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Session 1: Asset Pricing I
July 12, 2021 9:00 to 10:40
Location: Zoom Room A |
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| Session Chair:
S. Ghon Rhee, University of Hawaii |
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| Which Factors with Price-Impact Costs? |
| presented by: Sicong (Allen) Li, London Business School |
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| Which Factors are Priced? It Depends on Who You Ask: Investor Heterogeneity and Factor Pricing |
| presented by: Zhao Jin, PBCSF, Tsinghua University |
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| Noise Trading and Asset Pricing Factors |
| presented by: Hong Xiang, The University of Hong Kong |
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| Can We Find a Unified Explanation for Momentum? |
| presented by: Laite Guo, McMaster University |
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Session 2: Behavioural Finance I
July 12, 2021 9:00 to 10:40
Location: Zoom Room B |
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| Session Chair:
Frank McGroarty, University of Southampton |
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| Getting Burned by Frictionless Financial Markets |
| presented by: Anirudh Dhawan, University of Technology Sydney |
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| Employee Sentiment and Stock Returns |
| presented by: Guohao Tang, Hunan University |
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| Time-varying Impact of Investor Sentiment |
| presented by: Pengfei Sui, The Chinese University of Hong Kong, Shenzhen |
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| Does News Tone Help Forecast Oil? |
| presented by: Boru Ren, Trinity College Dublin |
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Session 3: Corporate Finance I
July 12, 2021 9:00 to 10:40
Location: Zoom Room C |
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| Session Chair:
Mark Shackleton, University of Lancaster |
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| The Role of Personal Income Taxes in Corporate Investment Decisions |
| presented by: Robert Vossebürger, WHU |
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| A Real Options Asset Pricing Model with Seasonal Sales and Inventory Building |
| presented by: Kevin Schneider, Alliance Manchester Business School |
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| Product Market Competition and the Economic Value of Innovation |
| [slides] |
| presented by: Muhan Hu, University of Melbourne |
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Session 4: Forecasting I
July 12, 2021 9:00 to 10:40
Location: Zoom Room D
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| Session Chair:
Carol Alexander, University of Sussex |
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| Machine Learning for Realised Volatility Forecasting |
| presented by: Eghbal Rahimikia, University of Manchester |
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| Forecasting Realised Volatility: Does the LASSO approach outperform HAR? |
| presented by: Yi Ding, University of Stirling |
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| Estimating and Forecasting Long-Horizon Dollar Return Skewness |
| presented by: Jiayu Jin, The University of Manchester |
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| Predicting the Equity Premium with Combination Forecasts - Revisiting the Evidence |
| presented by: Sebastian Denk, Ulm University |
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Session 5: Macro Finance I
July 12, 2021 9:00 to 10:40
Location: Zoom Room E |
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| Session Chair:
Alexander McNeil, University of York |
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| A Macro-finance Model with Realistic Crisis Dynamics |
| presented by: Goutham Gopalakrishna, Ecole Polytechnique Federale de Lausanne |
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| Macro-Financial Trends in a Model with Concentrated Ownership of Capital |
| presented by: Francesco Saverio Gaudio, University of Warwick |
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| Capital Requirements Modeling for Market and Non-life Premium Risk in a Dynamic Insurance Portfolio |
| presented by: Stefano Cotticelli, La Sapienza, University of Rome - PhD |
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| Monetary Policy Transmission and Macroprudential Policies in a Low Interest Rate Environment |
| presented by: Raphaël Cardot-Martin, Université de Franche-Comté |
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Session 6: Mathematical Finance I
July 12, 2021 9:00 to 10:40
Location: Zoom Room F |
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| Session Chair:
George Skiadopoulos, Queen Mary University of London and University of Piraeus |
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| The Efficient Hedging Frontier with Deep Neural Networks |
| presented by: Zheng Gong, University of Essex |
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| A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia |
