25th FINANCE FORUM

Barcelona, Spain

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTitlePapers
July 6, 2017
9:30-11:30
52.117 AP1 - ECONOMETRICS4
July 6, 2017
9:30-11:30
52.121 B1 - EMPIRICAL BANKING I4
July 6, 2017
9:30-11:30
52.119 CFE1 - FIRM FUNDING4
July 6, 2017
9:30-11:30
52.219 CFT1 - CORPORATE STRATEGY4
July 6, 2017
9:30-11:30
52.217 II1 - INSTITUTIONAL TRADING4
July 6, 2017
11:45-13:15
Auditorium KEYNOTE SPEECH BY JOSE SCHEINKMAN: “SUPPLY AND SHORTING IN SPECULATIVE MARKETS”0
July 6, 2017
14:30-16:30
52.117 AP2 - MACRO-FINANCE4
July 6, 2017
14:30-16:30
52.121 B2 - BANKING THEORY I4
July 6, 2017
14:30-16:30
52.119 CFE2 - CORPORATE DEBT4
July 6, 2017
14:30-16:30
52.217 II2 - FUND PERFORMANCE4
July 6, 2017
17:00-19:00
52.117 AP3 - EQUITY PREMIUM4
July 6, 2017
17:00-19:00
52.119 CFE3 - LAW & GOVERNANCE4
July 6, 2017
17:00-19:00
52.217 CFT2 - SECURITY DESIGN AND REGULATION4
July 6, 2017
17:00-19:00
52.219 II3 - FUND MANAGEMENT4
July 6, 2017
17:00-19:00
Auditorium SPECIAL SESSION ON BANK REGULATION3
July 7, 2017
8:00-10:00
52.117 AP4 - ANOMALIES4
July 7, 2017
8:00-10:00
52.121 B3 - BANK RISK4
July 7, 2017
8:00-10:00
52.217 B4 - EMPIRICAL BANKING II4
July 7, 2017
8:00-10:00
52.119 CFE4 - INSTITUTIONAL SHAREHOLDERS3
July 7, 2017
8:00-10:00
52.219 MM1 - MARKET LIQUIDITY3
July 7, 2017
10:15-12:15
52.117 AP5 - INVESTOR BEHAVIOR4
July 7, 2017
10:15-12:15
52.121 B5 - BANKING THEORY II4
July 7, 2017
10:15-12:15
52.119 CFE5 - FIRM INVESTMENT4
July 7, 2017
10:15-12:15
52.219 D1 - DERIVATIVES, THEORY4
July 7, 2017
10:15-12:15
52.217 MM2 - TRADING STRATEGIES3
July 7, 2017
12:15-13:45
Auditorium KEYNOTE SPEECH BY LAURA STARKS0
July 7, 2017
15:15-17:15
52.117 AP6 - ASSET PRICING THEORY4
July 7, 2017
15:15-17:15
52.221 B6 - BANK LENDING4
July 7, 2017
15:15-17:15
52.119 CFE6 - INTERNATIONAL CORPORATE FINANCE4
July 7, 2017
15:15-17:15
52.121 CFE7 - FIRM MANAGEMENT4
July 7, 2017
15:15-17:15
52.219 D2 - DERIVATIVES, EMPIRICAL4
July 7, 2017
15:15-17:15
52.217 MM3 - ASYMMETRIC INFORMATION4
July 7, 2017
17:30-19:00
Auditorium GENERAL ASSEMBLY OF THE SPANISH FINANCE ASSOCIATION0
 

33 sessions, 116 papers, and 0 presentations with no associated papers


 

25th FINANCE FORUM

Detailed List of Sessions

 
Session: AP1 - ECONOMETRICS
July 6, 2017 9:30 to 11:30
52.117
 
Session Chair: Eva Ferreira, University of the Basque Country
 

Quantile Impulse Response Functions
By Sulkhan Chavleishvili; European Central Bank
   presented by: Sulkhan Chavleishvili, European Central Bank
   Discussant:   Feng Guo, Central University of Finance and Economics
 

Testing for conditional dependence using nonparametric copulas. Can the comovements between domestic indexes be explained by the Euro Stoxx?
By Jone Ascorbebeitia; University of the Basque Country
Eva Ferreira; University of the Basque Country
Susan Orbe; University of the Basque Country
   presented by: Jone Ascorbebeitia, University of the Basque Country
   Discussant:   Dongna Zhang, University of York
 

Consistent non-Gaussian pseudo maximum likelihood estimators
By Gabriele Fiorentini; University of Florence
Enrique Sentana; CEMFI
   presented by: Enrique Sentana, CEMFI
   Discussant:   Lorenzo Bretscher, London School of Economics
 

New CUSUM Based Ratio Tests for Parameter Constancy: With application to variance stability
By Antonio Rubia; University of Alicante
   presented by: Antonio Rubia, University of Alicante
   Discussant:   Pedro Barroso, University of New South Wales Business School
 
Session: B1 - EMPIRICAL BANKING I
July 6, 2017 9:30 to 11:30
52.121
 
Session Chair: Javier Suarez, CEMFI
 

Bank branch closures in industry restructuring
By Alfredo Martin-Oliver; University Balearic Islands
Vicente Salas-Fumás; Universidad de Zaragoza
   presented by: Alfredo Martin-Oliver, University Balearic Islands
   Discussant:   Enrique Benito, Said Business School (University of Oxford) and City University of London
 

The (Earnings) Management of Depositor Discipline
By Javier Gomez-Biscarri; Universitat Pompeu Fabra and Barcelona GSE
Florencio Lopez de Silanes; EDHEC Business School
German Lopez Espinosa; Universidad de Navarra
   presented by: Javier Gomez-Biscarri, Universitat Pompeu Fabra and Barcelona GSE
   Discussant:   Vahid Saadi, Goethe University Frankfurt and IWH
 

Household Credit and Macroprudential Policies: Credit Register Evidence over a Full Cycle
By Mircea Epure; Universitat Pompeu Fabra and Barcelona GSE
Irina Mihai; National Bank of Romania
Camelia Minoiu; International Monetary Fund and Wharton School
Jose Luis Peydro; ICREA, Universitat Pompeu Fabra, CREI, and BGSE
   presented by: Mircea Epure, Universitat Pompeu Fabra and Barcelona GSE
   Discussant:   Charles O'Donnell, Banque de France
 

