AFA 2012 CHICAGO MEETINGS
Chicago, IL – January 6, 2012 through January 8, 2012
SEVENTY SECOND ANNUAL MEETING AMERICAN FINANCE ASSOCIATION
President: Raghuram Rajan
President-Elect and Program Chair: Sheridan Titman
1/07/2012 5:45 PM
Location: Swissotel Grand Ball Room
Business Meeting and Presidential Address
01/06/2012 – 8:00 AM
Location: Zurich G
Session: Bankruptcy and Distress
Chair: Edith Hotchkiss, Boston College – Carroll School of Management
Sergei A. Davydenko, University of Toronto – Finance Area, Ilya A. Strebulaev, Stanford Graduate School of Business and Xiaofei Zhao, University of Toronto – Rotman School of Management – A Market-Based Study of the Cost of Default
John R. Graham, Duke University – Finance, Sonali Hazarika, City University of New York, CUNY Baruch College – Zicklin School of Business – Department of Economics and Finance and Krishnamoorthy Narasimhan, Pacific Investment Management Company (PIMCO) – Financial Distress in the Great Depression
Christopher M. James, University of Florida – Department of Finance, Insurance and Real Estate and Atay Kizilaslan, University of Florida – Department of Finance, Insurance and Real Estate – Asset Specificity, Industry Driven Recovery Risk and Loan Pricing
Redouane Elkamhi, University of Iowa – Henry B. Tippie College of Business and Min Jiang, University of Iowa – Henry B. Tippie College of Business – Business Cycles and the Bankruptcy Code: A Structural Approach
Discussants:
Brent Glover, University of Pennsylvania – Finance Department
Jonathan Cohn, University of Texas at Austin – Department of Finance
Micah Officer, Loyola Marymount University – Department of Finance and Computer Information Systems
Arthur Korteweg, Stanford Graduate School of Business
01/06/2012 – 8:00 AM
Location: Zurich C
Session: Corporate Finance Theory
Chair: Andres Almazan, University of Texas at Austin – Department of Finance
Viral V. Acharya, New York University (NYU) – Leonard N. Stern School of Business, Marco Pagano, University of Naples Federico II – Department of Economics and Paolo F. Volpin, London Business School – Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent
Patrick Bolton, Columbia Business School – Economics Department, Hui Chen, Massachusetts Institute of Technology (MIT) – Sloan School of Management and Neng Wang, Columbia Business School – Finance and Economics – Market Timing, Investment, and Risk Management
Samuel Gregory Hanson, Harvard Business School and Adi Sunderam, Harvard Business School – Are There Too Many Safe Securities? Securitization and the Incentives for Information Production
Discussants:
Adolfo De Motta, McGill University – Faculty of Management
Aydogan Alti, University of Texas at Austin – Department of Finance
Denis Gromb, INSEAD – Finance
01/06/2012 – 8:00 AM
Location: Zurich B
Session: Financial Crisis
Chair: Markus Brunnermeier, Princeton University – Department of Economics
Tyler Muir, Kellogg School of Management – Department of Finance, Tobias Adrian, Federal Reserve Banks – Federal Reserve Bank of New York and Erkko Etula, affiliation not provided to SSRN – Financial Intermediaries and the Cross-Section of Asset Returns
Michael Halling, University of Utah – Department of Finance, Jin Yu, University of New South Wales (UNSW) and Josef Zechner, Vienna University of Economics and Business Administration – Leverage Dynamics Over the Business Cycle
Frederic Schweikhard, Massachusetts Institute of Technology (MIT) – Economics, Finance, Accounting (EFA) and Zoe Tsesmelidakis, Massachusetts Institute of Technology (MIT) – Sloan School of Management – The Impact of Government Interventions on CDS and Equity Markets
Jennifer S. Conrad, University of North Carolina (UNC) at Chapel Hill, Robert F. Dittmar, University of Michigan at Ann Arbor – Stephen M. Ross School of Business and Allaudeen Hameed, National University of Singapore (NUS) – Department of Finance – Cross-Market and Cross-Firm Effects in Implied Default Probabilities and Recovery Values
Discussants:
Kent Daniel, Columbia Business School – Finance and Economics
David Sraer, Princeton University
Jakub Jurek, Princeton University – Bendheim Center for Finance
Adam Zawadowski, Boston University – Department of Finance & Economics
01/06/2012 – 8:00 AM
Location: Zurich E
Session: Fixed Income – Term Structure
Chair: Kenneth Singleton, Stanford Graduate School of Business
Andrea Buraschi, Imperial College Business School and Paul Whelan, Imperial College Business School – Discount Factors, Disagreement, and Bond Risk Premia
Michael D. Bauer, Federal Reserve Banks – Federal Reserve Bank of San Francisco, Glenn D. Rudebusch, Federal Reserve Banks – Federal Reserve Bank of San Francisco and Jing Cynthia Wu, University of Chicago – Booth School of Business – Unbiased Estimation of Dynamic Term Structure Models
Pierluigi Balduzzi, Boston College – Carroll School of Management and Fabio Moneta, Queen’s School of Business – Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence
Bing Han, University of Texas at Austin – Department of Finance and Yi Zhou, University of Oklahoma – Division of Finance – Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns
Discussants:
Maxim Ulrich, Columbia Business School – Finance and Economics
Scott Joslin, University of Southern California – Marshall School of Business – Finance and Business Economics Department
Marcel Priebsch, affiliation not provided to SSRN
Stefano Giglio, University of Chicago – Booth School of Business (Finance Authors)
01/06/2012 – 8:00 AM
Location: Zurich A
Session: Anomalies – Behavioral
Chair: Kuo-Chiang Wei, Hong Kong University of Science & Technology (HKUST) – Department of Finance
Robert F. Stambaugh, University of Pennsylvania – Finance Department, Jianfeng Yu, University of Minnesota – Twin Cities – Department of Accounting and Department of Finance and Yu Yuan, University of Pennsylvania – Finance Department – The Short of It: Investor Sentiment and Anomalies
Lauren Cohen, Harvard Business School, Karl B. Diether, Dartmouth College – Tuck School of Business and Christopher J. Malloy, Harvard Business School – Misvaluing Innovation
Thomas J. George, University of Houston – Department of Finance and Chuan-Yang Hwang, Nanyang Technological University (NTU) – Nanyang Business School – Analyst Coverage and the Cross Sectional Relation Between Returns and Volatility
Discussants:
Michael Cooper, University of Utah – David Eccles School of Business
Michael Lemmon, University of Utah – Department of Finance
Darwin Choi, Hong Kong University of Science & Technology (HKUST) – Department of Finance
01/06/2012 – 8:00 AM
Location: Zurich F
Session: Hedge Funds
Chair: Bing Liang, University of Massachusetts at Amherst – Department of Finance & Operations Management
Ankur Pareek, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and Roy Zuckerman, Rutgers, The State University of New Jersey – Rutgers Business School at Newark & New Brunswick – Trust and Investment Management: The Effects of Manager Trustworthiness on Hedge Fund Investments
Turan G. Bali, Georgetown University – Robert Emmett McDonough School of Business, Stephen J. Brown, New York University (NYU) – Department of Finance and Mustafa O. Caglayan, Ozyegin University – Systematic Risk and the Cross-Section of Hedge Fund Returns