| presented by: Gaetan Bakalli, University of Geneva |
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| Zero Crossing |
| presented by: Anian Roppel, Karlsruhe Institute of Technology (KIT) |
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| Predicting Real Economic Activity with Individual Option-Implied Expected Returns |
| presented by: Mina Mirshahi, Queen Mary University of London |
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Session 7: Asset Pricing II
July 12, 2021 11:00 to 12:40
Location: Zoom Room A |
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| Session Chair:
Andreas Kaeck, University of Sussex |
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| The Technical Default Spread |
| presented by: Jun Yu, Hong Kong University of Science and Technology |
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| Extrapolative Market Participation |
| presented by: Zhiwei Su, Tsinghua University |
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| Disagreeing Forever: A Testable Model with Non-Vanishing Belief Heterogeneity |
| presented by: Arthur Beddock, Université Paris-Dauphine / Tilburg University |
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| Asset Pricing and Time-varying Expectations |
| presented by: Yifan Zhang, University of Oxford |
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Session 8: Banking I
July 12, 2021 11:00 to 12:40
Location: Zoom Room B |
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| Session Chair:
Guy Liu, Peking University |
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| Risky Financial Collateral, Firm Heterogeneity, and the Impact of Eligibility Requirements |
| presented by: Matthias Kaldorf, University of Cologne |
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| Does Liquidity Management Induce Fragility in Treasury Prices? Evidence from Bond Mutual Funds |
| presented by: Xin Liu, Renmin University of China |
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| Banks’ Liquidity Management During the COVID-19 Pandemic |
| presented by: Kaisheng Luo, Durham University |
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| Banks' Next Top Model |
| presented by: Elizaveta Sizova, KU Leuven |
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Session 9: Behavioural Finance II
July 12, 2021 11:00 to 12:40
Location: Zoom Room C |
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| Session Chair:
Raghavendra Rau, University of Cambridge |
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| Locked-in at Home: Female Analysts' Attention at Work during the COVID-19 Pandemic |
| presented by: Mengqiao Du, University of Mannheim |
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| Air Travel and Analysts’ Processing of Financial Information |
| presented by: Lizhengbo Yang, University of Warwick |
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| Do Local and Foreign Analysts Behave Differently? |
| presented by: Fengting Zhang, Univeristy of Reading |
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| Does Divergence of Opinions Make Better Minds? Evidence from Social Media |
| presented by: Mustabsar Awais, The University of Sheffield |
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Session 10: Financial Markets I
July 12, 2021 11:00 to 12:40
Location: Zoom Room D
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| Session Chair:
Linlin Ma, Peking University |
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| Does Fluctuation in Past Flows Generate Time-Varying Loss Aversion of Mutual Funds? |
| presented by: Liyuan Liu, Tsinghua University |
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| Born after the Volcker Rule: Regulatory Change, Managerial Remuneration and Hedge Fund Performance |
| presented by: Lijie Yu, The University of Manchester |
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| Self-Interest of Independent Directors and Liquidations of Mutual Funds |
| presented by: Yue Zhang, Sun Yat-sen University |
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| Daily, Unambiguous, Heterogeneous Mutual Fund Flows and Their Performance Sensitivity |
| presented by: Andre Lot, Norwegian School of Economics |
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Session 11: Financial Markets II
July 12, 2021 11:00 to 12:40
Location: Zoom Room E |
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| Session Chair:
Marcel Prokopczuk, Leibniz University Hannover |
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| Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements |
| presented by: Yahua Xu, Central University of Finance and Economics |
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| Prime Money Market Funds Regulation, Global Liquidity, and the Crude Oil Market |
| presented by: Miruna Ivan, University of Essex |
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| Earthquakes and Copper Prices |
| presented by: Thomas Wimmer, University of Augsburg |
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| Variance Risk Premiums in Energy Markets: Ex-ante and Ex-post Perspectives |
| presented by: Giacomo Morelli, Sapienza University of Rome |
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Session 12: Macro Finance II
