Summary of All Sessions |
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| Date/Time | Location | Type | Title | Papers |
|---|---|---|---|---|
| January 5, 2018 8:00-10:00 | Regency C1 | invited | Analysts, News, Media and Market Sentiment | 3 |
| January 5, 2018 8:00-10:00 | Commonwealth B | invited | Asset Return Dynamics | 3 |
| January 5, 2018 8:00-10:00 | Washington A (3rd Floor) | invited | Banking and the Real Economy | 3 |
| January 5, 2018 8:00-10:00 | Regency C2 | invited | Central Banks and Macro Finance | 3 |
| January 5, 2018 8:00-10:00 | Commonwealth Hall A1 | invited | CEOs and Entrepreneurs | 3 |
| January 5, 2018 8:00-10:00 | Commonwealth C | invited | Compensation in Mutual Fund Management | 4 |
| January 5, 2018 8:00-10:00 | Commonwealth D | invited | Financial Regulation: Theory | 4 |
| January 5, 2018 8:00-10:00 | Commonwealth A2 | invited | Market Mispricing | 4 |
| January 5, 2018 10:15-12:15 | Regency AB | panel | AFA Panel: FinTech - How Will it Transform Financial Markets and Services? | 0 |
| January 5, 2018 10:15-12:15 | Commonwealth A1 | invited | Compensation and Agency | 3 |
| January 5, 2018 10:15-12:15 | Commonwealth A2 | invited | Credit Default Swaps | 4 |
| January 5, 2018 10:15-12:15 | Commonwealth C | invited | Financing Frictions and Their Impact on Liquidity | 3 |
| January 5, 2018 10:15-12:15 | Commonwealth B | invited | Frontiers of Corporate Governance | 3 |
| January 5, 2018 10:15-12:15 | Regency C2 | invited | Household Finance | 4 |
| January 5, 2018 10:15-12:15 | Regency C1 | invited | Informed Trading | 3 |
| January 5, 2018 10:15-12:15 | Commonwealth D | invited | Production-Based Asset Pricing and the Cross-Section of Returns | 4 |
| January 5, 2018 14:30-16:30 | Regency AB | panel | AFA Panel: Reflections About Stephen Ross | 0 |
| January 5, 2018 14:30-16:30 | Commonwealth D | invited | Bank and Borrower Behavior | 3 |
| January 5, 2018 14:30-16:30 | Commonwealth B | invited | Big Data and the Cross-Section of Stock Returns | 4 |
| January 5, 2018 14:30-16:30 | Commonwealth A1 | invited | FinTech | 3 |
| January 5, 2018 14:30-16:30 | Commonwealth C | invited | Fund Performance | 4 |
| January 5, 2018 14:30-16:30 | Regency C1 | invited | Macro Finance | 4 |
| January 5, 2018 14:30-16:30 | Regency C2 | invited | Mergers & Acquisitions I | 4 |
| January 5, 2018 14:30-16:30 | Commonwealth A2 | invited | Why do Firms Invest in Corporate Social Responsibility and Does it Matter? | 4 |
| January 6, 2018 8:00-10:00 | Regency A | invited | Asset Pricing: New Theories and Empirical Approaches | 4 |
| January 6, 2018 8:00-10:00 | Regency AB | invited | Behavioral Finance: Financial Market Anomalies and a Nobel Prize | 4 |
| January 6, 2018 8:00-10:00 | Commonwealth D | invited | Contagion in Financial Networks | 3 |
| January 6, 2018 8:00-10:00 | Regency C2 | invited | Innovation Investment: Human Capital and Stressful Situations | 4 |
| January 6, 2018 8:00-10:00 | Commonwealth A1 | invited | Interest Rates | 4 |
| January 6, 2018 8:00-10:00 | Regency C1 | invited | Market Microstructure and Design | 3 |
| January 6, 2018 8:00-10:00 | Commonwealth C | invited | Political Connections and the Economy | 3 |
| January 6, 2018 8:00-10:00 | Commonwealth A2 | invited | Risk Management | 4 |
| January 6, 2018 10:15-12:15 | Regency AB | panel | AFA Panel: Business and Capital Taxation | 0 |
| January 6, 2018 10:15-12:15 | Regency C2 | invited | Corporate Disclosure and Accounting | 3 |
| January 6, 2018 10:15-12:15 | Regency C1 | invited | Exchange Rates and International Capital Market | 4 |
| January 6, 2018 10:15-12:15 | Commonwealth B | invited | Liquidity: Empirical Perspectives | 4 |
| January 6, 2018 10:15-12:15 | Commonwealth D | invited | Market Risk Factors | 3 |
| January 6, 2018 10:15-12:15 | Commonwealth C | invited | Mergers & Acquisitions II | 3 |
| January 6, 2018 10:15-12:15 | Commonwealth A2 | invited | Sex, Race and Finance | 4 |
| January 6, 2018 10:15-12:15 | Commonwealth A1 | invited | Venture Capital | 4 |
| January 6, 2018 14:30-16:30 | Regency AB | tutorial | AFA Lecture: Income and Wealth Inequality: Evidence, Role of Finance, and Policy Implications | 0 |
| January 6, 2018 14:30-16:30 | Commonwealth B | invited | Bank Deposits | 4 |
| January 6, 2018 14:30-16:30 | Commonwealth D | invited | Corporate Finance: Investment Behavior | 4 |
| January 6, 2018 14:30-16:30 | Regency C1 | invited | Entrepreneurial Finance / Venture Capital | 4 |
| January 6, 2018 14:30-16:30 | Regency C2 | invited | Information Frictions in Financial Markets | 4 |
| January 6, 2018 14:30-16:30 | Commonwealth C | invited | Information Transmission and Trading: Empirical | 4 |
| January 6, 2018 14:30-16:30 | Commonwealth A1 | invited | Innovations in Hedge Funds | 4 |
| January 6, 2018 14:30-16:30 | Commonwealth A2 | invited | Payout Policy | 3 |
| January 7, 2018 8:00-10:00 | Regency C1 | invited | Bank Competition and Supply of Credit | 3 |
| January 7, 2018 8:00-10:00 | Loews Philadelphia, Howe | invited | Physics and Financial Economics: New Transfers and New Relations | 4 |
| January 7, 2018 8:00-10:00 | Commonwealth D | invited | Capital Structure | 3 |
| January 7, 2018 8:00-10:00 | Commonwealth A2 | invited | Finance and Development | 3 |
| January 7, 2018 8:00-10:00 | Loews Philadelphia, Washington C | invited | Real Estate Finance | 4 |
| January 7, 2018 8:00-10:00 | Commonwealth B | invited | Shareholder Heterogeneity and Corporate Governance | 4 |
| January 7, 2018 8:00-10:00 | Commonwealth A1 | invited | Social Influence and Networks | 3 |
| January 7, 2018 8:00-10:00 | Commonwealth C | invited | Taming and Explaining Anomalies | 4 |
| January 7, 2018 8:00-10:00 | Regency C2 | invited | Volatility and Tail Risk | 4 |
| January 7, 2018 10:15-12:15 | Commonwealth A1 | invited | Asset Pricing: What We Can Learn From Derivatives | 3 |
| January 7, 2018 10:15-12:15 | Commonwealth B | invited | Behavioral Finance: Investor Behavior | 3 |
| January 7, 2018 10:15-12:15 | Regency A | invited | Corporate Governance | 4 |
| January 7, 2018 10:15-12:15 | Commonwealth C | invited | Corporate Liquidity | 3 |
| January 7, 2018 10:15-12:15 | Regency C1 | invited | Financial Crises and Transmission of Shocks | 3 |
| January 7, 2018 10:15-12:15 | Loews Philadelphia, Lescaze | invited | Financial Distress and Bankruptcy | 4 |
| January 7, 2018 10:15-12:15 | Commonwealth D | invited | Financial Regulation: Empirics | 4 |
| January 7, 2018 10:15-12:15 | Regency C2 | invited | Portfolio Choice and Asset Allocation of Households and Long-Term Investors | 4 |
| January 7, 2018 10:15-12:15 | Commonwealth A2 | invited | Raising Capital | 4 |
| January 7, 2018 13:00-15:00 | Regency C2 | invited | Behavioral Corporate Finance | 3 |
| January 7, 2018 13:00-15:00 | Regency C1 | invited | Contracts and Incentives | 3 |
| January 7, 2018 13:00-15:00 | Commonwealth A1 | invited | Finance and Product Market Competition | 3 |
| January 7, 2018 13:00-15:00 | Commonwealth B | invited | Liquidity: Theoretical Models | 4 |
| January 7, 2018 13:00-15:00 | Commonwealth D | invited | Market Microstructure: New Tools and New Markets | 3 |
| January 7, 2018 13:00-15:00 | Commonwealth A2 | invited | Politics, Policy and Asset Prices | 4 |
| January 7, 2018 13:00-15:00 | Commonwealth C | invited | The Causes and Consequences of Household Borrowing | 4 |
73 sessions, 246 papers, and 12 presentations with no associated papers |
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American Finance Association 2018 Annual Meeting |
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Detailed List of Sessions |
| Session: Analysts, News, Media and Market Sentiment January 5, 2018 8:00 to 10:00 Regency C1 |
|---|
| Session Chair: Eric So, Massachusetts Institute of Technology |
| Session type: invited |
| Front Page News: The Effect of News Consumption on Financial Markets |
| By Anastassia Fedyk; Harvard Business School |
| presented by: Anastassia Fedyk, Harvard Business School |
| Discussant: Zhi Da, University of Notre Dame |
| Navigating Wall Street: Career Concerns and Analyst Transitions from Sell-Side to Buy-Side |
| By Ling Cen; University of Toronto Chayawat Ornthanalai; University of Toronto Christoph Schiller; University of Toronto |
| presented by: Chayawat Ornthanalai, University of Toronto |
| Discussant: Elisabeth Kempf, University of Chicago |
| Media Reinforcement in International Financial Markets |
| By Kenneth Froot; Harvard Business School Xiaoxia Lou; University of Delaware Gideon Ozik; EDHEC Business School Ronnie Sadka; Boston College Siyi Shen; Boston College |
| presented by: Ronnie Sadka, Boston College |
| Discussant: Kenneth Ahern, University of Southern California |
| Session: Asset Return Dynamics January 5, 2018 8:00 to 10:00 Commonwealth B |
| Session Chair: Dana Kiku, University of Illinois |
| Session type: invited |
| Level and Volatility Shocks to Fiscal Policy: Term Structure Implications |
| By Alex Hsu; Georgia Institute of Technology Andrea Tamoni; London School of Economics Lorenzo Bretscher; London School of Economics |
| presented by: Andrea Tamoni, London School of Economics |
| Discussant: Erica Li, Cheung Kong Graduate School of Business |
| Habits and Leverage |
| By Tano Santos; Columbia University Pietro Veronesi; University of Chicago |
| presented by: Pietro Veronesi, University of Chicago |
| Discussant: Leonid Kogan, Massachusetts Institute of Technology |
| Fearing the Fed: How Wall Street Reads Main Street |
| By Tzuo Hann Law; Boston College Dongho Song; Boston College Amir Yaron; University of Pennsylvania |
| presented by: Dongho Song, Boston College |
| Discussant: Jonathan Wright, Johns Hopkins University |
| Session: Banking and the Real Economy January 5, 2018 8:00 to 10:00 Washington A (3rd Floor) |
| Session Chair: Juliane Begenau, Stanford University |
| Session type: invited |
| Do Corporate Depositors Risk Everything for Nothing? The Importance of Deposit Relationships, Interest Rates and Bank Risk |
| By Daniel Friedmann; Goethe University Frankfurt Bjorn Imbierowicz; Copenhagen Business School Anthony Saunders; New York University Sascha Steffen; University of Mannheim |
| presented by: Bjorn Imbierowicz, Copenhagen Business School |
| Discussant: Sergey Chernenko, Ohio State University |
| A Positive Analysis of Bank Behaviour under Capital Requirements |
| By Saleem Bahaj; Bank of England Frederic Malherbe; London Business School |
| presented by: Saleem Bahaj, Bank of England |
| Discussant: Emily Williams, London Business School |
| U.S. Monetary Policy and Global Credit Cycles |
| By Falk Brauning; Federal Reserve Bank of Boston Victoria Ivashina; Harvard Business School |
| presented by: Falk Brauning, Federal Reserve Bank of Boston |
| Discussant: Olivier Darmouni, Columbia University |
| Session: Central Banks and Macro Finance January 5, 2018 8:00 to 10:00 Regency C2 |
| Session Chair: Samuel Hanson, Harvard Business School |
| Session type: invited |
| The FOMC Risk Shift |
| By Tim Kroencke; University of Basel Maik Schmeling; City, University of London Andreas Schrimpf; Bank for International Settlements |
| presented by: Maik Schmeling, City, University of London |
| Discussant: Eric Swanson, University of California, Irvine |
| Central Bank Communication and the Yield Curve |
| By Matteo Leombroni; Stanford University Andrea Vedolin; London School of Economics Gyuri Venter; Copenhagen Business School Paul Whelan; Copenhagen Business School |
| presented by: Gyuri Venter, Copenhagen Business School |
