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, 06/Apr/2018
8:00am - 8:30amRegistration
Front Desk - ConventionPoint 
8:30am - 9:00amWelcome of Participants / Opening Speeches

Prof. Dr. Matthias Muck (Chairman of the Conference Board)
Dr. Michael Herold (Conference Director)

Auditorium - ConventionPoint 
9:00am - 11:00amA1: Empirical Asset Pricing I
Session Chair: Fabian Hollstein
Auditorium - ConventionPoint 

Lottery Characteristics and the Closed-End Fund Puzzle

Maik Dierkes, Sebastian Schrön

Discussant: Alexander Elmar Cochardt

Decomposing the Size Premium

Zhiyao Chen, Jun Li, Huijun Wang

Discussant: Nitin Kumar

Buy-Side Competition and Momentum Profits

Gerard Hoberg, Nitin Kumar, Nagapurnanand Prabhala

Discussant: Sebastian Schrön

Aggregate Expected Investment Growth and Stock Market Returns

Jun Li, Huijun Wang, Jianfeng Yu

Discussant: Fabian Hollstein

9:00am - 11:00amB1: International Asset Pricing
Session Chair: Stig Vinther Møller
Connect - ConventionPoint 

Crash-o-phobia in Currency Carry Trade Returns

Regina Hammerschmid, Alexandra Janssen

Discussant: Hugues Langlois

Cross-sectional Return Dispersion and Currency Momentum

Jonas Nygaard Eriksen

Discussant: Regina Hammerschmid

Time-Varying Risk Premia in Large International Equity Markets

Ines Chaieb, Hugues Langlois, Olivier Scaillet

Discussant: Lukas Kremens

The Quanto Theory of Exchange Rates

Lukas Kremens, Ian Martin

Discussant: Stig Vinther Møller

9:00am - 11:00amC1: Derivatives
Session Chair: Jens H. E. Christensen
Create - ConventionPoint 

Option-Implied Correlations, Factor Models, and Market Risk

Adrian Buss, Lorenzo Schönleber, Grigory Vilkov

Discussant: Markus Ulze

Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options

Andreas W. Rathgeber, Johannes Stadler, Markus Ulze

Discussant: Michael Hofmann

Structural Breaks in the Variance Process and the Pricing Kernel Puzzle

Tobias Sichert

Discussant: Lorenzo Schönleber

Volatility Noise

Michael Hofmann, Marliese Uhrig-Homburg

Discussant: Jens H. E. Christensen

9:00am - 11:00amD1: Asset Allocation
Session Chair: Christoph Meinerding
Venture - ConventionPoint 

The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements

Johannes Bubeck, Maurizio Michael Habib, Simone Manganelli

Discussant: Luana Zaccaria

Predictable Biases in Macroeconomic Forecasts and Their Impact Across Asset Classes

Luiz Felix, Roman Kraussl, Philip Stork

Discussant: Björn Tharann

Optimal Investments Under Linear Sharing Rules

Nicole Branger, An Chen, Nadine Gatzert, Antje Mahayni

Discussant: Tobias Götze

Long-term Asset Allocation Under Time-varying Investment Opportunities: Optimal Portfolios with Parameter and Model Uncertainty

Thomas Dangl, Alex Weissensteiner

Discussant: Christoph Meinerding

9:00am - 11:00amE1: Household Finance
Session Chair: Martin Brown
Link - ConventionPoint 

Credit Scores, Social Capital, and Stock Market Participation

Jesse Bricker, Geng Li

Discussant: Michael Ungeheuer

How Price Path Characteristics Shape Investment Behavior

Sven Nolte, Judith C. Schneider

Discussant: Tobin Hanspal

The Household Savings Paradox

Tobias Meyll, Thomas Pauls, Andreas Walter

Discussant: Geng Li

Experience is the Best Teacher: Did the Financial Crisis Spur White-Collar Crime?