Non-pricing drivers of underwriters’ reputation in corporate bond markets during the crisis
By Santiago Carbo-Valverde; Bangor University
PEDRO CUADROS-SOLAS; CUNEF
FRANCISCO RODRIGUEZ; UNIVERSIDAD DE GRANADA
   presented by: PEDRO CUADROS-SOLAS, CUNEF
   Discussant:   Marcus Pramor, Deutsche Bundesbank
 
Session: CFE1 - FIRM FUNDING
July 6, 2017 9:30 to 11:30
52.119
 
Session Chair: Carmen Ansotegui, ESADE Business School
 

The hidden cost of financial derivatives: Options trading and the cost of debt
By Ivan Blanco; CUNEF
Sergio Garcia; University Carlos III of Madrid
   presented by: Sergio Garcia, University Carlos III of Madrid
   Discussant:   Joris Tielens, KU Leuven
 

Suppliers, Investors, and Equity Market Liberalizations
By Martin Strieborny; Lund University
   presented by: Martin Strieborny, Lund University
   Discussant:   Luana Zaccaria, EIEF
 

Are Family and Friends the Wrong Investors? Evidence from U.S. Start-Ups
By Luana Zaccaria; EIEF
   presented by: Luana Zaccaria, EIEF
   Discussant:   Nuria Suarez, CUNEF
 

Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market
By Umit Yilmaz; Swiss Finance Institute
   presented by: Umit Yilmaz, Swiss Finance Institute
   Discussant:   Paul Beaumont, Paris Dauphine University
 
Session: CFT1 - CORPORATE STRATEGY
July 6, 2017 9:30 to 11:30
52.219
 
Session Chair: Alessandro Peri, University of Colorado Boulder
 

Capital Structure and Variability: Implications for Corporate Structure and Information Policy
By Albert Banal-Estañol; UPF and BGSE
Marco Ottaviani; Bocconi
   presented by: Albert Banal-Estañol, UPF and BGSE
   Discussant:   Afrasiab Mirza, University of Birmingham
 

optimal leverage and strategic disclosure
By Giulio Trigilia; University of Rochester
   presented by: Giulio Trigilia, University of Rochester
   Discussant:   Anatoli Segura, Bank of Italy
 

The Variance Risk Premium and Investment Uncertainty
By Jan Ericsson; McGill University
Babak Lotfaliei; San Diego State University
   presented by: Babak Lotfaliei, San Diego State University
   Discussant:   Ralph Sonenshine, American University
 

Should CEOs be rewarded for the decisions they make?
By Marco Celentani; Universidad Carlos III
Rosa Loveira; Universidade de Vigo
Pablo Ruiz-Verdu; Universidad Carlos III de Madrid
   presented by: Pablo Ruiz-Verdu, Universidad Carlos III de Madrid
   Discussant:   Alessandro Peri, University of Colorado Boulder
 
Session: II1 - INSTITUTIONAL TRADING
July 6, 2017 9:30 to 11:30
52.217
 
Session Chair: José Luis Sarto, Universidad de Zaragoza
 

Market efficiency and hedge fund trading strategies
By Marie Lambert; HEC-University of Liège
Federico Platania; Pôle Universitaire Léonard de Vinci
   presented by: Federico Platania, Pôle Universitaire Léonard de Vinci
   Discussant:   Fernando Muñoz, Centro Universitario de la Defensa de Zaragoza
 

Bank-affiliated mutual fund managers’ trading patterns of parent-banks’ stocks – international evidence
By Fernando Gómez-Bezares; University of Deusto
Wojciech Przychodzen; University of Deusto
   presented by: Wojciech Przychodzen, University of Deusto
   Discussant:   Diego Víctor de Mingo-López, Universitat Jaume I
 

Sovereign debt ownership and uncertainty
By Luciana Orozco; University of Carlos III of Madrid
LIDIA SANCHIS-MARCO; Department of Economic Analysis and Finance
Pedro Serrano; Universidad Carlos III de Madrid
   presented by: Pedro Serrano, Universidad Carlos III de Madrid
   Discussant:   Alvaro Pedraza, World Bank
 

Financial Contagion in the Mutual Fund Industry
By Tim Adam; Humboldt University
Laurenz Klipper; Humboldt University Berlin
   presented by: Tim Adam, Humboldt University
   Discussant:   Laura Andreu, University of Zaragoza
 
Session: KEYNOTE SPEECH BY JOSE SCHEINKMAN: “SUPPLY AND SHORTING IN SPECULATIVE MARKETS”
July 6, 2017 11:45 to 13:15
Auditorium
 
 
Session: AP2 - MACRO-FINANCE
July 6, 2017 14:30 to 16:30
52.117
 
Session Chair: Jose Penalva, Universidad Carlos III
 

Estimating Yield Curves of the U.S. Treasury Securities: An Interpolation Approach
By Feng Guo; Central University of Finance and Economics
   presented by: Feng Guo, Central University of Finance and Economics
   Discussant:   Jose Faias, Universidade Catolica Portuguesa
 

Currency downside risk, liquidity, and financial stability
By Helena Chulia; Universitat de Barcelona
Julian Fernández; Universidad del Valle
Jorge M. Uribe; Universidad del Valle
   presented by: Helena Chulia, Universitat de Barcelona
   Discussant:   TENGYU GUO, London School of Economics
 

Macro Factors and Risk Premia in UK Financial Markets
By Dongna Zhang; University of York
   presented by: Dongna Zhang, University of York
   Discussant:   Jone Ascorbebeitia, University of the Basque Country
 

Risk Aversion and the Response of the Macroeconomy to Volatility Shocks
By Lorenzo Bretscher; London School of Economics
Alex Hsu; Georgia Institute of Technology
Andrea Tamoni; London School of Economics
   presented by: Lorenzo Bretscher, London School of Economics
   Discussant:   Sulkhan Chavleishvili, European Central Bank
 
Session: B2 - BANKING THEORY I
July 6, 2017 14:30 to 16:30
52.121
 
Session Chair: Andrea Polo, Universitat Pompeu Fabra and Barcelona G
 

Assessing the Cyclical Implications of IFRS 9: A Recursive Model
By Jorge Abad; CEMFI
Javier Suarez; CEMFI
   presented by: Javier Suarez, CEMFI
   Discussant:   Xavier Freixas, Universitat Pompeu Fabra
 