| Discussant: David Lucca, Federal Reserve Bank of New York |
| Monetary Policy Slope and the Stock Market |
| By Andreas Neuhierl; University of Notre Dame Michael Weber; University of Chicago |
| presented by: Michael Weber, University of Chicago |
| Discussant: Anna Cieslak, Duke University |
| Session: CEOs and Entrepreneurs January 5, 2018 8:00 to 10:00 Commonwealth Hall A1 |
| Session Chair: Dirk Jenter, London School of Economics |
| Session type: invited |
| Political Connections and Allocative Distortions |
| By David Schoenherr; Princeton University |
| presented by: David Schoenherr, Princeton University |
| Discussant: Mara Faccio, Purdue University |
| Entrepreneurship and Information on Past Failures: A Natural Experiment |
| By Christophe Cahn; Banque de France Mattia Girotti; Banque de France Augustin Landier; Toulouse School of Economics |
| presented by: Mattia Girotti, Banque de France |
| Discussant: Will Dobbie, Princeton University |
| What Prevents Female Executives from Reaching the Top? |
| By Matti Keloharju; Aalto University Samuli Knüpfer; BI Norwegian Business School Joacim Tåg; Research Institute of Industrial Economics |
| presented by: Samuli Knüpfer, BI Norwegian Business School |
| Discussant: Amalia Miller, University of Virginia |
| Session: Compensation in Mutual Fund Management January 5, 2018 8:00 to 10:00 Commonwealth C |
| Session Chair: Clemens Sialm, University of Texas at Austin and NBER |
| Session type: invited |
| Are Mutual Fund Managers Paid For Investment Skill? |
| By Markus Ibert; Stockholm School of Economics Ron Kaniel; University of Rochester Stijn Van Nieuwerburgh; New York University Roine Vestman; Stockholm University |
| presented by: Ron Kaniel, University of Rochester |
| Discussant: Harrison Hong, Columbia University |
| What Does Compensation of Portfolio Managers Tell Us About Mutual Fund Industry? Evidence from Israeli Tax Records |
| By Galit Ben Naim; Ministry of Finance, Israel Stanislav Sokolinski; Harvard University |
| presented by: Stanislav Sokolinski, Harvard University |
| Discussant: Mariassunta Giannetti, Stockholm School of Economics |
| Mutual Fund Risk-Shifting and Management Contracts |
| By Junghoon Lee; Tulane University Charles Trzcinka; Indiana University Shyam Sunder Venkatesan; Tulane University |
| presented by: Junghoon Lee, Tulane University |
| Discussant: Susan Christoffersen, University of Toronto |
| On the Role of Human Capital in Investment Management |
| By Leonard Kostovetsky; Boston College Alberto Manconi; Bocconi University |
| presented by: Leonard Kostovetsky, Boston College |
| Discussant: Eric Zitzewitz, Dartmouth College |
| Session: Financial Regulation: Theory January 5, 2018 8:00 to 10:00 Commonwealth D |
| Session Chair: Marcus Opp, |
| Session type: invited |
| Redemption Fees and Information-Based Runs |
| By Stephen Lenkey; Pennsylvania State University Fenghua Song; Pennsylvania State University |
| presented by: Fenghua Song, Pennsylvania State University |
| Discussant: Douglas Diamond, University of Chicago |
| The Incentive Channel of Capital Market Interventions |
| By Michael Lee; Federal Reserve Bank of New York Daniel Neuhann; University of Texas at Austin |
| presented by: Daniel Neuhann, University of Texas at Austin |
| Discussant: William Fuchs, University of California, Berkeley |
| Optimal Supervisory Architecture and Financial Integration in a Banking Union |
| By Jean-Edouard Colliard; HEC Paris |
| presented by: Jean-Edouard Colliard, HEC Paris |
| Discussant: Martin Oehmke, London School of Economics |
| The Redistributive Effects of Bank Capital Regulation |
| By Elena Carletti; Bocconi University Robert Marquez; University of California, Davis Silvio Petriconi; Bocconi University |
| presented by: Silvio Petriconi, Bocconi University |
| Discussant: David Martinez-Miera, Universidad Carlos III |
| Session: Market Mispricing January 5, 2018 8:00 to 10:00 Commonwealth A2 |
| Session Chair: Jianfeng Yu, PBCSF, Tsinghua University |
| Session type: invited |
| Hidden in Plain Sight:Equity Price Discovery with Informed Private Debt |
| By Jawad Addoum; Cornell University Justin Murfin; Yale University |
| presented by: Justin Murfin, Yale University |
| Discussant: Xing Huang, Michigan State University |
| Competition and Momentum Profits |
| By Gerard Hoberg; University of Southern California Nitin Kumar; Indian School of Business Nagpurnanand Prabhala; University of Maryland |
| presented by: Nitin Kumar, Indian School of Business |
| Discussant: Kent Daniel, Columbia University and NBER |
| ETF Arbitrage and Return Predictability |
| By David Brown; University of Arizona Shaun Davies; University of Colorado at Boulder Matthew Ringgenberg; University of Utah |
| presented by: David Brown, University of Arizona |
| Discussant: Itzhak Ben-David, Ohio State University and NBER |
| A Tug of War: Overnight Versus Intraday Expected Returns |
| By Dong Lou; London School of Economics Christopher Polk; London School of Economocs Spyros Skouras; Athens University of Economics and Business |
| presented by: Dong Lou, London School of Economics |
| Discussant: Joseph Engelberg, University of California, San Diego |
| Session: AFA Panel: FinTech - How Will it Transform Financial Markets and Services? January 5, 2018 10:15 to 12:15 Regency AB |
| Session Chair: Wei Jiang, Columbia University |
| Session type: panel |
| Presented by: Susan Athey, Stanford University |
| Presented by: Campbell Harvey, Duke University |
| Presented by: Maureen O'Hara, Cornell University |
| Presented by: David Yermack, New York University |
| Session: Compensation and Agency January 5, 2018 10:15 to 12:15 Commonwealth A1 |
| Session Chair: Felipe Varas, Duke University |
| Session type: invited |
| The Value of Performance Signals Under Contracting Constraints |
| By Pierre Chaigneau; Queen's University Alex Edmans; London Business School Daniel Gottlieb; Washington University in St. Louis |
| presented by: Pierre Chaigneau, Queen's University |
| Discussant: Ming Yang, Duke University |
| Compensation, Moral Hazard, and Talent Misallocation in the Market for CEOs |
| By Liang Chen; Wuhan University |
| presented by: Liang Chen, Wuhan University |
| Discussant: Robert Miller, Carnegie Mellon University |
| Contract Horizon and Turnover |
| By Vladimir Vladimirov; University of Amsterdam |
| presented by: Vladimir Vladimirov, University of Amsterdam |
| Discussant: John Zhu, University of Pennsylvania |
| Session: Credit Default Swaps January 5, 2018 10:15 to 12:15 Commonwealth A2 |
| Session Chair: Greg Duffee, Johns Hopkins University |
| Session type: invited |
| Why Do Investors Buy Sovereign Default Insurance? |
| By Patrick Augustin; McGill University Valeri Sokolovski; Stockholm School of Economics Marti G. Subrahmanyam; New York University Davide Tomio; Copenhagen Business School |
| presented by: Patrick Augustin, McGill University |
| Discussant: Tobias Berg, Frankfurt School of Finance & Management |
| Market Structure and Transaction Costs of Index CDSs |
| By Pierre Collin-Dufresne; Ecole Polytechnique Federale de Lausanne Benjamin Junge; Ecole Polytechnique Federale de Lausanne Anders Trolle; Ecole Polytechnique Federale de Lausanne |
| presented by: Anders Trolle, Ecole Polytechnique Federale de Lausanne |
| Discussant: Lawrence Glosten, Columbia University |
| Mitigating Counterparty Risk |
| By Yalin Gunduz; Deutsche Bundesbank |
| presented by: Yalin Gunduz, Deutsche Bundesbank |
| Discussant: Emil Siriwardane, Harvard University |
| Credit Derivatives and Firm Investment |
| By George Batta; Claremont McKenna College Fan Yu; Claremont McKenna College |
| presented by: Fan Yu, Claremont McKenna College |
| Discussant: Bastian von Beschwitz, Federal Reserve Board |
| Session: Financing Frictions and Their Impact on Liquidity January 5, 2018 10:15 to 12:15 Commonwealth C |
| Session Chair: Stacey Schreft, U.S. Office of Financial Research |
| Session type: invited |
| Asset-side Bank Runs and Liquidity Rationing: A Vicious Cycle |
| By Zongbo Huang; The Chinese University of Hong Kong, Shenzhen |
| presented by: Zongbo Huang, The Chinese University of Hong Kong, Shenzhen |
| Discussant: Phil Dybvig, Washington University in St. Louis |
| Financial Intermediaries, Corporate Debt Financing, and The Transmission of Systemic Risk |
| By Christian Lundblad; University of North Carolina Zhongyan Zhu; Monash University |
| presented by: Christian Lundblad, University of North Carolina |
| Discussant: Victoria Ivashina, Harvard Business School |
| The Loan Covenant Channel: How Bank Health Transmits to the Real Economy |
| By Gabriel Chodorow-Reich; Harvard University Antonio Falato; Federal Reserve Board |
| presented by: Gabriel Chodorow-Reich, Harvard University |
| Discussant: Sudheer Chava, Georgia Institute of Technology |
| Session: Frontiers of Corporate Governance January 5, 2018 10:15 to 12:15 Commonwealth B |
| Session Chair: Kelly Shue, Yale University |
| Session type: invited |
| The Value of Offshore Secrets: Evidence from the Panama Papers |
| By James O'Donovan; INSEAD Hannes Wagner; Boccconi University Stefan Zeume; University of Michigan |
| presented by: Stefan Zeume, University of Michigan |
| Discussant: Mara Faccio, Purdue University |
| The Economic Impact of Religion: Evidence from Ramadan Loans |
| By Cem Demiroglu; Koc University Oguzhan Ozbas; University of Southern California Rui Silva; London Business School mehmet ulu; Turkish Central Bank |
| presented by: Rui Silva, London Business School |
| Discussant: Claire Celerier, University of Toronto |
| The Impact of Delay in Going Public: Evidence from China |
| By Lin Cong; University of Chicago Sabrina Howell; New York University Ran Zhang; Peking University |
| presented by: Sabrina Howell, New York University |
| Discussant: Manju Puri, Duke University |
| Session: Household Finance January 5, 2018 10:15 to 12:15 Regency C2 |
| Session Chair: Gregor Matvos, University of Chicago |
| Session type: invited |
| High-Cost Debt and Borrower Reputation: Evidence from the U.K. |
| By Andres Liberman; New York University Daniel Paravisini; London School of Economics Vikram Pathania; University of Sussex |
| presented by: Daniel Paravisini, London School of Economics |
| Discussant: Adriano Rampini, Duke University |
| The Housing Crisis and the Rise in Student Loans |
| By Gene Amromin; Federal Reserve Bank of Chicago Janice Eberly; Northwestern University John Mondragon; Northwestern University |
| presented by: Gene Amromin, Federal Reserve Bank of Chicago |
| Discussant: Vyacheslav Fos, Boston College |
| Politicizing Consumer Credit |
| By Pat Akey; University of Toronto Rawley Heimer; Federal Reserve Bank of Cleveland Stefan Lewellen; London Business School |
| presented by: Pat Akey, University of Toronto |
| Discussant: Samuel Hanson, Harvard Business School |
| Monthly Payment Targeting and the Demand for Maturity |
| By Bronson Argyle; Brigham Young University Taylor Nadauld; Brigham Young University Christopher Palmer; University of California, Berkeley |
| presented by: Taylor Nadauld, Brigham Young University |
| Discussant: Efraim Benmelech, Northwestern University |
| Session: Informed Trading January 5, 2018 10:15 to 12:15 Regency C1 |
| Session Chair: Vincent Glode, University of Pennsylvania |
| Session type: invited |
| Trading Volume and Time Varying Betas |
| By Christopher Hrdlicka; University of Washington |
| presented by: Christopher Hrdlicka, University of Washington |
| Discussant: Yasser Boualam, Kenan-Flagler Business School |