Andrea Buraschi, Imperial College Business School, Robert Kosowski, Imperial College Business School and Worrawat Sritrakul, Imperial College Business School – Incentives and Endogenous Risk Taking: Implications for Reduced-Form Estimates of Risk-Adjusted Performance in Hedge Funds
Discussants:
Philippe Jorion, University of California, Irvine – Paul Merage School of Business
Mila Getmansky, Eugene M. Isenberg School of Management – Department of Finance & Operations Management
Ralph Koijen, University of Chicago – Booth School of Business (Finance Authors)
01/06/2012 – 10:15 AM
Location: Zurich A
Session: Bank Liquidity, Lending, and Collateral
Chair: Andrew Winton, University of Minnesota – Twin Cities – Carlson School of Management
Yian Liu, University of Chicago – Booth School of Business – International Liquidity Sharing: Evidence from Financial Crises
Viral V. Acharya, New York University (NYU) – Leonard N. Stern School of Business and David R. Skeie, Federal Reserve Banks – Federal Reserve Bank of New York – A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets
Carmelo Salleo, affiliation not provided to SSRN, Ugo Albertazzi, Bank of Italy, Ginette Eramo, Bank of Italy and Leonardo Gambacorta, Bank for International Settlements (BIS) – Securitization is Not that Evil after All
Geraldo Cerqueiro, Tilburg University – Department of Finance, Steven R. G. Ongena, Tilburg University – Center for Economic Research (CentER) and Kasper F. Roszbach, Sveriges Riksbank – Research Division – Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment
Discussants:
Andrew Hertzberg, Columbia Business School – Finance and Economics
Itay Goldstein, University of Pennsylvania – Finance Department
Amit Seru, University of Chicago – Booth School of Business (Finance Authors)
Sudheer Chava, Georgia Institute of Technology – College of Management
01/06/2012 – 10:15 AM
Location: Zurich C
Session: Financial Econometrics and Volatilities
Chair: Yacine Ait-Sahalia, Princeton University – Department of Economics
John Y. Campbell, Harvard University – Department of Economics (Finance Authors), Stefano Giglio, University of Chicago – Booth School of Business (Finance Authors) and Christopher K. Polk, London School of Economics & Political Science (LSE) – Department of Accounting and Finance – Hard Times
Shumi M. Akhtar II, Australian National University (ANU), Maria Jahromi, Australian National University (ANU), Kose John, New York University (NYU) – Department of Finance and Claudia E. Moise, Case Western Reserve University – Department of Banking & Finance – Intensity of Volatility Linkages between Islamic and Conventional Markets
Gurdip S. Bakshi, University of Maryland – Robert H. Smith School of Business, George Panayotov, Georgetown University – Robert Emmett McDonough School of Business and Georgios Skoulakis, University of Maryland – Department of Finance – The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Kris Boudt, Katholieke Universiteit Leuven – Faculty of Business and Economics (FBE) and Jin Zhang, University of Illinois at Chicago – Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets
Discussants:
Jonathan Parker, Northwestern University – Kellogg School of Management
Mahmoud El-Gamal, Rice University – Department of Economics
Lars Lochstoer, Columbia Business School – Finance and Economics
Dacheng Xiu, University of Chicago – Booth School of Business
01/06/2012 – 10:15 AM
Location: Zurich E
Session: Financial Regulation and Policy
Chair: Chester Spatt, Carnegie Mellon University – David A. Tepper School of Business
Vikas Agarwal, Georgia State University – J. Mack Robinson College of Business, Wei Jiang, Columbia Business School – Finance and Economics, Yuehua Tang, Georgia State University and Baozhong Yang, Georgia State University – Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
John Armour, University of Oxford – Faculty of Law, Colin Mayer, University of Oxford – Said Business School and Andrea Polo, University of Oxford – Said Business School – Regulatory Sanctions and Reputational Damage in Financial Markets
Michael Gofman, University of Wisconsin – Madison – School of Business – A Network-Based Analysis of Over-the-Counter Markets
Bruce I. Carlin, University of California, Los Angeles (UCLA) – Anderson School of Management, Shaun W. Davies, University of California, Los Angeles (UCLA) and Andrew Iannaccone, University of California, Los Angeles (UCLA) – Competition and Transparency in Financial Markets
Discussants:
Stewart Mayhew, Cornerstone Research – Washington Office
Cindy Alexander, Securities and Exchange Commission (SEC)
Brett Green, University of California, Berkeley – Haas School of Business
Francesco Sangiorgi, Stockholm School of Economics – Department of Finance
01/06/2012 – 10:15 AM
Location: Zurich F
Session: Fixed income – Credit
Chair: Francis Longstaff, University of California, Los Angeles (UCLA) – Finance Area
Nina Boyarchenko, Federal Reserve Banks – Federal Reserve Bank of New York – Ambiguity Shifts and the 2007-2008 Financial Crisis
Viral V. Acharya, New York University (NYU) – Leonard N. Stern School of Business, Yakov Amihud, New York University (NYU) – Department of Finance and Sreedhar T. Bharath, University of Michigan at Ann Arbor – Stephen M. Ross School of Business – Liquidity Risk of Corporate Bond Returns
Jiaping Qiu, McMaster University – Michael G. DeGroote School of Business and Fan Yu, Claremont Colleges – Robert Day School of Economics and Finance – Endogenous Liquidity in Credit Derivatives
Discussants:
Hui Chen, Massachusetts Institute of Technology (MIT) – Sloan School of Management
Joost Driessen, Tilburg University – Center and Faculty of Economics and Business Administration
Haitao Li, University of Michigan at Ann Arbor – Stephen M. Ross School of Business
01/06/2012 – 10:15 AM
Location: Zurich G
Session: Mutual Fund Incentives
Chair: Lubos Pastor, University of Chicago – Booth School of Business (Finance Authors)
Benjamin Golez, University of Notre Dame and Jose M. Marin, IMDEA Social Sciences – Price Support in the Stock Market
Clemens Sialm, University of Texas at Austin – Red McCombs School of Business and T. Mandy Tham, Nanyang Technological University (NTU) – Spillover Effects in Mutual Fund Companies
Gideon Ozik, EDHEC Business School and Ronnie Sadka, Boston College – Department of Economics – Skin in the Game versus Skimming the Game: Governance, Share Restrictions, and Insider Flows
Discussants:
Utpal Bhattacharya, Indiana University Bloomington – Department of Finance
Pedro Matos, University of Virginia (UVA) – Finance
Bing Liang, University of Massachusetts at Amherst – Department of Finance & Operations Management
01/06/2012 – 10:15 AM
Location: Zurich B
Session: Corporate Governance (Empirical) 2
Chair: Michael Weisbach, Ohio State University (OSU) – Department of Finance
Rajesh K. Aggarwal, University of Minnesota – Twin Cities – Carlson School of Management, Felix Meschke, University of Kansas – Finance Area and Tracy Yue Wang, University of Minnesota – Twin Cities – Carlson School of Management – Corporate Political Donations: Investment or Agency?