Markets, Banks and Shadow Banks
By David Martinez-Miera; Universidad Carlos III
Rafael Repullo; CEMFI
   presented by: David Martinez-Miera, Universidad Carlos III
   Discussant:   Sergio Vicente, Universidad Carlos III de Madrid
 

Why can't CEOs foresee a crisis?
By Kaushalendra Kishore; University of Minnesota
   presented by: Kaushalendra Kishore, University of Minnesota
   Discussant:   Dasha Safonova, University of Notre Dame
 

Trader Compensation, Risk, and The Banking Labour Market
By Anton Boxtel; Institute for Advanced Studies
   presented by: Anton Boxtel, Institute for Advanced Studies
   Discussant:   Ioannis Paraskevopoulos, Bankia
 
Session: CFE2 - CORPORATE DEBT
July 6, 2017 14:30 to 16:30
52.119
 
Session Chair: Maria-Antonia Tarrazon, Universitat Autonoma de Barcelona
 

Credit Supply Shock Propagation and Amplification in the Real Economy: Firm-Level Evidence
By Hans Dewachter; Catholic University of Leuven
Joris Tielens; KU Leuven
Jan van Hove; Catholic University of Leuven
   presented by: Joris Tielens, KU Leuven
   Discussant:   PEDRO CUADROS-SOLAS, CUNEF
 

Creditor rights and information sharing: the increase in nonbank debt during banking crises
By Ana Isabel Fernandez; CUNEF
Francisco González; University of Oviedo
Nuria Suarez; CUNEF
   presented by: Nuria Suarez, CUNEF
   Discussant:   Martin Strieborny, Lund University
 

The impact of lending relationships on the choice and structure of bond underwriting syndicates
By Santiago Carbo-Valverde; Bangor University
PEDRO CUADROS-SOLAS; CUNEF
FRANCISCO RODRIGUEZ; UNIVERSIDAD DE GRANADA
   presented by: PEDRO CUADROS-SOLAS, CUNEF
   Discussant:   Simon Glossner, Catholic University Eichstaett-Ingolstad
 

Time is Money: Cash-Flow Risk and Product Market Behavior
By Paul Beaumont; Paris Dauphine University
   presented by: Paul Beaumont, Paris Dauphine University
   Discussant:   Norkeith Smith, California State University, Chico
 
Session: II2 - FUND PERFORMANCE
July 6, 2017 14:30 to 16:30
52.217
 
Session Chair: Juan-Pedro Gomez, IE Business School
 

Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?
By Fernando Muñoz; Centro Universitario de la Defensa de Zaragoza
Ruth Vicente; Universidad de Zaragoza
   presented by: Fernando Muñoz, Centro Universitario de la Defensa de Zaragoza
   Discussant:   Ramiro Losada, Comision Nacional del Mercado de Valores
 

Should fund investors be concerned about portfolio turnover?
By Diego Víctor de Mingo-López; Universitat Jaume I
Juan Carlos Matallín-Sáez; Dpt. Finanzas y Contabilidad - FCJE
   presented by: Diego Víctor de Mingo-López, Universitat Jaume I
   Discussant:   Hsiu-lang Chen, University of Illinois at Chicago
 

Diseconomies of Scope and Mutual Fund Performance
By Richard Evans; University of Virginia
Javier Gil-Bazo; Universitat Pompeu Fabra and BGSE
Marc Lipson; University of Virginia
   presented by: Javier Gil-Bazo, Universitat Pompeu Fabra and BGSE
   Discussant:   Tim Adam, Humboldt University
 

Do foreign investors under-perform? An empirical decomposition into style and flows
By Alvaro Pedraza; World Bank
   presented by: Alvaro Pedraza, World Bank
   Discussant:   Rafael Zambrana, Nova School of Business and Economics
 
Session: AP3 - EQUITY PREMIUM
July 6, 2017 17:00 to 19:00
52.117
 
Session Chair: Fernando Zapatero, University of Southern California
 

Expected Stock Returns
By Ana González-Urteaga; Universidad Pública de Navarra
Belen Nieto; Universidad de Alicante
Gonzalo Rubio; Universidad CEU Cardenal Herrera
   presented by: Gonzalo Rubio, Universidad CEU Cardenal Herrera
   Discussant:   Carlo Sala, ESADE Business School
 

Option-implied state prices and the stochastic discount factors
By Carlo Sala; ESADE Business School
   presented by: Carlo Sala, ESADE Business School
   Discussant:   Antonio Rubia, University of Alicante
 

The equity risk premium and the low frequency of the term spread
By Gonçalo Faria; Católica Porto Business School
Fabio Verona; Bank of Finland
   presented by: Gonçalo Faria, Católica Porto Business School
   Discussant:   Jorge Uribe, University of Barcelona
 

Equity Premium Predictability from Cross-Sectorial Downturns
By Jose Faias; Universidade Catolica Portuguesa
Juan Arismendi Zambrano; University of Reading
   presented by: Jose Faias, Universidade Catolica Portuguesa
   Discussant:   Hsuan Fu, Imperial College Business School
 
Session: CFE3 - LAW & GOVERNANCE
July 6, 2017 17:00 to 19:00
52.119
 
Session Chair: Francisco Gonzalez, University of Oviedo
 

The Role of Independent Directors on Earnings Management: Evidence from Individual Incentives
By Beatriz García Osma; Universidad Carlos III de Madrid
Cristina Grande-Herrera; Universidad Carlos III de Madrid
Antonio Vázquez; UNIVERSITY CARLOS III OF MADRID
   presented by: Cristina Grande-Herrera, Universidad Carlos III de Madrid
   Discussant:   Sergio Garcia, University Carlos III of Madrid
 

The Corporate Governance - Performance Puzzle: New Insights
By Ariadna Dumitrescu; ESADE Business School
Mohammed Zakriya; ESADE Business School
   presented by: Mohammed Zakriya, ESADE Business School
   Discussant:   Natalia Utrero González, Centro Universitario de la Defensa Zaragoza
 

Business Courts and Firm Performance
By Jens Dammann; The University of Texas
   presented by: Jens Dammann, The University of Texas
   Discussant:   Daniel Wolfenzon, Columbia University
 