Steffen Andersen, Tobin Hanspal, Kasper Meisner Nielsen

Discussant: Tobias Meyll

9:00am - 11:00amF1: Corporate Finance I
Session Chair: Per Östberg
Färberei - Sheraton Hotel 

Crowdfunding: Backers Rewarded

Miguel Garcia Cestona, Ahmed Sewaid, Florina Silaghi

Discussant: Christian Riis Flor

It’s Always Sunny in Finland: Investment and Extrapolation from Cash Flow Growth

Mikael Paaso

Discussant: David Florysiak

Capital Market Access and Cash Flow Allocation during the Financial Crisis

David Florysiak, Vidhan Goyal

Discussant: Giuseppe Pratobevera

Policy Uncertainty, Investment, and the Cost of Capital

Wolfgang Drobetz, Sadok El Ghoul, Omrane Guedhami, Malte Janzen

Discussant: Per Östberg

9:00am - 11:00amG1: Corporate Governance
Session Chair: Zexi Wang
Schiffbau - Sheraton Hotel 

Internalizing Governance Externalities: The Role of Institutional Cross-ownership

Jie {Jack} He, Jiekun Huang, Shan Zhao

Discussant: Sehoon Kim

Does Protectionist Anti-Takeover Legislation Lead to Managerial Entrenchment?

Marc Frattaroli

Discussant: Nicolas Kube

The Effect of CEO Extraversion on Analyst Forecasts: Stereotypes and Similarity Bias

Jochen Becker, Josip Medjedovic, Christoph Merkle

Discussant: Sasan Mansouri

How to Talk Down Your Stock Returns

Andreas Barth, Sasan Mansouri, Fabian Woebbeking, Severing Zoergiebel

Discussant: Zexi Wang

11:00am - 11:30amCoffee Break
Foyer - ConventionPoint 
11:30am - 1:00pmA2: Empirical Asset Pricing II
Session Chair: Maurizio Michael Habib
Auditorium - ConventionPoint 

Structural Changes in Corporate Bond Underpricing

Florian Nagler, Giorgio Ottonello

Discussant: Jonas Nygaard Eriksen

Underpricing in the Eurozone Corporate Bond Market

Tobias Rischen, Erik Theissen

Discussant: Franz Insam

Global Connectedness Across Bond Markets

Stig Vinther Møller, Jesper Rangvid

Discussant: Maurizio Michael Habib

11:30am - 1:00pmB2: Theoretical Asset Pricing I
Session Chair: Karl Schmedders
Connect - ConventionPoint 

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Olesya V. Grishchenko, Zhaogang Song, Hao Zhou

Discussant: Jens H. E. Christensen

Extreme Inflation and Time-Varying Disaster Risk

Ilya Dergunov, Christoph Meinerding, Christian Schlag

Discussant: Olesya V. Grishchenko

Heterogeneous Beliefs and Real Yields

Paul Whelan

Discussant: Nicole Branger

11:30am - 1:00pmC2: Regulation (Short Selling)
Session Chair: Peter Limbach
Create - ConventionPoint 

Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices

Stephan Jank, Christoph Roling, Esad Smajlbegovic

Discussant: Christoph Merkle

Financial Constraints and Industry Dynamics

Itzhak Ben-David, Zhi Li, Zexi Wang

Discussant: Ettore Croci

Should We Be Aware of the Control Group? Spillover Effects through the Implementation of Reg SHO

Nicolas Kube

Discussant: Peter Limbach

11:30am - 1:00pmD2: Asset Management I
Session Chair: Wolfgang Drobetz
Venture - ConventionPoint 

The Absolute Return Wedge: A New Measure That Predicts Hedge Fund Performance

Vikas Agarwal, Stefan Ruenzi, Florian Weigert

Discussant: Georg Peter

Hedge Fund Activism and Internal Capital Markets

Sehoon Kim

Discussant: Sebastian Fischer

Improved Inferences in Fund Performance Evaluation Using Time-Varying Fund Alphas and Betas: A Nonparametric Approach

