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).

Session Overview
Date: Friday, 31/Mar/2017
8:00am - 8:30amRegistration
8:30am - 9:00amWelcome of Participants

Welcome of Participants / Opening Speeches

Room A "Exchange" 
9:00am - 11:00amA1: Empirical Asset Pricing I
Session Chair: Thomas Quistgaard Pedersen
Room A "Exchange" 

Commodity Return Predictability

Regina Hammerschmid

Discussant: Mohammad Ali Isleimeyyeh

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

Sebastian Stöckl, Lars Kaiser

Discussant: Georg Cejnek

Dividend Risk Premia

Georg Cejnek, Otto Randl

Discussant: Stig Vinther Møller

The Leading Premium

M. Max Croce, Tatyana Marchuk, Christian Schlag

Discussant: Thomas Quistgaard Pedersen

9:00am - 11:00amB1: Financial Intermediation
Session Chair: Jan Schneemeier
Room B "Auditorium" 

Beating the Black Box of Risk-Weighted Capital: Is a Leverage Ratio Justified?

Alexander Schäfer

Discussant: Marlis Schairer

Banks’ Trading after the Lehman Crisis - Flight to Liquidity but No Fire Sales

Natalia Podlich, Isabel Schnabel, Johannes Tischer

Discussant: Maria Näther

Loan Performance of Contractual Savings for Housing

Hans-Peter Burghof, Marlis Schairer

Discussant: Alexander Schäfer

National versus Supranational Bank Regulation: Gains and Losses of Joining a Banking Union

Maria Näther, Uwe Vollmer

Discussant: Jan Schneemeier

9:00am - 11:00amC1: Corporate Finance I
Session Chair: Jasmin Gider
Room C "Ask" 

M & A(dvertising)

Alexander Hillert, Anja Kunzmann, Stefan Ruenzi

Discussant: Ettore Croci

Does Competition Policy Affect Acquisition Efficiency? Evidence from the Reform of European Merger Control

Gishan Dissanaike, Wolfgang Drobetz, Peyman Momtaz

Discussant: Iana Zborshchyk

Why Do Managers Misrepresent Financial Statements?

Iana Zborshchyk, Axel Kind

Discussant: Felix von Meyerinck

Peer Pressure in Corporate Earnings Management

Constantin Charles, Markus Schmid, Felix von Meyerinck

Discussant: Jasmin Gider

9:00am - 11:00amD1: Derivatives I
Session Chair: Fabian Hollstein
Room D "Bid" 

Margin Requirements and Equity Option Returns

Steffen Hitzemann, Michael Hofmann, Marliese Uhrig-Homburg, Christian Wagner

Discussant: Hendrik Hülsbusch

Illuminating the Dark Side of Financial Innovation: The Role of Investor Information

Manuel Ammann, Marc Arnold, Simon Straumann

Discussant: Michael Hofmann

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden, Yichao Zhu

Discussant: Simon Straumann

Information Uncertainty and the Puzzle of Option-Implied Skewness

Manuel Ammann, Alexander Feser

Discussant: Fabian Hollstein

9:00am - 11:00amE1: Asset Allocation
Session Chair: Markus Leippold
Room E "Decision" 

International Portfolio Diversification and Macroeconomic Fluctuations when Preferences are Time-Varying

Giuliano Curatola, Ilya Dergunov

Discussant: Denitsa Stefanova

A Mean-Variance Benchmark for Household Portfolios over the Life Cycle

Claus Munk

Discussant: Julian Thimme

Where to Hide in Bad Times: Or Should One Still Diversify Internationally?

Redouane Elkamhi, Denitsa Stefanova

Discussant: Ferenc Horvath

Robust Pricing of Fixed Income Securities

Ferenc Horvath, Frank de Jong, Bas J.M. Werker

Discussant: Paul Whelan

9:00am - 11:00amF1: Insurance
Session Chair: Matthias Muck
Room F "Executive" 

Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety

Martin Eling, Ruo Jia, Philipp Schaper

Discussant: Oliver Lubos

Minimum Return Rate Guarantees under Default Risk - Optimal Design of Quantile Guarantees

Antje Mahayni, Oliver Lubos, Sascha Offermann

Discussant: Thai Huu Nguyen

Funding Life Insurance Contracts with Guarantees: How Can We Optimally Respond to the Policyholder's Needs?