July 12, 2021 11:00 to 12:40
Location: Zoom Room F |
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| Session Chair:
Ephraim Clark, Middlesex University |
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| The Effect of the China Connect |
| presented by: Chang Ma, Fanhai International School of Finance, Fudan University |
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| US Monetary Policy and the Financial Channel of the Exchange Rate: Evidence from India |
| presented by: Shesadri Banerjee, Madras Institute of Development Studies |
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| MIDAS and the Excess Volatility Puzzle: An International Perspective |
| presented by: Enoch Quaye, University of Kent |
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| Growth versus Equity: The Effects of Centralized Fiscal Transfers on Provincial Economies in China |
| presented by: Kian Ong, University of Nottingham Ningbo China |
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Session 13: Poster Session I
July 12, 2021 12:40 to 13:00
Location: Zoom Room A-F (Respectively) |
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| Ceo Gender and Corporate Labor Cost |
| presented by: Sailu (Lulu) Li, Pacific Lutheran University |
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| The Business Media as a Watchdog in Mutual Fund Risk Shifting |
| presented by: Prince Asamoah, City University of Hong Kong |
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| Asymmetric Information, Credit Allocation and the Optimal Regulation of Name Market |
| presented by: Yibo Sun, The University of Hong Kong |
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| Gender Differences In Reaction To Enforcement Mechanisms: A Large-Scale Natural Field Experiment |
| presented by: Difang Huang, Monash University |
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| CEO Overconfidence, Customer Satisfaction and Corporate Value |
| presented by: Phong (Daniel) Nguyen, Federation University Australia |
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Session 14: Corporate Finance II
July 12, 2021 13:00 to 14:40
Location: Zoom Room A |
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| Session Chair:
Douglas Cumming, Florida Atlantic University |
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| Industrial Robots and Finance |
| presented by: Tong Zhou, ShanghaiTech University |
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| Geopolitical Risk and Firm Innovation |
| [slides] |
| presented by: Anh Do, University of Bath |
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| Labor Matching and Equity Prices |
| presented by: Nasim Sabah, Framingham State University |
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| Unintended Labour Market Consequences of Shareholder Litigation |
| presented by: Wei-Fong Pan, University of Reading |
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Session 15: Corporate Finance III
July 12, 2021 13:00 to 14:40
Location: Zoom Room B |
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| Session Chair:
Evgeny Lyandres, Tel Aviv University |
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| The Effect of Institutional Investor Portfolio Diversification on Corporate Diversification |
| presented by: Seungjoon Oh, Peking University |
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| Does Common Ownership Encourage Strategic Lobbying? Empirical Evidence from the U.S. Pharmaceutical Industry |
| presented by: Lauren Li, University of Bristol |
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| Reaching for Dividends, Price Pressure, and The Implications for Corporate Dividend Policy |
| presented by: Shiyang Huang, The University of Hong Kong |
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| The Indirect Effect of Import Competition on Corporate Tax Avoidance |
| presented by: Baptiste Souillard, Université Libre de Bruxelles |
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Session 16: Corporate Finance IV
July 12, 2021 13:00 to 14:40
Location: Zoom Room C |
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| Session Chair:
Dmitriois Gounopoulos, University of Bath |
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| Innovation, Annual Report Readability and Earnings Management |
| presented by: Min Yang, University of Bath |
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| Finance, R&D, and TFP Dynamics |
| presented by: Zhiyuan Chen, Renmin University |
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| Competition and Innovation Revisited: A Product-Level View |
| presented by: Mosab Hammoudeh, University of Iowa |
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| Information Disclosure and Drug Development: Evidence from Mandatory Reporting of Clinical Trials |
| presented by: Seungjoon Oh, Peking University |
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Session 17: Credit Risk
July 12, 2021 13:00 to 14:40
Location: Zoom Room D
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| Session Chair:
Christophe Mues, University of Southampton |
