline of Secured Debt

Nitish Kumar1, Efraim Benmelech2, Raghuram Rajan3

1: University of Florida; 2: Kellogg School of Management; 3: University of Chicago Booth School

THURS09-4: Productivity, Production Cycles, and Product Innovation
Chair: M. Cecilia Bustamante, University of Maryland
Discussant: William Mann, Emory University
 

Young Firms, Old Capital

Song Ma1, Justin Murfin2, Ryan Pratt3

1: Yale University; 2: Cornell University; 3: Brigham Young University

2:40pm
-
3:35pm
THURS01-5: Safe Assets, Collateral, and Defaults
Chair: Anna Cieslak, Duke University
Discussant: Tim Landvoigt, The Wharton School, University of Pennsylvania
 

Twin Default Crises

Dominik Supera1, Javier Suarez2, Juan Rubio-Ramirez3, Caterina Mendicino4, Kalin Nikolov4

1: Wharton School, University of Pennsylvania; 2: CEMFI and CEPR; 3: Emory University; 4: European Central Bank

THURS02-5: Unified factors, volatility and risk premia
Chair: Michael Brandt, Duke University
 

Equity Term Structures without Dividend Strips Data

Serhiy Kozak3, Stefano Giglio1, Bryan Kelly2

1: University of Maryland; 2: Yale SOM; 3: Yale SOM

THURS03-5: Monetary Policy and Finance
Chair: Michael Weber, University of Chicago
Discussant: Yufeng Wu, UIUC
 

Is the Working Capital Channel of the Monetary Policy Quantitatively Relevant? A Structural Estimation Approach

Hamilton Galindo Gil

Arizona State University

THURS04-5: Housing Markets
Chair: Andra Ghent, University of North Carolina, Chapel Hill
Discussant: Yunzhi Hu, UNC Chapel Hill
 

The Macroeconomic Implications Of Limited Arbitrage

Ally Quan ZHANG

Lancaster University Management School

THURS05-5: Equilibrium Asset Pricing with Frictions: Constraints or Behavioral?
Chair: Alan Moreira, university of rochester
Discussant: Jessica Wachter, Wharton
 

Extrapolative Asset Pricing

KAI LI1, Jun Liu2

1: Macquarie University; 2: University of California San Diego

THURS06-5: Household portfolios
Chair: Manuel Adelino, Duke University
Discussant: Bronson Argyle, BYU
 

Spillover Effects of the Opioid Epidemic on Consumer Finance

Mark Jansen

University of Utah

THURS07-5: Time-(In)consistency in Corporate Finance Models
Chair: Geoffrey Tate, University of Maryland
 

Financing Corporate Growth

Murray Frank1, Ali Sanati2

1: University of Minnesota; 2: American University

THURS08-5: Too much debt or too little?
Chair: Francesco D'Acunto, Boston College
Discussant: Jaewon Choi, University of Illinois at Urbana-Champaign
 

The Effects of Financing Frictions in Investment-Grade Debt Markets

Indraneel Chakraborty1, Andrew MacKinlay2

1: University of Miami; 2: Virginia Tech

THURS09-5: Productivity, Production Cycles, and Product Innovation
Chair: M. Cecilia Bustamante, University of Maryland
Discussant: Xinxin Wang, Kenan-Flagler Business School
 

Patent Quality and Firm Value: Evidence from Patent Examiners Busyness

Tao Shu3, Xuan Tian2, Xintong Zhan1

1: Chinese University of Hong Kong; 2: PBC School of Finance, Tsinghua University; 3: Chinese University of Hong Kong, Shenzhen


 
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