An Chen, Peter Hieber, Thai Nguyen

Discussant: Katharina Stein

Precautionary Saving and Insurance under Generalized Mean-Variance Preferences

Nicole Branger, Antje Mahayni, Nikolaus Schweizer, Cathleen Sende

Discussant: Christian Hilpert

11:00am - 11:30amCoffee Break
Bar and Lounge 
11:30am - 1:00pmA2: International Empirical Asset Pricing
Session Chair: Sebastian Müller
Room A "Exchange" 

Optimal Factor Strategy in FX Markets

Thomas A. Maurer, Thuy-Duong Tô, Ngoc-Khanh Tran

Discussant: Ines Chaieb

Is Liquidity Risk Priced in Partially Segmented Markets?

Ines Chaieb, Vihang Errunza, Hugues Langlois

Discussant: Thomas A. Maurer

Equity is Cheap for Large Financial Institutions: The International Evidence

Priyank Gandhi, Hanno Lustig, Alberto Plazzi

Discussant: Sebastian Müller

11:30am - 1:00pmB2: Interest Rates & Term Structure
Session Chair: Christian Schlag
Room B "Auditorium" 

Central Bank Communication and the Yield Curve

Matteo Leombroni, Andrea Vedolin, Gyuri Venter, Paul Whelan

Discussant: Leopold Sögner

Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia

Martin Møller Andreasen, Tom Engsted, Stig Vinther Møller, Magnus Sander

Discussant: Gyuri Venter

Expected Term Structures

Andrea Buraschi, Ilaria Piatti, Paul Whelan

Discussant: Christian Schlag

11:30am - 1:00pmC2: Corporate Finance II
Session Chair: Markus Schmid
Room C "Ask" 

Perks or Peanuts? The Dollar Profits to Insider Trading

Peter Cziraki, Jasmin Gider

Discussant: Andrea Schertler

Executive Networks and Shareholder Value: Evidence from Sudden Deaths

Felix von Meyerinck, Kirsten Tangaa Nielsen

Discussant: Isabella Karasamani

Institutional Investor Networks and Firm Value

Emanuele Bajo, Ettore Croci, Nicoletta Marinelli

Discussant: Wolfgang Drobetz

11:30am - 1:00pmD2: Derivatives II
Session Chair: Thijs van der Heijden
Room D "Bid" 

The Role of Financial Investors in Commodity Futures Risk Premium

Mohammad Ali Isleimeyyeh

Discussant: Peter Hieber

The Term Structure of Option Prices

Fabian Hollstein, Marcel Prokopczuk, Chardin Wese Simen

Discussant: Alexander Feser

The Volatility-of-Volatility Term Structure

Nicole Branger, Hendrik Hülsbusch, Alexander Kraftschik

Discussant: Thijs van der Heijden

11:30am - 1:00pmE2: Asset Pricing I
Session Chair: Claus Munk
Room E "Decision" 

The Predictive Power of Dividend Yields for Future Inflation: Money Illusion or Rational Causes?

Tom Engsted, Thomas Quistgaard Pedersen

Discussant: Giuliano Curatola

The Debt Tax Shield, Economic Growth and Inequality

Bjarne Astrup Jensen, Marcel Fischer

Discussant: Malte Schumacher

Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare

Michael Donadelli, Patrick Grüning

Discussant: Claus Munk

11:30am - 1:00pmF2: Credit Risk
Session Chair: Simone Westerfeld
Room F "Executive" 

Revenues versus Reputation: Warring Incentives in the Rating Industry

Stefan Morkoetter, Roman Stebler, Simone Westerfeld

Discussant: Günseli Tümer-Alkan

History Matters - Credit Rating under Asymmetric Information

Christian Hilpert, Stefan Hirth, Alexander Szimayer

Discussant: Stine Louise Daetz

CDS and Credit: Testing the Small Bang Theory of the Financial Universe with Micro Data

Yalin Gündüz, Steven Ongena, Günseli Tümer-Alkan, Yuejuan Yu

Discussant: Andreas W. Rathgeber

11:30am - 1:00pmLiveX 1: LiveX Demo Trading 1
Session Chair: Christian Janze

Select session for details.