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| The Price of Inconsistency: Evidence from Alternative Credit Data |
| presented by: Filipe Correia, University of Illinois |
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| Macroeconomic Fundamentals, Real-Time Uncertainty and CDS Index Spreads |
| presented by: Xu Wang, University of Northampton |
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| Rating Transitions for Insurance Companies: A Unique Comparative Analysis |
| presented by: Sandy Perez-Robles, Bangor University |
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| Credit Ratings, Financial Ratios, and Equity Risk: a Decomposition Analysis |
| presented by: Yixiao Jiang, Christopher Newport University |
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Session 18: Fund Management
July 12, 2021 13:00 to 14:40
Location: Zoom Room E |
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| Session Chair:
Ferhat Akbas, University of Illinois at Chicago |
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| Active Mutual Funds: Beware of Smart Beta ETFs! |
| presented by: Thanh Dat Le, Auburn University |
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| Do Hedge Funds Still Manipulate Stock Prices? |
| presented by: Xinyu Cui, University of Manchester |
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| Do Exchange Traded Funds Enhance Market Mispricing? A Trading Perspective |
| presented by: Adina Yelekenova, Lancaster University |
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| Trade Creditors Response to Hedge Fund Activism |
| presented by: Amanjot Singh, Deakin University |
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Session 19: Microstructure I
July 12, 2021 13:00 to 14:40
Location: Zoom Room F |
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| Session Chair:
Kingsley Fong, UNSW Sydney |
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| Optimal Execution with Stochastic Delay |
| presented by: Leandro Sánchez-Betancourt, University of Oxford |
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| Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News |
| presented by: Eghbal Rahimikia, University of Manchester |
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| The Value of Features: An Analysis over Fundamental Variables for Stock Movement Predictions |
| presented by: Frederico Neto, São Paulo School of Economics |
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| Dark Pool Effects on Price Discovery and Real Efficiency |
| presented by: Xiaoqi Xu, University of California, Irvine |
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Session 20: Break
July 12, 2021 14:20 to 14:40
Location: Main Zoom Room |
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Session 21: Asset Pricing III
July 12, 2021 16:20 to 18:00
Location: Zoom Room A |
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| Session Chair:
Michael Gallmeyer, University of Virginia |
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| A Long-run Productivity Risks Driving q-Factor Model |
| presented by: Zhiting Wu, University of St Andrews |
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| Learning and the Anatomy of the Profitability Premium |
| presented by: Chi-Yang Tsou, Hong Kong University of Science and Technology |
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| The Asset Durability Premium |
| presented by: Chi-Yang Tsou, Hong Kong University of Science and Technology |
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| Corporate Balance Sheets and Sovereign Risk Premia |
| presented by: Steve Pak Yeung Wu, UBC/UC San Diego |
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Session 22: Banking II
July 12, 2021 16:20 to 18:00
Location: Zoom Room B |
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| Session Chair:
Rita D'Ecclesia, University of Roma La Sapienza |
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| Investment Sensitivity to Lender Default Shocks |
| presented by: Srinivasan Selvam, Peking University |
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| Spillover Effects of Natural Disasters on Banks: A Spatial Framework |
| presented by: Xiaoyu Yu, Rice University |
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| Leveraged Loans: Is High Leverage Risk Priced in? |
| presented by: Binru Zhao, University of Bath |
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| Capital Regulation, Monetary Policy, and the Renegotiation of International Loans |
| presented by: Kerron Joseph, The University of Texas at San Antonio |
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Session 23: Behavioural Finance III
July 12, 2021 16:20 to 18:00
Location: Zoom Room C |
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| Session Chair:
Darren Duxbury, Newcastle University |
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| Asset Pricing with Daily Shopper Spending |
| presented by: Jialu Shen, University of Missouri |
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| The Power of Love: Emotional Support and Financial Hardship |
| presented by: Da Ke, University of South Carolina |
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| The Impact of Payday Lending on Crimes |