| Dynamic Information Acquisition and Strategic Trading |
| By Snehal Banerjee; University of California, San Diego Bradyn Breon-Drish; University of California, San Diego |
| presented by: Bradyn Breon-Drish, University of California, San Diego |
| Discussant: Itay Goldstein, University of Pennsylvania |
| Speculation with Information Disclosure |
| By Paolo Pasquariello; University of Michigan Yifei Wang; University of Michigan |
| presented by: Yifei Wang, University of Michigan |
| Discussant: Diego Garcia, University of Colorado at Boulder |
| Session: Production-Based Asset Pricing and the Cross-Section of Returns January 5, 2018 10:15 to 12:15 Commonwealth D |
| Session Chair: Stijn Van Nieuwerburgh, New York University |
| Session type: invited |
| Labor Hiring, Aggregate Dividends, and Return Predictability in the Time Series |
| By Frederico Belo; University of Minnesota and NBER Andres Donangelo; University of Texas at Austin Xiaoji Lin; Ohio State University Ding Luo; University of Minnesota |
| presented by: Frederico Belo, University of Minnesota and NBER |
| Discussant: Mindy Z. Xiaolan, University of Texas at Austin |
| What Drives Anomaly Returns? |
| By Lars Lochstoer; University of California, Los Angeles Paul Tetlock; Columbia University |
| presented by: Lars Lochstoer, University of California, Los Angeles |
| Discussant: Jules van Binsbergen, University of Pennsylvania |
| Misvaluation of Investment Options |
| By Evgeny Lyandres; Boston University Egor Matveyev; University of Alberta Alexey Zhdanov; Pennsylvania State University |
| presented by: Egor Matveyev, University of Alberta |
| Discussant: Juhani Linnainmaa, University of Southern California |
| Asset Collateralizability and the Cross-Section of Expected Returns |
| By Hengjie Ai; University of Minnesota Jun Li; Goethe University Frankfurt Kai Li; Hong Kong University of Science and Technology christian Schlag; Goethe University Frankfurt |
| presented by: Kai Li, Hong Kong University of Science and Technology |
| Discussant: Xiaoji Lin, Ohio State University |
| Session: AFA Panel: Reflections About Stephen Ross January 5, 2018 14:30 to 16:30 Regency AB |
| Session Chair: Chester Spatt, Carnegie Mellon University and Massachusetts Institute of Technology |
| Session type: panel |
| Presented by: Anat Admati, Stanford University |
| Presented by: Jonathan Berk, Stanford University |
| Presented by: Douglas Diamond, University of Chicago |
| Presented by: Phil Dybvig, Washington University in St. Louis |
| Presented by: Bengt Holmstrom, Massachusetts Institute of Technology |
| Session: Bank and Borrower Behavior January 5, 2018 14:30 to 16:30 Commonwealth D |
| Session Chair: Justin Murfin, Yale University |
| Session type: invited |
| Drilling and Debt |
| By Erik Gilje; University of Pennsylvania Elena Loutskina; University of Virginia Daniel Murphy; University of Virginia |
| presented by: Elena Loutskina, University of Virginia |
| Erik Gilje, University of Pennsylvania |
| Discussant: Michael Schwert, Ohio State University |
| Decision-Making Delegation in Banks |
| By Jennifer Dlugosz; Washington University in St. Louis YongKyu Gam; Washington University in St. Louis Radhakrishnan Gopalan; Washington University in St. Louis Janis Skrastins; Washington University in St. Louis |
| presented by: Jennifer Dlugosz, Washington University in St. Louis |
| Discussant: Mark Egan, Harvard Business School |
| Concentration of Control Rights in Leveraged Loan Syndicates |
| By Mitchell Berlin; Federal Reserve Bank of Philadelphia Greg Nini; Drexel University Edison Yu; Federal Reserve Bank of Philadelphia |
| presented by: Mitchell Berlin, Federal Reserve Bank of Philadelphia |
| Greg Nini, Drexel University |
| Discussant: Gregor Matvos, University of Chicago |
| Session: Big Data and the Cross-Section of Stock Returns January 5, 2018 14:30 to 16:30 Commonwealth B |
| Session Chair: Svetlana Bryzgalova, Stanford University |
| Session type: invited |
| Publication Bias and the Cross-Section of Stock Returns |
| By Andrew Chen; Federal Reserve Board Tom Zimmermann |
| presented by: Andrew Chen, Federal Reserve Board |
| Discussant: Yan Liu, Texas A&M University |
| Nonparametric Dissection of the Cross Section of Expected Stock Returns |
| By Joachim Freyberger; University of Wisconsin-Madison Andreas Neuhierl; University of Notre Dame Michael Weber; University of Chicago |
| presented by: Andreas Neuhierl, University of Notre Dame |
| Discussant: Domenico Giannone, Federal Reserve Bank of New York |
| A Portfolio Perspective on the Multitude of Firm Characteristics |
| By Victor DeMiguel; London Business School Alberto Martin-Utrera; Lancaster University Francisco J. Nogales; Universidad Carlos III de Madrid Raman Uppal; EDHEC Business School |
| presented by: Alberto Martin-Utrera, Lancaster University |
| Discussant: Michael Brandt, Duke University |
| The Cross-Section of Risk and Return |
| By Kent Daniel; Columbia University and NBER Lira Mota; Columbia University Simon Rottke; University of Münster Tano Santos; Columbia University |
| presented by: Simon Rottke, University of Münster |
| Discussant: Stefano Giglio, University of Chicago |
| Session: FinTech January 5, 2018 14:30 to 16:30 Commonwealth A1 |
| Session Chair: Bruce Carlin, University of California, Los Angeles |
| Session type: invited |
| FinTechs and the Market for Financial Analysis |
| By Jillian Grennan; Duke University Roni Michaely; Cornell Tech |
| presented by: Jillian Grennan, Duke University |
| Discussant: Russell Jame, University of Kentucky |
| The Impact of Internet Postings on Individual Investors |
| By Manuel Ammann; University of St. Gallen Nic Schaub; University of St. Gallen |
| presented by: Nic Schaub, University of St. Gallen |
| Discussant: Zhi Da, University of Notre Dame |
| Long Run Growth of Financial Technology |
| By Maryam Farboodi; Princeton University Laura Veldkamp; New York University |
| presented by: Laura Veldkamp, New York University |
| Discussant: Daniel Andrei, University of California, Los Angeles |
| Session: Fund Performance January 5, 2018 14:30 to 16:30 Commonwealth C |
| Session Chair: Veronika Pool, Indiana University |
| Session type: invited |
| Holdings-Based Fund Performance Measures: Estimation and Inference |
| By Wayne Ferson; University of Southern California Junbo Wang; Louisiana State University |
| presented by: Junbo Wang, Louisiana State University |
| Discussant: Lucian Taylor, University of Pennsylvania |
| Costly Information Production, Information Intensity, and Mutual Fund Performance |
| By George Jiang; Washington State University Ke Shen; University of Iowa Russ Wermers; University of Maryland Tong Yao; University of Iowa |
| presented by: Tong Yao, University of Iowa |
| Discussant: Marcin Kacperczyk, Imperial College London |
| Dynamic Liquidity Management by Corporate Bond Mutual Funds |
| By Hao Jiang; Michigan State University Dan Li; Federal Reserve Board Ashley Wang; Board of Governors of the Federal Reserve |
| presented by: Hao Jiang, Michigan State University |
| Discussant: Jennifer Huang, Cheung Kong Graduate School of Business |
| Competition and Cooperation in Mutual Fund Families |
| By Richard Evans; University of Virginia Melissa Prado; Nova School of Business and Economics Rafael Zambrana; Nova School of Business and Economics |
| presented by: Rafael Zambrana, Nova School of Business and Economics |
| Discussant: Jonathan Reuter, Boston College |
| Session: Macro Finance January 5, 2018 14:30 to 16:30 Regency C1 |
| Session Chair: Timothy McQuade, Stanford University |
| Session type: invited |
| Slow Recovery in an Economy with Uncertainty Shocks and Optimal Firm Liquidation |
| By Indrajit Mitra; University of Michigan |
| presented by: Indrajit Mitra, University of Michigan |
| Discussant: Benjamin Hebert, Stanford University |
| The Finance-Uncertainty Multiplier |
| By Ivan Alfaro; BI Norwegian Business School Nicholas Bloom; Stanford University Xiaoji Lin; Ohio State University |
| presented by: Ivan Alfaro, BI Norwegian Business School |
| Discussant: Simon Gilchrist, Boston University |
| Finance in a Time of Disruptive Growth |
| By Nicolae Gârleanu; University of California, Berkeley Stavros Panageas; University of California, Los Angeles |
| presented by: Stavros Panageas, University of California, Los Angeles |
| Discussant: Dimitris Papanikolaou, Northwestern University |
| Levered Ideas: Risk Premia along the Credit Cycle |
| By Wenxi Liao; Duke University Lukas Schmid; Duke University |
| presented by: Lukas Schmid, Duke University |
| Discussant: Jack Favilukis, University of British Columbia |
| Session: Mergers & Acquisitions I January 5, 2018 14:30 to 16:30 Regency C2 |
| Session Chair: Pavel Savor, Temple University |
| Session type: invited |
| Merger Activity, Stock Prices, and Measuring Gains from M&A |
| By Benjamin Bennett; Ohio State University Robert Dam; University of Colorado at Boulder |
| presented by: Robert Dam, University of Colorado at Boulder |
| Discussant: B. Espen Eckbo, Dartmouth College |
| Political Uncertainty and Firm Investment: Project-level Evidence from M&A Activity |
| By Zhenhua Chen; Tulane University Mehmet Cihan; Unaffiliated Candace Jens; Tulane University |
| presented by: Candace Jens, Tulane University |
| Discussant: Vineet Bhagwat, University of Oregon |
| Social Connections and Information Leakage: Evidence from Target Stock Price Run-ups in Takeovers |
| By Iftekhar Hasan; Fordham University Lin Tong; Fordham University An Yan; Fordham University |
| presented by: An Yan, Fordham University |
| Discussant: Kenneth Ahern, University of Southern California |
| Relative Values, Announcement Timing, and Shareholder Returns in Mergers and Acquisitions |
| By Sangwon Lee; University of Houston Vijay Yerramilli; University of Houston |
| presented by: Sangwon Lee, University of Houston |
| Discussant: Wenyu Wang, Indiana University |
| Session: Why do Firms Invest in Corporate Social Responsibility and Does it Matter? January 5, 2018 14:30 to 16:30 Commonwealth A2 |
| Session Chair: I. J. Alexander Dyck, University of Toronto |
| Session type: invited |
| Investor Tastes, Corporate Behavior and Stock Returns: An Analysis of Corporate Social Responsibility |
| By Chuan Yang Hwang; Nanyang Technological University Sheridan Titman; University of Texas at Austin Ying Wang; Central University of Finance and Economics |
| presented by: Chuan Yang Hwang, Nanyang Technological University |
| Discussant: Adair Morse, University of California, Berkeley |
| ESG Shareholder Engagement and Downside Risk |
| By Andreas Hoepner; University College Dublin Ioannis Oikonomou; University of Reading Zacharias Sautner; Frankfurt School of Finance and Management Laura Starks; University of Texas Xiaoyan Zhou; University of Oxford |
| presented by: Andreas Hoepner, University College Dublin |
| Discussant: Craig Doidge, University of Toronto |
| Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World |
| By Alex Edmans; London Business School Lucius Li; London School of Economics Chendi Zhang; Warwick Business School |
| presented by: Alex Edmans, London Business School |
| Discussant: Tracy Wang, University of Minnesota |
| Leviathan Inc. and Corporate Environmental Engagement |
| By Po-Hsuan Hsu; University of Hong Kong Hao Liang; Singapore Management University Pedro Matos; University of Virginia |
| presented by: Pedro Matos, University of Virginia |
| Discussant: Karl Lins, University of Utah |
