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, 05/Apr/2019
Registration & Coffee
A1: Empirical Asset Pricing I
Location: Auditorium
Chair: Fabio Trojani, University of Geneva & SFI

Mind the (Convergence) Gap: Forward Rates Strike Back!

Alberto Plazzi1, Andrea Berardi2, Michael Markovich3, Andrea Tamoni4

1: Università della Svizzera Italiana & SFI; 2: University Ca’ Foscari Venezia; 3: Credit Suisse; 4: London School of Economics

Discussant: Fabricius Somogyi (University of St. Gallen)

A Credit-Based Theory of the Currency Risk Premium

Alexandre Jeanneret1, Pasquale Della Corte2, Ella D.S. Patelli1

1: HEC Montreal; 2: Imperial College London & CEPR

Discussant: Tim Kroencke (University of Neuchâtel)

Positive Feedback Trading and Momentum

Cameron Peng1, Chen Wang2

1: London School of Economics; 2: Yale School of Management

Discussant: Alberto Plazzi (Università della Svizzera Italiana & SFI)

B1: Derivatives
Location: Link
Chair: Markus Leippold, University of Zurich

Compressing Over-the-counter Markets

Marco D'Errico1, Tarik Roukny1,2

1: European Systematic Risk Board; 2: KU Leuven

Discussant: Michael Thomas Schneider (Deutsche Bundesbank)

Extracting Latent States from High-Frequency Option Prices

Diego Amaya1, Jean-Francois Begin2, Genevieve Gauthier3

1: Wilfried Laurier University; 2: Simon Fraser University; 3: HEC Montreal & GERAD

Discussant: Marco D\'Errico (European Systemic Risk Board)

Central Bank–Driven Mispricing

Davide Tomio1, Loriana Pelizzon2, Marti Subrahmanyam3, Jun Uno4

1: University of Virginia; 2: Goethe University Frankfurt & SAFE; 3: NYU Stern College of Business; 4: Waseda University

Discussant: Diego Amaya (Wilfrid Laurier University)

C1: Corporate Finance I
Location: Connect
Chair: Philip Valta, University of Bern

“Great Expectations”? Bankruptcy Law Reforms and Bank Credit for SMEs

Marco Ghitti, Florencio Lopez de Silanes

SKEMA Business School

Discussant: Vincenzo Pezone (Goethe University Frankfurt & SAFE)

The Real Effects Of Judicial Enforcement

Vincenzo Pezone

Goethe University Frankfurt & SAFE

Discussant: Guillem Ordonez-Calafi (University of Bristol)

The Information Content of ICO White Papers

Alexander Schandlbauer, David Florysiak

University of Southern Denmark

Discussant: Bjarne Astrup Jensen (Copenhagen Business School)

D1: Banking I
Location: Venture
Chair: Emilia Garcia-Appendini, University of Zurich

Fast and Furious: An Anatomy of a Sudden Stop and the Credit Supply Channel

Salih Fendoglu1, Steven Ongena2

1: Central Bank of the Rep. of Turkey; 2: University of Zurich & SFI

Discussant: Marc Frattaroli (EPFL & SFI)

Loan Insurance, Adverse Selection and Screening

Martin Kuncl, Toni Ahnert

Bank of Canada

Discussant: Olga Briukhova (University of Zurich & SFI)

Capital Regulation, Market-Making, and Liquidity

Rainer Haselmann1, Thomas Kick2, Shikhar Singla3, Vikrant Vig3,4

1: Goethe University Frankfurt & SAFE; 2: Deutsche Bundesbank; 3: London Business School; 4: CEPR

Discussant: Michael Goedde-Menke (University of Muenster)

E1: Household Finance
Location: Create
Chair: Andreas Fuster, Swiss National Bank

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Kim Peijnenburg1, Steve Dimmock2, Roy Kouwenberg3, Olivia Mitchell4

1: EDHEC; 2: Nanyang Techn. University; 3: Mahidol University; 4: University of Pennsylvania & NBER

Discussant: Tabea Bucher-Koenen (ZEW Mannheim)

The Real Effects of Financial Technology: Marketplace Lending and Personal Bankruptcy

Piotr Danisewicz1, Ilaf Elard2

1: University of Bristol; 2: Shanghai University

Discussant: Kim Peijnenburg (EDHEC)

Do Seemingly Smarter People Get Better Advice?