Brandon Chen, Victoria University of Wellington and Peter L. Swan, University of New South Wales (UNSW) – School of Banking and Finance – CEO Incentives and Institutional Trader Monitoring are Substitutes: Theory and Evidence
Chen Lin, Chinese University of Hong Kong (CUHK) – Department of Finance, Yue Ma, University of Stirling, Paul H. Malatesta, University of Washington – Michael G. Foster School of Business and Yuhai Xuan, Harvard Business School – Finance Unit – Corporate Ownership Structure and Bank Loan Syndicate Structure
Discussants:
Mara Faccio, Purdue University – Krannert School of Management
Kai Li, University of British Columbia (UBC) – Sauder School of Business
Taylor Nadauld, Brigham Young University
01/06/2012 – 10:15 AM
Location: Zurich D
Session: AFA Special Panel – Sovereign Default
Simon H. Johnson, Massachusetts Institute of Technology (MIT) – Entrepreneurship Center – AFA Special Panel – Sovereign Default
01/06/2012 – 2:30 PM
Location: Zurich B
Session: Capital Structure
Chair: John Graham, Duke University – Finance
Hamid Mehran, Federal Reserve Banks – Federal Reserve Bank of New York, Viral V. Acharya, New York University (NYU) – Leonard N. Stern School of Business and Anjan V. Thakor, Washington University in Saint Louis – Olin Business School – Caught between Scylla and Charybdis? Regulating Bank Leverage When There is Rent Seeking and Risk Shifting
Kai Li, University of British Columbia (UBC) – Sauder School of Business, Paolo Colla, Bocconi University and Filippo Ippolito, Universitat Pompeu Fabra – Faculty of Economic and Business Sciences – Debt Specialization
Arthur G. Korteweg, Stanford Graduate School of Business and Ilya A. Strebulaev, Stanford Graduate School of Business – Empirical Corporate Finance in a Dynamic World
Matthias Kahl, University of Colorado at Boulder – Leeds School of Business, Jason Lunn, University of Colorado at Boulder – Leeds School of Business and Mattias Nilsson, University of Colorado at Boulder – Department of Finance – Operating Leverage and Corporate Financial Policies
Discussants:
Andrew Winton, University of Minnesota – Twin Cities – Carlson School of Management
Joshua Rauh, Kellogg School of Management – Department of Finance
Michael Roberts, University of Pennsylvania – Finance Department
Mark Leary, Washington University in Saint Louis – Olin Business School
01/06/2012 – 2:30 PM
Location: Zurich F
Session: International Corporate Finance
Chair: George Karolyi, Cornell University – Samuel Curtis Johnson Graduate School of Management
Thomas J. Chemmanur, Boston College – Department of Finance, Tyler Hull, Brandeis University – International Business School and Karthik Krishnan, Northeastern University – Finance and Insurance Area – Do Local and International Venture Capitalists Play Well Together? The Geography of International Venture Capital Investments
Peter Iliev, Pennsylvania State University – Department of Finance, Karl V. Lins, University of Utah – Department of Finance, Darius P. Miller, Southern Methodist University (SMU) – Edwin L. Cox School of Business and Lukas Roth, University of Alberta – School of Business – Shareholder Voting and Corporate Governance Around the World
Maxim Mironov, IE Business School – Taxes, Theft, and Firm Performance
Andriy Bodnaruk, University of Notre Dame – Mendoza College of Business and Massimo Massa, INSEAD – Finance – Every Family Has a White Sheep: Between Vertical and Horizontal Governance
Discussants:
Thomas Hellmann, University of British Columbia (UBC) – Sauder School of Business
David Yermack, New York University (NYU) – Department of Finance
I.J. Dyck, University of Toronto – Rotman School of Management
Rene Stulz, Ohio State University (OSU) – Department of Finance
01/06/2012 – 2:30 PM
Location: Zurich C
Session: Derivatives: Option Pricing
Chair: Lasse Pedersen, New York University (NYU) – Department of Finance
Jie Cao, Chinese University of Hong Kong (CUHK) – Department of Finance and Bing Han, University of Texas at Austin – Department of Finance – Cross-Section of Option Returns and Idiosyncratic Stock Volatility
Bryan T. Kelly, University of Chicago – Booth School of Business (Finance Authors), Hanno N. Lustig, University of California, Los Angeles (UCLA) and Stijn Van Nieuwerburgh, New York University (NYU) – Department of Finance – Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees
Jens Henrik Eggert Christensen, Federal Reserve Banks – Federal Reserve Bank of San Francisco, Jose A. Lopez, Federal Reserve Banks – Federal Reserve Bank of San Francisco and Glenn D. Rudebusch, Federal Reserve Banks – Federal Reserve Bank of San Francisco – Pricing Deflation Risk with U.S. Treasury Yields
Nikolas Topaloglou, Athens University of Economics and Business and Spyros Pagratis, Athens University of Economics and Business – Department of Economics – Portfolio Stochastic Dominance and Bank Liquidity Risk
Discussants:
Andrea Frazzini, AQR Capital Management, LLC
Nicolae Garleanu, University of California, Berkeley – Haas School of Business
Kenneth Singleton, Stanford Graduate School of Business
01/06/2012 – 2:30 PM
Location: Zurich E
Session: Mergers, Acquisitions and Buyouts 1
Chair: B. Espen Eckbo, Dartmouth College – Tuck School of Business
Tanakorn Makaew, University of South Carolina – Moore School of Business – Waves of International Mergers and Acquisitions
Gennaro Bernile, University of Miami – School of Business Administration and Evgeny Lyandres, Boston University – Merger Synergies Along the Supply Chain
Ronald W. Masulis, University of New South Wales (UNSW) – School of Banking and Finance, Peter L. Swan, University of New South Wales (UNSW) – School of Banking and Finance and Brett Tobiansky, University of New South Wales (UNSW) – School of Banking and Finance – Do Wealth Creating Mergers and Acquisitions Really Hurt Acquirer Shareholders?
Thomas W. Bates, Arizona State University (ASU) – Finance Department and David A. Becher, Drexel University – Department of Finance – Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith?
Discussants:
Jarrad Harford, University of Washington – Michael G. Foster School of Business
Gordon Phillips, University of Maryland – Department of Finance
Rex Thompson, Southern Methodist University (SMU) – Edwin L. Cox School of Business
Karin Thorburn, Norwegian School of Economics and Business Administration (NHH)
01/06/2012 – 2:30 PM
Location: Zurich A
Session: Anomalies
Chair: Kent Daniel, Columbia Business School – Finance and Economics
Ralph S. J. Koijen, University of Chicago – Booth School of Business (Finance Authors) and Evert B. Vrugt, VU University Amsterdam – Carry Strategies in Global Asset Classes
Tao L. Wu, State University of New York (SUNY) – Financial & Managerial Economics – A Comprehensive Study of the Chinese Warrants Bubble
David A. Hirshleifer, University of California, Irvine – Paul Merage School of Business, Po-Hsuan Hsu, University of Hong Kong – Faculty of Business and Economics and Dongmei Li, University of California, San Diego (UCSD) – Rady School of Management – Innovative Efficiency and Stock Returns
Discussants:
Pierre Collin-Dufresne, Columbia Business School – Finance and Economics
Jialin Yu, Columbia Business School – Finance and Economics
Josef Lakonishok, University of Illinois at Urbana-Champaign – Department of Finance
01/06/2012 – 2:30 PM
Location: Zurich D
Session: Systemic Risk: Insights from Networks (AFA Lecture)
Daron Acemoglu, Massachusetts Institute of Technology (MIT) – Department of Economics – AFA Lecture: Systemic Risk: Insights from Networks
01/07/2012 – 8:00 AM
Location: Zurich B
Session: Corporate Finance and Product and Labor Markets
Chair: Sudipto Dasgupta, Hong Kong University of Science & Technology (HKUST) – Department of Finance
Geoffrey A. Tate, University of California, Los Angeles (UCLA) and Liu A. Yang, University of California, Los Angeles (UCLA) – Anderson School of Management – The Bright Side of Corporate Diversification: Evidence from Internal Labor Markets
Margaret R. Zhu, University of Texas at Austin – Department of Finance – Corporate Hedging, Financial Distress, and Product Market Competition
Ramin Baghai, Stockholm School of Economics – Equity Ownership and Product Prices
Soku Byoun, University of Southern Indiana and Zhaoxia Xu, New York University (NYU) – Polytechnic Institute of NYU – Capital Allocation and Product Market Competition During a Financial Crisis
Discussants:
Gordon Phillips, University of Maryland – Department of Finance
Tim Adam, Humboldt University of Berlin
David Matsa, Kellogg School of Management – Department of Finance
Murillo Campello, Cornell University – Samuel Curtis Johnson Graduate School of Management
01/07/2012 – 8:00 AM
Location: Zurich A
Session: Asset Pricing Theory – Liquidity
Chair: Dimitri Vayanos, London School of Economics & Political Science (LSE) – Department of Accounting and Finance
Adrian Buss, Goethe University Frankfurt – Graduate Program in Finance and Monetary Economics, Raman Uppal, London Business School – Institute of Finance and Accounting and Grigory Vilkov, Goethe University Frankfurt – Department of Finance – Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility
Elias Albagli, University of Southern California – Marshall School of Business – Amplification of Uncertainty in Illiquid Markets
Matti J. Suominen, Aalto University – Department of Economics and Kalle Rinne, Aalto University – Department of Accounting and Finance – A Structural Model of Short-Term Reversals
Discussants:
Stavros Panageas, University of Chicago – Booth School of Business (Finance Authors)
Nicolae Garleanu, University of California, Berkeley – Haas School of Business
Thierry Foucault, HEC Paris (Groupe HEC) – Departement Finance et Economie
01/07/2012 – 8:00 AM
Location: Zurich E
Session: Empirical Implications of Market Microstructures
Chair: Lawrence Harris, University of Southern California – Marshall School of Business – Finance and Business Economics Department
Ilia D. Dichev, Emory University – Goizueta Business School, Kelly Huang, University of Alabama – Culverhouse School of Accountancy and Dexin Zhou, Emory University – Department of Finance – The Dark Side of Trading
Katya Malinova, University of Toronto and Andreas Park, University of Toronto – Department of Economics – Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality
Don M. Autore, Florida State University – Department of Finance, Thomas Jason Boulton, Miami University of Ohio and Marcus V. Braga-Alves, Marquette University – Failures to Deliver, Short Sale Constraints, and Stock Overvaluation
Discussants:
Jonathan Karpoff, University of Washington – Michael G. Foster School of Business
Robert Battalio, University of Notre Dame – Department of Finance
Adam Reed, University of North Carolina (UNC) at Chapel Hill – Finance Area
01/07/2012 – 8:00 AM
Location: Zurich G
Session: Mutual Fund Performance 2
Chair: William Goetzmann, Yale School of Management
Sophie Shive, University of Notre Dame – Department of Finance and Hayong Yun, University of Notre Dame – Department of Finance – Are Mutual Funds Sitting Ducks?