| Session: Asset Pricing: New Theories and Empirical Approaches January 6, 2018 8:00 to 10:00 Regency A |
| Session Chair: Stavros Panageas, University of California, Los Angeles |
| Session type: invited |
| A Dynamic Model of Characteristic-Based Return Predictability |
| By Aydoğan Alti; University of Texas at Austin Sheridan Titman; University of Texas at Austin |
| presented by: Aydoğan Alti, University of Texas at Austin |
| Discussant: Nicolae Gârleanu, University of California, Berkeley |
| What Information Drives Asset Prices? |
| By George Constantinides; University of Chicago Anisha Ghosh; Carnegie Mellon University |
| presented by: George Constantinides, University of Chicago |
| Discussant: Lars Lochstoer, University of California, Los Angeles |
| Financial Innovation and Asset Prices |
| By Adrian Buss; INSEAD Raman Uppal; EDHEC Business School Grigory Vilkov; Frankfurt School of Finance and Management |
| presented by: Raman Uppal, EDHEC Business School |
| Discussant: Valentin Haddad, University of California, Los Angeles |
| Predicting Relative Returns |
| By Valentin Haddad; University of California, Los Angeles Serhiy Kozak; University of Michigan Shrihari Santosh; University of Maryland |
| presented by: Shrihari Santosh, University of Maryland |
| Discussant: Stefano Giglio, University of Chicago |
| Session: Behavioral Finance: Financial Market Anomalies and a Nobel Prize January 6, 2018 8:00 to 10:00 Regency AB |
| Session Chair: Tobias Moskowitz, Yale University |
| Session type: invited |
| Short and Long Horizon Behavioral Factors |
| By Kent Daniel; Columbia University and NBER David Hirshleifer; University of California, Irvine Lin Sun; Florida State University |
| presented by: Kent Daniel, Columbia University and NBER |
| Discussant: Robert Stambaugh, University of Pennsylvania |
| Complexity Aversion When Seeking Alpha |
| By Tarik Umar; Rice University |
| presented by: Tarik Umar, Rice University |
| Discussant: Marina Niessner, Yale University |
| Sticky Expectations and the Profitability Anomaly |
| By Jean-Philippe Bouchaud; Capital Fund Management Philipp Krueger; University of Geneva and SFI Augustin Landier; Toulouse School of Economics David Thesmar; Massachusetts Institute of Technology |
| presented by: Augustin Landier, Toulouse School of Economics |
| Discussant: Andrea Frazzini, AQR Capital Management, LLC |
| Discussion of the 2017 Nobel Prize in Economics and Richard Thaler’s impact on financial markets |
| By Kent Daniel; Columbia University and NBER Tobias Moskowitz; Yale University |
| presented by: Tobias Moskowitz, Yale University |
| Discussants: 1 Kent Daniel, Columbia University and NBER 2 Tobias Moskowitz, Yale University |
| Session: Contagion in Financial Networks January 6, 2018 8:00 to 10:00 Commonwealth D |
| Session Chair: Cecilia Parlatore, New York University |
| Session type: invited |
| Netting |
| By Jason Donaldson; Washington University in St Louis Giorgia Piacentino; Columbia University |
| presented by: Giorgia Piacentino, Columbia University |
| Jason Donaldson, Washington University in St Louis |
| Discussant: Uday Rajan, University of Michigan |
| Fire-Sale Spillovers in Debt Markets |
| By Antonio Falato; Federal Reserve Board Ali Hortacsu; University of Chicago Dan Li; Federal Reserve Board Chae Hee Shin; Federal Reserve Board |
| presented by: Chae Hee Shin, Federal Reserve Board |
| Discussant: Marco Di Maggio, Harvard Business School & NBER |
| Identifying Contagion in a Banking Network |
| By Alan Morrison; University of Oxford Michalis Vasios; Bank of England Mungo Wilson; University of Oxford Filip Zikes; Federal Reserve Board |
| presented by: Michalis Vasios, Bank of England |
| Discussant: Christian Julliard, London School of Economics |
| Session: Innovation Investment: Human Capital and Stressful Situations January 6, 2018 8:00 to 10:00 Regency C2 |
| Session Chair: Arpit Gupta, New York University |
| Session type: invited |
| The Role of Human Capital: Evidence from Patent Generation |
| By Tong Liu; University of Pennsylvania Yifei Mao; Cornell University Xuan Tian; Tsinghua University |
| presented by: Yifei Mao, Cornell University |
| Discussant: Tania Babina, Columbia University |
| Roadblock to Innovation: The Role of Patent Litigation in Corporate R&D |
| By Filippo Mezzanotti; Northwestern University |
| presented by: Filippo Mezzanotti, Northwestern University |
| Discussant: Lauren Cohen, Harvard Business School |
| Bankruptcy, Team-Specific Human Capital, and Innovation: Evidence from U.S. Inventors |
| By Ramin Baghai; Stockholm School of Economics Rui Silva; London Business School Luofu Ye; London Business School |
| presented by: Luofu Ye, London Business School |
| Discussant: Benjamin Iverson, Northwestern University |
| Does Economic Insecurity Affect Employee Innovation? |
| By Shai Bernstein; Stanford University Timothy McQuade; Stanford University Richard Townsend; University of California, San Diego |
| presented by: Richard Townsend, University of California, San Diego |
| Discussant: Arpit Gupta, New York University |
| Session: Interest Rates January 6, 2018 8:00 to 10:00 Commonwealth A1 |
| Session Chair: Anna Cieslak, Duke University |
| Session type: invited |
| Expectation and Duration at the Effective Lower Bound |
| By Thomas King; Federal Reserve Bank of Chicago |
| presented by: Thomas King, Federal Reserve Bank of Chicago |
| Discussant: Samuel Hanson, Harvard Business School |
| Interest Rates under Falling Stars |
| By Michael Bauer; Federal Reserve Bank of San Francisco Glenn Rudebusch; Federal Reserve Bank of San Francisco |
| presented by: Michael Bauer, Federal Reserve Bank of San Francisco |
| Discussant: Greg Duffee, Johns Hopkins University |
| A Time Series Model of Interest Rates With the Effective Lower Bound |
| By Benjamin Johannsen; Federal Reserve Board Elmar Mertens; Bank of International Settlements |
| presented by: Benjamin Johannsen, Federal Reserve Board |
| Discussant: Leonardo Melosi, Federal Reserve Bank of Chicago |
| Time-Varying Lower Bound of Interest Rates in Europe |
| By Jing Cynthia Wu; University of Chicago Fan Dora Xia; Bank for International Settlements |
| presented by: Jing Cynthia Wu, University of Chicago |
| Discussant: Don Kim, Board of Governors of the Federal Reserve |
| Session: Market Microstructure and Design January 6, 2018 8:00 to 10:00 Regency C1 |
| Session Chair: Haoxiang Zhu, Massachusetts Institute of Technology |
| Session type: invited |
| Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs |
| By Jaewon Choi; University of Illinois at Urbana-Champaign Yesol Huh; Federal Reserve Board |
| presented by: Yesol Huh, Federal Reserve Board |
| Discussant: Lawrence Harris, University of Southern California |
| The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods |
| By Nikolaus Hautsch; University of Vienna Michael Noé; Humboldt University of Berlin S. Sarah Zhang; University of Manchester |
| presented by: S. Sarah Zhang, University of Manchester |
| Discussant: Joel Hasbrouck, New York University |
| Inverted Fee Venues and Market Quality |
| By Carole Comerton-Forde; University of Melbourne Vincent Gregoire; University of Melbourne Zhuo Zhong; University of Melbourne |
| presented by: Vincent Gregoire, University of Melbourne |
| Discussant: Mao Ye, University of Illinois at Urbana-Champaign |
| Session: Political Connections and the Economy January 6, 2018 8:00 to 10:00 Commonwealth C |
| Session Chair: David Matsa, Northwestern University |
| Session type: invited |
| Securing Property Rights |
| By Edward Glaeser; Harvard University Giacomo Ponzetto; CREI, Pompeu Fabra University, IPEG, & Barcelona Andrei Shleifer; Harvard University |
| presented by: Edward Glaeser, Harvard University |
| Discussant: Dean Lueck, Indiana University |
| "Trading" Political Favors: Evidence from the Impact of the STOCK Act |
| By Ruidi Huang; University of Illinois at Urbana-Champaign Yuhai Xuan; University of Illinois at Urbana-Champaign |
| presented by: Yuhai Xuan, University of Illinois at Urbana-Champaign |
| Discussant: Anthony DeFusco, Northwestern University |
| Political Determinants of Competition in the Mobile Telecommunication Industry |
| By Mara Faccio; Purdue University Luigi Zingales; University of Chicago |
| presented by: Mara Faccio, Purdue University |
| Discussant: Shane Greenstein, Harvard Business School |
| Session: Risk Management January 6, 2018 8:00 to 10:00 Commonwealth A2 |
| Session Chair: Gerard Hoberg, University of Southern California |
| Session type: invited |
| Sharing R&D Risk in Healthcare via FDA Hedges |
| By Adam Jorring; University of Chicago Andrew Lo; Massachusetts Institute of Technology Tomas Philipson; University of Chicago Manita Singh; Goldman Sachs Richard Thakor; University of Minnesota |
| presented by: Andrew Lo, Massachusetts Institute of Technology |
| Discussant: Alex Edmans, London Business School |
| Weathering Cash Flow Shocks |
| By James Brown; Iowa State University Matthew Gustafson; Pennsylvania State University Ivan Ivanov; Federal Reserve Board |
| presented by: Matthew Gustafson, Pennsylvania State University |
| Discussant: Olivier Dessaint, University of Toronto |
| Credit Default Swaps Around the World: Investment and Financing Effects |
| By Sohnke Bartram; Warwick University Jennifer Conrad; University of North Carolina Jongsub Lee; University of Florida Marti G. Subrahmanyam; New York University |
| presented by: Jongsub Lee, University of Florida |
| Discussant: Martin Oehmke, London School of Economics |
| Is This Time Different? Do Bank CEOs Learn From Crises? |
| By Gloria Yu; INSEAD |
| presented by: Gloria Yu, INSEAD |
| Discussant: Claudia Custodio, Imperial College Business School |
| Session: AFA Panel: Business and Capital Taxation January 6, 2018 10:15 to 12:15 Regency AB |
| Session Chair: Joshua Rauh, Stanford University |
| Session type: panel |
| Presented by: Alan Auerbach, University of California, Berkeley |
| Presented by: Jason Furman, Peterson Institute of International Economics |
| Presented by: Kevin Hassett, Council of Economic Advisers |
| Session: Corporate Disclosure and Accounting January 6, 2018 10:15 to 12:15 Regency C2 |
| Session Chair: Ivan Marinovic, Stanford University |
| Session type: invited |
| Credit Ratings: Strategic Issuer Disclosure and Optimal Screening |
| By Jonathan Cohn; University of Texas at Austin Uday Rajan; University of Michigan Günter Strobl; Frankfurt School of Finance and Management |
| presented by: Jonathan Cohn, University of Texas at Austin |
| Discussant: Edwige Cheynel, Columbia University |
| Optimal Financing and Disclosure |
| By Martin Szydlowski; University of Minnesota |
| presented by: Martin Szydlowski, University of Minnesota |
| Discussant: Davide Cianciaruso, Northwestern University |
| Conceal to Coordinate |
| By Snehal Banerjee; University of California, San Diego Taejin Kim; Chinese University of Hong Kong Vishal Mangla; Moody's Analytics |
| presented by: Snehal Banerjee, University of California, San Diego |
| Discussant: Mirko Heinle, University of Pennsylvania |
| Session: Exchange Rates and International Capital Market January 6, 2018 10:15 to 12:15 Regency C1 |
| Session Chair: Vivian Yue, Emory University |
| Session type: invited |
| Currency Manipulation |
| By Tarek Hassan; University of Chicago Thomas Mertens; Federal Reserve Bank of San Francisco Tony Zhang; University of Chicago |
| presented by: Thomas Mertens, Federal Reserve Bank of San Francisco |
