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
Registration and Coffee
Location: Front Desk ConventionPoint
A1: Empirical Asset Pricing I
Location: Room "Auditorium"
Chair: Emmanouil Platanakis, University of Bath

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)

B1: Theoretical Asset Pricing
Location: Room "Link"
Chair: Julian Thimme, Karlsruhe Institute of Technology

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)

C1: Corporate Transactions
Location: Room "Connect"
Chair: Roberto Tubaldi, BI Norwegian Business School

“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)

D1: Banking I
Location: Room "Venture"
Chair: Sebastian Doerr, Bank for International Settlements

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 Nguyen1,3, 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)

E1: Behavioral Finance I
Location: Room "Create"
Chair: Simon Straumann, WHU - Otto Beisheim School of Management

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)

Coffee Break
Location: Foyer ConventionPoint
A2: Empirical Asset Pricing II
Location: Room "Auditorium"
Chair: Ines Chaieb, University of Geneva

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)

B2: International Finance
Location: Room "Link"
Chair: Rüdiger Weber, WU Vienna

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)

C2: Reputational Risk
Location: Room "Connect"
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

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)

D2: Banking II
Location: Room "Venture"
Chair: Dominik Supera, Columbia Business School

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)

E2: Behavioral Finance II
Location: Room "Create"
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

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)

Lunch Break
Location: Foyer ConventionPoint
P1: 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

P2: PhD Poster Session
Location: Foyer ConventionPoint

Director appointments from shareholder connections: Evidence from common ownership

Yang Cao

Grenoble Ecole de Management, France

P3: 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

P4: PhD Poster Session
Location: Foyer ConventionPoint

The Value of Employee Morale in Mergers and Acquisitions

Kristina Lalova

University of Connecticut, United States of America

P5: 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

P6: 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

A3: Empirical Asset Pricing III
Location: Room "Auditorium"
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

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)

B3: Financial Econometrics
Location: Room "Link"
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

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)

C3: Labor Markets
Location: Room "Connect"
Chair: Philip Valta, University of Bern

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)

D3: Asset Management
Location: Room "Venture"
Chair: Christian Kubitza, European Central Bank

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)

E3: Household Finance I
Location: Room "Create"
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

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)

Coffee Break
Location: Foyer ConventionPoint
A4: Market Microstructure
Location: Room "Auditorium"
Chair: Andrea Barbon, University of St.Gallen

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)

B4: Private Equity / Commodities
Location: Room "Link"
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

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)

C4: Consumer Data and Real Economy
Location: Room "Connect"
Chair: Douglas Cook, University of Alabama

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)

D4: Banking III
Location: Room "Venture"
Chair: Apoorva Javadekar, Indian School of Business

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)

E4: Household Finance II
Location: Room "Create"
Chair: Vitaly Orlov, University of St. Gallen

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)

Award Ceremony
Location: Room "Auditorium"
Location: Foyer ConventionPoint

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