Martijn Cremers, Yale School of Management, Miguel A. Ferreira, New University of Lisbon, Pedro P. Matos, University of Virginia (UVA) – Finance and Laura T. Starks, University of Texas at Austin – Department of Finance – The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance
Vallapuzha Sandhya, Georgia State University – J. Mack Robinson College of Business – Agency Problems in Target-Date Funds
Discussants:
Dong Lou, London School of Economics & Political Science (LSE)
Henri Servaes, London Business School – Institute of Finance and Accounting
Daniel Bergstresser, Harvard Business School
01/07/2012 – 8:00 AM
Location: Zurich F
Session: Financial Intermediation and the Cost of Debt
Chair: Philip Strahan, Boston College – Department of Finance
Hans Degryse, Katholieke Universiteit Leuven – Faculty of Business and Economics (FBE), Vasso Ioannidou, Tilburg University – Department of Finance and Erik L. von Schedvin, Tilburg University – On the Non-Exclusivity of Loan Contracts: An Empirical Investigation
Taylor Nadauld, Brigham Young University and Michael S. Weisbach, Ohio State University (OSU) – Department of Finance – Did Securitization Affect the Cost of Corporate Debt?
Lei Zhang, Nanyang Technological University (NTU) and Massimo Massa, INSEAD – Finance – The Spillover Effects of Hurricane Katrina on Corporate Bonds and the Choice between Bank and Bond Financing
Discussants:
Mitchell Petersen, Northwestern University – Kellogg School of Management
João Santos, Federal Reserve Banks – Federal Reserve Bank of New York
Darren Kisgen, Boston College – Carroll School of Management
01/07/2012 – 8:00 AM
Location: Zurich C
Session: Corporate Governance and Informational Frictions
Chair: Todd Milbourn, Washington University in Saint Louis
Viral V. Acharya, New York University (NYU) – Leonard N. Stern School of Business, Marc Gabarro, Erasmus University Rotterdam (EUR) – Erasmus School of Economics (ESE) and Paolo F. Volpin, London Business School – Competition for Managers, Corporate Governance and Incentive Compensation
Roni Michaely, Cornell University – Samuel Curtis Johnson Graduate School of Management, Amir Rubin, Simon Fraser University (SFU) – Finance Area and Alexander Vedrashko, Simon Fraser University (SFU) – Corporate Governance and the Timing of Earnings Announcements
Konrad Raff, Institute for Financial Research (SIFR) – Information Externalities in Corporate Governance
Discussants:
Jeffrey Coles, Arizona State University (ASU) – Finance Department
Gerald Garvey, BlackRock
Antonio Falato, Government of the United States of America – Capital Markets Section
01/07/2012 – 10:15 AM
Location: Zurich B
Session: Asset Pricing Theory 1
Chair: Leonid Kogan, Massachusetts Institute of Technology (MIT) – Sloan School of Management
Dong Hong, Singapore Management University, Harrison G. Hong, Princeton University – Department of Economics and Andrei Ungureanu, Princeton University – An Epidemiological Approach to Opinion and Price-Volume Dynamics
Bing Han, University of Texas at Austin – Department of Finance and Liyan Yang, University of Toronto – Rotman School of Management – Social Networks, Information Acquisition, and Asset Prices
Rui A. Albuquerque, Boston University – School of Management – Skewness in Stock Returns: Reconciling the Evidence on Firm versus Aggregate Returns
Discussants:
Alp Simsek, Harvard University – Department of Economics
Dimitri Vayanos, London School of Economics & Political Science (LSE) – Department of Accounting and Finance
Johan Walden, University of California, Berkeley – Haas School of Business
01/07/2012 – 10:15 AM
Location: Zurich F
Session: Individual Investor Behavior
Chair: Gideon Saar, Cornell University – Samuel Curtis Johnson Graduate School of Management
Itzhak Ben-David, Ohio State University (OSU) – Department of Finance and David A. Hirshleifer, University of California, Irvine – Paul Merage School of Business – Are Investors Really Reluctant to Realize their Losses? Trading Responses to Past Returns and the Disposition Effect
Yosef Bonaparte, University of Texas at Austin, Alok Kumar, University of Miami – Department of Finance and Jeremy K. Page, University of Texas at Austin – Department of Finance – Political Climate, Optimism, and Investment Decisions
Matti Keloharju, Aalto University – Department of Accounting and Finance, Samuli Knüpfer, London Business School and Juhani T. Linnainmaa, University of Chicago – Booth School of Business (Finance Authors) – From Customers to Shareholders: The Effect of Product Market Choices on Investment Decisions
Discussants:
Wei Xiong, Princeton University – Department of Economics
Tyler Shumway, University of Michigan at Ann Arbor – Finance
Lauren Cohen, Harvard Business School
01/07/2012 – 10:15 AM
Location: Zurich E
Session: Equity Risk Premium
Chair: Wayne Ferson, Boston College – Carroll School of Management
Anisha Ghosh, Carnegie Mellon University – David A. Tepper School of Business, Christian Julliard, London School of Economics & Political Science (LSE) – Department of Economics and Alex P. Taylor, University of Manchester – Division of Accounting and Finance – What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
Jules H. van Binsbergen, Northwestern University – Kellogg School of Management, Michael W. Brandt, Duke University – Fuqua School of Business and Ralph S. J. Koijen, University of Chicago – Booth School of Business (Finance Authors) – On the Timing and Pricing of Dividends
Martijn Boons, Tilburg University, Frans A. de Roon, Tilburg University – Department of Finance and Marta Szymanowska, Erasmus University Rotterdam (EUR) – Department of Financial Management – The Stock Market Price of Commodity Risk
Discussants:
John Heaton, University of Chicago – Booth School of Business (Finance Authors)
Paul Schultz, University of Notre Dame – Department of Finance
Timothy Simin, Pennsylvania State University – Mary Jean and Frank P. Smeal College of Business Administration
01/07/2012 – 10:15 AM
Location: Zurich C
Session: Executive Compensation 1
Chair: Robert Parrino, University of Texas at Austin – Department of Finance
Anup Agrawal, University of Alabama – Culverhouse College of Commerce & Business Administration and Tareque Nasser, Kansas State University – College of Agriculture – Blockholders on Boards and CEO Compensation, Turnover and Firm Valuation
David De Angelis, Cornell University – Samuel Curtis Johnson Graduate School of Management and Yaniv Grinstein, Cornell University – Samuel Curtis Johnson Graduate School of Management – Relative Performance Evaluation in CEO Compensation: Evidence from the 2006 Disclosure Rules
Chris J. Muscarella, Pennsylvania State University – Department of Finance and Jing Zhao, North Carolina State University – Department of Business Management – Promoting the Quiet Life or Risk-Taking? CEO Severance Contracts and Managerial Decision-Making
Discussants:
Mark Huson, University of Alberta – Department of Finance and Management Science
Todd Milbourn, Washington University in Saint Louis
David Yermack, New York University (NYU) – Department of Finance
01/07/2012 – 10:15 AM
Location: Zurich A
Session: Mutual Fund Performance 1
Chair: Russell Wermers, University of Maryland – Robert H. Smith School of Business
Jennifer C. Huang, University of Texas at Austin – Department of Finance, Kelsey D. Wei, University of Texas at Dallas – School of Management and Hong Yan, University of South Carolina – Department of Finance – Investor Learning and Mutual Fund Flows
Gjergji Cici, College of William and Mary – Mason School of Business, Alexander Kempf, University of Cologne – Department of Finance and Alexander Puetz, University of Cologne – Department of Finance – The Valuation of Hedge Funds’ Equity Positions
David P. Brown, University of Wisconsin – Madison – Department of Finance, Investment and Banking and Youchang Wu, University of Wisconsin – Madison – Mutual Fund Families and Performance Evaluation
Nicole M. Boyson, Northeastern University – College of Business Administration and Robert M. Mooradian, Northeastern University – College of Business Administration – The Skill of Frequent Hedge Fund Activists
Discussants:
David Musto, University of Pennsylvania – Finance Department
Nicolas P.B. Bollen, Vanderbilt University – Owen Graduate School of Management
Lubos Pastor, University of Chicago – Booth School of Business (Finance Authors)
K. J. Martijn Cremers, Yale School of Management
01/07/2012 – 10:15 AM