| Discussant: Matteo Maggiori, Harvard University |
| Business Cycles and the Cross-Section of Currency Returns |
| By Steven Riddiough; University of Melbourne Lucio Sarno; City University London |
| presented by: Steven Riddiough, University of Melbourne |
| Discussant: Riccardo Colacito, University of North Carolina-Chapel Hill |
| The Volatility of International Capital Flows and Foreign Assets |
| By Winston Wei Dou; University of Pennsylvania Adrien Verdelhan; Massachusetts Institute of Technology |
| presented by: Adrien Verdelhan, Massachusetts Institute of Technology |
| Discussant: Edith Liu, Federal Reserve Board of Governors |
| Gravity in FX R2: Understanding the Factor Structure in Exchange Rates |
| By Robert Richmond; New York University Hanno Lustig; Stanford University |
| presented by: Robert Richmond, New York University |
| Discussant: Nikolai Roussanov, University of Pennsylvania |
| Session: Liquidity: Empirical Perspectives January 6, 2018 10:15 to 12:15 Commonwealth B |
| Session Chair: Nicolae Gârleanu, University of California, Berkeley |
| Session type: invited |
| Asset Mispricing |
| By Kurt Lewis; Federal Reserve Board Francis Longstaff; University of California, Los Angeles Lubomir Petrasek; Federal Reserve Board of Governors |
| presented by: Lubomir Petrasek, Federal Reserve Board of Governors |
| Discussant: Robin Greenwood, Harvard Business School |
| Funding Liquidity Risk and the Cross-section of MBS Returns |
| By Yuriy Kitsul; Federal Reserve Board Marcelo Ochoa; Federal Reserve Board of Governors |
| presented by: Yuriy Kitsul, Federal Reserve Board |
| Discussant: Adi Sunderam, Harvard University |
| Funding Liquidity Shocks in a Natural Experiment: Evidence from the CDS Big Bang |
| By Xinjie Wang; Southern University of Science and Technology Yangru Wu; Rutgers University Hongjun Yan; DePaul University Zhaodong (Ken) Zhong; Rutgers University |
| presented by: Xinjie Wang, Southern University of Science and Technology |
| Discussant: David Lando, Copenhagen Business School |
| Dimensional Analysis and Market Microstructure Invariance |
| By Albert Kyle; University of Maryland Anna Obizhaeva; New Economic School |
| presented by: Anna Obizhaeva, New Economic School |
| Discussant: Dmitry Livdan, University of California, Berkeley |
| Session: Market Risk Factors January 6, 2018 10:15 to 12:15 Commonwealth D |
| Session Chair: Christian Opp, University of Pennsylvania |
| Session type: invited |
| Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation |
| By Narasimhan Jegadeesh; Emory University Joonki Noh; Case Western Reserve University Kuntara Pukthuanthong; University of Missouri Richard Roll; California Institute of Technology Junbo Wang; Louisiana State University |
| presented by: Kuntara Pukthuanthong, University of Missouri |
| Discussant: Raymond Kan, University of Toronto |
| Where is the Risk in Value? Evidence from a Market-to-Book Decomposition |
| By Andrey Golubov; University of Toronto Theodosia Konstantinidi; City University of London |
| presented by: Andrey Golubov, University of Toronto |
| Discussant: Juhani Linnainmaa, University of Southern California |
| What Matters to Individual Investors? Evidence from the Horse's Mouth |
| By James Choi; Yale University Adriana Robertson; University of Toronto |
| presented by: James Choi, Yale University |
| Discussant: Jianfeng Yu, PBCSF, Tsinghua University |
| Session: Mergers & Acquisitions II January 6, 2018 10:15 to 12:15 Commonwealth C |
| Session Chair: Margarita Tsoutsoura, |
| Session type: invited |
| Mergers and Acquisitions, Technological Change and Inequality |
| By Wenting Ma; University of North Carolina Paige Ouimet; University of North Carolina Elena Simintzi; University of British Columbia |
| presented by: Paige Ouimet, University of North Carolina |
| Discussant: Andrew Ellul, Indiana University, CEPR, CSEF, and ECGI |
| Advertising, Attention, and Acquisition Returns |
| By Eliezer Fich; Drexel University Laura Starks; University of Texas at Austin Anh Tran; City University London |
| presented by: Laura Starks, University of Texas at Austin |
| Discussant: Kenneth Ahern, University of Southern California |
| A BIT Goes a Long Way: Bilateral Investment Treaties and Cross-Border Mergers |
| By Vineet Bhagwat; University of Oregon Jonathan Brogaard; University of Washington Brandon Julio; University of Oregon |
| presented by: Vineet Bhagwat, University of Oregon |
| Discussant: Isil Erel, Ohio State University |
| Session: Sex, Race and Finance January 6, 2018 10:15 to 12:15 Commonwealth A2 |
| Session Chair: Renee Adams, University of New South Wales |
| Session type: invited |
| When Harry Fired Sally: The Double Standard in Punishing Misconduct |
| By Mark Egan; Harvard Business School Gregor Matvos; University of Chicago Amit Seru; University of Chicago |
| presented by: Mark Egan, Harvard Business School |
| Discussant: Paola Sapienza, Northwestern University |
| Cultural Diversity on Wall Street: Evidence from Sell-Side Analysts’ Forecasts |
| By Kenneth Merkley; Cornell University Roni Michaely; Cornell Tech Joseph Pacelli; Indiana University |
| presented by: Joseph Pacelli, Indiana University |
| Discussant: Mariassunta Giannetti, Stockholm School of Economics |
| Color and Credit: Race, Regulation, and the Quality of Financial Services |
| By Taylor Begley; Washington University in St. Louis Amiyatosh Purnanandam; University of Michigan |
| presented by: Taylor Begley, Washington University in St. Louis |
| Discussant: Manju Puri, Duke University |
| Gender Representation in Economics Across Topics and Time: Evidence From the NBER Summer Institute |
| By Anusha Chari; University of North Carolina at Chapel H Paul Goldsmith-Pinkham; Federal Reserve Bank of New York |
| presented by: Anusha Chari, University of North Carolina at Chapel H |
| Discussant: Shulamit Kahn, Boston University |
| Session: Venture Capital January 6, 2018 10:15 to 12:15 Commonwealth A1 |
| Session Chair: Ilya Strebulaev, Stanford University |
| Session type: invited |
| The Effect of Personal Financing Disruptions on Entrepreneurship |
| By Tobin Hanspal; Goethe University Frankfurt |
| presented by: Tobin Hanspal, Goethe University Frankfurt |
| Discussant: Sabrina Howell, New York University |
| Private Equity and Financial Fragility during the Crisis |
| By Shai Bernstein; Stanford University Josh Lerner; Harvard University Filippo Mezzanotti; Northwestern University |
| presented by: Filippo Mezzanotti, Northwestern University |
| Discussant: Steven Kaplan, University of Chicago |
| Fewer and Less Skilled? Human Capital, Competition, and Entrepreneurial Success in U.S. Manufacturing |
| By Meghana Ayyagari; George Washington University Vojislav Maksimovic; University of Maryland |
| presented by: Vojislav Maksimovic, University of Maryland |
| Discussant: Antoinette Schoar, Massachusetts Institute of Technology |
| Swimming with the Sharks: Entrepreneurial Investing Decisions and First Impression |
| By Xing Huang; Michigan State University Zoran Ivkovich; Michigan State University john jiang; Michigan State University Isabel Yanyan Wang; Michigan State University |
| presented by: Zoran Ivkovich, Michigan State University |
| Discussant: Berk Sensoy, Ohio State University |
| Session: AFA Lecture: Income and Wealth Inequality: Evidence, Role of Finance, and Policy Implications January 6, 2018 14:30 to 16:30 Regency AB |
| Session Chair: Peter DeMarzo, Stanford University |
| Session type: tutorial |
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| Discussant: Emmanuel Saez, University of California, Berkeley |
| Session: Bank Deposits January 6, 2018 14:30 to 16:30 Commonwealth B |
| Session Chair: Amiyatosh Purnanandam, University of Michigan |
| Session type: invited |
| The Cross Section of Bank Value |
| By Mark Egan; Harvard Business School Stefan Lewellen; London Business School Adi Sunderam; Harvard University |
| presented by: Stefan Lewellen, London Business School |
| Discussant: Philip Strahan, Boston College |
| On Deposit Stability in Failing Banks |
| By Christopher Martin; Federal Deposit Insurance Corporation Manju Puri; Duke University Alexander Ufier; Federal Deposit Insurance Corporation |
| presented by: Alexander Ufier, Federal Deposit Insurance Corporation |
| Discussant: Philipp Schnabl, New York University |
| The Effects of Tax on Bank Liability Structure |
| By Leonardo Gambacorta; Bank for International Settlements Giacomo Ricotti; Banca d'Italia Suresh Sundaresan; Columbia University Zhenyu Wang; Indiana University |
| presented by: Suresh Sundaresan, Columbia University |
| Discussant: Taylor Begley, Washington University in St. Louis |
| Monetary Policy Transmission and the Funding Structure of Banks |
| By Emily Williams; London Business School |
| presented by: Emily Williams, London Business School |
| Discussant: Erik Gilje, University of Pennsylvania |
| Session: Corporate Finance: Investment Behavior January 6, 2018 14:30 to 16:30 Commonwealth D |
| Session Chair: Andrea Eisfeldt, University of California, Los Angeles |
| Session type: invited |
| Customer Capital, Financial Constraints and Stock Returns |
| By Winston Wei Dou; University of Pennsylvania Yan Ji; Hong Kong University of Science and Technology David Reibstein; University of Pennsylvania Wei Wu; Texas A&M University |
| presented by: Winston Wei Dou, University of Pennsylvania |
| Discussant: Leena Rudanko, Federal Reserve Bank of Philadelphia |
| Adapting to Radical Change: The Benefits of Short-Horizon Investors |
| By Mariassunta Giannetti; Stockholm School of Economics and CEPR Xiaoyun Yu; Indiana University |
| presented by: Mariassunta Giannetti, Stockholm School of Economics |
| Discussant: Todd Gormley, Washington University in St. Louis |
| Skilled Labor Supply and Corporate Investment: Evidence from the H-1B Visa Program |
| By Sheng-Jun Xu; University of British Columbia |
| presented by: Sheng-Jun Xu, University of British Columbia |
| Discussant: William Mann, UCLA |
| Bank Risk-Taking and the Real Economy: Evidence from the Housing Boom and its Aftermath |
| By Antonio Falato; Federal Reserve Board Giovanni Favara; Federal Reserve Board David Scharfstein; Harvard University |
| presented by: Antonio Falato, Federal Reserve Board |
| Discussant: Amir Kermani, University of California, Berkeley |
| Session: Entrepreneurial Finance / Venture Capital January 6, 2018 14:30 to 16:30 Regency C1 |
| Session Chair: Arthur Korteweg, University of Southern California |
| Session type: invited |
| The Impact of Consumer Credit Access on Employment, Earnings and Entrepreneurship |
| By Kyle Herkenhoff; University of Minnesota Gordon Phillips; Dartmouth College Ethan Cohen-Cole; Alvarez and Marsal |
| presented by: Kyle Herkenhoff, University of Minnesota |
| Discussant: Josh Lerner, Harvard University |
| Measuring Institutional Investors’ Skill from Their Investments in Private Equity |
| By Daniel Cavagnaro; California State University, Fullerton Berk Sensoy; Ohio State University Yingdi Wang; California State University, Fullerton Michael Weisbach; Ohio State University |
| presented by: Yingdi Wang, California State University, Fullerton |
| Discussant: Morten Sorensen, Copenhagen Business School |
| Volatility and Venture Capital |
| By Ryan Peters; University of Pennsylvania |
| presented by: Ryan Peters, University of Pennsylvania |
| Discussant: Will Gornall, University of British Columbia |
| Can Access to Capital Explain the Entrepreneurship Gender Gap? |