Tabea Bucher-Koenen1, Andreas Hackethal2, Johannes Koenen3, Christine Laudenbach2

1: ZEW Mannheim; 2: Goethe University Frankfurt; 3: ifo Institute

Discussant: Andreas Fuster (Swiss National Bank)

Coffee Break
Location: Foyer
A2: Empirical Asset Pricing II
Location: Auditorium
Chair: Franziska Julia Peter, Zeppelin University

The Value Uncertainty Premium

Menatalla El Hefnawy1, Turan Bali2, Luca Del Viva .1, Lenos Trigeorgis3

1: ESADE Business School; 2: Georgetown University; 3: University of Cyprus

Discussant: Enrique Schroth (Cass Business School)

Fuel is Pumping Premiums: A Consumption-based Explanation of the Value Anomaly

Julian Thimme1, Robert Dittmar2, Christian Schlag1,3

1: Goethe University Frankfurt; 2: University of Michigan; 3: SAFE

Discussant: Menatalla El Hefnawy (ESADE Business School)

B2: Empirical Asset Pricing IV
Location: Link
Chair: Tim Kroencke, University of Neuchâtel

Institutional Investors and the Time-variation in Expected Stock Returns

Rüdiger Weber

University of Michigan

Discussant: Cameron Peng (London School of Economics)

The Pricing Implications Of Shareholder Voting

Filip Bekjarovski1, Marie Briere2, Sebastien Pouge3, Luc Renneboog4

1: Tilburg University, University Toulouse 1 Capitole & NN IP; 2: Paris Dauphine University & AMUNDI; 3: University Toulouse; 4: Tilburg University & ECGI

Discussant: Rüdiger Weber (University of Michigan)

C2: Corporate Finance II
Location: Connect
Chair: Ruediger Fahlenbrach, EPFL & SFI

Dividend Sentiment, Catering Incentives and Return Predictability

Zicheng Lei1, Alok Kumar2, Chendi Zhang3

1: University of Surrey; 2: University of Miami; 3: University of Warwick

Discussant: Alexander Schandlbauer (University of Southern Denmark)

The Negative Effects of Mergers and Acquisitions on the Value of Rivals

Philip Valta1, François Derrien2, Laurent Frésard3, Victoria Slabik2

1: University of Bern; 2: HEC Paris; 3: Università della Svizzera Italiana & SFI

Discussant: Mahdi Mohseni (Texas A&M)

D2: Insurance
Location: Venture
Chair: Martin Eling, University of St. Gallen

The Bond Pricing Implications of Rating-Based Capital Requirements

Scott Murray1, Stanislava Nikolova2

1: Georgia State University; 2: University of Nebraska-Lincoln

Discussant: Christian Biener (University of St. Gallen)

Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement

Jens H. E. Christensen, Jose A. Lopez, Paul L. Mussche

Federal Reserve Bank of San Francisco

Discussant: Scott Murray (Georgia State University)

E2: Market Microstructure I
Location: Create
Chair: Michael Stein, Deka Investment & University Duisburg-Essen

When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?

