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: Thursday, 25/Mar/2021
1:45pm
-
2:00pm
Zoom Welcome Desk opens
2:00pm
-
3:20pm
Room A: AP 1
Chair: Katie Moon, University of Colorado
 

Real-time Price Discovery via Verbal Communication: Method and Application to Fedspeak

Marco Grotteria, Roberto Gomez Cram

London Business School, United Kingdom

Discussant: John Kuong (INSEAD)



Imprecise and Informative: Lessons from Market Reactions to Imprecise Disclosure

J. Anthony Cookson1, S. Katie Moon1, Joonki Noh2

1: University of Colorado Boulder, United States of America; 2: CaseWestern Reserve University, United States of America

Discussant: Giuliano Curatola (University of Siena)

Room B: FMG 1
Chair: Pascal Towbin, Swiss National Bank
 

Mortgage Prepayment, Race, and Monetary Policy

Kristopher Gerardi1, Paul Willen2, David Hao Zhang3

1: Federal Reserve Bank of Atlanta, United States of America; 2: Federal Reserve Bank of Boston, United States of America; 3: Harvard Business School, United States of America

Discussant: Daniel Ruf (Goethe Universität Frankfurt am Main)



Inferring Expectations from Observables: Evidence from the Housing Market

Itzhak Ben-David1,2, Pascal Towbin3, Sebastian Weber4

1: Fisher College of Business, The Ohio State University, United States of America; 2: National Bureau of Economic Research, United States of America; 3: Swiss National Bank, Switzerland; 4: International Monetary Fund, United States of America

Discussant: Kristian Blickle (FED New York)

Room C: BHF 1
Chair: Andreas Fuster, Swiss National Bank
 

Salience and Households' Flood Insurance Decisions

Zhongchen Hu

London School of Economics and Political Science, United Kingdom

Discussant: Benjamin Guin (Bank of England)



Know Thyself: Free Credit Reports and the Retail Mortgage Market

Amit Kumar

The Hong Kong University of Science and Technology, Hong Kong S.A.R. (China)

Discussant: Andreas Fuster (Swiss National Bank)

Room D: CFG 1
Chair: Philip Valta, University of Bern
 

New Products

Abhiroop Mukherjee1, Tomas Thornquist2, Alminas Zaldokas1

1: The Hong Kong University of Science and Technology, Hong Kong S.A.R. (China); 2: Shell Street Labs, Hong Kong S.A.R. (China)

Discussant: Philip Valta (University of Bern)



Online Reputation and Debt Capacity

François Derrien1, Alexandre Garel2, Arthur Petit-Romec3, Jean-Philippe Weisskopf4

1: HEC Paris, France; 2: Audencia Business School, France; 3: SKEMA Business School & Université Côte d'Azur, France; 4: Ecole hôtelière de Lausanne, Switzerland

Discussant: Emilia Garcia-Appendini (University of Zurich)

Room E: FII 1
Chair: Karolin Kirschenmann, ZEW
 

Banks and Firms: Evidence of a legal reform giving more power to firms

Hans Degryse1, Olivier De Jonghe2, Nikolaos Karagiannis3

1: KU Leuven, and CEPR; 2: National Bank of Belgium, and Tilburg University; 3: Alliance Manchester Business School, and KU Leuven

Discussant: Karolin Kirschenmann (ZEW)



Population aging and bank risk-taking

Sebastian Doerr2, Gazi Kabas1, Steven Ongena3

1: University of Zurich & Swiss Finance Institute, Switzerland; 2: Bank for International Settlements, Switzerland; 3: University of Zurich & Swiss Finance Institute & KU Leuven & CEPR

Discussant: Andreas Barth (Goethe University Frankfurt)

3:40pm
-
5:00pm
Room A: AP 2
Chair: Jens Dick-Nielsen, Copenhagen Business School
 

Deep Learning in Asset Pricing

Luyang Chen, Markus Pelger, Jason Zhu

Stanford University, United States of America

Discussant: Jens Dick-Nielsen (Copenhagen Business School)