| By Michael Ewens; California Institute of Technology Richard Townsend; University of California, San Diego |
| presented by: Michael Ewens, California Institute of Technology |
| Discussant: Tania Babina, Columbia University |
| Session: Information Frictions in Financial Markets January 6, 2018 14:30 to 16:30 Regency C2 |
| Session Chair: Victoria Vanasco, Stanford University |
| Session type: invited |
| Delegated Learning in Asset Management |
| By Michael Sockin; University of Texas at Austin Mindy Z. Xiaolan; University of Texas at Austin |
| presented by: Michael Sockin, University of Texas at Austin |
| Discussant: Giorgia Piacentino, Columbia University |
| The Effect of Diversification on Price Informativeness and Governance |
| By Alex Edmans; London Business School Doron Levit; University of Pennsylvania Devin Reilly; Analysis Group |
| presented by: Alex Edmans, London Business School |
| Discussant: Gilles Chemla, Imperial College Business School |
| When Words Speak Louder Without Actions |
| By Doron Levit; University of Pennsylvania |
| presented by: Doron Levit, University of Pennsylvania |
| Discussant: Sergei Kovbasyuk, Einaudi Institute for Economics and Finance |
| Inside and Outside Information |
| By Daniel Quigley; University of Oxford Ansgar Walther; University of Warwick |
| presented by: Ansgar Walther, University of Warwick |
| Discussant: Nadya Malenko, Boston College |
| Session: Information Transmission and Trading: Empirical January 6, 2018 14:30 to 16:30 Commonwealth C |
| Session Chair: Vyacheslav Fos, Boston College |
| Session type: invited |
| IQ from IP: Simplifying Search in Portfolio Choice |
| By Huaizhi Chen; Harvard Business School Lauren Cohen; Harvard Business School Umit Gurun; University of Texas-Dallas Dong Lou; London School of Economics Christopher Malloy; Harvard Business School |
| presented by: Lauren Cohen, Harvard Business School |
| Discussant: Kenneth Ahern, University of Southern California |
| When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly? |
| By Paul Calluzzo; Queen's University Fabio Moneta; Queen's University Selim Topaloglu; Queen's University |
| presented by: Selim Topaloglu, Queen's University |
| Discussant: David McLean, Georgetown University |
| Show Us Your Shorts! |
| By Bige Kahraman; University of Oxford Salil Pachare; Securities and Exchange Commission |
| presented by: Bige Kahraman, University of Oxford |
| Discussant: Charles Jones, Columbia University |
| Inside Brokers |
| By Weikai Li; Singapore Management University Abhiroop Mukherjee; Hong Kong University of Science and Technology Rik Sen; University of New South Wales |
| presented by: Abhiroop Mukherjee, Hong Kong University of Science and Technology |
| Discussant: Brad Barber, University of California, Davis |
| Session: Innovations in Hedge Funds January 6, 2018 14:30 to 16:30 Commonwealth A1 |
| Session Chair: Mila Getmansky Sherman, University of Massachusetts-Amherst |
| Session type: invited |
| Dollars Versus Sense: Investor Demand, Managerial Skill, and Hedge Fund Startups |
| By Charles Cao; Pennsylvania State University Grant Farnsworth; Texas Christian University Hong Zhang; Tsinghua University |
| presented by: Grant Farnsworth, Texas Christian University |
| Discussant: Vikas Agarwal, Georgia State 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: Andrew Lo, Massachusetts Institute of Technology |
| Upside Potential of Hedge Funds as a Predictor of Future Performance |
| By Turan Bali; Georgetown University Stephen Brown; Monash University Mustafa Caglayan; Florida International University |
| presented by: Mustafa Caglayan, Florida International University |
| Discussant: Bing Liang, University of Massachusetts-Amherst |
| Properly Backing Out the Bad, Bad! Backfill Bias |
| By Philippe Jorion; University of California, Irvine Chris Schwarz; University of California, Irvine |
| presented by: Chris Schwarz, University of California, Irvine |
| Discussant: David Hsieh, Duke University |
| Session: Payout Policy January 6, 2018 14:30 to 16:30 Commonwealth A2 |
| Session Chair: Joan Farre-Mensa, Cornerstone Research |
| Session type: invited |
| Do Dividends Convey Information About Future Earnings? |
| By Charles Ham; Washington University in St. Louis Zachary Kaplan; Washington University in St. Louis Mark Leary; Washington University in St. Louis |
| presented by: Mark Leary, Washington University in St. Louis |
| Discussant: Gustavo Grullon, Rice University |
| What is Revealed When Firms Repurchase Against Short Selling? |
| By Leonce Bargeron; University of Kentucky Alice Bonaime; University of Arizona |
| presented by: Alice Bonaime, University of Arizona |
| Discussant: Ekkehart Boehmer, Singapore Management University |
| The Dark-Side of Banks' Nonbank Business: Internal Dividends in Bank Holding Companies |
| By Jonathan Pogach; Federal Deposit Insurance Corporation Haluk Unal; University of Maryland |
| presented by: Jonathan Pogach, Federal Deposit Insurance Corporation |
| Discussant: Gustavo Suarez, Federal Reserve Board |
| Session: Bank Competition and Supply of Credit January 7, 2018 8:00 to 10:00 Regency C1 |
| Session Chair: Manuel Adelino, Duke University |
| Session type: invited |
| Competing for Deal Flow in Mortgage Markets |
| By Darren Aiello; University of California, Los Angeles Mark Garmaise; University of California, Los Angeles Gabriel Natividad; Universidad de Piura |
| presented by: Mark Garmaise, University of California, Los Angeles |
| Discussant: Itzhak Ben-David, Ohio State University and NBER |
| Credit Supply Shocks, Consumer Borrowing and Bank Competitive Response: Evidence from Credit Card Markets |
| By Sergio Correia; Federal Reserve Board |
| presented by: Sergio Correia, Federal Reserve Board |
| Discussant: Daniel Paravisini, London School of Economics |
| Shock Propagation and Banking Structure |
| By Mariassunta Giannetti; Stockholm School of Economics Farzad Saidi; Stockholm School of Economics |
| presented by: Farzad Saidi, Stockholm School of Economics |
| Discussant: Philipp Schnabl, New York University |
| Session: Physics and Financial Economics: New Transfers and New Relations January 7, 2018 8:00 to 10:00 Loews Philadelphia, Howe |
| Session Chair: Christophe Schinckus, RMIT University Vietnam |
| Session type: invited |
| Where Does Econophysics fit in the Complexity Revolution? |
| By David Colander; middlebury college |
| presented by: David Colander, middlebury college |
| Discussant: Alan Kirman, University of Aix-Marseille |
| Agent-based Modeling’s Open Methodology Approach: Simulation, Reflexivity, and Abduction |
| By John Davis; Marquette University and University of Amsterdam |
| presented by: John Davis, Marquette University and University of Amsterdam |
| Discussant: Marcel Boumans, University of Utrecht |
| The History of Economics and the Pre-History of Econophysics: Boltzmann versus the Marginalists |
| By Geoffrey Poitras; Simon Fraser University |
| presented by: Geoffrey Poitras, Simon Fraser University |
| Discussant: Emmanuel Haven, University of Leicester |
| When Financial Economics Influences Physics: The Case of Econophysics |
| By Franck Jovanovic; TELUQ University Rosario Mantegna; Palermo University Christophe Schinckus; RMIT University Vietnam |
| presented by: Franck Jovanovic, TELUQ University |
| Discussant: Xavier Gabaix, Harvard University |
| Session: Capital Structure January 7, 2018 8:00 to 10:00 Commonwealth D |
| Session Chair: Konstantin Milbradt, Northwestern University |
| Session type: invited |
| Government Debt and Corporate Leverage: International Evidence |
| By Irem Demirci; Nova School of Business and Economics Jennifer Huang; Cheung Kong Graduate School of Business Clemens Sialm; University of Texas at Austin and NBER |
| presented by: Clemens Sialm, University of Texas at Austin and NBER |
| Discussant: Adi Sunderam, Harvard University |
| Macroeconomic Risk and Idiosyncratic Risk-Taking |
| By Zhiyao Chen; Chinese University of Hong Kong Ilya Strebulaev; Stanford University |
| presented by: Zhiyao Chen, Chinese University of Hong Kong |
| Discussant: Erik Loualiche, Massachusetts Institute of Technology |
| A Theory of Multi-Period Debt Structure |
| By Chong Huang; University of California, Irvine Martin Oehmke; London School of Economics Hongda Zhong; London School of Economics |
| presented by: Hongda Zhong, London School of Economics |
| Discussant: Jesse Davis, University of North Carolina-Chapel Hill |
| Session: Finance and Development January 7, 2018 8:00 to 10:00 Commonwealth A2 |
| Session Chair: Emily Breza, Harvard University |
| Session type: invited |
| Rise of Bank Competition: Evidence from Banking Deregulation in China |
| By Haoyu Gao; Central University of Finance and Economics Hong Ru; Nanyang Technological University Robert Townsend; Massachusetts Institute of Technology Xiaoguang Yang; University of Chinese Academy of Sciences |
| presented by: Hong Ru, Nanyang Technological University |
| Discussant: Sumit Agarwal, Georgetown University |
| Creditor Rights, Threat of Liquidation, and Labor-Capital Choice of Firms |
| By Shashwat Alok; Indian School of Business Ritam Chaurey; Binghamton University Vasudha Nukala; Indian School of Business |
| presented by: Ritam Chaurey, Binghamton University |
| Discussant: Martin Kanz, The World Bank |
| Bank Deposits and Liquidity Regulation: Evidence from Ethiopia |
| By Nicola Limodio; Bocconi University Francesco Strobbe; World Bank |
| presented by: Nicola Limodio, Bocconi University |
| Discussant: Janis Skrastins, Washington University in St. Louis |
| Session: Real Estate Finance January 7, 2018 8:00 to 10:00 Loews Philadelphia, Washington C |
| Session Chair: Rodney Ramcharan, University of Southern California |
| Session type: invited |
| Pockets of Poverty: The Long-Term Effects of Redlining |
| By Ian Appel; Boston College Jordan Nickerson; Boston College |
| presented by: Jordan Nickerson, Boston College |
| Discussant: Elliot Anenberg, Federal Reserve Board |
| Identifying the Benefits from Home Ownership: A Swedish Experiment |
| By Paolo Sodini; Stockholm School of Economics Stijn Van Nieuwerburgh; New York University Roine Vestman; Stockholm University Ulf von Lilienfeld-Toal; University of Luxembourg |
| presented by: Roine Vestman, Stockholm University |
| Discussant: Alberto Rossi, University of Maryland |
| An Equilibrium Model of Housing and Mortgage Markets with State-Contingent Lending Contracts |
| By Tomasz Piskorski; Columbia University Alexei Tchistyi; University of Illinois |
| presented by: Alexei Tchistyi, University of Illinois |
| Discussant: Adriano Rampini, Duke University |
| Competition, Regulation and Non-Traditional Mortgages |
| By Arthur Acolin; University of Southern California Xudong An; Federal Reserve Bank of Philadelphia Susan Wachter; university of pennsylvania |
| presented by: Arthur Acolin, University of Southern California |
| Discussant: John Mondragon, Northwestern University |
| Session: Shareholder Heterogeneity and Corporate Governance January 7, 2018 8:00 to 10:00 Commonwealth B |
| Session Chair: Martin Schmalz, University of Michigan |
| Session type: invited |
| Effects of Common Ownership on Customer-Supplier Relationships |
| By Kayla Freeman; Indiana University |
| presented by: Kayla Freeman, Indiana University |
| Discussant: Charles Hadlock, Michigan State University |
| Institutional Investors and Hedge Fund Activism |
| By Simi Kedia; Rutgers University Laura Starks; University of Texas at Austin Xianjue Wang; Rutgers University |
