Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Please note that all times are shown in the time zone of the conference. The current conference time is: 1st Oct 2022, 04:31:09am CEST

 
 
Session Overview
Date: Wednesday, 18/May/2022
4:00pm
-
8:00pm
Welcome reception
Location: Lounge area, House 4, Floor 2
4:00pm - Registration
4:30pm - Guided tour of Campus Albano
5:30pm - Fireside chat with keynote speakers
6:30pm - Mingle
Date: Thursday, 19/May/2022
10:15am
-
11:00am
Coffee and registration
Location: Lounge area, House 4, Floor 2
11:00am
-
11:15am
Introductory remarks
Location: Room 6, House 4, Floor 3
11:15am
-
12:30pm
K1: Keynote Session with Bryan Kelly
Location: Room 6, House 4, Floor 3
Chair: Michał Dzieliński
Speaker: Bryan Kelly
"The Virtue of Complexity"
12:30pm
-
1:30pm
Lunch
Location: Restaurant Proviant, House 2, Floor 4
1:30pm
-
3:00pm
1A: Financial innovation and its discontents
Location: Room 24, House 4, Floor 2
Chair: Björn Hagströmer
 

Financial Regulation and Automation Adoption: Evidence from Stock Trading Firms

Pedro Tremacoldi-Rossi

University of Illinois at Urbana-Champaign, United States of America

Discussant: Jonathan Brogaard (University of Utah)



Advising the Advisors: Evidence from ETFs

Jonathan Brogaard1, Nataliya Gerasimova2, Ying Liu3

1: University of Utah; 2: Norwegian School of Economics, Norway; 3: Shanghai University of Finance and Economics

Discussant: Egle Karmaziene (Vrije Universiteit)

1B: What have we learned during the pandemic?
Location: Room 31, House 4, Floor 2
Chair: Michał Dzieliński
 

Is Human-Interaction-Based Information Substitutable? Evidence from Lockdown

Jennie Bai1, Massimo Massa2

1: Georgetown University, United States of America; 2: INSEAD

Discussant: Cameron Peng (LSE)



Partisan Return Gap: The Polarized Stock Market in the Time of a Pandemic

Jinfei Sheng, Zheng Sun, Wanyi Wang

UC Irvine

Discussant: Blair Vorsatz (University of Chicago Booth School of Business)

3:00pm
-
4:30pm
P1: Poster session (with coffee)
Location: Lounge area, House 4, Floor 2
 

Asset Pricing with Attention Guided Deep Learning

Philippe Chatigny, Ruslan Goyenko, Chengyu Zhang

McGill University, Canada



Private Settlement in Blockchain Systems

Alfred Lehar, Motahhareh Moravvejhamedani

University of Calgary, Canada



Is the Value Premium Smaller Than We Thought?

Mathias Hasler

Boston College, United States of America



Temporal Focus in Earnings Conference Calls

Ming Deng1,3, Michał Dzieliński2, Alexander F. Wagner1,3,4,5

1: University of Zurich, Switzerland; 2: Stockholm University, Sweden; 3: Swiss Finance Institute; 4: CEPR; 5: ECGI



Financing Sustainable Entrepreneurship: ESG Measurement, Valuation, and Performance in Token Offerings

Sasan Mansouri1, Paul Momtaz1,2

1: Goethe University Frankfurt, Germany; 2: UCLA Anderson School of Management



Stock Prices and the Russia-Ukraine War: Sanctions, Energy and ESG

Ming Deng1,5, Markus Leippold1,5, Alexander Wagner1,3,4,5, Qian Wang1,2

1: University of Zurich; 2: Inovest Partners AG; 3: CEPR; 4: ECGI; 5: Swiss Finance Institute

4:30pm
-
6:00pm
2A: Should you trust your dealer?
Location: Room 24, House 4, Floor 2
Chair: Lars Nordén
 

Uninformed but Predictable: Corporate Trading and Price Discovery in Over-the-counter FX Markets

Umang Khetan, Petra Sinagl

University of Iowa, United States of America

Discussant: Dagfinn Rime (BI Norwegian Business School)



Principal Trading Procurement: Competition and Information Leakage

Markus Baldauf1,2, Joshua Mollner3

1: University of Chicago; 2: University of British Columbia; 3: Northwestern University, United States of America

Discussant: Sabrina Buti (Université Paris Dauphine-PSL)

2B: What's new in textual analysis?
Location: Room 31, House 4, Floor 2
Chair: Lily Fang
 

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

Leland Bybee1, Bryan Kelly1, Yinan Su2

1: Yale School of Management; 2: Johns Hopkins University

Discussant: Maximilian Rohrer (Norwegian School of Economics)



Textual Analysis of Short-seller Research Reports, Stock Prices, and Real Investment

Jules van Binsbergen1, Xiao Han2, Alejandro Lopez-Lira3

1: The Wharton School, University of Pennsylvania, NBER and CEPR; 2: Bayes Business School, City, University of London; 3: University of Florida

Discussant: James Ryans (Social Capital & London Business School)

6:30pm Conference dinner (by invitation)
Date: Friday, 20/May/2022
9:00am
-
10:30am
3A: Retail investors and trading pitfalls
Location: Room 24, House 4, Floor 2
Chair: Marina Niessner
 

Does gamified trading stimulate risk taking?