Location: Zurich G
Session: Mergers, Acquisitions and Buyouts 2
Chair: David Robinson, Duke University – Fuqua School of Business
Isil Erel, Ohio State University (OSU) – Department of Finance and Serdar Dinc, Federal Reserve Banks – Federal Reserve Bank of Chicago – Economic Nationalism in Mergers & Acquisitions
Merih Sevilir, Indiana University Bloomington and Xuan Tian, Indiana University Bloomington – Department of Finance – Acquiring Innovation
Jan Bena, University of British Columbia (UBC) – Sauder School of Business and Kai Li, University of British Columbia (UBC) – Sauder School of Business – Corporate Innovations and Mergers and Acquisitions
Fernando Anjos, University of Texas at Austin – Red McCombs School of Business and Cesare Fracassi, University of Texas at Austin – Department of Finance – Shopping for Information? Diversification and the Network of Industries
Discussants:
Randall Morck, University of Alberta – Department of Finance and Management Science
Gordon Phillips, University of Maryland – Department of Finance
Amit Seru, University of Chicago – Booth School of Business (Finance Authors)
Kenneth Ahern, University of Michigan at Ann Arbor – Finance
01/07/2012 – 2:30 PM
Location: Zurich A
Session: Anomalies and Inefficiency 1
Chair: Tobias Moskowitz, University of Chicago – Booth School of Business (Finance Authors)
Jordi Mondria, University of Toronto – Department of Economics and Thomas Wu, University of California, Santa Cruz – Department of Economics – Asymmetric Attention and Stock Returns
Andrea Buraschi, Imperial College Business School, Emrah Sener, affiliation not provided to SSRN and Murat Cahit Meguturk, Imperial College London – The Dynamics of Limits to Arbitrage: An Empirical Investigation
Diego Garcia, University of North Carolina (UNC) at Chapel Hill – Finance Area and Oyvind Norli, Norwegian School of Management BI – Department of Financial Economics – Geographic Dispersion and Stock Returns
Discussants:
Christopher Malloy, Harvard Business School
Jakub Jurek, Princeton University – Bendheim Center for Finance
Lauren Cohen, Harvard Business School
01/07/2012 – 2:30 PM
Location: Zurich F
Session: Information Release By Firms and its Implications
Chair: Joel Peress, INSEAD – Finance
Andrew Ellul, Indiana University Bloomington – Department of Finance, Tullio Jappelli, University of Naples Federico II – Department of Economics, Marco Pagano, University of Naples Federico II – Department of Economics and Fausto Panunzi, Bocconi University – Department of Economics (DEP) – Accounting Transparency, Tax Pressure and Access to Finance
Ming Gu, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics – Accruals and Momentum
Pavel G. Savor, University of Pennsylvania – Finance Department and Mungo Ivor Wilson, University of Oxford – Said Business School – Earnings Announcements and Systematic Risk
Marcos Fabricio Perez, Wilfrid Laurier University – School of Business & Economics, Andriy Shkilko, Wilfrid Laurier University – Finance and Ning Tang, Wilfrid Laurier University – Signaling Via Stock Splits: Evidence from Short Interest
Discussants:
I.J. Dyck, University of Toronto – Rotman School of Management
Michela Verardo, London School of Economics & Political Science (LSE)
Ronnie Sadka, Boston College – Department of Economics
Joseph Engelberg, University of North Carolina (UNC) at Chapel Hill – Kenan-Flagler Business School
01/07/2012 – 2:30 PM
Location: Zurich G
Session: Law and Finance
Chair: Vojislav Maksimovic, University of Maryland – Robert H. Smith School of Business
George Andrew Karolyi, Cornell University – Samuel Curtis Johnson Graduate School of Management, Craig Doidge, University of Toronto – Rotman School of Management and Rene M. Stulz, Ohio State University (OSU) – Department of Finance – The U.S. Left Behind: The Rise of IPO Activity Around the World
Thomas J. Chemmanur, Boston College – Department of Finance and Xuan Tian, Indiana University Bloomington – Department of Finance – Do Anti-Takeover Provisions Spur Corporate Innovation?
C. N. V. Krishnan, Case Western Reserve University – Department of Banking & Finance, Ronald W. Masulis, University of New South Wales (UNSW) – School of Banking and Finance, Randall S. Thomas, Vanderbilt Law School and Robert B. Thompson, Georgetown University Law Center – Litigation in Mergers and Acquisitions
Alexei V. Ovtchinnikov, Vanderbilt University – Owen Graduate School of Management and Eva Pantaleoni, Vanderbilt University – Individual Political Contributions and Firm Performance
Discussants:
Jay Ritter, University of Florida – Department of Finance, Insurance and Real Estate
Josh Lerner, affiliation not provided to SSRN
B. Espen Eckbo, Dartmouth College – Tuck School of Business
Tracy Wang, University of Minnesota – Twin Cities – Carlson School of Management
01/07/2012 – 2:30 PM
Location: Zurich E
Session: Executive Compensation 2
Chair: Laura Starks, University of Texas at Austin – Department of Finance
Todd A. Gormley, University of Pennsylvania – Finance Department, David A. Matsa, Kellogg School of Management – Department of Finance and Todd T. Milbourn, Washington University in Saint Louis – CEO Compensation and Responses to Risk: Evidence from a Natural Experiment
Radhakrishnan Gopalan, Washington University in Saint Louis – Olin Business School, Todd T. Milbourn, Washington University in Saint Louis, Fenghua Song, Pennsylvania State University and Anjan V. Thakor, Washington University in Saint Louis – Olin Business School – The Optimal Duration of Executive Compensation: Theory and Evidence
Jin Xu, Purdue University – Krannert School of Management and Raghavendra Rau, University of Cambridge – Finance – Paying for Risk or Shareholder Rip-Off? An Analysis of Ex-Ante Severance Pay Contracts
Claudia Custodio, Arizona State University (ASU) – Finance Department, Miguel A. Ferreira, New University of Lisbon and Pedro P. Matos, University of Virginia (UVA) – Finance – Generalists Versus Specialists: Lifetime Work Experience and CEO Pay
Discussants:
Charles Hadlock, Michigan State University – The Eli Broad College of Business and The Eli Broad Graduate School of Management
Katharina Lewellen, Dartmouth College – Tuck School of Business
Jay Hartzell, University of Texas at Austin – Department of Finance
Yuhai Xuan, Harvard Business School – Finance Unit
01/07/2012 – 2:30 PM
Location: Zurich B
Session: Asset Pricing Theory 2
Chair: Pietro Veronesi, University of Chicago – Booth School of Business (Finance Authors)
Tarek A. Hassan, University of Chicago – Booth School of Business (Finance Authors) and Thomas M. Mertens, New York University (NYU) – Department of Finance – The Social Cost of Near-Rational Investment
Mark J. Kamstra, York University – Schulich School of Business, Lisa A. Kramer, University of Toronto – Rotman School of Management, Maurice D. Levi, University of British Columbia (UBC) – Sauder School of Business and Tan Wang, University of British Columbia (UBC) – Division of Finance – Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity
Filippo Ippolito, Universitat Pompeu Fabra – Faculty of Economic and Business Sciences, Roberto Steri, Bocconi University – Department of Finance and Claudio Tebaldi, Bocconi University – Centre for Applied Research in Finance (CAREFIN) – The Relative Leverage Premium
William R. Sodjahin, New York University (NYU) – Leonard N. Stern School of Business and Kose John, New York University (NYU) – Department of Finance – Capital Reallocation Exposure Risk in Equity Returns
Discussants:
Dimitri Vayanos, London School of Economics & Political Science (LSE) – Department of Accounting and Finance
Vito Gala, London Business School – Department of Finance
Juhani Linnainmaa, University of Chicago – Booth School of Business (Finance Authors)
Andrea Eisfeldt, University of California, Los Angeles (UCLA) – Anderson School of Management
01/07/2012 – 2:30 PM
Location: Zurich C
Session: Banks: Risk-Taking and Opaqueness
Chair: Francesca Cornelli, London Business School
Charles M. Kahn, University of Illinois at Urbana-Champaign – Department of Finance and Wolf Wagner, Tilburg University – Department of Economics – Sources of Liquidity and Liquidity Shortages
Sugato Bhattacharyya, University of Michigan at Ann Arbor – Stephen M. Ross School of Business and Amiyatosh K. Purnanandam, University of Michigan at Ann Arbor – Stephen M. Ross School of Business – Risk-Taking by Banks: What Did We Know and When Did We Know It?
