Conference Agenda

Session Overview
Location: Room 106
Date: Tuesday, 28/May/2019
1.7: Asset Pricing 1
Location: Room 106
Chair: Noah Stoffman, Indiana University

Limits to Arbitrage in Markets with Stochastic Settlement Latency

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

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

Funding Constraints and Informational Efficiency

Naveen Gondhi, John Kuong, Sergei Glebkin

INSEAD, France

Insider Trading Under the Microscope

Andriy Shkilko

Wilfrid Laurier University, Canada

1.4: Asset Pricing 2
Location: Room 106
Chair: Lorenzo Bretscher, London Business School Finance Department

Foreseen Risks

Joao Gomes, Marco Grotteria, Jessica Wachter

The Wharton School, United States of America

Market Power and Price Informativeness

Marcin Kacperczyk1, Jaromir Nosal2, Savitar Sundaresan1

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

News Shocks and Asset Prices

Aytek Malkhozov1, Lorenzo Bretscher2, Andrea Tamoni3

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

The Maturity Premium

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

1: WU Vienna, Austria; 2: VGSF

Date: Wednesday, 29/May/2019
4.3: Markets, Information and Returns
Location: Room 106
Chair: Adriano Rampini, Duke University

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

Guillaume Vuillemey1,2

1: HEC Paris, France; 2: CEPR

Variation Margins, Fire Sales, and Information-Constrained Optimality

Bruno Biais2, Florian Heider1, Marie Hoerova1

1: European Central Bank, Germany; 2: HEC

Why Do Option Returns Change Sign from Day to Night?

Dmitriy Muravyev, Xuechuan Ni

Boston College, United States of America

3.3: Financial Constraints
Location: Room 106
Chair: Utpal Bhattacharya, HKUST

Small and Large Firms over the Business Cycle

Nicolas Crouzet, Neil Mehrotra

Kellogg School of Management, United States of America

Building a Customer Base under Liquidity Constraints

Paul Beaumont1,2, Clémence Lenoir1

1: Université Paris Dauphine, France; 2: CREST

A Macroeconomic Model with Financially Constrained Producers and Intermediaries

Vadim Elenev1, Tim Landvoigt2, Stijn Van Nieuwerburgh3

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

5.2: Asset Pricing 3
Location: Room 106
Chair: Guofu Zhou, Washington University in St. Louis

Product Market Competition and the Profitability Premium

Yao Deng

University of Minnesota, United States of America

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

Lorenzo Bretscher2, Alex Hsu1, Andrea Tamoni3

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

Speculation Sentiment

Shaun Davies

CU Boulder, United States of America

Asset Pricing Implications of Strategic Trading and Activism

Felipe Varas1, Ivan Marinovc2

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

Date: Thursday, 30/May/2019
7.3: Bond Markets, Public Ownership and the Economy
Location: Room 106
Chair: S Viswanathan, Duke University

Underwriter Competition and Bargaining Power in the Corporate Bond Market

Alberto Manconi1, Ekaterina Neretina2, Luc Renneboog2

1: Bocconi University, Italy; 2: Tilburg University

When Can the Market Identify Old News?

Anastassia Fedyk1, James Hodson2

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

Public Ownership and the Local Economy

Jess Cornaggia1, Matthew Gustafson1, Jason Kotter2, Kevin Pisciotta3

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

8.1: Dividends, Deposits and Banks
Location: Room 106
Chair: Rodney Ramcharan, marshall school of business, USC

Dividend Payouts And Rollover Crises

Ragnar Juelsrud1, Plamen Nenov2

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

Bank Competition for Wholesale Funding: Evidence from Corporate Deposits

Inaki Aldasoro2, Florian Balke1, Andreas Barth1, Egemen Eren2

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

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

Virginia Traweek, Malcolm Wardlaw

University of Michigan, United States of America

5.4: Asset Pricing 4
Location: Room 106
Chair: Hengjie Ai, University of Minnesota

The Time Variation in Risk Appetite and Uncertainty

Geert Bekaert1, Eric Engstrom2, Nancy Xu3

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

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

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

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

A Model of the Macroeconomic Announcement Premium with Production

Hengjie Ai1, Ravi Bansal2, Jay Im2, Chao Ying1

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

Asset Prices and Portfolios with Externalities

Steven Baker1, Burton Hollifield2, Emilio Osambela3

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