Single-step Portfolio Construction through Reinforcement Learning and Interpretable AI

Lin William Cong1, Ke Tang2, Jingyuan Wang3, Yang Zhang3

1: Cornell University, United States of America; 2: Tsinghua University, China; 3: Beihang University, China

Discussant: Gianluca De Nard (University of Zurich / New York University)

Room B: FMG 2
Chair: Thomas Gehrig, University of Vienna
 

Increasing Corporate Bond Liquidity Premium and Post-Crisis Regulations

Botao Wu

New York University, Stern School of Business, United States of America

Discussant: Fabian Hollstein (Leibniz University Hannover)



The Design of a Central Counterparty

Vincent Maurin1, John Kuong2

1: Stockholm School of Economics, France; 2: INSEAD, France

Discussant: Thomas Gehrig (University of Vienna)

Room C: BHF 2
Chair: Arna Olafsson, Copenhagen Business School (CBS)
 

Necessary Evidence For A Risk Factor’s Relevance

Alex Chinco, Samuel Hartzmark, Abigail Sussman

University of Chicago, United States of America

Discussant: Michael Ungeheuer (Aalto University)



Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment

Christine Laudenbach1, Annika Weber2, Johannes Wohlfart3

1: University of Bonn, Germany; 2: Goethe University Frankfurt am Main, Germany; 3: University of Copenhagen, Denmark

Discussant: Arna Olafsson (Copenhagen Business School (CBS))

Room D: CFG 2
Chair: Thomas Schmid, University of Hong Kong
 

The Advisory and Monitoring Roles of the Board: Evidence from Disruptive Events

Ettore Croci1, Gerard Hertig2, Layla Khoja3, Luh Luh Lan4

1: Università Cattolica del Sacro Cuore, Italy; 2: ETH Zurich, Switzerland; 3: Singapore-ETH Centre, Switzerland; 4: National University of Singapore, Singapore

Discussant: Thomas Schmid (University of Hong Kong)



The economic costs of climate change

Claudia Custodio2, Miguel Ferreira3, Emilia Garcia-Appendini1, Adrian Lam2

1: University of Zurich, Switzerland; 2: Imperial College Business School, United Kingdom; 3: Nova School of Business and Economics, Portugal

Discussant: Emirhan Ilhan (Frankfurt School of Finance and Management)

Room E: FII 2
Chair: Tobias Berg, Frankfurt School of Finance & Management
 

How Important Is Moral Hazard For Distressed Banks?

Itzhak Ben-David1,3, Ajay Palvia2, René Stulz1,3

1: Fisher College of Business, The Ohio State University, United States of America; 2: The Federal Deposit Insurance Corporation, United States of America; 3: National Bureau of Economic Research (NBER), United States of America

Discussant: Tobias Berg (Frankfurt School of Finance & Management)



The Myth of the Lead Arranger’s Share

Kristian Blickle1, Quirin Fleckenstein2, Sebastian Hillenbrand2, Tony Saunders2

1: FED New York, United States of America; 2: New York University, Stern School of Business

Discussant: Sotirios Kokas (University of Essex)

5:15pm
-
6:30pm
Keynote Session (Chair: Martin Brown)
  • Announcement Best Paper Award
  • Keynote Speech by Prof. Thorsten Hens (University of Zurich and Swiss Finance Institute), "Evolutionary Portfolio Theory"
Date: Friday, 26/Mar/2021
1:45pm
-
2:00pm
Zoom Welcome Desk opens
2:00pm
-
3:20pm
Room A: AP 3
Chair: Loriana Pelizzon, SAFE Goethe University Frankfurt
 

Issuance and Valuation of Corporate Bonds with Quantitative Easing

Stefano Pegoraro1, Mattia Montagna2

1: University of Notre Dame, United States of America; 2: University of Toronto, Canada

Discussant: Loriana Pelizzon (SAFE Goethe University Frankfurt)