Sebastian Vogel


Discussant: Michael Stein (Deka Investment & University Duisburg-Essen)

OTC Discount

Michael Thomas Schneider1, Calebe de Roure2, Emanuel Moench3, Loriana Pelizzon2,4

1: Deutsche Bundesbank; 2: Reserve Bank of Australia; 3: Goethe University Frankfurt; 4: SAFE

Discussant: Sebastian Vogel (EPFL & SFI)

Lunch Break
A3: Theoretical Asset Pricing
Location: Auditorium
Chair: Marcel Fischer, University of Konstanz

The Lost Capital Asset Pricing Model

Julien Cujean1, Daniel Andrei2, Mungo Wilson3

1: University of Bern; 2: McGill University; 3: Oxford University

Discussant: Gyuri Venter (Copenhagen Business School)

Vanishing Contagion Spreads

Diogo Duarte1, Rodolfo Prieto2, Marcel Rindisbacher2, Yuri Saporito3

1: Florida International University; 2: Boston University; 3: Fundacao Getulio Vargas

Discussant: Julien Cujean (University of Bern)

Multiple Equilibria in Noisy Rational Expectations Economies

Gyuri Venter1, Domotor Palvolgyi2

1: Copenhagen Business School; 2: Eotvos Lorand University

Discussant: Diogo Duarte (Florida International University)

B3: Liquidity
Location: Link
Chair: Enrique Schroth, Cass Business School

Trading Volume, Illiquidity and Commonalities in FX Markets

Angelo Ranaldo1, Paolo Santucci de Magistris2

1: University of St. Gallen; 2: LUISS Guido Carli University

Discussant: Max Bruche (Humboldt University of Berlin)

Liquidity Provision in the Secondary Market for Private Equity Fund Stakes

Enrique Schroth1, Rui Albuquerque2, Johan Cassel3, Ludovic Phalippou3

1: Cass Business School; 2: Boston College & CEPR; 3: Oxford University

Discussant: Tereza Tykvová (University of Hohenheim)

Agency Frictions, Dealer Funding, and Market Liquidity

Max Bruche1, John Kuong2

1: INSEAD; 2: Humboldt University of Berlin

Discussant: Samarpan Nawn (IIM Udaipur)

C3: Corporate Governance
Location: Connect
Chair: Alexander Wagner, University of Zurich & SFI

Blockholder Disclosure Thresholds and Hedge Fund Activism

Guillem Ordonez-Calafi1, Dan Bernhardt2

1: University of Bristol; 2: University of Illinois

Discussant: Marc Arnold (University of St. Gallen)

Payday before Mayday: CEO Compensation Contracting for Distressed Firms

Mahdi Mohseni1, Mary Ellen Carter2, Edie Hotchkiss2

1: Texas A&M; 2: Boston College

Discussant: Zicheng Lei (University of Surrey)

The Importance Of Network Recommendations In The Director Labor Market

Rüdiger Fahlenbrach1, Hyemin Kim2, Angie Low2

1: EPFL & SFI; 2: Nanyang Techn. University

Discussant: Alexander Wagner (University of Zurich & SFI)

D3: Banking II
Location: Venture
Chair: Rainer Haselmann, Goethe University Frankfurt & SAFE

Information Intermediaries: How Commercial Bankers Facilitate Strategic Alliances

Marc Frattaroli1, Christoph Herpfer2

1: EPFL & SFI; 2: Emory University

Discussant: Andrada Bilan (University of Zurich & SFI)

The Geography of Mortgage Lending in Times of FinTech

Christoph Basten, Steven Ongena

University of Zurich & SFI

Discussant: Martin Kuncl (Bank of Canada)

Loan Officer Specialization, Borrower Information, And Credit Defaults

Michael Goedde-Menke, Peter-Hendrik Ingermann

University of Muenster

Discussant: Emilia Garcia-Appendini (University of Zurich)

E3: Behavioral Finance
Location: Create
Chair: Thorsten Hens, University of Zurich

What Drives Risk Perception? A Global Survey With Financial Professionals And Lay People

Felix Holzmeister1, Jürgen Huber1, Michael Kichler1, Florian Lindner2, Utz Weitzel3, Stefan Zeisberger4

1: University of Innsbruck; 2: Max Planck Institute; 3: Utrecht University; 4: University of Zurich

