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/2023
8:15am - 9:00amRegistration and Coffee
Location: Front Desk ConventionPoint
9:00am - 10:45amA1: Empirical Asset Pricing I
Location: Room "Auditorium"
Session Chair: Emmanouil Platanakis, University of Bath
 

Timing the factor zoo

Christoph Reschenhofer1, Andreas Neuhierl2, Otto Randl1, Josef Zechner1

1Vienna University of Economics and Business, Austria; 2Washington University in St. Louis

Discussant: Miao Zhang (University of Southern California)



ETFs, Anomalies and Market Efficiency

Guofu Zhou1, Ilias Filippou1, Songrun He1, Sophia Zhengzi Li2

1Olin Business School, Washington University in St. Louis; 2Rutgers University

Discussant: Christoph Reschenhofer (Vienna University of Economics and Business)



Wisdom of the Institutional Crowd: Implications for Anomaly Returns

Miao Zhang, AJ Chen, Gerard Hoberg

University of Southern California, United States of America

Discussant: Joren Koëter (Rotterdam School of Management, Erasmus University)

 
9:00am - 10:45amB1: Theoretical Asset Pricing
Location: Room "Link"
Session Chair: Julian Thimme, Karlsruhe Institute of Technology
 

Volatility and the Pricing Kernel

Tobias Sichert1, David Schreindorfer2

1Stockholm School of Economics; 2Arizona State University, United States of America

Discussant: Jens H. E. Christensen (Federal Reserve Bank of San Francisco)



When Green Investors Are Green Consumers

Olivier David Zerbib1, Maxime Sauzet2

1EDHEC Business School, France; 2Boston University, United States of America

Discussant: Martin Nerlinger (University of St.Gallen)



Conservative Holdings, Aggressive Trades: Ambiguity, Learning, and Equilibrium Flows

Alex Weissensteiner1, Thomas Dangl3, Lorenzo Garpappi2

1Free University of Bozen-Bolzano, Italy; 2Sauder School of Business - University of British Columbia; 3TU Wien

Discussant: Ines Chaieb (University of Geneva)

 
9:00am - 10:45amC1: Corporate Transactions and Data
Location: Room "Connect"
Session Chair: Douglas Cook, University of Alabama
 

Monitoring Capital and the Decision to Go Public

Shahram Amini1, Andrew MacKinlay2, Chishen Wei3, Johan Sulaeman4

1University of Denver; 2Virginia Tech; 3Hong Kong Polytechnic University; 4National University of Singapore

Discussant: Roberto Tubaldi (BI Norwegian Business School)



What do market participants learn from share repurchases? Evidence from a return decomposition

Philip Valta, Sascha Jakob

University of Bern, Switzerland

Discussant: Shahram Amini (University of Denver)



Consumer Privacy and Value of Consumer Data

Ilja Kantorovitch1, Mehmet Canayaz2, Roxana Mihet3

1EPFL, Switzerland; 2Smeal College of Business, Penn State, United States of America; 3University of Lausanne, Switzerland

Discussant: Douglas Cook (University of Alabama)

 
9:00am - 10:45amD1: Banking I
Location: Room "Venture"
Session Chair: Sebastian Doerr, Bank for International Settlements
 

Creditor Control Rights and the Pricing of Private Loans

Nicola Kollmann1, Marc Arnold1, Angel Tengulov2

1University of St.Gallen; 2The University of Kansas School of Business, United States of America

Discussant: Christian Kubitza (European Central Bank)



The colour of corporate loan securitization

Huyen Nguyen1,3, Isabella Mueller1, Trang Nguyen2

1Halle Institute for Economic Research, Germany; 2University of Glasgow, United Kingdom; 3University of Jena, Germany

Discussant: Stefano Ramelli (University of St.Gallen)



Technology and privacy in credit markets

Sebastian Doerr1, Leonardo Gambacorta1, Luigi Guiso2, Marina Sanchez del Villar3

1Bank for International Settlements; 2Einaudi Institute for Economics and Finance (EIEF), Italy; 3European University Institute (EUI), Italy

Discussant: Rachel J. Nam (Goethe University Frankfurt/Leibniz Institute for Financial Research SAFE)

 
9:00am - 10:45amE1: Behavioral Finance I
Location: Room "Create"
Session Chair: Marco Ceccarelli, Maastricht University
 

The impact of ETF index inclusion on stock prices

Jean Paul Rabanal1, Dan Friedman2, John Duffy3, Olga Rud1

1University of Stavanger, Norway; 2UC Santa Cruz; 3UC Irvine

Discussant: Vitaly Orlov (University of St.Gallen)