Training Room 1st Basement Floor 
1:00pm - 2:00pmLunch Break
Bar and Lounge 
2:00pm - 3:30pmA3: Empirical Asset Pricing II
Session Chair: Alberto Plazzi
Room A "Exchange" 

The Value of Visibility

Alexander Hillert, Michael Ungeheuer

Discussant: Sebastian Stöckl

The Out-of-Sample Predictive Power of Aggregate Insider Trading

Andre Guettler, Patrick Hable, Patrick Launhardt

Discussant: Jenny Pirschel

Fearing the Fed: How Wall Street Reads Main Street

Tzuo Hann Law, Dongho Song, Amir Yaron

Discussant: Alberto Plazzi

2:00pm - 3:30pmB3: Market Microstructure I
Session Chair: Karl Ludwig Keiber
Room B "Auditorium" 

Does Speed Matter? The Role of High-Frequency Trading for Order Book Resiliency

Benjamin Clapham, Martin Haferkorn, Kai Zimmermann

Discussant: Alex Weissensteiner

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Andriy Shkilko, Konstantin Sokolov

Discussant: Karl Ludwig Keiber

The Best in Town: A Comparative Analysis of Low-Frequency Liquidity Estimators

Thomas Johann, Erik Theissen

Discussant: Nils Friewald

2:00pm - 3:30pmC3: Corporate Finance III
Session Chair: Alexander F. Wagner
Room C "Ask" 

Index Membership and Capital Structure: International Evidence

Vidhan K. Goyal, Daniel Urban, Wenting Zhao

Discussant: Felix von Meyerinck

Intangible Capital and Firm Leverage

Philipp Horsch, Philip Longoni, David Oesch

Discussant: Anja Kunzmann

Cultural Traits and the Choice between Formal and Informal Financing

Mascia Bedendo, Emilia Garcia-Appendini, Linus Siming

Discussant: Alexander F. Wagner

2:00pm - 3:30pmD3: Behavioral Finance I
Session Chair: Vikram Nanda
Room D "Bid" 

The Role of Data Providers as Information Intermediaries

Nic Schaub

Discussant: Tobin Hanspal

Rankings of Published P/E Ratios and Value Investor Attention

Jordan Moore

Discussant: Michael Ungeheuer

The Perception of Dependence, Investment Decisions, and Stock Prices

Michael Ungeheuer, Martin Weber

Discussant: Vikram Nanda

2:00pm - 3:30pmE3: Financial Economics
Session Chair: Patrick Grüning
Room E "Decision" 

Did ECB Liquidity Injections Help the Real Economy?

Stine Louise Daetz, Marti G. Subrahmanyam, Dragon Yongjun Tang, Sarah Qian Wang

Discussant: Regina Hammerschmid

Shock Propagation through Cross-Learning in Opaque Markets

Jan Schneemeier

Discussant: Johannes Tischer

Amplification and Spillover with Financial Arbitrage, Production and Collateral Constraints

Ally Zhang

Discussant: Patrick Grüning

2:00pm - 3:30pmF3: Risk Management & Financial Econometrics
Session Chair: Antje Mahayni
Room F "Executive" 

Optimal Investment under VaR-Regulation and Minimum Insurance

An Chen, Thai Huu Nguyen, Mitja Stadje

Discussant: Philipp Schaper

Why Risk Is So Hard to Measure

Jon Danielsson, Chen Zhou

Discussant: Roman Stebler

GMM Estimation of Affine Term Structure Models

Jaroslava Hlouskova, Leopold Sögner

Discussant: Chen Zhou

2:00pm - 3:30pmLiveX 2: LiveX Demo Trading 2
Session Chair: Christian Janze

Select session for details.

Training Room 1st Basement Floor 
3:30pm - 3:45pmCoffee Break
Bar and Lounge 
3:45pm - 5:15pmA4: Empirical Asset Pricing III
Session Chair: Tzuo Hann Law
Room A "Exchange" 

Anomalies across the Globe: Once Public, No Longer Existent?