| presented by: Simi Kedia, Rutgers University |
| Discussant: Nickolay Gantchev, Southern Methodist University |
| Blockholder Voting |
| By Heski Bar-Isaac; University of Toronto Joel Shapiro; University of Oxford |
| presented by: Joel Shapiro, University of Oxford |
| Discussant: Ernst Maug, University of Mannheim |
| Free-riders and Underdogs: Participation in Corporate Voting |
| By Dragana Cvijanovic; University of North Carolina-Chapel Hill Moqi Groen-Xu; London School of Economics Konstantinos Zachariadis; Queen Mary University of London |
| presented by: Moqi Groen-Xu, London School of Economics |
| Discussant: Nadya Malenko, Boston College |
| Session: Social Influence and Networks January 7, 2018 8:00 to 10:00 Commonwealth A1 |
| Session Chair: Marina Niessner, Yale University |
| Session type: invited |
| Why Does Portfolio Choice Correlate across Generations? |
| By Samuli Knüpfer; BI Norwegian Business School Elias Rantapuska; Aalto University Matti Sarvimäki; Aalto University |
| presented by: Samuli Knüpfer, BI Norwegian Business School |
| Discussant: Juhani Linnainmaa, University of Southern California |
| Keeping Up with the Ponzis |
| By Ville Rantala; University of Miami |
| presented by: Ville Rantala, University of Miami |
| Discussant: Florian Ederer, Yale University |
| Tear Down This Wall Street: Anti-market Rhetoric and Investment |
| By Francesco D'Acunto; University of Maryland |
| presented by: Francesco D'Acunto, University of Maryland |
| Discussant: Cary Frydman, University of Southern California |
| Session: Taming and Explaining Anomalies January 7, 2018 8:00 to 10:00 Commonwealth C |
| Session Chair: Jules van Binsbergen, University of Pennsylvania |
| Session type: invited |
| The Lost Capital Asset Pricing Model |
| By Daniel Andrei; University of California, Los Angeles Julien Cujean; University of Maryland Mungo Wilson; University of Oxford |
| presented by: Julien Cujean, University of Maryland |
| Discussant: Laura Veldkamp, New York University |
| The Relation Between Idiosyncratic Volatility and Expected Returns: A Statistical Artifact of Temporary Changes in Idiosyncratic Volatility |
| By Hongyan Li; Virginia Tech Raman Kumar; Virginia Tech |
| presented by: Hongyan Li, Virginia Tech |
| Discussant: Christopher Polk, London School of Economocs |
| Taming the Factor Zoo |
| By Guanhao Feng; University of Chicago Stefano Giglio; University of Chicago Dacheng Xiu; University of Chicago |
| presented by: Stefano Giglio, University of Chicago |
| Discussant: Victor Chernozhukov, Massachusetts Institute of Technology |
| Term Structure of Recession Probabilities and the Cross Section of Asset Returns |
| By Ti Zhou; Southern University of Science and Technology |
| presented by: Ti Zhou, Southern University of Science and Technology |
| Discussant: Ralph Koijen, New York University |
| Session: Volatility and Tail Risk January 7, 2018 8:00 to 10:00 Regency C2 |
| Session Chair: Nicola Fusari, Johns Hopkins University |
| Session type: invited |
| Crash Beliefs from Investor Surveys |
| By William Goetzmann; Yale University Dasol Kim; U.S. Office of Financial Research Robert Shiller; Yale University |
| presented by: William Goetzmann, Yale University |
| Discussant: Asaf Manela, Washington University in St. Louis |
| A Hidden Markov Model of Leverage Dynamics, Tail Risk, and Value-Momentum Correlation |
| By Kent Daniel; Columbia University and NBER Ravi Jagannathan; Kellogg School of Management, Northwestern University, and NBER, ISB, SAIF Soohun Kim; Georgia Institute of Technology |
| presented by: Soohun Kim, Georgia Institute of Technology |
| Discussant: Tyler Muir, University of California, Los Angeles |
| Credit-Implied Volatility |
| By Gerardo Manzo; Two Sigma Investments Bryan Kelly; University of Chicago Diogo Palhares; AQR Capital Management |
| presented by: Gerardo Manzo, Two Sigma Investments |
| Discussant: Kris Jacobs, University of Houston |
| A Theory of Dissimilarity Between Stochastic Discount Factors |
| By Gurdip Bakshi; University of Maryland Xiaohui Gao Bakshi; University of Maryland George Panayotov; Hong Kong University of Science and Technology |
| presented by: Xiaohui Gao Bakshi, University of Maryland |
| Discussant: Jaroslav Borovicka, New York University |
| Session: Asset Pricing: What We Can Learn From Derivatives January 7, 2018 10:15 to 12:15 Commonwealth A1 |
| Session Chair: Travis Johnson, University of Texas at Austin |
| Session type: invited |
| Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options |
| By Dmitriy Muravyev; Boston College Neil Pearson; University of Illinois at Urbana-Champaign Joshua Pollet; University of Illinois at Urbana-Champaign |
| presented by: Dmitriy Muravyev, Boston College |
| Discussant: Adam Reed, University of North Carolina-Chapel Hill |
| Does the Ross Recovery Theorem Work Empirically? |
| By Jens Jackwerth; University of Konstanz Marco Menner; University of Konstanz |
| presented by: Marco Menner, University of Konstanz |
| Discussant: Bjorn Eraker, University of Wisconsin - Madison |
| Margin Requirements and Equity Option Returns |
| By Steffen Hitzemann; Rutgers Business School Michael Hofmann; Karlsruhe Institute of Technology Marliese Uhrig-Homburg; Karlsruhe Institute of Technology Christian Wagner; Copenhagen Business School |
| presented by: Michael Hofmann, Karlsruhe Institute of Technology |
| Discussant: Robert Battalio, University of Notre Dame |
| Session: Behavioral Finance: Investor Behavior January 7, 2018 10:15 to 12:15 Commonwealth B |
| Session Chair: Lu Zheng, University of California, Irvine |
| Session type: invited |
| Stock Market Anomalies and Baseball Cards |
| By Joseph Engelberg; University of California, San Diego Linh Le; University of South Florida Jared Williams; University of South Florida |
| presented by: Jared Williams, University of South Florida |
| Discussant: Jeffrey Wurgler, New York University |
| Culture vs. Bias: Can Social Trust Mitigate the Disposition Effect? |
| By Jie Li; INSEAD Massimo Massa; INSEAD Hong Zhang; Tsinghua University |
| presented by: Hong Zhang, Tsinghua University |
| Discussant: Veronika Pool, Indiana University |
| Daily Winners and Losers |
| By Alok Kumar; University of Miami Stefan Ruenzi; University of Mannheim Michael Ungeheuer; University of Mannheim |
| presented by: Michael Ungeheuer, Aalto University |
| Discussant: Xiaoyan Zhang, Purdue University |
| Session: Corporate Governance January 7, 2018 10:15 to 12:15 Regency A |
| Session Chair: Doron Levit, University of Pennsylvania |
| Session type: invited |
| CEO Power and Board Dynamics |
| By John Graham; Duke University Hyunseob Kim; Cornell University Mark Leary; Washington University in St. Louis |
| presented by: Hyunseob Kim, Cornell University |
| Discussant: Dirk Jenter, London School of Economics |
| How are Shareholder Votes and Trades Related? |
| By Sophia Zhengzi Li; Michigan State University and Rutgers University Miriam Schwartz-Ziv; Michigan State University |
| presented by: Miriam Schwartz-Ziv, Michigan State University |
| Discussant: Amil Dasgupta, London School of Economics |
| Insider Activism |
| By Jonathan Cohn; University of Texas at Austin Mitch Towner; University of Arizona Aazam Virani; University of Arizona |
| presented by: Mitch Towner, University of Arizona |
| Discussant: Nickolay Gantchev, Southern Methodist University |
| Blockholders Diversity: Effect of Polyphony on the Power of Monitoring |
| By Kate Volkova; Cornell University |
| presented by: Ekaterina Volkova, Cornell University |
| Discussant: Alan Crane, Rice University |
| Session: Corporate Liquidity January 7, 2018 10:15 to 12:15 Commonwealth C |
| Session Chair: Michael Roberts, University of Pennsylvania |
| Session type: invited |
| The Interest Sensitivity of Corporate Cash |
| By Xiaodan Gao; National University of Singapore Toni Whited; University of Michigan Na Zhang; Fudan Unviersity |
| presented by: Toni Whited, University of Michigan |
| Discussant: Joao Gomes, University of Pennsylvania |
| Firm Selection and Corporate Cash Holdings |
| By Juliane Begenau; Stanford University Berardino Palazzo; Boston University |
| presented by: Berardino Palazzo, Boston University |
| Discussant: Sheridan Titman, University of Texas at Austin |
| Funding Liquidity without Banks: Evidence from a Shock to the Cost of Very Short-Term Debt |
| By Felipe Restrepo; Western University Philip Strahan; Boston College Lina Cardona; Banco de la República |
| presented by: Felipe Restrepo, Western University |
| Discussant: Mitchell Petersen, Northwestern University |
| Session: Financial Crises and Transmission of Shocks January 7, 2018 10:15 to 12:15 Regency C1 |
| Session Chair: Tyler Muir, University of California, Los Angeles |
| Session type: invited |
| Asset Price Bubbles and Systemic Risk |
| By Markus Brunnermeier; Princeton University Simon Rother; University of Bonn Isabel Schnabel; University of Bonn |
| presented by: Simon Rother, University of Bonn |
| Discussant: Alan Moreira, Yale University |
| Whatever it takes: The Real Effects of Unconventional Monetary Policy |
| By Viral Acharya; New York University, CEPR, and NBER Tim Eisert; Erasmus University Rotterdam Christian Eufinger; IESE Christian Hirsch; Goethe University Frankfurt |
| presented by: Tim Eisert, Erasmus University Rotterdam |
| Discussant: Marco Di Maggio, Harvard Business School & NBER |
| Cross-Border Bank Flows and Systemic Risk |
| By Andrew Karolyi; Cornell University John Sedunov; Villanova University Alvaro Taboada; Mississippi State University |
| presented by: John Sedunov, Villanova University |
| Discussant: Yao Zeng, University of Washington |
| Session: Financial Distress and Bankruptcy January 7, 2018 10:15 to 12:15 Loews Philadelphia, Lescaze |
| Session Chair: Kose John, New York University |
| Session type: invited |
| Destructive Creation at Work: How Financial Distress Spurs Entrepreneurship |
| By Tania Babina; Columbia University |
| presented by: Tania Babina, Columbia University |
| Discussant: Katherine Waldock, New York University |
| Selling Innovation in Bankruptcy |
| By Song Ma; Yale University Joy Tong; Duke University Wei Wang; Queen's University |
| presented by: Song Ma, Yale School of Management |
| Discussant: Gordon Phillips, Dartmouth College |
| When do Firms Risk Shift? Evidence from Venture Capital |
| By Matthew Denes; Carnegie Mellon University |
| presented by: Matthew Denes, Carnegie Mellon University |
| Discussant: Erik Gilje, University of Pennsylvania |
| Capital Market Competition and the Resolution of Financial Distress: Evidence from Corporate Bankruptcy Filings |
| By Mahsa S. Kaviani; Temple University Hosein Maleki; Temple University |
| presented by: Mahsa S. Kaviani, Temple University |
| Discussant: Edith Hotchkiss, Boston College |
| Session: Financial Regulation: Empirics January 7, 2018 10:15 to 12:15 Commonwealth D |
| Session Chair: Mark Egan, Harvard Business School |
| Session type: invited |
| Hub-and-Spoke Regulation and Bank Leverage |
| By Yadav Gopalan; Washington University in St. Louis Ankit Kalda; Washington University in St. Louis Asaf Manela; Washington University in St. Louis |
| presented by: Ankit Kalda, Washington University in St. Louis |
| Discussant: Paul Goldsmith-Pinkham, Federal Reserve Bank of New York |
| Costs of Rating-Contingent Regulation: Evidence from the Establishment of “Investment Grade” |
| By Asaf Bernstein; University of Colorado at Boulder |
| presented by: Asaf Bernstein, University of Colorado at Boulder |