| presented by: Chen Shen, University of North Carolina at Charlotte |
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| The Value of Political Connections: Evidence from China's Anti-Corruption Campaign |
| presented by: Marta Alonso, University of Navarra |
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Session 24: Macro Finance III
July 12, 2021 16:20 to 18:00
Location: Zoom Room D
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| Session Chair:
Matheus Grasselli, McMaster University |
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| Public Health Shocks and Product Pricing Behavior: Evidence from Life Insurance during the 1918-19 Influenza Pandemic |
| presented by: Gertjan Verdickt, KU Leuven |
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| The COVID-19 Pandemic and Sovereign Bond Risk |
| presented by: Nicu Sprincean, Alexandru Ioan Cuza University of Iasi |
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| Cost of Misaligned CARES Act: Overcrowding, Selective Verification and Unintended Racial Consequences |
| presented by: Arka Prava Bandyopadhyay, Baruch College |
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| The 1918 Influenza Pandemic and Financial Development |
| presented by: Xiaofan Liu, The University of Edinburgh |
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Session 25: Mathematical Finance II
July 12, 2021 16:20 to 18:00
Location: Zoom Room E |
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| Session Chair:
Alvaro Cartea, University of Oxford |
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| What is the Time Series Regression of the Stock Market Return? |
| presented by: Yueliang Lu, University of North Carolina at Charlotte |
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| Credit Portfolio Selection: a Bounded Knapsack Problem solved Using Multi-Objective Genetic Algorithm |
| presented by: André Bordignon, Fundacao Getulio Vargas |
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| Variance Dependent Pricing Kernel in Continuous Time |
| presented by: Hamed Ghanbari, University of Lethbridge |
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| A Machine Learning Factor-Based Interpretation for the Bond Risk Premia in the U.S. |
| presented by: Caio Vigo Pereira, University of Kansas |
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Session 26: Microstructure II
July 12, 2021 16:20 to 18:00
Location: Zoom Room F |
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| Session Chair:
Rama Cont, University of Oxford |
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| Information Pools and Insider Trading: A Snapshot of America’s Financial Elite. |
| presented by: Luciano Somoza, Swiss Finance Institute - University of Lausanne |
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| Frequent Batch Auctions under Liquidity Constraints |
| presented by: Zeyu Zhang, University of Edinburgh |
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| Persistency of Window Dressing Practises in the U.S. Repo Markets after the GFC: The Unexplored Role of the Deposit Insurance Premium |
| presented by: Salvatore Polizzi, University of Palermo |
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| Client-Dealer Intermediation in OTC Markets |
| presented by: Vincent Skiera, Haas School of Business, University of California, Berkeley |
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Session 27: Behavioural Finance IV
July 13, 2021 9:00 to 10:40
Location: Zoom Room A |
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| Session Chair:
Ania Zalewska, University of Bath |
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| Corporate Innovation in the Cyber Age |
| presented by: Gabriele Lattanzio, Nazarbayev University |
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| Research on FESTs, Fiscal Transparency and Media Coverage: Evidence from China |
| presented by: Yizhi Wang, Trinity College Dublin |
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| It Depends Who you Ask: Context Effects in the Perception of Stock Returns |
| presented by: Junyang Guo, Warwick Business School |
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| Whatever It Takes to Understand a Central Banker - Embedding Their Words Using Neural Networks |
| presented by: Johannes Zahner, University of Marburg |
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Session 28: Corporate Finance V
July 13, 2021 9:00 to 10:40
Location: Zoom Room B |
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| Session Chair:
Di Li, Peking University |
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| Market-Timing and Synergy Motives for Mergers and Acquisitions: The Influence of Social Norms on Sin and Non-Sin Acquirers |
| presented by: Quyen Van, Newcastle University Business School |
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| Why Does Corporate Social Responsibility Matter in Cross-border M&A? Evidence from China |
| presented by: Xianmin Liu, Queen Mary University of London |
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| The Role of Financial Expert CEOs in Mergers & Acquisitions |
| presented by: Chang Gong, ESCP |