Biqing Cai, Cheng Tingting, Cheng Yan

Discussant: Wolfgang Drobetz

11:30am - 1:00pmE2: Market Microstructure I
Session Chair: Gbenga Ibikunle
Link - ConventionPoint 

Electronic Trading in OTC Markets vs. Centralized Exchange

Ying Liu, Sebastian Vogel, Yuan Zhang

Discussant: Mario Bellia

Intraday Return Predictability, Informed Limit Orders, and Algorithmic Trading

Darya Yuferova

Discussant: Nikolaos Karagiannis

Information and Optimal Trading Strategies with Dark Pools

Anna Bayona, Ariadna Dumitrescu, Carolina Manzano

Discussant: Gbenga Ibikunle

11:30am - 1:00pmF2: Corporate Finance II
Session Chair: Thomas Dangl
Färberei - Sheraton Hotel 

The Real Estate Collateral Channel in SME Finance: Evidence from Switzerland

Hannes Mettler

Discussant: Florina Silaghi

Do Risk Disclosures Matter When It Counts? Evidence from the Swiss Franc Shock

Luzi Hail, Maximilian Muhn, David Oesch

Discussant: Frédéric Closset

Should Investors Care Where Private Equity Managers Went to School?

Florian Andreas Fuchs, Roland Füss, Tim Jenkinson, Stefan Morkoetter

Discussant: Thomas Dangl

11:30am - 1:00pmG2: Financial Intermediation I
Session Chair: Adam Winegar
Schiffbau - Sheraton Hotel 

The Fire-Sale Channels of Universal Banks in the European Sovereign Debt Crisis

Giulio Bagattini, Falko Fecht, Patrick Weber

Discussant: Corinna Woyand

Cutting Out the Middleman - The ECB as Corporate Bond Investor

Benjamin Grosse-Rueschkamp, Sascha Steffen, Daniel Streitz

Discussant: Sebastian Doerr

Moral Suasion in Regional Government Bond Markets

Jana Ohls

Discussant: Adam Winegar

1:00pm - 2:00pmLunch Break
Foyer - ConventionPoint 
2:00pm - 3:30pmA3: Empirical Asset Pricing III
Session Chair: Judith C. Schneider
Auditorium - ConventionPoint 

Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns

Nicole Branger, Hendrik Hülsbusch, Frederik Middelhoff

Discussant: Jun Li

Variance Risk: A Bird's Eye View

Fabian Hollstein, Chardin Wese Simen

Discussant: Tobias Sichert

The Influence of Sponsor Characteristics and (Non-)Events on the Risk Premia of CAT Bonds

Tobias Götze, Marc Guertler

Discussant: Judith C. Schneider

2:00pm - 3:30pmB3: Financial Economics
Session Chair: Malte Schumacher
Connect - ConventionPoint 

Present Value Calculations by Means of First and Second Differences

Stephen A. Buser, Bjarne Astrup Jensen

Discussant: Friedrich Lorenz

Short-Sale Constraints and Credit Runs

Gyuri Venter

Discussant: Rüdiger Weber

Credit Constraints and Credit Losses: an Unsteady State Approach

Alexis Derviz

Discussant: Malte Schumacher

2:00pm - 3:30pmC3: Behavioral Finance
Session Chair: Florian Weigert
Create - ConventionPoint 

Entering a New Market: First-Mover Advantages and Risk Dynamics Under Market Uncertainty

Christian Riis Flor, Mark Raun Moritzen

Discussant: Mikael Paaso

Stock Returns and the Cross-Section of Investor Attention

Michael Ungeheuer

Discussant: Gabor Neszveda

Disentangling Investor Sentiment: Mood and Economic Expectations

Dimitrios Kostopoulos, Steffen Meyer

Discussant: Florian Weigert

2:00pm - 3:30pmD3: Asset Management II
Session Chair: David Oesch
Venture - ConventionPoint 

Career Concerns and Peer Effects in Tournaments: Evidence from ECB Reserve Currency Portfolios