Discussant: Olesya V. Grishchenko (Federal Reserve Board)

Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press

Olesya V. Grishchenko, Shantanu Banerjee, Michiel De Pooter, Brad Strum, Cait Walsh

Federal Reserve Board

Discussant: Mengqiao Du (University of Mannheim)

Stock Repurchasing Bias of Mutual Funds

Mengqiao Du1, Alexandra Niessen-Ruenzi1, Terrance Odean2

1: University of Mannheim; 2: UC Berkely

Discussant: Florian Weigert (University of St.Gallen)

Coffee Break
Location: Foyer
A4: Empirical Asset Pricing III
Location: Auditorium
Chair: Heinz Zimmermann, University of Basel

Style Inattention in Ownership and Expected Stock Returns

Georgios Karalas1, Gikas A. Hardouvelis2,3, Dimitri Vayanos1,3

1: London School of Economics; 2: University of Piraeus; 3: CEPR

Discussant: Filip Bekjarovski (Tilburg University, University Toulouse 1 Capitole & NN IP)

Short-term Momentum

Mamdouh Medhat1, Maik Schmeling2

1: Cass Business School; 2: Goethe University Frankfurt & CEPR

Discussant: Alexandre Jeanneret (HEC Montreal)

B4: Commodities
Location: Link
Chair: Felix von Meyerinck, University of St. Gallen

Monopoly Power in the Oil Market and the Macroeconomy

René Marian Flacke, Nicole Branger, Nikolai Gräber

University of Muenster

Discussant: Julian Thimme (Goethe University Frankfurt)

Skin in the Game: Resource Proximity and Price Impact

Tom Steffen

University of Geneva

Discussant: René Marian Flacke (University of Muenster)

C4: Corporate Finance III
Location: Connect
Chair: Pascal Towbin, Swiss National Bank

The Debt Tax Shield, Economic Growth and Inequality

Bjarne Astrup Jensen1, Marcel Fischer2

1: Copenhagen Business School; 2: University of Konstanz

Discussant: Matteo Falagiarda (European Central Bank)

Unconventional Monetary Policy and Credit Rating Dynamics: A Natural Experiment

Matteo Falagiarda, Nordine Abidi, Ixart Miquel Flores

European Central Bank

Discussant: Pascal Towbin (Swiss National Bank)

D4: Asset Management
Location: Venture
Chair: Marc Arnold, University of St. Gallen

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Francois Koulischer1, Ralph Koijen2, Benoit Nguyen3, Motohiro Yogo4

1: University du Luxembourg; 2: NYU Stern School of Business; 3: Banque de France; 4: Princeton University

Discussant: Piotr Danisewicz (University of Bristol)

Risk Factor Timing and Mutual Fund Performance

Florian Weigert, Manuel Ammann, Sebastian Fischer

University of St. Gallen

Discussant: Francois Koulischer (Université du Luxembourg)

E4: Market Microstructure II
Location: Create
Chair: Christoph Aymanns, University of St. Gallen

Quasi-dark Trading: The Effects of Banning Dark Pools in a World of many Alternatives

Satchit Sagade1, Thomas Johann2, Talis Putnins3, Christian Westheide4

1: Goethe University Frankfurt & SAFE; 2: University of Mannheim; 3: University of Technology Sydney; 4: University of Vienna

Discussant: Christoph Aymanns (University of St. Gallen)

Order Exposure in High Frequency Markets

Samarpan Nawn1, Bidisha Chakrabarty2, Terrence Hendershott3, Roberto Pascual4

1: IIM Udaipur; 2: Saint Louis University; 3: UC Berkeley; 4: University of Balearic Islands

Discussant: Satchit Sagade (Goethe University Frankfurt & SAFE)

Coffee Break
Location: Foyer
Keynote Speech (Heinz Zimmermann; University of Basel) & Best Paper Awards
Location: Auditorium

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