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).
9:00am B1: Theoretical Asset Pricing Location: Room "Link" Chair: Can Gao , University of St.Gallen
Evaluating the Impact of Portfolio Mandates
Raman Uppal 1 , Jack Favilukis2 , Lorenzo Garlappi2
1: EDHEC Business School, United Kingdom;
2: UBC Sauder School of Business
Discussant: Vitaly Orlov (University of St.Gallen)
Asset Pricing with Disagreement about Climate Risks
Ole Wilms 1 , Karl Schmedders2 , Thomas Lontzek3 , Marco Thalhammer3 , Walter Pohl4
1: Universität Hamburg;
2: IMD Lausanne;
3: RWTH Aachen;
4: NHH Bergen
Discussant: Can Gao (University of St.Gallen)
Quantitative Easing, the Repo Market, and the Term Structure of Interest Rates
Ruggero Jappelli 1 , Loriana Pelizzon1,2 , Marti G. Subrahmanyam3,4
1: Goethe University Frankfurt and Leibniz Institute for Financial Research SAFE;
2: Ca' Foscari University and CEPR;
3: NYU Stern;
4: NYU Shanghai
Discussant: Raman Uppal (EDHEC Business School)
11:20am B2: Financial Markets Location: Room "Link" Chair: Reiner Braun , Technische Universität München, TUM
The Trade Imbalance Network and Currency Returns
Ai Jun Hou 1 , Xiaoxia Ye2 , Lucio Sarno3
1: Stockholm University;
2: Exeter University;
3: Cambridge University
Discussant: Ilaria Piatti (Queen Mary University of London)
Private Equity and Debt Contract Enforcement: Evidence from Covenant Violations
Anya Kleymenova , Sharjil Haque
Federal Reserve Board
Discussant: Reiner Braun (Technische Universität München, TUM)
2:00pm B3: Empirical Asset Pricing II Location: Room "Link" Chair: Karamfil Todorov , BIS (Bank for International Settlements)
The Response of Equity Yields to a Long-Run Shock
Martijn Boons 1 , Andrea Tamoni2 , Petra Sinagl3
1: Nova University Lisbon;
2: Rutgers Business School;
3: University of Iowa
Discussant: Tobias Sichert (Stockholm School of Economcs)
Subjective Risk Premia in Bond and FX Markets
Ilaria Piatti 1 , Daniel Pesch2 , Paul Whelan3
1: Queen Mary University of London;
2: Said Business School, University of Oxford;
3: CUHK Business School
Discussant: Karamfil Todorov (BIS (Bank for International Settlements))
Expected Bond Liquidity
Marcel Müller 1 , Michael Reichenbacher1 , Philipp Schuster2 , Marliese Uhrig-Homburg1
1: Karlsruhe Institute of Technology;
2: University of Stuttgart
Discussant: Heiner Beckmeyer (University of Muenster)
4:20pm B4: Derivatives Location: Room "Link" Chair: Ole Wilms , Universität Hamburg
The Equity Derivative Payoff Bias
Julian Terstegge 1 , Guido Baltussen2 , Paul Whelan3
1: Copenhagen Business School;
2: Erasmus University Rotterdam;
3: Chinese University of Hong Kong
Discussant: Mathis Moerke (University of St.Gallen)
The Cumulant Risk Premium
Karamfil Todorov 1 , Albert Kyle2
1: BIS (Bank for International Settlements);
2: University of Maryland, Robert H. Smith School of Business
Discussant: Ole Wilms (Universität Hamburg)