Heiko Jacobs, Sebastian Müller

Discussant: Philippe Masset

Analyzing the Risk of an Illiquid Asset: The Case of Fine Wine

Philippe Masset, Jean-Marie Cardebat, Benoît Faye, Eric Le Fur

Discussant: Pavel Lesnevski

Surprise in Short Interest

Pavel Lesnevski, Esad Smajlbegovic

Discussant: Tzuo Hann Law

3:45pm - 5:15pmB4: Houshold Finance
Session Chair: Martin Brown
Room B "Auditorium" 

The Effect of Personal Financing Disruptions on Entrepreneurship

Tobin Hanspal

Discussant: Jordan Moore

Recent Experiences and Risk Taking: Trading Responses to Changes in the Local Environment

Christine Laudenbach, Benjamin Loos, Jenny Pirschel

Discussant: Thomas A. Maurer

The Collateral Value of Housing: Evidence from Servicemember Pension Choice

Benjamin Bennett, Radhakrishnan Gopalan, Thomas A. Maurer

Discussant: Alexander Hillert

3:45pm - 5:15pmC4: Corporate Governance
Session Chair: Linus Siming
Room C "Ask" 

CEO Duality, Agency Costs, and Internal Capital Allocations

Nihat Aktas, Panayiotis C. Andreou, Isabella Karasamani, Dennis Philip

Discussant: David Oesch

Investing in Managerial Honesty

Rajna Gibson Brandon, Matthias Sohn, Carmen Tanner, Alexander F. Wagner

Discussant: Daniel Urban

Bank Executives’ outside Directorships and Career Outcomes

Thomas Kick, William L. Megginson, Andrea Schertler

Discussant: Linus Siming

3:45pm - 5:15pmD4: Behavioral Finance II
Session Chair: Nic Schaub
Room D "Bid" 

Daily Winners and Losers

Alok Kumar, Stefan Ruenzi, Michael Ungeheuer

Discussant: Patrick Launhardt

Sharing More than Dialects: Herding Behavior in Bank Risk-Taking Explained by Cultural Vicinity

Barbara Seitz, Andreas W. Rathgeber, Alfred Lameli, Tobias Gaugler

Discussant: Michael Ungeheuer

Using Managerial Attributes to Identify Market Feedback Effects: The Case of Mutual Fund Fire Sales

Suman Banerjee, Vikram Nanda, Steven Xiao

Discussant: Nic Schaub

3:45pm - 5:15pmE4: Asset Pricing II
Session Chair: Bjarne Astrup Jensen
Room E "Decision" 

Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks

Christian Schlag, Michael Semenischev, Julian Thimme

Discussant: Ole Wilms

Asset Pricing in Production Economies when Capital Inputs Are Heterogeneous

Nicole Branger, Nikolai Graeber, Malte Schumacher

Discussant: Ally Zhang

Asset Pricing with Heterogeneous Agents and Long-Run Risk

Walter Pohl, Karl Schmedders, Ole Wilms

Discussant: Bjarne Astrup Jensen

3:45pm - 5:15pmF4: Market Microstructure II
Session Chair: Andriy Shkilko
Room F "Executive" 

Insider Trading and Sentiment Trading

Karl Ludwig Keiber

Discussant: Benjamin Clapham

Correlated noise: Why passive investments might improve market efficiency

Alex Weissensteiner

Discussant: Thomas Johann

Dealer Inventory and the Cross-Section of Corporate Bond Returns

Nils Friewald, Florian Nagler

Discussant: Andriy Shkilko

3:45pm - 5:15pmLiveX 3: LiveX Demo Trading 3
Session Chair: Christian Janze

Select session for details.

Training Room 1st Basement Floor 
5:15pm - 5:30pmCoffee Break
Bar and Lounge 
5:30pm - 6:45pmKeynote Speech / Best Paper Awards

Keynote Speech by
Prof. Dr. Jean-Pierre Danthine, President of the Paris School of Economics
“Should Swiss-Based Investors Hedge Their Currency Exposures?”

SIX Best Paper Award 2017 for the best paper presented at the SGF Conference 2017

ZKB Best Paper Award 2016 for the best professional paper published in FMPM

FMPM Best Paper Award 2016 for the best academic article published in FMPM

Room A "Exchange" 
6:45pm - 8:00pmReception
Bar and Lounge 

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Conference: SGF Conference 2017
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