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).

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Session Overview
Location: Room 106
Date: Tuesday, 28/May/2019
1:30pm - 3:15pm1.7: Asset Pricing 1
Session Chair: Noah Stoffman, Indiana University
Room 106 

Limits to Arbitrage in Markets with Stochastic Settlement Latency

Nikolaus Hautsch1,3, Christoph Scheuch1,2, Stefan Voigt1,2

1Vienna Graduate School of Finance; 2Vienna University of Economics and Business; 3University of Vienna

Discussant: Chaojun Wang (The Wharton School, University of Pennsylvania)

Funding Constraints and Informational Efficiency

Naveen Gondhi, John Kuong, Sergei Glebkin

INSEAD, France


Insider Trading Under the Microscope

Andriy Shkilko

Wilfrid Laurier University, Canada

Discussant: David Cicero (Auburn University)

3:30pm - 5:45pm1.4: Asset Pricing 2
Session Chair: Lorenzo Bretscher, London Business School Finance Department
Room 106 

Foreseen Risks

Joao Gomes, Marco Grotteria, Jessica Wachter

The Wharton School, United States of America

Discussant: Vadim Elenev (John Hopkins University Carey Business School)

Market Power and Price Informativeness

Marcin Kacperczyk1, Jaromir Nosal2, Savitar Sundaresan1

1Imperial College London; 2Boston College, United States of America

Discussant: Matthijs Breugem (Collegio Carlo Alberto)

News Shocks and Asset Prices

Aytek Malkhozov1, Lorenzo Bretscher2, Andrea Tamoni3

1Federal Reserve Board, United States of America; 2LBS; 3LSE

Discussant: Nicolas Crouzet (Kellogg School of Management)

The Maturity Premium

Maria Chaderina1,2, Patrick Weiss2, Josef Zechner1,2

1WU Vienna, Austria; 2VGSF

Discussant: Lukas Schmid (Duke University)

Date: Wednesday, 29/May/2019
8:30am - 10:15am4.3: Markets, Information and Returns
Session Chair: Adriano Rampini, Duke University
Room 106 

Completing Markets with Contracts: Evidence from the First Central Clearing Counterparty

Guillaume Vuillemey1,2

1HEC Paris, France; 2CEPR

Discussant: Asaf Bernstein (University of Colorado at Boulder)

Variation Margins, Fire Sales, and Information-Constrained Optimality

Bruno Biais2, Florian Heider1, Marie Hoerova1

1European Central Bank, Germany; 2HEC

Discussant: Eduardo Davila (Yale University)

Why Do Option Returns Change Sign from Day to Night?

Dmitriy Muravyev, Xuechuan Ni

Boston College, United States of America

Discussant: Pavel Savor (DePaul University)

10:30am - 12:15pm3.3: Financial Constraints
Session Chair: Utpal Bhattacharya, HKUST
Room 106 

Small and Large Firms over the Business Cycle

Nicolas Crouzet, Neil Mehrotra

Kellogg School of Management, United States of America

Discussant: Abhiroop Mukherjee (Hong Kong Univ. of Science and Tech.)

Building a Customer Base under Liquidity Constraints

Paul Beaumont1,2, Clémence Lenoir1

1Université Paris Dauphine, France; 2CREST

Discussant: Manpreet Singh (Georgia Tech)

A Macroeconomic Model with Financially Constrained Producers and Intermediaries

Vadim Elenev1, Tim Landvoigt2, Stijn Van Nieuwerburgh3

1Johns Hopkins Carey School; 2University of Pennsylvania Wharton School; 3Columbia University Graduate School of Business, United States of America

Discussant: Kai Li (Hong Kong University of Science and Technology)

2:00pm - 4:15pm5.2: Asset Pricing 3
Session Chair: Guofu Zhou, Washington University in St. Louis
Room 106 

Product Market Competition and the Profitability Premium

Yao Deng

University of Minnesota, United States of America

Discussant: Andrew Detzel (University of Denver)