Marcin T. Kacperczyk, New York University (NYU) – Leonard N. Stern School of Business and Philipp Schnabl, New York University (NYU) – Implicit Guarantees and Risk Taking: Evidence from Money Market Funds
Rüdiger Fahlenbrach, Ecole Polytechnique Fédérale de Lausanne, Robert Prilmeier, Ohio State University (OSU) – Department of Finance and Rene M. Stulz, Ohio State University (OSU) – Department of Finance – This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis
Discussants:
Guillaume Plantin, University of Toulouse 1 – Toulouse School of Economics (TSE)
Victoria Ivashina, Harvard Business School – Finance Unit
Amit Seru, University of Chicago – Booth School of Business (Finance Authors)
Charles Calomiris, Columbia University – Columbia Business School
01/08/2012 – 8:00 AM
Location: Zurich F
Session: Analysts: Forecasts, Following, etc.
Chair: Kent Womack, Dartmouth College – Tuck School of Business
Ryan D. Israelsen, Indiana University Bloomington – Department of Finance – Does Correlated Analyst Coverage Explain Excess Comovement?
Dieter Hess, University of Cologne – Centre for Financial Research (CFR), Daniel Kreutzmann, University of Cologne and Oliver Pucker, University of Cologne – The Good, The Bad, and The Lucky: Projected Earnings Accuracy and Profitability of Stock Recommendations
Chuan-Yang Hwang, Nanyang Technological University (NTU) – Nanyang Business School, Yuan Li, Deakin University and Yen H. Tong, Nanyang Technological University (NTU) – Division of Accounting – Are Analysts Whose Forecast Revisions Correlate Less with Prior Stock Price Changes Better Information Producers and Monitors?
Craig O. Brown, National University of Singapore (NUS) – Department of Finance – The Lure of the Slant: Analyst Optimism and Asset Prices
Discussants:
Michela Verardo, London School of Economics & Political Science (LSE)
Evgeny Lyandres, Boston University
Lily Fang, INSEAD – Finance
Roger Loh, Singapore Management University – School of Business
01/08/2012 – 8:00 AM
Location: Zurich A
Session: Behavioral Finance – Markets
Chair: David Hirshleifer, University of California, Irvine – Paul Merage School of Business
Narasimhan Jegadeesh, Emory University – Department of Finance and Andrew Di Wu, University of Pennsylvania – The Wharton School – Word Power: A New Approach for Content Analysis
Zhi Da, University of Notre Dame – Mendoza College of Business, Umit G. Gurun, University of Texas at Dallas – School of Management and Mitch Warachka, Singapore Management University – School of Business – Frog in the Pan: Continuous Information and Momentum
Biljana Nikolic, University of Missouri at Columbia – Robert J. Trulaske, Sr. College of Business – Momentum, Reversal, and Investor Overconfidence: An Empirical Investigation of Mutual Fund Managers
Harrison G. Hong, Princeton University – Department of Economics and David Sraer, Princeton University – Quiet Bubbles
Discussants:
Joel Peress, INSEAD – Finance
Dongmei Li, University of California, San Diego (UCSD) – Rady School of Management
Dong Lou, London School of Economics & Political Science (LSE)
Nina Boyarchenko, Federal Reserve Banks – Federal Reserve Bank of New York
01/08/2012 – 8:00 AM
Location: Zurich C
Session: IPOs and SEOs
Chair: Jay Ritter, University of Florida – Department of Finance, Insurance and Real Estate
Thomas J. Chemmanur, Boston College – Department of Finance, Jie He, University of Georgia – Department of Banking and Finance, Shan He, Louisiana State University, Baton Rouge and Debarshi K. Nandy, Brandeis University – International Business School – The Exit Choices of Entrepreneurial Firms
Sturla Lyngnes Fjesme, University of Melbourne – Laddering in Initial Public Offering Allocations
Konan Chan, University of Hong Kong, Nandkumar Nayar, Lehigh University, Ajai K. Singh, Case Western Reserve University – Department of Banking & Finance and Wen Yu, University of Saint Thomas, Saint Paul/Minneapolis, MN – Opus College of Business – Market Reaction, Revised Proceeds, and the Classification of Seasoned Equity Offerings
Discussants:
Bill Francis, Rensselaer Polytechnic Institute (RPI)
Grace Hao, University of Missouri at Columbia – Department of Finance
Rongbing Huang, Kennesaw State University – Department of Economics and Finance
01/08/2012 – 8:00 AM
Location: Zurich B
Session: Capital Structure and Firm Organization
Chair: Antoinette Schoar, Massachusetts Institute of Technology (MIT) – Sloan School of Management
Dirk Hackbarth, University of Illinois at Urbana-Champaign – Department of Finance, Richmond D. Mathews, Duke University – Fuqua School of Business and David T. Robinson, Duke University – Fuqua School of Business – Capital Structure, Product Market Dynamics, and the Boundaries of the Firm
Craig Doidge, University of Toronto – Rotman School of Management and I. J. Alexander Dyck, University of Toronto – Rotman School of Management – Taxes, Valuation, and Organizational Structure
Massimo Massa, INSEAD – Finance and Alminas Zaldokas, INSEAD – Finance – Informal Pyramids and Debt
Matthew T. Billett, Indiana University Bloomington – Department of Finance and Ke Yang, Lehigh University – Wealth Transfers Among and Between Bond Issues in Mergers and Acquisitions: Evidence from Bond Tender Offers
Discussants:
Ilya Strebulaev, Stanford Graduate School of Business
James Hines, University of Michigan Law School
Jarrad Harford, University of Washington – Michael G. Foster School of Business
Yaniv Grinstein, Cornell University – Samuel Curtis Johnson Graduate School of Management
01/08/2012 – 8:00 AM
Location: Zurich E
Session: Liquidity, Trading, and Frictions – Empirical
Chair: Albert (Pete) Kyle, University of Maryland
Qinghai Wang, Georgia Institute of Technology – College of Management – How Does Portfolio Disclosure Affect Institutional Trading? Evidence from Their Daily Trades
Shawn Mankad, University of Michigan at Ann Arbor – Horace H. Rackham School of Graduate Studies, George Michailidis, University of Michigan at Ann Arbor and Andrei A. Kirilenko, Commodity Futures Trading Commission (CFTC) – Smooth Plaid Models: A Dynamic Clustering Algorithm with Application to Electronic Financial Markets
Carole Comerton-Forde, Australian National University (ANU), Charles M. Jones, Columbia Business School – Finance and Economics and Talis J. Putnins, University of Sydney – Discipline of Finance – Shorting at Close Range: A Tale of Two Types
Sabrina Buti, University of Toronto – Rotman School of Management, Barbara Rindi, Bocconi University – Innocenzo Gasparini Institute for Economic Research (IGIER) and Ingrid M. Werner, Ohio State University (OSU) – Department of Finance – Dark Pool Trading Strategies
01/08/2012 – 8:00 AM
Location: Zurich G
Session: Portfolio Construction
Chair: Ravi Jagannathan, Northwestern University – Kellogg School of Management
Denitsa Stefanova, VU University Amsterdam and Redouane Elkamhi, University of Iowa – Henry B. Tippie College of Business – Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection
Fariborz Moshirian, University of New South Wales (UNSW) – School of Banking and Finance, Peter K. Pham, Australian School of Business at UNSW, Shu Tian, Fudan University – School of Management and Eliza Wu, University of Technology, Sydney (UTS) – Beyond Visibility and Transparency: What Distinguishes Investment Decisions of Foreign and Domestic Investors?