The impact of the legal system on the speed of adjustment in Net Operating Working Capital
By SONIA BAÑOS-CABALLERO; UNIVERSIDAD DE MURCIA
PEDRO GARCIA-TERUEL; UNIVERSITY OF MURCIA
PEDRO MARTINEZ SOLANO; UNIVERSITY OF MURCIA
   presented by: PEDRO MARTINEZ SOLANO, UNIVERSITY OF MURCIA
   Discussant:   Carmen Martinez-Carrascal, Banco de Espana
 
Session: CFT2 - SECURITY DESIGN AND REGULATION
July 6, 2017 17:00 to 19:00
52.217
 
Session Chair: Andres Almazan, University of Texas
 

Bankruptcy Reforms when Workers Extract Rents
By Alessandro Peri; University of Colorado Boulder
   presented by: Alessandro Peri, University of Colorado Boulder
   Discussant:   Jianxing Wei, Universitat Pompeu Fabra
 

The Effects of Quantitative Easing on Corporate Investment, Employment, and Financing: Theory and Evidence from the Bond-Lending Channel
By Erasmo Giambona; Syracuse University
Rafael Matta; University of Amsterdam
Jose Luis Peydro; ICREA, Universitat Pompeu Fabra, CREI, and BGSE
   presented by: Erasmo Giambona, Syracuse University
   Discussant:   Giulio Trigilia, University of Rochester
 

Securitization and Aggregate Investment Efficiency
By Afrasiab Mirza; University of Birmingham
Eric Stephens; Carleton University
   presented by: Afrasiab Mirza, University of Birmingham
   Discussant:   Babak Lotfaliei, San Diego State University
 

Default Penalties in Private Equity Partnerships
By Albert Banal-Estañol; UPF and BGSE
Filippo Ippolito; Universitat Pompeu Fabra and Barcelona Graduate School of Economics
Sergio Vicente; Universidad Carlos III de Madrid
   presented by: Sergio Vicente, Universidad Carlos III de Madrid
   Discussant:   Pablo Ruiz-Verdu, Universidad Carlos III de Madrid
 
Session: II3 - FUND MANAGEMENT
July 6, 2017 17:00 to 19:00
52.219
 
Session Chair: Javier Gil-Bazo, Universitat Pompeu Fabra and BGSE
 

Social screening and mutual fund performance: international evidence
By Céu Cortez; Universidade do Minho
Joana Pena; University of Minho
   presented by: Joana Pena, University of Minho
   Discussant:   Federico Platania, Pôle Universitaire Léonard de Vinci
 

Is Variation on Valuation Too Excessive? A Study of Mutual Fund Holdings
By Hsiu-lang Chen; University of Illinois at Chicago
   presented by: Hsiu-lang Chen, University of Illinois at Chicago
   Discussant:   Pedro Serrano, Universidad Carlos III de Madrid
 

Managerial ability, risk preferences and the incentives for active management
By Ramiro Losada; Comision Nacional del Mercado de Valores
   presented by: Ramiro Losada, Comision Nacional del Mercado de Valores
   Discussant:   Wojciech Przychodzen, University of Deusto
 

Competition and Cooperation in Mutual Fund Families
By Rafael Zambrana; Nova School of Business and Economics
   presented by: Rafael Zambrana, Nova School of Business and Economics
   Discussant:   Luis Vicente, Universidad de Zaragoza
 
Session: SPECIAL SESSION ON BANK REGULATION
July 6, 2017 17:00 to 19:00
Auditorium
 
Session Chair: Xavier Freixas, Universitat Pompeu Fabra
 

Changes in the Cost of Bank Equity and the Supply of Bank Credit
By Steven Ongena; University of Zurich
   presented by: Steven Ongena, University of Zurich
 

Private Equity Investment in U.S. Banks
By Robert DeYoung; The University of Kansas
   presented by: Robert DeYoung, The University of Kansas
 

Dressing up for the Regulator: Evidence from the Largest-Ever Supervisory Review
By Jose Luis Peydro; ICREA, Universitat Pompeu Fabra, CREI, and BGSE
   presented by: Jose Luis Peydro, ICREA, Universitat Pompeu Fabra, CREI, and BGSE
 
Session: AP4 - ANOMALIES
July 7, 2017 8:00 to 10:00
52.117
 
Session Chair: Gonzalo Rubio, Universidad CEU Cardenal Herrera
 

Decomposing Momentum Spread
By TENGYU GUO; London School of Economics
   presented by: TENGYU GUO, London School of Economics
   Discussant:   Helena Chulia, Universitat de Barcelona
 

The efficiency of LPE prices: An analysis of SEC filings
By Yvonne Kreis; Schüllermann
Johannes Licht; Gutenberg University Mainz
   presented by: Yvonne Kreis, Schüllermann
   Discussant:   Gonçalo Faria, Católica Porto Business School
 

Momentum pricing and trading, and economic uncertainty regimes
By Jorge Uribe; University of Barcelona
   presented by: Jorge Uribe, University of Barcelona
   Discussant:   Felix Matthys, ITAM
 

Managing the risk of the "betting-against-beta" anomaly: does it pay to bet against beta?
By Pedro Barroso; University of New South Wales Business School
Paulo Maio; Hanken School of Economics
   presented by: Pedro Barroso, University of New South Wales Business School
   Discussant:   Yvonne Kreis, Schüllermann
 
Session: B4 - EMPIRICAL BANKING II
July 7, 2017 8:00 to 10:00
52.217
 
Session Chair: Enrique Benito, Said Business School (University of Oxford) and City University of London
 

Global Liquidity and Exchange Market Pressure in Emerging Market Economies
By Oliver Hossfeld; Deutsche Bundesbank
Marcus Pramor; Deutsche Bundesbank
   presented by: Marcus Pramor, Deutsche Bundesbank
   Discussant:   Alfredo Martin-Oliver, University Balearic Islands
 

The Interest of Being Eligible
By Charles O'Donnell; Banque de France
Jean-Stéphane Mésonnier; Banque de France
Olivier Toutain; Banque de France
   presented by: Charles O'Donnell, Banque de France
   Discussant:   Javier Gomez-Biscarri, Universitat Pompeu Fabra and Barcelona GSE
 

Public Bank Guarantees and Allocative Efficiency
By Reint Gropp; IWH
Andre Guettler; Ulm University
Vahid Saadi; IWH and Goethe University Frankfurt
   presented by: Vahid Saadi, Goethe University Frankfurt and IWH
   Discussant:   Mircea Epure, Universitat Pompeu Fabra and Barcelona GSE
 