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| Merger-Driven Listing Dynamics |
| presented by: Markus Lithell, Norwegian School of Economics (NHH) |
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Session 29: Corporate Governance I
July 13, 2021 9:00 to 10:40
Location: Zoom Room C |
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| Session Chair:
Guy Liu, Peking University |
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| Founding Family Heritage, Social Background and Risk Taking by Family Firms |
| presented by: Ankit Singhal, Shiv Nadar University |
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| Ruling with Ideology: Politician Belief and Privatization |
| presented by: Linxiang Ma, University of Melbourne |
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| Competition and the Reputational Costs of Litigation |
| presented by: Vesa Pursiainen, University of St. Gallen |
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| Spouse Teams and CSR: Evidence from Chinese Privately-Owned Firms |
| presented by: Peng Hua, Shanghai University |
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Session 30: Financial Markets III
July 13, 2021 9:00 to 10:40
Location: Zoom Room D
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| Session Chair:
Markus Leippold, University of Zurich |
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| US-Listed Chinese Firms and Short Selling Attacks |
| presented by: Zhe Peng, Wilfrid Laurier University |
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| Geographic Proximity in Short Selling |
| presented by: Xiaolin Huo, Renmin University of China |
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| Information Processing Skills of Short Sellers in Healthcare Stocks: Empirical Evidence from Covid-19 |
| presented by: Jan-Oliver Strych, Karlsruhe Institute of Technology |
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| Asset Bubbles and Financial Friction |
| presented by: Chenxi Wang, Renmin University of China |
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Session 31: Fintech I
July 13, 2021 9:00 to 10:40
Location: Zoom Room E |
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| Session Chair:
Julian M. Williams, Durham University Business School |
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| Model-Based Valuation of Proof-of-Stake Cryptocurrency Networks and Design Implications |
| presented by: Fabian Erich Eska, Karlsruhe Institue of Technology |
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| The Public Blockchain Ecosystem: An Empirical Analysis |
| presented by: Peter Mueller, University of Oklahoma |
| |
| Linguistic Errors and Investment Decisions: The Case of Ico White Papers |
| presented by: Wouter Torsin, HEC Management School, University of Liège |
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| How Does the Market Power Affect the Market-Based Default Risk? Evidence from Indian Banks |
| presented by: Mohammad Azeem Khan, Indian Institute of Technology Kanpur |
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Session 32: Mathematical Finance III
July 13, 2021 9:00 to 10:40
Location: Zoom Room F |
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| Session Chair:
Chia-Shang J. Chu, Peking University |
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| When do Equally Weighted Portfolios Beat the Value-Weighted? |
| presented by: Alexander Swade, Lancaster University Management School |
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| Loss Function-based Change Point Detection in Risk Measures |
| presented by: Xiaohan Xue, University of Reading |
| |
| The Informational Content of Implied Correlation |
| presented by: Xiaohang Sun, University of Kent |
| |
| Bayesian Estimation for Beta–negative Binomial Auto-regression Model |
| presented by: Yuanqi Chu, Brunel University London |
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Session 33: Corporate Governance II
July 13, 2021 11:00 to 12:40
Location: Zoom Room A |
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| Session Chair:
Dmitriois Gounopoulos, University of Bath |
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| Local Official Turnover and Bond Default |
| presented by: Chuantao Cui, Sichuan University |
| |
| Firm-government Quid pro Quo and Political Leader Patron-client Networks in China |
| presented by: Huanjia Ma, University of Birmingham |
| |
| The Real Effects of Corruption on Corporate Takeover Activity: Evidence from China’s Anti-corruption Campaign |
| presented by: Siyang Tian, Southwestern University of Finance and Economics |
| |
| Political Connection and Corporate Litigation: Evidence from a Quasi-Natural Experiment |
| presented by: Siyang Tian, Southwestern University of Finance and Economics |
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Session 34: Financial Markets IV
July 13, 2021 11:00 to 12:40
Location: Zoom Room B |
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| Session Chair:
Gonul Colak, Hanken School of Economics |
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| Trading Strategies of Corporate Insiders at the 52-Week High and Low |