Benjamin Sahel, Antonio Scalia, Luana Zaccaria

Discussant: Luiz Felix

The Impact of the Morningstar Sustainability Rating on Mutual Fund Flows

Manuel Ammann, Christopher Bauer, Sebastian Fischer, Philipp Müller

Discussant: Daniel Hoechle

Nepotism in IPOs: Consequences for Issuers and Investors

Francois Degeorge, Giuseppe Pratobevera

Discussant: David Oesch

2:00pm - 3:30pmE3: Market Microstructure II
Session Chair: Jakub Rojcek
Link - ConventionPoint 

The Sovereign Debt Crisis: Rebalancing or Freezes?

Per Östberg, Thomas Richter

Discussant: Giorgio Ottonello

Liquidity Provider Incentives in Fragmented Securities Markets

Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz

Discussant: Sebastian Vogel

City Goes Dark: Dark Trading and Adverse Selection in Aggregate Markets

Matteo Aquilina, Ivan Diaz-Rainey, Gbenga Ibikunle, Yuxin Sun

Discussant: Jakub Rojcek

2:00pm - 3:30pmF3: Mergers & Acquisitions
Session Chair: Axel Kind
Färberei - Sheraton Hotel 

Facilitating Takeovers and Takeover Premia: The Case of Coordinated Monitoring

Ettore Croci, Mieszko Mazur, Galla Salganik-Shoshan

Discussant: Marc Frattaroli

Superstar Financial Advisors: Do They Deliver Superior Value to Their Clients?

Johannes Kolb, Tereza Tykvova

Discussant: Ettore Croci

Do Financial Advisors Matter for M&A Pre-Announcement Returns?

André Betzer, Jasmin Gider, Peter Limbach

Discussant: Axel Kind

2:00pm - 3:30pmG3: Financial Intermediation II
Session Chair: Andre Guettler
Schiffbau - Sheraton Hotel 

The Effects of Leverage Ratio Adjustment on Banks' Balance Sheet and Risk: Impact of the Risk Measurement Approach

Christoph Maidl, Corinna Woyand

Discussant: Benjamin Grosse Rueschkamp

Banks' Geographic Diversification and Loan Supply: Evidence from the Syndicated Loan Market

Sebastian Doerr, Philipp Schaz

Discussant: Jana Ohls

Taxing Bank Leverage: The Effects on Bank Capital Structure, Credit Supply and Risk-Taking

Claire Célérier, Thomas Kick, Steven Ongena

Discussant: Mahvish Naeem

3:30pm - 3:45pmCoffee Break
Foyer - ConventionPoint 
3:45pm - 5:15pmA4: Empirical Asset Pricing IV
Session Chair: Roland Füss
Auditorium - ConventionPoint 

Return Contributions of Factors and Characteristics in an Integrated Asset Pricing Approach

Matthias Bank, Franz Insam

Discussant: Tobias Rischen

Do Firm Fixed Effects Matter in Empirical Asset Pricing?

Daniel Hoechle, Markus Schmid, Heinz Zimmermann

Discussant: Nora Marija Laurinaityte

Elephants and the Cross-Section of Expected Returns

Nora Marija Laurinaityte, Christoph Meinerding, Christian Schlag, Julian Thimme

Discussant: Roland Füss

3:45pm - 5:15pmB4: Theoretical Asset Pricing II
Session Chair: Bjarne Astrup Jensen
Connect - ConventionPoint 

The Risk Premium Channel and Long-Term Growth

Malte Schumacher, Dawid Zochowski

Discussant: Gyuri Venter

Disappointment Aversion and Endogenous Growth - Can Rare Disappointments Explain the Equity Premium Puzzle?

