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

Discussant: Jayoung NAM (SOUTHERN METHODIST UNIV)



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)

Gomes-Foreseen Risks-870.pdf


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)

Kacperczyk-Market Power and Price Informativeness-185.pdf


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)

Malkhozov-News Shocks and Asset Prices-768.pdf


The Maturity Premium

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

1WU Vienna, Austria; 2VGSF

Discussant: Lukas Schmid (Duke University)

Chaderina-The Maturity Premium-754.pdf
 
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)

Vuillemey-Completing Markets with Contracts-105.pdf


Variation Margins, Fire Sales, and Information-Constrained Optimality

Bruno Biais2, Florian Heider1, Marie Hoerova1

1European Central Bank, Germany; 2HEC

Discussant: Eduardo Davila (Yale University)

Biais-Variation Margins, Fire Sales, and Information-Constrained Optimality-353.pdf


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)

Muravyev-Why Do Option Returns Change Sign from Day to Night-126.pdf
 
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.)

Crouzet-Small and Large Firms over the Business Cycle-942.pdf


Building a Customer Base under Liquidity Constraints

Paul Beaumont1,2, Clémence Lenoir1

1Université Paris Dauphine, France; 2CREST

Discussant: Manpreet Singh (Georgia Tech)

Beaumont-Building a Customer Base under Liquidity Constraints-373.pdf


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)

Elenev-A Macroeconomic Model with Financially Constrained Producers and Intermediaries-123.pdf
 
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)

Deng-Product Market Competition and the Profitability Premium-998.pdf


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)

Bretscher-Response of the Macroeconomy to Uncertainty Shocks-823.pdf


Speculation Sentiment

Shaun Davies

CU Boulder, United States of America

Discussant: Quan Wen (Georgetown University)

Davies-Speculation Sentiment-543.pdf


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)

Varas-Asset Pricing Implications of Strategic Trading and Activism-546.pdf
 
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)

Manconi-Underwriter Competition and Bargaining Power in the Corporate Bond Market-197.pdf


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)

Fedyk-When Can the Market Identify Old News-436.pdf


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)

Cornaggia-Public Ownership and the Local Economy-533.pdf
 
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)

Juelsrud-Dividend Payouts And Rollover Crises-742.pdf


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)

Aldasoro-Bank Competition for Wholesale Funding-496.pdf


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)

Traweek-Depositor Behavior and Institutional Trust-979.pdf
 
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)

Bekaert-The Time Variation in Risk Appetite and Uncertainty-568.pdf


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)

Chen-Pledgeability and Asset Prices-667.pdf


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)

Ai-A Model of the Macroeconomic Announcement Premium with Production-416.pdf


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)

Baker-Asset Prices and Portfolios with Externalities-1116.pdf
 

 
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