Philipp Chapkovski1, Mariana Khapko2, Marius Zoican2

1: International Laboratory for Experimental and Behavioural Economics, Moscow; 2: University of Toronto, Canada

Discussant: Alessandro Previtero (Indiana University)



Retail Investors’ Contrarian Behavior Around Earnings, Attention, and the Momentum Effect

Enrichetta Ravina1, Cheng Luo2, Marco Sammon3, Luis Viceira3

1: Federal Reserve Bank of Chicago, United States of America; 2: Farallon Capital Management; 3: Harvard Business School

Discussant: Marina Niessner (The Wharton School, University of Pennsylvania)

3B: It's not just financial information
Location: Room 31, House 4, Floor 2
Chair: Alejandro Lopez-Lira
 

The Government Agenda and the Effects of Regulatory Dispersion

Joseph Kalmenovitz1, Michelle Lowry1, Ekaterina Volkova2

1: Drexel University; 2: Melbourne University

Discussant: Jean-Edouard Colliard (HEC Paris)



Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices

Francesco Bianchi1, Roberto Gomez Cram2, Howard Kung2

1: Duke University (on leave), Johns Hopkins University; 2: London Business School, United Kingdom

Discussant: J. Anthony Cookson (University of Colorado - Boulder)

10:30am
-
11:00am
Coffee
Location: Lounge area, House 4, Floor 2
11:00am
-
12:30pm
4A: Learning from price and the price of learning
Location: Room 24, House 4, Floor 2
Chair: Roxana Mihet
 

Risk Sharing, Investment Efficiency, and Welfare with Feedback Effects

Snehal Banerjee1, Bradyn Breon-Drish1, Kevin Smith2

1: University of California San Diego; 2: Stanford University, United States of America

Discussant: Ilja Kantorovitch (EPFL)



Disclosure Processing Costs and Market Feedback around the World

Charles McClure1, Shawn Shi2, Edward Watts3

1: University of Chicago; 2: Stanford Graduate School of Business; 3: Yale School of Management

Discussant: Jan Schneemeier (Indiana University)

4B: How to stand out from the investment crowd?
Location: Room 31, House 4, Floor 2
Chair: Petri Jylhä
 

Quality and Product Differentiation: Theory and Evidence from the Mutual Fund Industry

Maxime Bonelli1, Anastasia Buyalskaya2, Tianhao Yao1

1: HEC Paris, France; 2: Caltech

Discussant: Melissa Prado (Universidade Nova de Lisboa Nova SBE)



Learning from Prospectuses

Simona Abis1, Andrea M Buffa2, Apoorva Javadekar3, Anton Lines1

1: Columbia University; 2: University of Colorado Boulder; 3: Indian School of Business

Discussant: Savitar Sundaresan (Imperial College London)

12:30pm
-
1:30pm
Lunch
Location: Restaurant Proviant, House 2, Floor 4
1:30pm
-
3:00pm
5A: Run for the exit
Location: Room 24, House 4, Floor 2
Chair: Abalfazl Zareei
 

Market Response to A Fear Impulse

Nikolaus Hautsch3, Albert J. Menkveld2, Stefan Voigt1

1: University of Copenhagen, Denmark and Danish Finance Institute; 2: Vrije Universiteit Amsterdam; 3: University of Vienna

Discussant: Marios Panayides (University of Cyprus)



ETFs, Illiquid Assets, and Fire Sales

Karamfil Todorov1, John Shim2

1: Bank for International Settlements; 2: University of Notre Dame Mendoza College of Business

Discussant: Julio Crego (Tilburg University)

5B: The value of data
Location: Room 31, House 4, Floor 2
Chair: Ran Xing
 

Privacy Laws and Value of Personal Data

Roxana Mihet1, Mehmet Canayaz2, Ilja Kantorovitch3, Simona Abis4, Huan Tang5

1: University of Lausanne & Swiss Finance Institute, Switzerland; 2: Pennsylania State University, USA; 3: EPFL; 4: Columbia University; 5: London School of Economics

Discussant: Antoine Uettwiller (Imperial College London)



Invisible Primes: Fintech Lending with Alternative Data

Marco Di Maggio1, Dimuthu Ratnadiwakara2, Don Carmichael3

1: Harvard Business School and NBER; 2: Louisiana State University; 3: Upstart

Discussant: Vesa Pursiainen (University of St. Gallen and Swiss Finance Institute)

3:00pm
-
3:15pm
Break
3:15pm
-
4:15pm
K2: Keynote Session with Ananth Madhavan
Location: Room 6, House 4, Floor 3
Chair: Michał Dzieliński
Speaker: Ananth Madhavan
"The impact of index investing on financial markets”
4:15pm
-
4:30pm
Concluding remarks
Location: Room 6, House 4, Floor 3

 
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