Predicting bond return predictability

Daniel Borup1, Jonas Nygaard Eriksen1, Mads Markvart Kjær1, Martin Thyrsgaard2

1: Aarhus University, Denmark; 2: Kellogg School of Management, Northwestern University, United States of America

Discussant: Vitaly Orlov (University of St.Gallen)

Room B: AP 4
Chair: Chi-Yang Tsou, Hong Kong University of Science and Technology
 

Learning and the Anatomy of the Profitability Premium

Chi-Yang Tsou

Hong Kong University of Science and Technology, Hong Kong S.A.R. (China)

Discussant: Jiri Knesl (Said Business School, University of Oxford)



Momentum? What Momentum?

Can Yilanci, Erik Theissen

University of Mannheim, Germany

Discussant: Marco Grotteria (London Business School)

Room C: BHF 3
Chair: Matthias Weber, University of St.Gallen
 

Inflation and Investors’ Behavior: Evidence from the German Hyperinflation

Fabio Braggion1, Felix von Meyerinck2, Nic Schaub3

1: Tilburg University; 2: University of St. Gallen; 3: WHU - Otto Beisheim School of Management, Germany

Discussant: Oliver Spalt (University of Mannheim)



Waiting for the gain to come: How variance and skewness shape retail investors’ trading behavior

Sabine Bernard1, Benjamin Loos2, Martin Weber3

1: University of Mannheim & Leibniz-Institut für Finanzmarktforschung SAFE, Germany; 2: Technical University of Munich, Germany; 3: University of Mannheim

Discussant: Matthias Weber (University of St.Gallen)

Room D: CFG 3
Chair: Sebastian Gryglewicz, Erasmus University Rotterdam
 

Personal Taxes and Corporate Cash Holdings

Jens Dick-Nielsen, Kristian Miltersen, Ramona Westermann

Copenhagen Business School, Denmark

Discussant: Sebastian Gryglewicz (Erasmus University Rotterdam)



Direct democracy, corporate political strategy, and firm value

Ruediger Fahlenbrach1,2, Alexei Ovtchinnikov3, Philip Valta4

1: Ecole Polytechnique Fédérale de Lausanne; 2: Swiss Finance Institute; 3: HEC Paris; 4: University of Bern

Discussant: Felix Meschke (University of Kansas)

Room E: FII 3
Chair: Falko Fecht, Frankfurt School of Finance & Management
 

Banks, Maturity Transformation, and Monetary Policy

Pascal Paul

Federal Reserve Bank of San Francisco, United States of America

Discussant: Falko Fecht (Frankfurt School of Finance & Management)



Bank Liquidity Provision Across the Firm Size Distribution

Olivier Darmouni1, Gabriel Chodorow-Reich2, Stephan Luck3, Matthew Plosser3

1: Columbia University, United States of America; 2: Harvard University, United States of America; 3: Federal Reserve Bank of New York

Discussant: Felix Noth (Leibniz-Institut für Wirtschaftsforschung Halle)

3:30pm
-
4:30pm
Room A: PHD1

Presentations of 20 minutes at: 3:30pm, 3:50pm, 4:10pm

 

Bond Implied Risks Around Macroeconomic Announcements

Xinyang Li

Boston University, United States of America

Room B: PHD2

Presentations of 20 minutes at: 3:30pm, 3:50pm, 4:10pm

 

Do media follow up?

