Timing the factor zoo

Christoph Reschenhofer¹, Andreas Neuhierl², Otto Randl¹, Josef Zechner¹

1: Vienna University of Economics and Business, Austria; 2: Washington 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

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

Volatility and the Pricing Kernel

Tobias Sichert¹, David Schreindorfer²

1: Stockholm School of Economics; 2: Arizona 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

1: EDHEC Business School, France; 2: Boston 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

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

Discussant: Ines Chaieb (University of Geneva)

“Tax Avoidance through Cross-Border Mergers and Acquisitions”

Jake Smith, Jean-Marie Meier

University of Texas at Dallas, United States of America

Discussant: Philip Valta (University of Bern)

Monitoring Capital and the Decision to Go Public

Shahram Amini¹, Andrew MacKinlay², Chishen Wei³, Johan Sulaeman⁴

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

Creditor Control Rights and the Pricing of Private Loans

Nicola Kollmann¹, Marc Arnold¹, Angel Tengulov²

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

Discussant: Christian Kubitza (European Central Bank)

The colour of corporate loan securitization

Huyen Nguyen^1,3, Isabella Mueller¹, Trang Nguyen²

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

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

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

The impact of ETF index inclusion on stock prices

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

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

Discussant: Vitaly Orlov (University of St.Gallen)

In victory or defeat: Consumption responses to wealth shocks

Tse-Chun Lin¹, Alex Imas², Yan Luo³, Xiaohuan Wang⁴

1: University of Hong Kong, Hong Kong S.A.R. (China); 2: Booth School of Business, University of Chicago; 3: School of Management, Fudan University; 4: Shanghai National Accounting Institute

Discussant: Jan Toczynski (University of Zurich)

Mortality Beliefs and Saving Decisions: The Role of Personal Experiences

Frederik Horn

University of Mannheim, Germany

Discussant: Petra Vokata (Ohio State University)

Identification of Factor Risk Premia

Maziar Mahdavi Kazemi¹, Peter Hansen²

1: Arizona State University; 2: Purdue University

Discussant: Julian Thimme (Karlsruhe Institute of Technology)

Crypto Carry

Karamfil Todorov¹, Maik Schmeling², Andreas Schrimpf¹

1: Bank for International Settlements; 2: Goethe University Frankfurt

Discussant: Shihao Yu (Columbia University)

Currency Network Risk

Jozef Barunik², Mykola Babiak¹

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

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

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

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

Douglas Cook², Daewoung Choi¹, Tony Via³, Weiwei Zhang⁴

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

Discussant: Santanu Kundu (University of Mannheim)

CEO Personal Reputation and Financial Misconduct

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

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

Discussant: Felix von Meyerinck (University of Zurich)

Predicting Recessions

Nikos Paltalidis¹, Rajkamal Iyer², Shohini Kundu³

1: Durham University Business School; 2: Imperial College London; 3: University 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)

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

Marco Ceccarelli¹, Christoph Herpfer², Steven Ongena^3,4,5,6,7

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

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

How does a ban on kickbacks affect individual investors?

Simon Straumann, Nic Schaub

WHU Otto Beisheim School of Management, Germany

Discussant: Frederik Horn (University of Mannheim)

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

Director appointments from shareholder connections: Evidence from common ownership

Yang Cao

Grenoble Ecole de Management, France

Negative Sentiment and Retail Trading: Evidence from Mass Shootings

Tianchen {Hugo} Zhao

University of Maryland, United States of America

The Value of Employee Morale in Mergers and Acquisitions

Kristina Lalova

University of Connecticut, United States of America

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

Fabienne Schneider

University of Bern, Study Center Gerzensee, Switzerland

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

Jiajun Tao, Jiaying Li

City, University of London, United Kingdom

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

Joren Koëter¹, Joost Driessen², Ole Wilms³

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

Discussant: Jonas Nygaard Eriksen (Aarhus University)

Is there an Equity Duration Premium?

Dominik Rudolf Walter¹, Rüdiger Weber²

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

Discussant: Emmanouil Platanakis (University of Bath)

Subjective expectations and house prices

Jonas Nygaard Eriksen¹, Jeppe Bro²

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

Discussant: Christoph Meinerding (Deutsche Bundesbank)

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

1: Karlsruhe Institute of Technology, Germany; 2: University 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

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

Discussant: Maziar Mahdavi Kazemi (Arizona State University)

The Financial Channels of Labor Rigidities: Evidence from Portugal.

Ettore Panetti¹, Edoardo Maria Acabbi², Alessandro Sforza³

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

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

Discussant: Chen Yang (Durham University Business School)

Foreign Talent and Hedge Funds

Shenje Hshieh¹, Feng Zhang², Melvyn Teo³, Jun Chen⁴

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

Discussant: Florian Weigert (University of Neuchâtel)

Defining Greenwashing

Javier Gil-Bazo², Ariadna Dumitrescu¹, Feng Zhou²

1: ESADE Business School, Ramon Llull University, Spain; 2: University 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)

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

Felix Fattinger¹, Marc Chesney², Jonathan Krakow², Simon Straumann³

1: Vienna University of Economics and Business & VGSF, Austria; 2: University of Zurich, Switzerland; 3: WHU 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

Discussant: Simon Straumann (WHU - Otto Beisheim School of Management)

Trades, Quotes, and Information Shares

Albert J. Menkveld², Björn Hagströmer¹

1: Stockholm Business School, Sweden; 2: VU 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)

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

Yingxiang Li¹, Bo Bian¹, Casimiro A. Nigro²

1: University of British Columbia Sauder School of Business, Canada; 2: Goethe 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

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

Discussant: Zeno Adams (University of St.Gallen)

Consumer Privacy and Value of Consumer Data

Ilja Kantorovitch¹, Mehmet Canayaz², Roxana Mihet³

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

Discussant: Douglas Cook (University of Alabama)

Mutual Funds’ Fire Sales and the Real Economy: Evidence from Hurricanes

Roberto Tubaldi

BI Norwegian Business School, Norway

Discussant: Jake Smith (University of Texas at Dallas)

The Role of Family Networks in First-Credit Access

Lorena Keller¹, Miguel Angel Carpio², Alessandro Tomarchio³

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

Discussant: Dominik Supera (Columbia Business School)

Financial Integration through Production Networks

Apoorva Javadekar³, Indraneel Chakraborty¹, Saketh Chityala², Rodney Ramcharan⁴

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

Discussant: Ouarda Merrouche (Universite Paris Nanterre)

Reinvesting Dividends

Niklas Reinhardt¹, Jan Müller-Dethard², Martin Weber²

1: Kiel University, Germany; 2: University 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

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

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