Asset encumbrance and bank risk: Do capital and liquidity tell the whole story?
By Albert Banal-Estanol; Universitat Pompeu Fabra, Barcelona GSE and City, University of London
Enrique Benito; Said Business School (University of Oxford) and City University of London
Dmitry Khametshin; Universitat Pompeu Fabra
   presented by: Enrique Benito, Said Business School (University of Oxford) and City University of London
   Discussant:   PEDRO CUADROS-SOLAS, CUNEF
 
Session: CFE4 - INSTITUTIONAL SHAREHOLDERS
July 7, 2017 8:00 to 10:00
52.119
 
Session Chair: Francisco Callado Munoz, Centro Universitario de la Defensa Zaragoza
 

Short-Term Investors, Monitoring Blockholders, and Long-Term Corporate Investment
By Simon Glossner; Catholic University Eichstaett-Ingolstad
   presented by: Simon Glossner, Catholic University Eichstaett-Ingolstad
   Discussant:   Lora Dimitrova, University of Exeter
 

Too Big To Leave: The Case Of Active Owners
By Vicente Bermejo; ESADE Business School
   presented by: Vicente Bermejo, ESADE Business School
   Discussant:   Miguel Anton, IESE Business School
 

Common Ownership, Competition, and Top Management Incentives
By Miguel Anton; IESE Business School
   presented by: Miguel Anton, IESE Business School
   Discussant:   Jens Dammann, The University of Texas
 
Session: MM1 - MARKET LIQUIDITY
July 7, 2017 8:00 to 10:00
52.219
 
Session Chair: Mikel Tapia, Universidad Carlos III
 

CDS Trading and Price Discovery in the Equity Market: Evidence from Corporate Insiders
By Dragon Tang; University of Hong Kong
Kumar Venkataraman; Southern Methodist University
Wei Wu; Texas A&M University
   presented by: Wei Wu, Texas A&M University
   Discussant:   Belen Nieto, Universidad de Alicante
 

Bid–Ask Spread Estimator from High and Low Daily Prices: A Note on its Practical Implementation for Corporate Bonds
By Belen Nieto; Universidad de Alicante
   presented by: Belen Nieto, Universidad de Alicante
   Discussant:   Mario Bellia, Goethe-Universität Frankfurt am Main
 

Revisiting Tick Size: Implications for the SEC tick size pilot program
By Mikel Tapia; Universidad Carlos III
   presented by: Mikel Tapia, Universidad Carlos III
   Discussant:   Wei Wu, Texas A&M University
 
Session: B3 - BANK RISK
July 7, 2017 8:00 to 10:00
52.121
 
Session Chair: Matthew Darst, Board of Governors of the Federal Reserve
 

Testing ES estimation models: An extreme value theory approach
By Laura Garcia-Jorcano; Universidad Complutense de Madrid
   presented by: Laura Garcia-Jorcano, Universidad Complutense de Madrid
   Discussant:   Carlo Wix, Goethe University Frankfurt
 

Bailout Insurance, Disaster Risk and Bank Equity Returns
By Luca Del Viva; ESADE Business School
   presented by: Luca Del Viva, ESADE Business School
   Discussant:   Maddalena Galardo, Luiss Guido Carli and Banca d'Italia
 

Half-full or Half-empty? A Direct Test of the Impact of CDS Trading on Corporate Credit Risk
By ceciilia caglio; Federal Reserve Board of Governors
Matthew Darst; Board of Governors of the Federal Reserve
   presented by: Matthew Darst, Board of Governors of the Federal Reserve
   Discussant:   Josep Tribo, Universidad Carlos III de Madrid
 

Are European banks still too-big-to-fail? The impact of government interventions and regulatory reform on bailout expectations in the EU
By Lea Steinruecke; ZEW (Centre for European Economic Research); University Mannheim
   presented by: Lea Steinruecke, ZEW (Centre for European Economic Research); University Mannheim
   Discussant:   Miguel Karlo De Jesus, Universitat Pompeu Fabra
 
Session: AP5 - INVESTOR BEHAVIOR
July 7, 2017 10:15 to 12:15
52.117
 
Session Chair: Dante Amengual, CEMFI
 

Information Bias and the Stock Market
By Hang Dong; IE University
   presented by: Hang Dong, IE University
   Discussant:   Teresa Corzo, ICADE
 

HOUSEHOLD FINANCIAL MARKET PARTICIPATION: EVIDENCE FROM SPANISH MICRO DATA
By Teresa Corzo; ICADE
Teresa Corzo; Universidad Pontificia Comillas
Ignacio Pérez Perea
   presented by: Teresa Corzo, ICADE
   Discussant:   Hang Dong, IE University
 

Information Environment, Sophisticated Investors, and Market Efficiency: Evidence from a Natural Experiment
By Yong Chen; Texas A&M University
Bryan Kelly; University of Chicago
Wei Wu; Texas A&M University
   presented by: Wei Wu, Texas A&M University
   Discussant:   Menna El Hefnawy, ESADE Business School
 

Riding the Bubble with Convex Incentives
By Juan Sotes-Paladino; The University of Melbourne
Fernando Zapatero; University of Southern California
   presented by: Fernando Zapatero, University of Southern California
   Discussant:   Maurizio Montone, Erasmus School of Economics
 
Session: B5 - BANKING THEORY II
July 7, 2017 10:15 to 12:15
52.121
 
Session Chair: Jose Luis Peydro, ICREA, Universitat Pompeu Fabra, CREI, and BGSE
 

Gilded Bubbles
By Xavier Freixas; Universitat Pompeu Fabra
David Pérez-Reyna; Universidad de los Andes
   presented by: Xavier Freixas, Universitat Pompeu Fabra
   Discussant:   David Martinez-Miera, Universidad Carlos III
 

Welfare Effects of Central Bank Interventions
By Ioannis Paraskevopoulos; Bankia
Alvaro Santos; Bankia
   presented by: Alvaro Santos, Bankia
   Discussant:   Anton Boxtel, Institute for Advanced Studies
 

Bank resolution and the mutualization of the public backstop in a banking union
By Anatoli Segura; Bank of Italy
Sergio Vicente; Universidad Carlos III de Madrid
   presented by: Anatoli Segura, Bank of Italy
   Discussant:   Javier Suarez, CEMFI
 