Mortality Beliefs and Saving Decisions: The Role of Personal Experiences

Frederik Horn

University of Mannheim, Germany

Discussant: Petra Vokata (Ohio State University)

 
10:45am - 11:20amCoffee Break
Location: Foyer ConventionPoint
11:20am - 12:30pmA2: Empirical Asset Pricing II
Location: Room "Auditorium"
Session Chair: Ines Chaieb, University of Geneva
 

Identification of Factor Risk Premia

Maziar Mahdavi Kazemi1, Peter Hansen2

1Arizona State University; 2Purdue University

Discussant: Julian Thimme (Karlsruhe Institute of Technology)



Crypto Carry

Karamfil Todorov1, Maik Schmeling2, Andreas Schrimpf1

1Bank for International Settlements; 2Goethe University Frankfurt

Discussant: Shihao Yu (Columbia University)

 
11:20am - 12:30pmB2: International Finance
Location: Room "Link"
Session Chair: Rüdiger Weber, WU Vienna
 

Currency Network Risk

Jozef Barunik2, Mykola Babiak1

1Lancaster University Management School, United Kingdom; 2Charles University, Czechia

Discussant: Guofu Zhou (Washington University in St. Louis)



Central Bank Swap Lines: Micro-Level Evidence

Ganesh Viswanath Natraj1, Gerardo Ferrara2, Philippe Mueller1, Junxuan Wang1

1Warwick Business School, United Kingdom; 2Bank of England, United Kingdom

Discussant: Jozef Barunik (Institute of Economic Studies, Charles University in Prague)

 
11:20am - 12:30pmC2: Reputational Risk
Location: Room "Connect"
Session Chair: Shahram Amini, University of Denver
 

The Mitigation of Reputational Risk via Responsive CSR: Evidence from Securities Class Action Lawsuits

Douglas Cook2, Daewoung Choi1, Tony Via3, Weiwei Zhang4

1Louisiana State University, Shreveport; 2University of Alabama; 3Kent State University; 4James Madison University

Discussant: Santanu Kundu (University of Mannheim)



CEO Personal Reputation and Financial Misconduct

Chen Yang1, Zicheng Lei2, Dimitris Petmezas1, P. Raghavendra Rau3

1Durham University, United Kingdom; 2King's College London, United Kingdom; 3University of Cambridge, United Kingdom

Discussant: Felix von Meyerinck (University of Zurich)

 
11:20am - 12:30pmD2: Banking II
Location: Room "Venture"
Session Chair: Dominik Supera, Columbia Business School
 

Predicting Recessions

Nikos Paltalidis1, Rajkamal Iyer2, Shohini Kundu3

1Durham University Business School; 2Imperial College London; 3University of California, Los Angeles, United States of America

Discussant: Luca Gemmi (University of Lausanne)



Running Out of Time (Deposits): Falling Interest Rates and the Decline of Business Lending, Investment and Firm Creation

Dominik Supera

Columbia Business School, United States of America

Discussant: Lorena Keller (University of Pennsylvania, The Wharton School)

 
11:20am - 12:30pmE2: Behavioral Finance II
Location: Room "Create"
Session Chair: Sjoerd van Bekkum, Erasmus University
 

Gender, performance, and promotion in the labor market for commercial bankers

Marco Ceccarelli1, Christoph Herpfer2, Steven Ongena3,4,5,6,7

1Maastricht University, Germany; 2Emory University, Goizueta Business School; 3SFI; 4University of Zurich, Switzerland; 5KU Leuven, Belgium; 6Norwegian University of Science and Technology NTNU; 7CEPR

Discussant: Tse-Chun Lin (University of Hong Kong)

 
12:30pm - 2:00pmLunch Break
Location: Foyer ConventionPoint
1:30pm - 2:00pmP1: PhD Poster Session
Location: Foyer ConventionPoint
 

Climate trailblazer or opportunistic profiteer: The role of bank branches as a channel for funding green renovation

Max Grossmann, Thomas Pauls

Goethe University Frankfurt, Germany

 
1:30pm - 2:00pmP2: PhD Poster Session
Location: Foyer ConventionPoint
 

Director appointments from shareholder connections: Evidence from common ownership