| presented by: Xiaoke Ye, Business School, City, University of London |
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| Flight to Lottery Ahead of FOMC Announcements |
| presented by: Haifeng Guo, Durham University |
| |
| Has Manipulation in the VIX Decreased? |
| [slides] |
| presented by: Tim Baumgartner, Ulm University |
| |
| Stock Market Reactions to Legislated Tax Changes: Evidence from the United States, Germany, and the United Kingdom |
| presented by: Sascha Mierzwa, University of Marburg |
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Session 35: Fintech II
July 13, 2021 11:00 to 12:40
Location: Zoom Room C |
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| Session Chair:
Herve Alexandre, Universite Paris Dauphine PSL |
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| The Promises and Pitfalls of WealthTech: Evidence from Online Marketplace Lending |
| presented by: Xiaoyang Li, Jinan University |
| |
| Does Culture Influence Lending to Firms? A Closer Look at the Cost of Bank Loans and the Conditioning Effect of Bank CEOs Cultural Heritage |
| presented by: Christine Christofi-Hau, University of Southampton |
| |
| An Anatomy of FinTech Lending in China During COVID-19 |
| presented by: Difang Huang, Monash University |
| |
| Geographical-Proximity Bias in P2B Crowdlending Strategies |
| presented by: Hugo Marin, Université Paris-Dauphine - PSL |
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Session 36: Forecasting II
July 13, 2021 11:00 to 12:40
Location: Zoom Room D
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| Session Chair:
Xiaochun Meng, University of Sussex |
| |
| Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance |
| presented by: Dennis Umlandt, University of Trier |
| |
| Life-Cycle Portfolio Choice with Imperfect Predictors |
| presented by: Yuxin Zhang, Renmin University of China |
| |
| Taylor Rules and Exchange Rate Predictability for the UK |
| presented by: Wenjiao Hu, University of Nottingham |
| |
| Information Leakage in Backtesting |
| presented by: weiguan wang, Shanghai University |
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Session 37: Green Finance I
July 13, 2021 11:00 to 12:40
Location: Zoom Room E |
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| Session Chair:
Ania Zalewska, University of Bath |
| |
| How does the Board of Directors Affect CSR Strategies? |
| presented by: Wentao Li, University of Groningen |
| |
| Product Market Threats and Corporate ESG Performance |
| presented by: Hanwen Sun, University of Bath |
| |
| The Impact of Corporate Culture on CEO Compensation |
| presented by: Sahar Alabdullah, Cardiff University |
| |
| Do ESG Ratings Reflect the Visibility of Sustainability Initiatives? Evidence from Green Bonds |
| presented by: Quentin Moreau, Université Paris–Dauphine |
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Session 38: Asset Pricing IV
July 13, 2021 11:00 to 12:40
Location: Zoom Room F |
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| Session Chair:
Andros Gregoriou, University of Brighton |
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| In Art We Trust |
| presented by: Yuexin Li, Tilburg University |
| |
| Do Intangible Assets Really Foster Corporate Tax Avoidance? |
| presented by: Kai Wu, Central University of Finance and Economics |
| |
| Does the Stock Market Fully Value Alternative Work Arrangements? Work From Home and Equity Prices |
| presented by: Gabriele Lattanzio, Nazarbayev University |
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| New Insights on Loss Given Default for Shipping Finance: Parametric and Non-Parametric Estimations |
| presented by: Aida Salko, Sapienza University of Rome |
| |
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Session 39: Break
July 13, 2021 12:40 to 13:00
Location: Main Zoom Room |
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Session 40: Corporate Finance VI
July 13, 2021 13:00 to 14:20
Location: Zoom Room A |
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| Session Chair:
Gonul Colak, Hanken School of Economics |
| |
| Cash-rich Seasoned Equity Issuers |
| presented by: Mengqian Chen, University of Manchester |
| |
| Excess Funds and Agency Problem- Evidence from Sources of Financing for Repurchases |
| [slides] |
| presented by: Kun Li, University of Exeter |
| |
| The Effect of Option Listing on Financing Decisions |
| presented by: Eunpyo Hong, George Washington University |
| |
| Political Uncertainty, Corruption and Corporate Cash Holdings |
| presented by: Shashitha Jayakody, University of Kent |
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Session 41: Financial Markets V
July 13, 2021 13:00 to 14:20
Location: Zoom Room B |
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| |
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| Session Chair:
Ranko Jelic, University of Sussex - Business School |
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| The Long-run Impact of Sovereign Yields on Corporate Yields in Emerging Markets |
| presented by: Delong Li, Department of Economics and Finance |
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| Fragmentation in the European Monetary Union: Is it really over? |