Suleyman Basak, London Business School and Georgy Chabakauri, London Business School – Dynamic Hedging in Incomplete Markets: A Simple Solution
Discussants:
Rossen Valkanov, University of California, San Diego (UCSD) – Rady School of Management
Pengjie Gao, University of Notre Dame
Mark Schroder, Michigan State University – The Eli Broad College of Business and The Eli Broad Graduate School of Management
01/08/2012 – 10:15 AM
Location: Zurich F
Session: Behavioral Finance – Corporate
Chair: Jeffrey Wurgler, New York University (NYU) – Department of Finance
Philipp Krueger, University of Geneva – Geneva Finance Research Institute, Augustin Landier, University of Toulouse 1 – Toulouse School of Economics (TSE) and David Thesmar, HEC Paris (Groupe HEC) – The WACC Fallacy: The Real Effects of Using a Unique Discount Rate
Jeffrey D. Kubik, Syracuse University – Department of Economics, Jose A. Scheinkman, Princeton University – Department of Economics and Harrison G. Hong, Princeton University – Department of Economics – Financial Constraints on Corporate Goodness
Pengjie Gao, University of Notre Dame and Dong Lou, London School of Economics & Political Science (LSE) – Cross-Market Timing in Security Issuance
Nihat Aktas, Skema Business School, Eric de Bodt, University of Lille II, Helen Bollaert, Skema Business School and Richard W. Roll, University of California, Los Angeles (UCLA) – Finance Area – CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion
Discussants:
Oliver Spalt, University of Texas at Austin – Department of Finance
Dirk Jenter, Stanford Graduate School of Business
Borja Larrain, Universidad Catolica de Chile
Matthias Kahl, University of Colorado at Boulder – Leeds School of Business
01/08/2012 – 10:15 AM
Location: Zurich A
Session: International Financial Markets
Chair: John Griffin, University of Texas at Austin – Department of Finance
Geert Bekaert, Columbia Business School – Finance and Economics, Campbell R. Harvey, Duke University – Fuqua School of Business, Christian T. Lundblad, University of North Carolina (UNC) at Chapel Hill – Finance Area and Stephan Siegel, University of Washington – Michael G. Foster School of Business – The European Union, the Euro, and Equity Market Integration
Yufeng Han, University of Colorado at Denver – Business School, Ting Hu, Tulane University – A.B. Freeman School of Business and David A. Lesmond, Tulane University – A.B. Freeman School of Business – Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility Around the World
Jeffrey A. Busse, Emory University – Department of Finance, Amit Goyal, University of Lausanne and Sunil Wahal, Arizona State University (ASU) – Finance Department – Investing in a Global World
Discussants:
Michael Melvin, Barclays – Barclays Global Investors (BGI)
Allaudeen Hameed, National University of Singapore (NUS) – Department of Finance
Miguel Ferreira, New University of Lisbon
01/08/2012 – 10:15 AM
Location: Zurich C
Session: Macro Finance
Chair: Amir Yaron, University of Pennsylvania – Finance Department
Howard Kung, Duke University – Fuqua School of Business and Lukas Schmid, Duke University – Finance – Innovation, Growth, and Asset Prices
Ravi Bansal, Duke University – Fuqua School of Business, Dana Kiku, University of Pennsylvania – The Wharton School, Ivan Shaliastovich, University of Pennsylvania – Finance Department and Amir Yaron, University of Pennsylvania – Finance Department – The Good, Bad, and Volatility Beta: A Generalized CAPM
David A. Hirshleifer, University of California, Irvine – Paul Merage School of Business and Jianfeng Yu, University of Minnesota – Twin Cities – Department of Accounting and Department of Finance – Asset Pricing in Production Economies with Extrapolative Expectations
David K. Backus, Leonard N. Stern School of Business – Department of Economics, Mikhail Chernov, London School of Economics & Political Science (LSE) and Stanley E. Zin, New York University (NYU) – Sources of Entropy in Representative Agent Models
Discussants:
Stavros Panageas, University of Chicago – Booth School of Business (Finance Authors)
Stijn Van Nieuwerburgh, New York University (NYU) – Department of Finance
Lars Lochstoer, Columbia Business School – Finance and Economics
Hanno Lustig, University of California, Los Angeles (UCLA)
01/08/2012 – 10:15 AM
Location: Zurich B
Session: Portfolio Choice
Chair: Nicolae Garleanu, University of California, Berkeley – Haas School of Business
Jiekun Huang, National University of Singapore (NUS) – Department of Finance and Meng Gao, National University of Singapore (NUS) – Risk Management Institute – Capitalizing on Capitol Hill: Informed Trading by Hedge Fund Managers
Gennaro Bernile, University of Miami – School of Business Administration, Alok Kumar, University of Miami – Department of Finance and Johan Sulaeman, Southern Methodist University (SMU) – Finance Department – Home Away From Home: Economic Relevance and Local Investors
Han N. Ozsoylev, University of Oxford – Said Business School, Johan Walden, University of California, Berkeley – Haas School of Business, M. Deniz Yavuz, Purdue University – Krannert School of Management and Recep Bildik, Istanbul Stock Exchange – Investor Networks in the Stock Market
Discussants:
Christopher Malloy, Harvard Business School
Tobias Moskowitz, University of Chicago – Booth School of Business (Finance Authors)
Joel Hasbrouck, New York University (NYU) – Department of Finance
01/08/2012 – 10:15 AM
Location: Zurich E
Session: Real Estate and Mortgages
Chair: Timothy Riddiough, University of Wisconsin – School of Business – Department of Real Estate and Urban Land Economics
Gene Amromin, Federal Reserve Banks – Federal Reserve Bank of Chicago, Jennifer C. Huang, University of Texas at Austin – Department of Finance, Clemens Sialm, University of Texas at Austin – Red McCombs School of Business and Edward Zhong, University of Wisconsin – Madison – Department of Economics – Complex Mortgages
Cem Demiroglu, University of Florida – Department of Finance, Insurance and Real Estate and Christopher M. James, University of Florida – Department of Finance, Insurance and Real Estate – Works of Friction? Originator-Sponsor Affiliation and Losses on Mortgage-Backed Securities
Wei Jiang, Columbia Business School – Finance and Economics, Ashlyn Aiko Nelson, Indiana University Bloomington – School of Public & Environmental Affairs (SPEA) and Edward J. Vytlacil, Yale University – Department of Economics – Securitization and Loan Performance: A Contrast of Ex Ante and Ex Post Relations in the Mortgage Market
Discussants:
Tomasz Piskorski, Columbia Business School – Finance and Economics
Robert Van Order, University of Michigan at Ann Arbor
Nancy Wallace, University of California, Berkeley – Real Estate Group
01/08/2012 – 10:15 AM
Location: Zurich G
Session: AFE / AFA Joint Session – Aquisitions: Novel Aspects
Chair: Kose John, New York University (NYU) – Department of Finance
Mine Ertugrul, University of Massachusetts at Boston and Karthik Krishnan, Northeastern University – Finance and Insurance Area – Advisor Skill and Acquisition Performance: Do Investment Bankers Make a Difference?
Isil Erel, Ohio State University (OSU) – Department of Finance and Serdar Dinc, Federal Reserve Banks – Federal Reserve Bank of Chicago – Economic Nationalism in Mergers & Acquisitions
Marc Martos-Vila, University of California, Los Angeles (UCLA) – Finance Area and Matthew Rhodes-Kropf, Harvard Business School – Waves of Financial Buyers vs. Strategic Buyers
Lee Foster Pinkowitz, Georgetown University – Department of Finance, Jason Sturgess, Georgetown University – Robert Emmett McDonough School of Business and Rohan G. Williamson, Georgetown University – Department of Finance – Cash Stockpiles and Investment: Do Cash-Rich Firms Use Cash in Acquisitions?