Yang Cao

Grenoble Ecole de Management, France

 
1:30pm - 2:00pmP3: PhD Poster Session
Location: Foyer ConventionPoint
 

Negative Sentiment and Retail Trading: Evidence from Mass Shootings

Tianchen {Hugo} Zhao

University of Maryland, United States of America

 
1:30pm - 2:00pmP4: PhD Poster Session
Location: Foyer ConventionPoint
 

The Value of Employee Morale in Mergers and Acquisitions

Kristina Lalova

University of Connecticut, United States of America

 
1:30pm - 2:00pmP5: PhD Poster Session
Location: Foyer ConventionPoint
 

On-the-run Premia, Settlement Fails, and Central Bank Access

Fabienne Schneider

University of Bern, Study Center Gerzensee, Switzerland

 
1:30pm - 2:00pmP6: PhD Poster Session
Location: Foyer ConventionPoint
 

Does Knowledge Protection Spur Common Ownership? Evidence from the Inevitable Disclosure Doctrine

Jiajun Tao, Jiaying Li

City, University of London, United Kingdom

 
2:00pm - 3:45pmA3: Empirical Asset Pricing III
Location: Room "Auditorium"
Session Chair: Alex Weissensteiner, Free University of Bozen-Bolzano
 

Horizon effects in the pricing kernel: How investors price short-term versus long-term risks

Joren Koëter1, Joost Driessen2, Ole Wilms3

1Rotterdam School of Management, Erasmus University, The Netherlands; 2Tilburg University, The Netherlands; 3Hamburg University, Germany

Discussant: Jonas Nygaard Eriksen (Aarhus University)



Is there an Equity Duration Premium?

Dominik Rudolf Walter1, Rüdiger Weber2

1Vienna Graduate School of Finance, Austria; 2Vienna University of Economics and Business, Austria

Discussant: Emmanouil Platanakis (University of Bath)



Subjective expectations and house prices

Jonas Nygaard Eriksen1, Jeppe Bro2

1Aarhus University, Denmark; 2Norges Bank Investment Management, Norway

Discussant: Christoph Meinerding (Deutsche Bundesbank)

 
2:00pm - 3:45pmB3: Financial Econometrics
Location: Room "Link"
Session Chair: Olivier David Zerbib, EDHEC
 

The Value of Software

Roberto Gomez Cram, Alastair Lawrence, Collin Dursteler

London Business School, United Kingdom

Discussant: Karamfil Todorov (BIS (Bank for International Settlements))



A Skeptical Appraisal of Robust Asset Pricing Tests

Julian Thimme1, Tim Kroencke2

1Karlsruhe Institute of Technology, Germany; 2University of Neuchâtel, Switzerland

Discussant: Tobias Sichert (Stockholm School of Economics)



Non-Standard Errors

Albert Menkveld1, Anna Dreber3, Felix Holzmeister2, Juergen Hueber2, Magnus Johannesson3, Michael Kirchler2, Sebastian Neusuess4, Michael Razen2, Utz Weitzel1

1VU Amsterdam, The Netherlands; 2University of Innsbruck, Austria; 3Stockholm School of Economics, Sweden; 4No affiliation

Discussant: Maziar Mahdavi Kazemi (Arizona State University)

 
2:00pm - 3:45pmC3: Labor Markets
Location: Room "Connect"
Session Chair: Philip Valta, University of Bern
 

The Financial Channels of Labor Rigidities: Evidence from Portugal.

Ettore Panetti1, Edoardo Maria Acabbi2, Alessandro Sforza3

1Università degli Studi Federico II, CSEF, SUERF, UECE-ISEG; 2Universidad Carlos III de Madrid, Northwestern University; 3Università di Bologna, CESifo, CEPR

Discussant: Emilia Garcia-Appendini (Norges Bank and University of Zurich)



Non-Compete Agreements and Labor Allocation Across Product Markets

Clemens Mueller

University of Mannheim, Germany

Discussant: Daniel Metzger (Rotterdam School of Management)



Which workers suffer (or benefit) from firm-level uncertainty shocks?

Daniel Metzger1, Andrea Caggese2, Vicente Cunat3

1Rotterdam School of Management, The Netherlands; 2Universitat Pompeu Fabra (UPF), Spain; 3LSE, United Kingdom

Discussant: Chen Yang (Durham University Business School)

 
2:00pm - 3:45pmD3: Asset Management
Location: Room "Venture"
Session Chair: Christian Kubitza, European Central Bank
 

Foreign Talent and Hedge Funds

Shenje Hshieh1, Feng Zhang2, Melvyn Teo3, Jun Chen4

1City University of Hong Kong; 2Cox School of Business, Southern Methodist University; 3Lee Kong Chian School of Business, Singapore Management University; 4Renmin University of China

Discussant: Florian Weigert (University of Neuchâtel)