Response of the Macroeconomy to Uncertainty Shocks: the Risk Premium Channel

Lorenzo Bretscher2, Alex Hsu1, Andrea Tamoni3

1Georgia Institute of Technology, United States of America; 2LBS; 3LSE

Discussant: Jack Strauss (University of Denver)

Speculation Sentiment

Shaun Davies

CU Boulder, United States of America

Discussant: Quan Wen (Georgetown University)

Asset Pricing Implications of Strategic Trading and Activism

Felipe Varas1, Ivan Marinovc2

1Duke University, United States of America; 2Stanford University, United States of America

Discussant: Yufeng Han (University of North Carolina at Charlotte)

Date: Thursday, 30/May/2019
8:30am - 10:15am7.3: Bond Markets, Public Ownership and the Economy
Session Chair: S Viswanathan, Duke University
Room 106 

Underwriter Competition and Bargaining Power in the Corporate Bond Market

Alberto Manconi1, Ekaterina Neretina2, Luc Renneboog2

1Bocconi University, Italy; 2Tilburg University

Discussant: Jian Cai (Washington University in St. Louis)

When Can the Market Identify Old News?

Anastassia Fedyk1, James Hodson2

1Haas School of Business, UC Berkeley, United States of America; 2Jozef Stefan International Postgraduate School

Discussant: Felipe Cortes (Northeastern University)

Public Ownership and the Local Economy

Jess Cornaggia1, Matthew Gustafson1, Jason Kotter2, Kevin Pisciotta3

1Pennsylvania State University; 2Brigham Young University; 3University of Kansas

Discussant: Jing Wang (University of Nebraska Lincoln)

10:30am - 12:15pm8.1: Dividends, Deposits and Banks
Session Chair: Rodney Ramcharan, marshall school of business, USC
Room 106 

Dividend Payouts And Rollover Crises

Ragnar Juelsrud1, Plamen Nenov2

1Norges Bank, Norway; 2BI Norwegian Business School, Norway

Discussant: Toni Ahnert (Bank of Canda and CEPR)

Bank Competition for Wholesale Funding: Evidence from Corporate Deposits

Inaki Aldasoro2, Florian Balke1, Andreas Barth1, Egemen Eren2

1Goethe University/ SAFE, Germany; 2Bank for International Settlements

Discussant: Deniz Aydin (Washington University)

Depositor Behavior and Institutional Trust: Evidence from the Freedman’s Savings Bank

Virginia Traweek, Malcolm Wardlaw

University of Michigan, United States of America

Discussant: Ralf Meisenzahl (Federal Reserve Board)

2:00pm - 4:15pm5.4: Asset Pricing 4
Session Chair: Hengjie Ai, University of Minnesota
Room 106 

The Time Variation in Risk Appetite and Uncertainty

Geert Bekaert1, Eric Engstrom2, Nancy Xu3

1Columbia University, Graduate School of Business; 2Federal Reserve Board; 3Boston College, Carroll School of Management

Discussant: Gill Segal (UNIV OF NORTH CAROLINA-CHAPEL HILLUNC Chapel Hill)

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

Hui Chen1, Zhuo Chen2, Zhiguo He3, Jinyu Liu4, Rengming Xie5

1MIT Sloan; 2Tsinghua University, China, People's Republic of; 3Chicago Booth; 4University of International Business and Economics; 5CITIC Securities

Discussant: Kai Li (Hong Kong University of Science and Technology)

A Model of the Macroeconomic Announcement Premium with Production

Hengjie Ai1, Ravi Bansal2, Jay Im2, Chao Ying1

1Carlson School of Management, University of Minnesota; 2Fuqua School of Business, Duke University

Discussant: Dongho Song (Johns Hopkins Carey Business School)

Asset Prices and Portfolios with Externalities

Steven Baker1, Burton Hollifield2, Emilio Osambela3

1University of Virginia; 2Carnegie Mellon University; 3Federal Reserve Board

Discussant: Mete Kilic (USC)


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