Nikolai Gräber, Friedrich Lorenz

Discussant: Stephan Jank

Implied Volatility Duration and the Early Resolution Premium

Julian Thimme, Christian Schlag, Rüdiger Weber

Discussant: Bjarne Astrup Jensen

3:45pm - 5:15pmC4: Interest Rates & Term Structure
Session Chair: Paul Whelan
Create - ConventionPoint 

The TIPS Liquidity Premium

Martin Andreasen, Jens H. E. Christensen, Simon Riddell

Discussant: Olesya V. Grishchenko

Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison

Olesya V. Grishchenko, Sarah Mouabbi, Jean-Paul Renne

Discussant: Alexis Derviz

A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt

Jens H. E. Christensen, Glenn D. Rudebusch

Discussant: Paul Whelan

3:45pm - 5:15pmD4: Asset Management III
Session Chair: Steffen Meyer
Venture - ConventionPoint 

Predictability in Commodity Markets: Evidence from More than a Century

Marcel Prokopczuk, Björn Tharann, Chardin Wese Simen

Discussant: Frederik Middelhoff

Dynamic Indexes: Equity Rotation and Factor Timing

Lars Kaiser, Georg Peter

Discussant: Cheng Yan

Aspiration Level Theory and Stock Returns: An Empirical Test

Gabor Neszveda

Discussant: Steffen Meyer

3:45pm - 5:15pmE4: Market Microstructure III
Session Chair: Anna Bayona
Link - ConventionPoint 

Coming Early to the Party

Mario Bellia, Loriana Pelizzon, Marti G. Subrahmanyam, Jun Uno, Darya Yuferova

Discussant: Benjamin Clapham

Once Upon a Broker Time? Order Preferencing and Market Quality

Hans Degryse, Nikolaos Karagiannis

Discussant: Darya Yuferova

A Model of Price Impact and Market Maker Latency

Jakub Rojcek

Discussant: Anna Bayona

3:45pm - 5:15pmF4: Corporate Finance III
Session Chair: Tereza Tykvova
Färberei - Sheraton Hotel 

Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market

Umit Yilmaz

Discussant: Hannes Mettler

The Balance of Power Between Creditors and the Firm: Evidence from German Insolvency Law

Frédéric Closset, Daniel Urban

Discussant: Umit Yilmaz

The Impact of Financial Fraud on Firm Survival

Iana Zborshchyk, Axel Kind

Discussant: Tereza Tykvova

3:45pm - 5:15pmG4: Financial Intermediation III
Session Chair: Thomas Kick
Schiffbau - Sheraton Hotel 

Does Excess Cash Affect Bank Behavior?

Elena Beccalli, Laura Chiaramonte, Ettore Croci

Discussant: Giulio Bagattini

Do Firms Benefit from Their Relationships with Credit Unions during Dire Times?

Leila Aghabarari, Andre Guettler, Mahvish Naeem, Bernardus Van Doornik

Discussant: Artashes Karapetyan

To Ask or Not to Ask? Collateral versus Screening in Lending Relationships

Hans Degryse, Artashes Karapetyan, Sudipto Karmakar

Discussant: Thomas Kick

5:15pm - 5:30pmCoffee Break
Foyer - ConventionPoint 
5:30pm - 6:45pmKeynote Speech / Best Paper Awards

Keynote Speech by  Prof. Dr. Claudio Loderer on the topic "The Corporate Life Cycle"

SIX Best Paper Award 2018 for the best paper presented at the SGF Conference 2018
ZKB Best Paper Award 2017 for the best professional paper published in FMPM
FMPM Best Paper Award 2017 for the best academic article published in FMPM

Daniel Schmucki (CFO, SIX)
Iwan Deplazes (Head Asset Management Swisscanto Invest by Zürcher Kantonalbank)
Prof. Dr. Markus Schmid (Editor Financial Markets and Portfolio Management)

Auditorium - ConventionPoint 
6:45pm - 8:00pmReception
Foyer - ConventionPoint 

Contact and Legal Notice · Contact Address:
Conference: SGF Conference 2018
Conference Software - ConfTool Pro 2.6.114+TC
© 2001 - 2018 by H. Weinreich, Hamburg, Germany