| Discussant: Darren Kisgen, Boston College |
| Who Should Regulate Investment Advisers? |
| By Ben Charoenwong; University of Chicago Alan Kwan; Cornell University Tarik Umar; Rice University |
| presented by: Alan Kwan, Cornell University |
| Discussant: William Gerken, University of Kentucky |
| The Impact of Supervision on Bank Performance |
| By Beverly Hirtle; Federal Reserve Bank of New York Anna Kovner; Federal Reserve Bank of New York Matthew Plosser; Federal Reserve Bank of New York |
| presented by: Matthew Plosser, Federal Reserve Bank of New York |
| Discussant: Stefan Lewellen, London Business School |
| Session: Portfolio Choice and Asset Allocation of Households and Long-Term Investors January 7, 2018 10:15 to 12:15 Regency C2 |
| Session Chair: Thomas Gilbert, University of Washington |
| Session type: invited |
| Equilibrium Wealth Share Dynamics |
| By Ravi Bansal; Duke University Colin Ward; Carlson School of Management, University Amir Yaron; University of Pennsylvania |
| presented by: Colin Ward, University of Minnesota |
| Discussant: Jules van Binsbergen, University of Pennsylvania |
| Global Portfolio Diversification for Long-Horizon Investors |
| By Luis Viceira; Harvard Business School Zihuan Wang; Harvard Business School John Zhou; Harvard University |
| presented by: Luis Viceira, Harvard Business School |
| Discussant: Christian Lundblad, University of North Carolina |
| Agency and Portfolio Choice in Public Pension Funds |
| By I. J. Alexander Dyck; University of Toronto Paulo Manoel; University of California, Berkeley Adair Morse; University of California, Berkeley Lukasz Pomorski; AQR Capital Management, LLC |
| presented by: Adair Morse, University of California, Berkeley |
| Discussant: Joshua Rauh, Stanford University |
| Limited Marital Commitment and Household Portfolios |
| By Jawad Addoum; Cornell University Howard Kung; London Business School Gonzalo Morales; University of Alberta |
| presented by: Gonzalo Morales, University of Alberta |
| Discussant: Clemens Sialm, University of Texas at Austin and NBER |
| Session: Raising Capital January 7, 2018 10:15 to 12:15 Commonwealth A2 |
| Session Chair: Jean-Noel Barrot, Massachusetts Institute of Technology |
| Session type: invited |
| The Economics of PIPE Investing |
| By Jongha Lim; California State University, Fullerton Michael Schwert; Ohio State University Michael Weisbach; Ohio State University |
| presented by: Michael Schwert, Ohio State University |
| Discussant: Paige Ouimet, University of North Carolina |
| What do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs |
| By Peter Cziraki; University of Toronto Evgeny Lyandres; Boston University Roni Michaely; Cornell Tech |
| presented by: Peter Cziraki, University of Toronto |
| Discussant: Lauren Cohen, Harvard Business School |
| Optimal Issuance under Information Asymmetry and Accumulation of Cash Flows |
| By Pavel Zryumov; University of Pennsylvania Haoxiang Zhu; Massachusetts Institute of Technology Ilya Strebulaev; Stanford University |
| presented by: Pavel Zryumov, University of Pennsylvania |
| Discussant: Philip Bond, University of Washington |
| Key Investors in IPOs |
| By David Brown; University of Arizona Sergei Kovbasyuk; Einaudi Institute for Economics and Fina |
| presented by: Sergei Kovbasyuk, Einaudi Institute for Economics and Finance |
| Discussant: Francois Derrien, HEC Paris |
| Session: Behavioral Corporate Finance January 7, 2018 13:00 to 15:00 Regency C2 |
| Session Chair: Camelia Kuhnen, University of North Carolina |
| Session type: invited |
| Short-Term Investors, Long-Term Investments, and Firm Value |
| By Martijn Cremers; University of Notre Dame Ankur Pareek; Rutgers University Zacharias Sautner; Frankfurt School of Finance and Management |
| presented by: Ankur Pareek, Rutgers University |
| Discussant: Pedro Matos, University of Virginia |
| Stock Market Overvaluation, Moon Shots, and Corporate Innovation |
| By Ming Dong; York University David Hirshleifer; University of California, Irvine Siew Hong Teoh; University of California, Irvine |
| presented by: Ming Dong, York University |
| Discussant: Noah Stoffman, Indiana University |
| Optimism Propagation |
| By Torsten Jochem; University of Amsterdam Florian Peters; University of Amsterdam |
| presented by: Florian Peters, University of Amsterdam |
| Discussant: Itzhak Ben-David, Ohio State University and NBER |
| Session: Contracts and Incentives January 7, 2018 13:00 to 15:00 Regency C1 |
| Session Chair: Brett Green, University of California, Berkeley |
| Session type: invited |
| Only Time Will Tell: A Theory of Deferred Compensation and its Regulation |
| By Florian Hoffmann; University of Bonn Roman Inderst; Goethe University Frankfurt Marcus Opp |
| presented by: Marcus Opp, |
| Discussant: Felipe Varas, Duke University |
| Why do We Tenure? Analysis of a Long Standing Risk-Based Explanation |
| By Jonathan Brogaard; University of Washington Joseph Engelberg; University of California, San Diego Edward Van Wesep; University of Colorado at Boulder |
| presented by: Edward Van Wesep, University of Colorado at Boulder |
| Discussant: Michael Powell, Northwestern University |
| The Paradox of Pledgeability |
| By Jason Donaldson; Washington University in St Louis Denis Gromb; HEC Paris Giorgia Piacentino; Columbia University |
| presented by: Jason Donaldson, Washington University in St Louis |
| Discussant: Hongda Zhong, London School of Economics |
| Session: Finance and Product Market Competition January 7, 2018 13:00 to 15:00 Commonwealth A1 |
| Session Chair: Jose Azar, IESE Business School |
| Session type: invited |
| Ownership, Governance and Investment |
| By German Gutierrez; New York University Thomas Philippon; New York University |
| presented by: German Gutierrez, New York University |
| Discussant: Mireia Gine, University of Navarra & Wharton WRDS |
| Anti-Collusion Enforcement: Justice for Consumers and Equity for Firms |
| By Sudipto Dasgupta; Lancaster University Alminas Zaldokas; Hong Kong University of Science and Technology |
| presented by: Alminas Zaldokas, Hong Kong University of Science and Technology |
| Discussant: Judith Chevalier, Yale University |
| Cash, Financial Flexibility, and Product Prices: Evidence from a Natural Experiment in the Airline Industry |
| By Sehoon Kim; University of Florida |
| presented by: Sehoon Kim, University of Florida |
| Discussant: Nancy Rose, Massachusetts Institute of Technology |
| Session: Liquidity: Theoretical Models January 7, 2018 13:00 to 15:00 Commonwealth B |
| Session Chair: Hengjie Ai, University of Minnesota |
| Session type: invited |
| A Theory of Liquidity Spillover Between Bond and CDS Markets |
| By Batchimeg Sambalaibat; Indiana University |
| presented by: Batchimeg Sambalaibat, Indiana University |
| Discussant: Pierre-Olivier Weill, University of California, Los Angeles |
| Pricing and Liquidity in Decentralized Asset Markets |
| By Semih Üslü; Johns Hopkins University |
| presented by: Semih Üslü, Johns Hopkins University |
| Discussant: Ana Babus, Federal Reserve Bank of Chicago |
| Hedge Funds, Signaling, and Optimal Lockups |
| By Juhani Linnainmaa; University of Southern California Alan Moreira; Yale University |
| presented by: Alan Moreira, Yale University |
| Discussant: Hong Liu, Washington University in St. Louis |
| ETF Arbitrage under Liquidity Mismatch |
| By Kevin Pan; Harvard University Yao Zeng; University of Washington |
| presented by: Yao Zeng, University of Washington |
| Discussant: Haoxiang Zhu, Massachusetts Institute of Technology |
| Session: Market Microstructure: New Tools and New Markets January 7, 2018 13:00 to 15:00 Commonwealth D |
| Session Chair: Brian Weller, Duke University |
| Session type: invited |
| Tracking Retail Investor Activity |
| By Ekkehart Boehmer; Singapore Management University Charles Jones; Columbia University Xiaoyan Zhang; Purdue University |
| presented by: Xiaoyan Zhang, Purdue University |
| Discussant: Katya Malinova, University of Toronto |
| High-Frequency Cross-Market Trading: Model Free Measurement and Applications |
| By Ernst Schaumburg; AQR Capital Management, LLC Dobrislav Dobrev; Federal Reserve Board of Governors |
| presented by: Ernst Schaumburg, AQR Capital Management, LLC |
| Discussant: Clara Vega, Federal Reserve Board |
| The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets |
| By Haoming Chen; University of New South Wales Sean Foley; University of Sydney Michael Goldstein; Babson College Thomas Ruf; University of New South Wales |
| presented by: Thomas Ruf, University of New South Wales |
| Discussant: Joshua Mollner, Northwestern University |
| Session: Politics, Policy and Asset Prices January 7, 2018 13:00 to 15:00 Commonwealth A2 |
| Session Chair: Russ Wermers, University of Maryland |
| Session type: invited |
| Political Cycles and Stock Returns |
| By Lubos Pastor; University of Chicago Pietro Veronesi; University of Chicago |
| presented by: Lubos Pastor, University of Chicago |
| Discussant: Anna Pavlova, London Business School |
| Quantitative Easing in the Euro Area: The Impact on Risk Exposures and Asset Prices |
| By Ralph Koijen; New York University Francois Koulischer; Banque de France Motohiro Yogo; Princeton University |
| presented by: Ralph Koijen, New York University |
| Discussant: Christian Lundblad, University of North Carolina |
| Following the Money: Evidence for Portfolio Balance Channel of Quantitative Easing |
| By Itay Goldstein; University of Pennsylvania Jonathan Witmer; Bank of Canada Jing Yang; Bank of Canada |
| presented by: Jonathan Witmer, Bank of Canada |
| Discussant: Russ Wermers, University of Maryland |
| Regulating Information |
| By Andrew Bird; Carnegie Mellon University Stephen Karolyi; Carnegie Mellon University Thomas Ruchti; Carnegie Mellon University |
| presented by: Thomas Ruchti, Carnegie Mellon University |
| Discussant: Laura Veldkamp, New York University |
| Session: The Causes and Consequences of Household Borrowing January 7, 2018 13:00 to 15:00 Commonwealth C |
| Session Chair: Brian Melzer, Federal Reserve Bank of Chicago |
| Session type: invited |
| Import Competition and Household Debt |
| By Jean-Noel Barrot; Massachusetts Institute of Technology Erik Loualiche; Massachusetts Institute of Technology Matthew Plosser; Federal Reserve Bank of New York Julien Sauvagnat; Bocconi University |
| presented by: Julien Sauvagnat, Bocconi University |
| Discussant: Benjamin Keys, University of Pennsylvania |
| Fiscal Stimulus and Consumer Debt |
| By Yuliya Demyanyk; Federal Reserve Bank of Cleveland Elena Loutskina; University of Virginia Daniel Murphy; University of Virginia |
| presented by: Daniel Murphy, University of Virginia |
| Discussant: Eric Zwick, University of Chicago |
| Debt and Human Capital: Evidence from Student Loans |
| By Vyacheslav Fos; Boston College Andres Liberman; New York University Constantine Yannelis; Stanford University |
| presented by: Andres Liberman, New York University |
| Discussant: Will Dobbie, Princeton University |
| House Prices, Mortgage Debt and Labor Mobility |
| By Radhakrishnan Gopalan; Washington University in St. Louis Barton Hamilton; Washington University in St. Louis Ankit Kalda; Washington University in St. Louis David Sovich; Washington University in St. Louis |
| presented by: Radhakrishnan Gopalan, Washington University in St. Louis |
| Discussant: Andreas Fuster, Federal Reserve Bank of New York |
This program was last updated on 2018-01-05 07:42:12 EDT