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: To be Announced

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-David^1,2, 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)

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)

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)

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)

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)

Increasing Corporate Bond Liquidity Premium in the Post-Crisis Period

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)

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))

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)

How Important Is Moral Hazard For Distressed Banks?

Itzhak Ben-David^1,3, Ajay Palvia², René Stulz^1,3

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)

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)

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: To be Announced

Momentum? What Momentum?

Can Yilanci, Erik Theissen

University of Mannheim, Germany

Discussant: To be Announced

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, Martin Weber¹, Benjamin Loos²

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

Discussant: Matthias Weber (University of St.Gallen)

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 Fahlenbrach^1,2, 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)

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)

Bond Implied Risks Around Macroeconomic Announcements

Xinyang Li

Boston University, United States of America

Do media follow up?

Sasan Mansouri

Goethe University Frankfurt am Main, Germany

Firm life-cycle in merges and acquisitions

Tina Oreski

Swiss Finance Institute and USI Lugano, Switzerland

CEO Turnover and Director Reputation

Felix von Meyerinck, Jonas Romer, Markus Schmid

University of St.Gallen (HSG), Switzerland

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

Han Xiao

Pennsylvania State University, United States of America

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 Curatola^1,4, Ilya Dergunov³, Christian Schlag^2,4

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)

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: To be Announced

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)

Are Investors Sensitive to Impact?

Florian Heeb¹, Julian F. Kölbel^1,2, Falko Paetzold^3,1, Stefan Zeisberger^4,1

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)

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)

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)