Interbank Network Disruptions and The Real Economy
By Dasha Safonova; University of Notre Dame
   presented by: Dasha Safonova, University of Notre Dame
   Discussant:   Kaushalendra Kishore, University of Minnesota
 
Session: CFE5 - FIRM INVESTMENT
July 7, 2017 10:15 to 12:15
52.119
 
Session Chair: Roberto Blanco, Banco de España
 

An exploration of the motives and implications of horizontal divestitures via asset sales along the supply chain: Evidence from customer, supplier, and rival firms
By Norkeith Smith; California State University, Chico
   presented by: Norkeith Smith, California State University, Chico
   Discussant:   Linda Chen, Washington State University
 

Financial Innovation and Real Innovation
By Jonathan Brogaard; University of Washington
Lora Dimitrova; University of Exeter
Sapnoti Eswar; University of Cincinnati
   presented by: Lora Dimitrova, University of Exeter
   Discussant:   Raquel Vegas, BDE
 

Heterogeneity in Corporate Investment and Financing Policies
By THEODOSIOS DIMOPOULOS; UNIL, HEC LAUSANNE, SWISS FINANCE INSTIT
Stefano Sacchetto; IESE Business School
   presented by: Stefano Sacchetto, IESE Business School
   Discussant:   erik devos, University of Texas at El Paso
 

Merger Waves and the Importance of Financial Advisors Reputation for Acquirers
By Jose Faias; Universidade Catolica Portuguesa
   presented by: Jose Faias, Universidade Catolica Portuguesa
   Discussant:   Umit Yilmaz, Swiss Finance Institute
 
Session: D1 - DERIVATIVES, THEORY
July 7, 2017 10:15 to 12:15
52.219
 
Session Chair: Manuel Moreno, University of Castilla-La Mancha
 

Malliavin Calculus for Stochastic Strings with Applications to Barrier Options and Optimal Portfolios
By Alberto Bueno-Guerrero; IES Francisco Ayala
Manuel Moreno; University of Castilla-La Mancha
Javier Fernandez Navas; Universidad Pablo de Olavide
   presented by: Alberto Bueno-Guerrero, IES Francisco Ayala
   Discussant:   Maria Gonzalez-Perez, CUNEF
 

Real options valuation under uncertainty
By Marie Lambert; HEC Management School, University of Liege.
Manuel Moreno; University of Castilla-La Mancha
Federico Platania; Pôle Universitaire Léonard de Vinci
   presented by: Manuel Moreno, University of Castilla-La Mancha
   Discussant:   Ricardo Gimeno, Banco de España
 

Ambiguity, Volatility, and Credit Risk
By Patrick Augustin; McGill University - Desautels Faculty of
Yehuda Izhakian; City University of New York, Baruch College
   presented by: Yehuda Izhakian, City University of New York, Baruch College
   Discussant:   Isabel Figuerola Ferretti, ICADE
 

The Evolution of Inflation Expectations in Euro Area Markets
By Ricardo Gimeno; Banco de España
Eva Ortega; Bank of Spain
   presented by: Ricardo Gimeno, Banco de España
   Discussant:   Chiara Legnazzi, USI - Università della Svizzera Italiana
 
Session: MM2 - TRADING STRATEGIES
July 7, 2017 10:15 to 12:15
52.217
 
Session Chair: Xavier Vives, IESE Business School
 

Coming Early to the Party: High Frequency Traders in the Pre-Opening Phase and the Opening Auction of Euronext Paris
By Mario Bellia; Goethe-Universität Frankfurt am Main
Loriana Pelizzon; SAFE - Goethe University
Marti G. Subrahmanyam; New York University, Stern School of Business
Jun Uno; Waseda University
Darya Yuferova; Erasmus University
   presented by: Mario Bellia, Goethe-Universität Frankfurt am Main
   Discussant:   Ester Félez Viñas, Stockholm University
 

Information and Optimal Trading Strategies with Dark Pools
By Anna Bayona; ESADE Business School
Ariadna Dumitrescu; ESADE Business School
Carolina Manzano; universitat Rovira i Virgili
   presented by: Anna Bayona, ESADE Business School
   Discussant:   Julio Crego, CEMFI
 

Market fragmentation, mini flash crashes and liquidity
By Ester Félez Viñas; Stockholm University
   presented by: Ester Félez Viñas, Stockholm University
   Discussant:   Alexandre Madelaine, ENS Paris-Saclay
 
Session: KEYNOTE SPEECH BY LAURA STARKS
July 7, 2017 12:15 to 13:45
Auditorium
 
 
Session: AP6 - ASSET PRICING THEORY
July 7, 2017 15:15 to 17:15
52.117
 
Session Chair: Pedro Barroso, University of New South Wales Business School
 

Levered Returns and Capital Structure Imbalances
By Filippo Ippolito; Universitat Pompeu Fabra and Barcelona Graduate School of Economics
Roberto Steri; University of Lausanne - Swiss Finance Institute
Claudio Tebaldi; Universita' Commerciale L. Bocconi
   presented by: Filippo Ippolito, Universitat Pompeu Fabra and Barcelona Graduate School of Economics
   Discussant:   Juan-Pedro Gomez, IE Business School
 

International Spillovers of Monetary Policy to Asset Prices
By Hsuan Fu; Imperial College Business School
   presented by: Hsuan Fu, Imperial College Business School
   Discussant:   Wei Wu, Texas A&M University
 

Wage gap and stock returns
By Ingolf Dittmann; Erasmus University Rotterdam
Maurizio Montone; Erasmus School of Economics
Yuhao Zhu; Erasmus University Rotterdam
   presented by: Maurizio Montone, Erasmus School of Economics
   Discussant:   Fernando Zapatero, University of Southern California
 

Robust Portfolio Allocation When Asset Prices Can Jump
By Yacine Ait-Sahalia; Princeton University
Felix Matthys; ITAM
   presented by: Felix Matthys, ITAM
   Discussant:   Enrique Sentana, CEMFI
 
Session: B6 - BANK LENDING
July 7, 2017 15:15 to 17:15
52.221
 
Session Chair: Luca Del Viva, ESADE Business School
 

Unconventional Monetary Policy and Bank Lending Relationships
By Christophe Cahn; Banque de France
Anne Duquerroy; Banque de France
William Mullins; University of Maryland
   presented by: William Mullins, University of Maryland
   Discussant:   Matthew Darst, Board of Governors of the Federal Reserve
 