Discussants:
Jayant Kale, Georgia State University – Department of Finance
Randall Morck, University of Alberta – Department of Finance and Management Science
Per Stromberg, Stockholm School of Economics
Amy Dittmar, University of Michigan at Ann Arbor – Stephen M. Ross School of Business
01/08/2012 – 10:15 AM
Location: Zurich D
Session: AREUEA/AFA Joint Session-Panel on Future of Residential Mortgage Securitization
Chair: Stuart Gabriel, University of California, Los Angeles (UCLA) – Anderson School of Management
S. Wayne Passmore, Government of the United States of America – Household and Real Estate Finance Section, Susan M. Wachter, University of Pennsylvania – Real Estate Department, David S. Scharfstein, Harvard Business School – Finance Unit, Frank Nothaft, Federal Home Loan Mortgage Corporation (FHLMC) and Dwight M. Jaffee, University of California, Berkeley – Finance Group – American Real Estate & Urban Economic Association/American Finance Association: Future of Residential Mortgage Securitization
01/08/2012 – 1:00 PM
Location: Zurich C
Session: Capital Investment
Chair: Toni Whited, Simon Graduate School of Business, University of Rochester
Meghana Ayyagari, George Washington University – School of Business and Public Management, Radhakrishnan Gopalan, Washington University in Saint Louis – Olin Business School and Vijay Yerramilli, University of Houston – Department of Finance – Insider Ownership and Shareholder Value: Evidence from New Project Announcements
Bo Becker, Harvard Business School, Marcus Jacob, WHU – Otto Beisheim Graduate School of Management and Martin Jacob, WHU – Otto Beisheim Graduate School of Management – Payout Taxes and the Allocation of Investment
Praveen Kumar, University of Houston – Department of Finance and Nisan Langberg, University of Houston – C.T. Bauer College of Business – Innovations, Rational Exuberance and Investment
Discussants:
Yuhai Xuan, Harvard Business School – Finance Unit
Tor-Erik Bakke, University of Oklahoma – Division of Finance
Lukas Schmid, Duke University – Finance
01/08/2012 – 1:00 PM
Location: Zurich E
Session: Corporate Governance (Empirical) 1
Chair: Jeffrey Coles, Arizona State University (ASU) – Finance Department
Anzhela Knyazeva, Simon Graduate School of Business, University of Rochester, Diana Knyazeva, Simon Graduate School of Business, University of Rochester and Ronald W. Masulis, University of New South Wales (UNSW) – School of Banking and Finance – Effects of Local Director Markets on Corporate Boards
Kose John, New York University (NYU) – Department of Finance and Dalida Kadyrzhanova, University of Maryland – Department of Finance – Agency Costs of Idiosyncratic Volatility, Corporate Governance, and Investment
Nicholas F. Carline, University of Birmingham – The Birmingham Business School, Scott C. Linn, University of Oklahoma – Michael F. Price College of Business and Pradeep K. Yadav, University of Oklahoma – Division of Finance – Corporate Governance and Takeover Resistance
Gordon M. Bodnar, Johns Hopkins University – Paul H. Nitze School of Advanced International Studies (SAIS), John R. Graham, Duke University – Finance, Campbell R. Harvey, Duke University – Fuqua School of Business and Richard C. Marston, University of Pennsylvania – Finance Department – Managing Risk Management
Discussants:
Christa Bouwman, Case Western Reserve University – Department of Banking & Finance
Artyom Durnev, University of Iowa – Henry B. Tippie College of Business
Dirk Jenter, Stanford Graduate School of Business
Henri Servaes, London Business School – Institute of Finance and Accounting
01/08/2012 – 1:00 PM
Location: Zurich F
Session: Market Microstructure
Chair: Lawrence Glosten, Columbia Business School – Finance and Economics
Sabrina Buti, University of Toronto – Rotman School of Management, Barbara Rindi, Bocconi University – Innocenzo Gasparini Institute for Economic Research (IGIER), Yuanji Wen, Bocconi University and Ingrid M. Werner, Ohio State University (OSU) – Department of Finance – Tick Size Regulation, Intermarket Competition and Sub-Penny Trading
Albert S. Kyle, University of Maryland, Anna A. Obizhaeva, University of Maryland – Robert H. Smith School of Business, Nitish Ranjan Sinha, University of Illinois at Chicago and Tugkan Tuzun, University of Maryland – Robert H. Smith School of Business – News Articles and the Invariance Hypothesis
Johannes Atle Skjeltorp, Central Bank of Norway, Elvira Sojli, Erasmus University Rotterdam (EUR) – Finance and Wing Wah Tham, Erasmus University Rotterdam (EUR) – Erasmus School of Economics (ESE) – Sunshine Trading: Flashes of Trading Intent at the NASDAQ
Albert J. Menkveld, VU University Amsterdam – Faculty of Economics and Business Administration – High Frequency Trading and the New-Market Makers
Discussants:
Thierry Foucault, HEC Paris (Groupe HEC) – Departement Finance et Economie
Lawrence Glosten, Columbia Business School – Finance and Economics
Gideon Saar, Cornell University – Samuel Curtis Johnson Graduate School of Management
Pamela Moulton, Cornell University
01/08/2012 – 1:00 PM
Location: Zurich G
Session: Private Equity and Venture Capital
Chair: Josh Lerner, Harvard Business School – Finance Unit
Matthew D. Cain, University of Notre Dame – Department of Finance, Steven M. Davidoff, Ohio State University (OSU) – Michael E. Moritz College of Law and Antonio J. Macias, Texas Christian University – Broken Promises: Private Equity Bidding Behavior and the Value of Reputation
Yael V. Hochberg, Kellogg School of Management – Department of Finance and Joshua D. Rauh, Kellogg School of Management – Department of Finance – Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments
Per Johan Strömberg, Stockholm School of Economics, Edith S. Hotchkiss, Boston College – Carroll School of Management and David C. Smith, University of Virginia (UVA) – McIntire School of Commerce – Private Equity and the Resolution of Financial Distress
David T. Robinson, Duke University – Fuqua School of Business and Berk A. Sensoy, Ohio State University (OSU) – Department of Finance – Do Private Equity Fund Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance
Discussants:
Victoria Ivashina, Harvard Business School – Finance Unit
Morten Sorensen, Columbia Business School – Finance and Economics
Edward Morrison, Columbia University – Law School
Anna Kovner, Federal Reserve Banks – Federal Reserve Bank of New York
01/08/2012 – 1:00 PM
Location: Zurich B
Session: Banking and Financial Institutions 2
Chair: Mark Flannery, University of Florida – Department of Finance, Insurance and Real Estate
Augustin Landier, University of Toulouse 1 – Toulouse School of Economics (TSE), David Sraer, Princeton University and David Thesmar, HEC Paris (Groupe HEC) – Monetary Policy and Risk-Shifting: Evidence from the Subprime Market
Markus J. Fischer, Goethe University Frankfurt – Department of Finance, Christa Hainz, CESifo (Center for Economic Studies and Ifo Institute for Economic Research) – Ifo Institute for Economic Research, Jörg Rocholl, ESMT European School of Management and Technology and Sascha Steffen, ESMT European School of Management and Technology – Government Guarantees and Bank Risk Taking Incentives
Markus K. Brunnermeier, Princeton University – Department of Economics, Gang (Nathan) Dong, Rutgers, The State University of New Jersey and Darius Palia, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics – Banks’ Non-Interest Income and Systemic Risk
Massimo Massa, INSEAD – Finance and Daniel Schmidt, INSEAD – Finance – Loan Trading and the Bond Market: The Information Asymmetry Dimension
Discussants:
Vikrant Vig, London Business School
Reint Gropp, European Business School (EBS) Wiesbaden, Germany – Department of Finance, Accounting and Real Estate
Andreas Lehnert, Government of the United States of America – Household and Real Estate Finance Section
Sreedhar Bharath, University of Michigan at Ann Arbor – Stephen M. Ross School of Business
01/08/2012 – 1:00 PM
Location: Zurich A
Session: Anomalies and Inefficiency 2
Chair: Narasimhan Jegadeesh, Emory University – Department of Finance
Jesse Blocher, University of North Carolina (UNC) at Chapel Hill – Kenan-Flagler Business School, Joseph Engelberg, University of North Carolina (UNC) at Chapel Hill – Kenan-Flagler Business School and Adam V. Reed, University of North Carolina (UNC) at Chapel Hill – Finance Area – The Long and the Short of it: Evidence of Year-End Price Manipulation by Short Sellers
Hao Jiang, Erasmus University Rotterdam (EUR) – Department of Financial Management, Marno Verbeek, Erasmus University Rotterdam (EUR) – Department of Financial Management and Yu Wang, IMC Financial Markets & Asset Management – Information Content When Mutual Funds Deviate from Benchmarks
Yuriy Kitsul, Federal Reserve Board and Reza S. Mahani, Georgia State University – Department of Finance – Market-Wide Price Pressures, Excess Comovement, and a Transient Factor in Stock Returns
Discussants:
Vikas Agarwal, Georgia State University – J. Mack Robinson College of Business
T. Clifton Green, Emory University – Department of Finance
Long Chen, Washington University in Saint Louis – Olin Business School