| presented by: Francesco Roccazzella, UCLouvain |
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| The Rate of Return on Corporate Bonds: A Century of Evidence |
| presented by: Kevin Van Mencxel, University of Antwerp |
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| Municipal Corporate Bond Market under the Corporate Bond Default Wave |
| presented by: Yangming Bao, Capital University of Economics and Business |
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Session 42: Corporate Governance III
July 13, 2021 13:00 to 14:20
Location: Zoom Room C |
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| |
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| Session Chair:
Sofia Johan, Florida Atlantic University |
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| Regulation Interventions Impact on Board Diversity |
| [slides] |
| presented by: Anh Do, University of Bath |
| |
| Time (Needed) for the Board of Directors to Protect the Environment: Evidence from Mergers |
| presented by: Ellie Luu, University of Bristol |
| |
| Gender Diversity, Critical Mass and Corporate Innovation |
| presented by: Yang Su, University of Nottingham |
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| CEO Turnover and Director Reputation |
| presented by: Jonas Romer, University of St. Gallen |
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Session 43: Fintech III
July 13, 2021 13:00 to 14:20
Location: Zoom Room D
|
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| |
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| Session Chair:
Carol Alexander, University of Sussex |
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| Is Bitcoin the New Digital Gold? Evidence from Extreme Price Movements in Financial Markets |
| presented by: Konstantinos Gkillas, University of Patras |
| |
| The Cryptocurrency Uncertainty Index |
| presented by: Yizhi Wang, Trinity College Dublin |
| |
| Dynamic Dependence and Asset Allocation in Cryptocurrency Markets |
| presented by: Danyang Li, University of Glasgow |
| |
| Volatility and Dependence in Cryptocurrency and Financial Markets: A Copula Approach |
| presented by: Jinan Liu, University of Nebraska at Omaha |
| |
|---|
Session 44: Green Finance II
July 13, 2021 13:00 to 14:20
Location: Zoom Room E |
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| |
|---|
| Session Chair:
Herve Alexandre, Universite Paris Dauphine PSL |
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| We are All in the Same Boat: Cross-Border Spillovers of Climate Risk Through International Trade and Supply Chain |
| presented by: Haishi Li, University of Chicago |
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| Exploring Green Financial Opportunities |
| presented by: Kevyn Stefanelli, Sapienza University of Rome |
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| Explaining Greenium in a Macro-Finance Integrated Assessment Model |
| [slides] |
| presented by: Biao Yang, Bocconi University |
| |
| Expand or Avoid: Microfinance Credit Risk and Climate Vulnerability |
| presented by: Iftekhar Ahmed, University of Otago |
| |
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Session 45: Mathematical Finance IV
July 13, 2021 13:00 to 14:20
Location: Zoom Room F |
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| |
|---|
| Session Chair:
Rudi Zagst, HVB Institute for Mathematical Finance |
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| The Portfolio Choice Channel of Wealth Inequality |
| [slides] |
| presented by: Lucas Rosso, Universidad de Chile |
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| Proportional Tax under Ambiguity |
| presented by: Xueqi Dong, Newcastle University |
| |
| Sparse and Stable International Portfolio Optimization and Currency Risk Management |
| presented by: Raphael Burkhardt, University of Zurich |
| |
| Accelerated American Option Pricing with Deep Neural Networks |
| presented by: David Anderson, University of Zürich |
| |
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Session 46: Poster Session II
July 13, 2021 14:40 to 15:00
Location: Main Zoom Room |
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| |
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| Political Officials’ Exploitative Power and the Mechanisms of Political Connection Formation |
| presented by: Youzong Xu, University of Nottingham Ningbo China |
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| Do Speculators Exacerbate Managerial Myopia? Evidence from Margin Traders in China |
| presented by: Jun Chen, UC San Diego |
| |
| Bank earnings and capital management using loan loss provisions in OECD countries |
| presented by: Yuli lai, Brunel University London |
| |
| Importance of Local, Regional, and Global Information in Forecasting Stock Market Realised Volatility: Evidence from S&P500, Ftse100, and Gdaxi Stock Markets |
| presented by: Burak Korkusuz, University of Stirling |
| |
| Towards the Secured Overnight Financing Rate |
| presented by: Virginia Pugliese, University of Rome La Sapienza |
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| Inflation and Subjective Well-being |
| presented by: Fangzhou Xu, University of Birmingham |