The Long-Run Real Effects of Banking Crises
By Carlo Wix; Goethe University Frankfurt
   presented by: Carlo Wix, Goethe University Frankfurt
   Discussant:   Laura Garcia-Jorcano, Universidad Complutense de Madrid
 

Social Capital, Uncertainty and Credit Supply: Evidence from the Global Crisis
By Maddalena Galardo; Luiss Guido Carli and Banca d'Italia
Maurizio Lozzi; Banca d'Italia
Paolo Emilio Mistrulli; Bank of Italy
   presented by: Maddalena Galardo, Luiss Guido Carli and Banca d'Italia
   Discussant:   Lea Steinruecke, ZEW (Centre for European Economic Research); University Mannheim
 

Are syndicated loans really cheaper?
By Janko Hernández Cortés; ITAM
Josep Tribo; Universidad Carlos III de Madrid
María de las Mercedes Adamuz; ITAM
   presented by: Josep Tribo, Universidad Carlos III de Madrid
   Discussant:   Luca Del Viva, ESADE Business School
 
Session: CFE6 - INTERNATIONAL CORPORATE FINANCE
July 7, 2017 15:15 to 17:15
52.119
 
Session Chair: Cristina Grande-Herrera, Universidad Carlos III de Madrid
 

RISK, FAMILY INVOLVEMENT AND BUSINESS OWNERSHIP ALONG THE FINANCIAL CRISIS
By Francisco Callado Munoz; Centro Universitario de la Defensa Zaragoza
Natalia Utrero González; Centro Universitario de la Defensa Zaragoza
   presented by: Francisco Callado Munoz, Centro Universitario de la Defensa Zaragoza
   Discussant:   PEDRO MARTINEZ SOLANO, UNIVERSITY OF MURCIA
 

THE IMPACT OF FIRMS’ FINANCIAL POSITION ON FIXED INVESTMENT AND EMPLOYMENT. AN ANALYSIS FOR SPAIN.
By Carmen Martinez-Carrascal; Banco de Espana
   presented by: Carmen Martinez-Carrascal, Banco de Espana
   Discussant:   Diem Nguyen, University of Navarra
 

BANKRUPTCY REFORMS IN THE MIDST OF THE GREAT RECESSION: THE SPANISH EXPERIENCE
By Miguel Garcia-Posada; Bank of Spain - Eurosystem
Raquel Vegas; BDE
   presented by: Raquel Vegas, BDE
   Discussant:   Stefano Sacchetto, IESE Business School
 

Division of takeover gains: A comparison between the US and other major markets
By Diem Nguyen; University of Navarra
   presented by: Diem Nguyen, University of Navarra
   Discussant:   Cristina Grande-Herrera, Universidad Carlos III de Madrid
 
Session: CFE7 - FIRM MANAGEMENT
July 7, 2017 15:15 to 17:15
52.121
 
Session Chair: Vicente Bermejo, ESADE Business School
 

Does CEO Ideology Matter?
By Faiza Majid; Universidad Carlos III de Madrid
   presented by: Faiza Majid, Universidad Carlos III de Madrid
   Discussant:   Mohammed Zakriya, ESADE Business School
 

The Negative Effects of Managerial Incentives on Operating Lease Intensity
By erik devos; University of Texas at El Paso
He Li; University of Texas at El Paso
   presented by: erik devos, University of Texas at El Paso
   Discussant:   Faiza Majid, Universidad Carlos III de Madrid
 

In Pursuit of Profit: The Likely Culprit of Tax Avoidance via Tax Havens
By Linda Chen; Washington State University
   presented by: Linda Chen, Washington State University
   Discussant:   Jose Faias, Universidade Catolica Portuguesa
 

Drivers of Effort: Evidence from Employee Absenteeism
By Morten Bennedsen; INSEAD
Margarita Tsoutsoura; University Of Chicago
Daniel Wolfenzon; Columbia University
   presented by: Daniel Wolfenzon, Columbia University
   Discussant:   Vicente Bermejo, ESADE Business School
 
Session: D2 - DERIVATIVES, EMPIRICAL
July 7, 2017 15:15 to 17:15
52.219
 
Session Chair: Adrian van Rixtel, Banco de España
 

S&P 500 Index, an Option-Implied Risk Analysis
By Giovanni Barone-Adesi; Swiss Finance Institute at the Universit
Chiara Legnazzi; USI - Università della Svizzera Italiana
Carlo Sala; ESADE Business School
   presented by: Chiara Legnazzi, USI - Università della Svizzera Italiana
   Discussant:   Alberto Bueno-Guerrero, IES Francisco Ayala
 

Mild explosivity in recent crude oil prices
By Isabel Figuerola Ferretti; ICADE
Roderick McCrorie; University of St Andrews
Ioannis Paraskevopoulos; Bankia
   presented by: Isabel Figuerola Ferretti, ICADE
   Discussant:   Manuel Moreno, University of Castilla-La Mancha
 

The Eurozone (Expected) Inflation: An Option's Eyes View
By Ricardo Gimeno; Banco de España
Alfredo Ibáñez; ITAM
   presented by: Ricardo Gimeno, Banco de España
   Discussant:   Yehuda Izhakian, City University of New York, Baruch College
 

A Corridor Fix for High-Frequency VIX: Developing Coherent Implied Volatility Measures
By Maria Gonzalez-Perez; CUNEF
   presented by: Maria Gonzalez-Perez, CUNEF
   Discussant:   Adrian van Rixtel, Banco de España
 
Session: MM3 - ASYMMETRIC INFORMATION
July 7, 2017 15:15 to 17:15
52.217
 
Session Chair: Ariadna Dumitrescu, ESADE Business School
 

Asymmetric Information and the Distribution of Trading Volume
By Jos van Bommel; University of Luxembourg
Matthijs Lof; Aalto University
   presented by: Jos van Bommel, University of Luxembourg
   Discussant:   Anna Bayona, ESADE Business School
 

Does Public News Decrease Information Asymmetries?
By Julio Crego; CEMFI
   presented by: Julio Crego, CEMFI
   Discussant:   Carolina Manzano, universitat Rovira i Virgili
 