Sasan Mansouri

Goethe University Frankfurt am Main, Germany

Room C: PHD3

Presentations of 20 minutes at: 3:30pm, 3:50pm, 4:10pm

 

Firm life-cycle in merges and acquisitions

Tina Oreski

Swiss Finance Institute and USI Lugano, Switzerland

Room D: PHD4

Presentations of 20 minutes at: 3:30pm; 3:50pm; 4:10pm

 

CEO Turnover and Director Reputation

Felix von Meyerinck, Jonas Romer, Markus Schmid

University of St.Gallen (HSG), Switzerland

Room E: PHD5

Presentations of 20 minutes at: 3:30pm, 3:50pm, 4:10pm

 

Does Working from Home Decrease Profitability and Productivity? Evidence from the Mutual Fund Industry

Han Xiao

Pennsylvania State University, United States of America

4:40pm
-
6:00pm
Room A: AP 5
Chair: Christian Schlag, Goethe University Frankfurt am Main
 

Uncertainty trends and asset prices

Federico Bandi1, Lorenzo Bretscher2, Andrea Tamoni3

1: Johns Hopkins University, United States of America; 2: London Business School, United Kingdom; 3: Rutgers University, United States of America

Discussant: Christian Schlag (Goethe University Frankfurt am Main)



Optimistic & pessimistic disagreement and the cross section of stock returns

Giuliano Curatola1,4, Ilya Dergunov3, Christian Schlag2,4

1: University of Siena, Italy; 2: Goethe University Frankfurt am Main, Germany; 3: Australian National University, Australia; 4: Leibniz Institute for Financial Research SAFE, Germany

Discussant: Darya Yuferova (Norwegian School of Economics)

Room B: AP 6
Chair: Andrea Barbon, University of St.Gallen
 

Automation and the Displacement of Labor by Capital: Asset Pricing Theory and Empirical Evidence

Jiri Knesl

Said Business School, University of Oxford, United Kingdom

Discussant: Chi-Yang Tsou (Hong Kong University of Science and Technology)



Building Trust Takes Time: Limits to Arbitrage in Blockchain-Based Markets

Stefan Voigt1, Nikolaus Hautsch2, Christoph Scheuch3

1: University of Copenhagen and Danish Finance Institute, Denmark; 2: University of Vienna, Vienna Graduate School of Finance, Data Science at Uni Vienna, Austria; 3: wikifolio Financial Technologies, Austria

Discussant: Andrea Barbon (University of St.Gallen)

Room C: BHF 4
Chair: Christoph Merkle, Aarhus University
 

Are Investors Sensitive to Impact?

Florian Heeb1, Julian F. Kölbel1,2, Falko Paetzold3,1, Stefan Zeisberger4,1

1: University of Zürich, Switzerland; 2: MIT Sloan School of Management, United States of America; 3: EBS University of Business and Law, Germany; 4: Radboud University Institute for Management Research, The Netherlands

Discussant: Christoph Merkle (Aarhus University)



Sea Level Rise and Portfolio Choice

Emirhan Ilhan

Frankfurt School of Finance and Management, Germany

Discussant: Francois Koulischer (University of Luxembourg)

Room D: CFG 4
Chair: Daniel Metzger, Erasmus University Rotterdam
 

Endogenous Operating Leverage: Foreign Labor Regulations and Firm Boundaries

Katie Moon2, Giorgo Sertsios1

1: Universidad de los Andes, Chile; 2: University of Colorado Boulder, United States of America

Discussant: Daniel Metzger (Erasmus University Rotterdam)



Pirates without Borders: the Propagation of Cyberattacks through Firms’ Supply Chains

Matteo Crosignani1, Marco Macchiavelli2, Andre Silva3

1: Federal Reserve Bank of New York, United States of America; 2: Board of Governors of the Federal Reserve System, United States of America; 3: Board of Governors of the Federal Reserve System, United States of America

Discussant: Andreas Milidonis (University of Cyprus)

Room E: FII 4
Chair: Alexander Braun, University of St.Gallen
 

Life insurance convexity

Christian Kubitza1, Nicolaus Grochola2, Helmut Gründl2

1: University of Bonn, Germany; 2: Goethe University Frankfurt am Main, Germany

Discussant: Hato Schmeiser (University of St.Gallen)



Internal Models, Make Believe Prices, and Bond Market Cornering

Ishita Sen1, Varun Sharma2

1: Harvard Business School, United States of America; 2: London Business School, United Kingdom

Discussant: Alexander Braun (University of St.Gallen)


 
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