Defining Greenwashing

Javier Gil-Bazo2, Ariadna Dumitrescu1, Feng Zhou2

1ESADE Business School, Ramon Llull University, Spain; 2University Pompeu Fabra, Spain

Discussant: Julian Kölbel (University of St.Gallen)



Investor-Driven Corporate Finance: Evidence from Insurance Markets

Christian Kubitza

European Central Bank, Germany

Discussant: Anastasia Kartasheva (University of St. Gallen)

 
2:00pm - 3:45pmE3: Household Finance I
Location: Room "Create"
Session Chair: Antonio Gargano, University of Houston
 

Interest Rates, Competition, and Complexity: Demand and Supply of Retail Financial Products

Felix Fattinger1, Marc Chesney2, Jonathan Krakow2, Simon Straumann3

1Vienna University of Economics and Business & VGSF, Austria; 2University of Zurich, Switzerland; 3WHU Otto Beisheim School of Management, Germany

Discussant: Jean Paul Rabanal (University of Stavanger)



Easy Screening: Inattention and Household Financial Distress

Sjoerd van Bekkum, Haikun Zhu

Erasmus University Rotterdam, The Netherlands

Discussant: Sebastian Doerr (Bank for International Settlements)



Do Investors Read the Fine Print? Salient Thinking and Security Design

Petra Vokata

Ohio State University, United States of America

 
3:45pm - 4:20pmCoffee Break
Location: Foyer ConventionPoint
4:20pm - 5:30pmA4: Market Microstructure
Location: Room "Auditorium"
Session Chair: Andrea Barbon, University of St.Gallen
 

Trades, Quotes, and Information Shares

Albert J. Menkveld2, Björn Hagströmer1

1Stockholm Business School, Sweden; 2VU Amsterdam, The Netherlands

Discussant: Ganesh Viswanath Natraj (Warwick Business School)



The Information Content of Blockchain Fees

Shihao Yu, Agostino Capponi, Ruizhe Jia

Columbia University, United States of America

Discussant: Andrea Barbon (University of St.Gallen)

 
4:20pm - 5:30pmB4: Private Equity / Commodities
Location: Room "Link"
Session Chair: Joren Koëter, Rotterdam School of Management, Erasmus University
 

Conflicting Fiduciary Duties and Fire Sales of VC-backed Start-ups

Yingxiang Li1, Bo Bian1, Casimiro A. Nigro2

1University of British Columbia Sauder School of Business, Canada; 2Goethe University Frankfurt, Foundations of Law and Finance, Germany

Discussant: Roberto Gomez Cram (London Business School)



Inflation Risk Premium for Commodity and Stock Market Returns

Emmanouil Platanakis1, Ai Jun Hou2, Xiaoxia Ye3, Guofu Zhou4

1University of Bath, United Kingdom; 2Stockholm University, Sweden; 3University of Liverpool, United Kingdom; 4Washington University in St. Louis, United States of America

Discussant: Zeno Adams (University of St.Gallen)

 
4:20pm - 5:30pmD4: Banking III
Location: Room "Venture"
Session Chair: Apoorva Javadekar, Indian School of Business
 

The Role of Family Networks in First-Credit Access

Lorena Keller1, Miguel Angel Carpio2, Alessandro Tomarchio3

1University of Pennsylvania, The Wharton School, United States of America; 2Universidad de Piura, Peru; 3Central Bank of Peru

Discussant: Dominik Supera (Columbia Business School)



Financial Integration through Production Networks

Apoorva Javadekar3, Indraneel Chakraborty1, Saketh Chityala2, Rodney Ramcharan4

1University of Miami; 2University of Colorado, Boulder; 3Indian School of Business; 4University of Southern California, United States of America

Discussant: Ouarda Merrouche (Universite Paris Nanterre)

 
4:20pm - 5:30pmE4: Household Finance II
Location: Room "Create"
Session Chair: Vitaly Orlov, University of St. Gallen
 

Reinvesting Dividends

Niklas Reinhardt1, Jan Müller-Dethard2, Martin Weber2

1Kiel University, Germany; 2University of Mannheim, Germany

Discussant: Tobin Hanspal (WU Vienna University of Economics and Business)



Individual Investors' Housing Income and Interest Rates Fluctuations

Antonio Gargano1, Marco Giacoletti2

1University of Houston, United States of America; 2USC Marshall, United States of America

Discussant: Felix Fattinger (Vienna University of Economics and Business)

 
5:45pm - 6:15pmAward Ceremony
Location: Room "Auditorium"
6:15pm - 8:00pmReception
Location: Foyer ConventionPoint

 
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