Bubbles and Absence of Crashes : a Multi-Agent-Based Simulation
By Alexandre Madelaine; ENS Paris-Saclay
   presented by: Alexandre Madelaine, ENS Paris-Saclay
   Discussant:   Mikel Tapia, Universidad Carlos III
 

Market Power and Welfare in Asymmetric Divisible Good Auctions
By Carolina Manzano; universitat Rovira i Virgili
   presented by: Carolina Manzano, universitat Rovira i Virgili
   Discussant:   Jos van Bommel, University of Luxembourg
 
Session: GENERAL ASSEMBLY OF THE SPANISH FINANCE ASSOCIATION
July 7, 2017 17:30 to 19:00
Auditorium
 
 

33 sessions, 116 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Adam, TimP5, D10
2Almazan, AndresC13
3Amengual, DanteC21
4Andreu, LauraD5
5Ansotegui, CarmenC3
6Anton, MiguelP18, D18
7Ascorbebeitia, JoneP1, D7
8Banal-Estañol, AlbertP4
9Barroso, PedroD1, P16, C27
10Bayona, AnnaP25, D32
11Beaumont, PaulD3, P9
12Bellia, MarioD19, P25
13Benito, EnriqueD2, P17, C17
14Bermejo, VicenteP18, D30, C30
15Blanco, RobertoC23
16Boxtel, AntonP8, D22
17Bretscher, LorenzoD1, P7
18Bueno-Guerrero, AlbertoP24, D31
19Callado Munoz, FranciscoC18, P29
20Chavleishvili, SulkhanP1, D7
21Chen, Hsiu-langD10, P14
22Chen, LindaD23, P30
23Chulia, HelenaP7, D16
24Corzo, TeresaP21, D21
25Crego, JulioD25, P32
26CUADROS-SOLAS, PEDROP2, P9, D9, D17
27Dammann, JensP12, D18
28Darst, MatthewP20, C20, D28
29De Jesus, Miguel KarloD20
30de Mingo-López, Diego VíctorD5, P10
31Del Viva, LucaP20, D28, C28
32devos, erikD23, P30
33DeYoung, RobertP15
34Dimitrova, LoraD18, P23
35Dong, HangP21, D21
36Dumitrescu, AriadnaC32
37El Hefnawy, MennaD21
38Epure, MirceaP2, D17
39Faias, JoseD7, P11, P23, D30
40Faria, GonçaloP11, D16
41Félez Viñas, EsterP25, D25
42Ferreira, EvaC1
43Figuerola Ferretti, IsabelD24, P31
44Freixas, XavierD8, C15, P22
45Fu, HsuanD11, P27
46Galardo, MaddalenaD20, P28
47Garcia, SergioP3, D12
48Garcia-Jorcano, LauraP20, D28
49Giambona, ErasmoP13
50Gil-Bazo, JavierP10, C14
51Gimeno, RicardoP24, D24, P31
52Glossner, SimonD9, P18
53Gomez, Juan-PedroC10, D27
54Gomez-Biscarri, JavierP2, D17
55Gonzalez, FranciscoC12
56Gonzalez-Perez, MariaD24, P31
57Grande-Herrera, CristinaP12, D29, C29
58GUO, TENGYUD7, P16
59Guo, FengD1, P7
60Ippolito, FilippoP27
61Izhakian, YehudaP24, D31
62Kishore, KaushalendraP8, D22
63Kreis, YvonneP16, D16
64Legnazzi, ChiaraD24, P31
65Losada, RamiroD10, P14
66Lotfaliei, BabakP4, D13
67Madelaine, AlexandreD25, P32
68Majid, FaizaP30, D30
69Manzano, CarolinaP32, D32
70Martin-Oliver, AlfredoP2, D17
71MARTINEZ SOLANO, PEDROP12, D29
72Martinez-Carrascal, CarmenD12, P29
73Martinez-Miera, DavidP8, D22
74Matthys, FelixD16, P27
75Mirza, AfrasiabD4, P13
76Montone, MaurizioD21, P27
77Moreno, ManuelP24, C24, D31
78Muñoz, FernandoD5, P10
79Mullins, WilliamP28
80Nguyen, DiemP29, D29
81Nieto, BelenP19, D19
82O'Donnell, CharlesD2, P17
83Ongena, StevenP15
84Paraskevopoulos, IoannisD8
85Pedraza, AlvaroD5, P10
86Pena, JoanaP14
87Penalva, JoseC7
88Peri, AlessandroD4, C4, P13
89Peydro, Jose LuisP15, C22
90Platania, FedericoP5, D14
91Polo, AndreaC8
92Pramor, MarcusD2, P17
93Przychodzen, WojciechP5, D14
94Rubia, AntonioP1, D11
95Rubio, GonzaloP11, C16
96Ruiz-Verdu, PabloP4, D13
97Saadi, VahidD2, P17
98Sacchetto, StefanoP23, D29
99Safonova, DashaD8, P22
100Sala, CarloP11, D11
101Santos, AlvaroP22
102Sarto, José LuisC5
103Segura, AnatoliD4, P22
104Sentana, EnriqueP1, D27
105Serrano, PedroP5, D14
106Smith, NorkeithD9, P23
107Sonenshine, RalphD4
108Steinruecke, LeaP20, D28
109Strieborny, MartinP3, D9
110Suarez, JavierC2, P8, D22
111Suarez, NuriaD3, P9
112Tapia, MikelP19, C19, D32
113Tarrazon, Maria-AntoniaC9
114Tielens, JorisD3, P9
115Tribo, JosepD20, P28
116Trigilia, GiulioP4, D13
117Uribe, JorgeD11, P16
118Utrero González, NataliaD12
119van Bommel, JosP32, D32
120van Rixtel, AdrianD31, C31
121Vegas, RaquelD23, P29
122Vicente, LuisD14
123Vicente, SergioD8, P13
124Vives, XavierC25
125Wei, JianxingD13
126Wix, CarloD20, P28
127Wolfenzon, DanielD12, P30
128Wu, WeiP19, D19, P21, D27
129Yilmaz, UmitP3, D23
130Zaccaria, LuanaP3, D3
131Zakriya, MohammedP12, D30
132Zambrana, RafaelD10, P14
133Zapatero, FernandoC11, P21, D27
134Zhang, DongnaD1, P7

 

This program was last updated on 2017-09-27 05:31:57 EDT