Chicago, IL
January 6-8, 2017
Session: AFA Panel: Capital Constraints, Public Policy and Minority Entrepreneurship
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Josh Lerner, Harvard University
presented by:
Stuart A. Taylor II, CEO, The Taylor Group
Karen Mills, Harvard University and former Administrator of the U.S. Small Business Administration
Robert Fairlie, University of California, Santa Cruz
Euler Bropleh, Founder and Managing Director, VestedWorld
Session: Affiliation and Delegated Portfolios
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Veronika Pool, Indiana University
Asset Management Within Commercial Banking Groups: International Evidence
Miguel Ferreira; Nova School of Business and Economics
Pedro Matos; University of Virginia
Pedro Pires; Nova School of Business and Economics
presented by: Pedro Matos, University of Virginia
Discussant: Lauren Cohen, Harvard Business School
Financial Conglomerate Affiliation and Hedge Funds’ Countercyclical Risk Taking
Francesco Franzoni; University of Lugano (USI), Swiss Finance Institute
Mariassunta Giannetti; Stockholm School of Economics
presented by: Francesco Franzoni, University of Lugano (USI), Swiss Finance Institute
Discussant: Wei Jiang, Columbia University
Interfund Lending in Mutual Fund Families: Role of Internal Capital Markets
Vikas Agarwal; Georgia State University
Haibei Zhao; Lehigh University
presented by: Vikas Agarwal, Georgia State University
Discussant: Scott Yonker, Cornell University
Session: Analysts
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Ing-Haw Cheng, Dartmouth College
Career Concerns and Strategic Effort Allocation by Analysts
Jarrad Harford; University of Washington
Feng Jiang; University at Buffalo (SUNY)
Rong Wang; Singapore Management University
Fei Xie; University of Delaware
presented by: Rong Wang, Singapore Management University
Discussant: Devin Shanthikumar, University of California, Irvine
The Job Rating Game: The E ffects of Revolving Doors on Analyst Incentives
Elisabeth Kempf; Tilburg University
presented by: Elisabeth Kempf, Tilburg University
Discussant: Joel Shapiro, University of Oxford
Speed and Expertise in Stock Picking: Older, Slower, and Wiser?
Romain Boulland; ESSEC Business School
Chayawat Ornthanalai; University of Toronto
Kent Womack; University of Toronto
presented by: Romain Boulland, ESSEC Business School
Discussant: Lily Fang, INSEAD
Session: Credit Risk
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Ilya Strebulaev, Stanford University
Unemployment and Credit Risk
Hang Bai; University of Connecticut
presented by: Hang Bai, University of Connecticut
Discussant: Lukas Schmid, Duke University
Economic Uncertainty, Aggregate Debt, and the Real Effects of Corporate Finance
Timothy Johnson; University of Illinois at Urbana-Champaign
presented by: Timothy Johnson, University of Illinois at Urbana-Champai
Discussant: Adriano Rampini, Duke University
Sovereign CDS Spreads with Credit Rating
Haitao Li; Cheung Kong Graduate School of Business
Tao Li; City University of Hong Kong
Xuewei Yang; Nanjing University
presented by: Tao Li, City University of Hong Kong
Discussant: David Lando, Copenhagen Business School
The Impact of Sovereign Shocks
Gerardo Manzo; University of Chicago
Antonio Picca; University of Chicago
presented by: Gerardo Manzo, Two Sigma Investments
Discussant: Timothy McQuade, Stanford University
Session: Debt and Crises
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Efraim Benmelech, Northwestern University
Credit Spreads and the Severity of Financial Crises
Arvind Krishnamurthy; Stanford University
Tyler Muir; University of California, Los Angeles
presented by: Arvind Krishnamurthy, Stanford University
Discussant: Egon Zakrajsek, Federal Reserve Board
Why Does Fast Loan Growth Predict Poor Performance for Banks?
Rudiger Fahlenbrach; Ecole Polytechnique Federale de Lausanne
Robert Prilmeier; Tulane University
Rene Stulz; Ohio State University
presented by: Rudiger Fahlenbrach, Ecole Polytechnique Federale de Lausanne
Discussant: Samuel Hanson, Harvard Business School
The Private Costs of Highly Levered Banks
Juliane Begenau; Harvard Business School
Erik Stafford; Harvard University
presented by: Juliane Begenau, Harvard Business School
Discussant: Efraim Benmelech, Northwestern University
Session: Executive Compensation
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Kelly Shue, University of Chicago
Relative Pay for Non-Relative Performance: Keeping up with the Joneses with Optimal Contracts
Peter DeMarzo; Stanford University
Ron Kaniel; University of Rochester
presented by: Ron Kaniel, University of Rochester
Discussant: Florian Ederer, Yale University
Insider Purchases after Short Interest Spikes: a False Signaling Device?
Chattrin Laksanabunsong; Zacks Investment Management
Wei Wu; Texas A&M University
presented by: Wei Wu, Texas A&M University
Discussant: Karl Diether, Brigham Young University
Performance-Vesting Provisions in Executive Compensation
Carr Bettis; Arizona State University
John Bizjak; Texas Christian University
Jeffrey Coles; University of Utah
Swaminathan Kalpathy; Texas Christian University
presented by: Swaminathan Kalpathy, Texas Christian University
Discussant: Katharina Lewellen, Dartmouth College
The Value of Information for Contracting
Pierre Chaigneau; Queen’s University Smith School of Business
Alex Edmans; London Business School
Daniel Gottlieb; Washington University in St Louis
presented by: Alex Edmans, London Business School
Discussant: Dmitry Orlov, University of Rochester
Session: Liquidity and Trading in Bond and Derivatives Markets I
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Francis Longstaff, University of California, Los Angeles
Taking Orders and Taking Notes: Dealer Information Sharing in Financial Markets
Nina Boyarchenko; Federal Reserve Bank of New York
David Lucca; Federal Reserve Bank of New York
Laura Veldkamp; New York University
presented by: David Lucca, Federal Reserve Bank of New York
Discussant: Kjell Nyborg, University of Zurich, Swiss Finance Institute
Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market
Fang Cai; Federal Reserve Board
Song Han; Federal Reserve Board
Dan Li; Federal Reserve Board
Yi Li; Federal Reserve Board
presented by: Yi Li, Federal Reserve Board
Discussant: Kelsey Wei, University of Texas-Dallas
The Value of Trading Relationships in Turbulent Times
Marco Di Maggio; Harvard Business School & NBER
Amir Kermani; University of California, Berkeley
Zhaogang Song; Johns Hopkins University
presented by: Marco Di Maggio, Harvard Business School & NBER
Discussant: Ana Babus, Federal Reserve Bank of Chicago
Session: Media and Finance
January 6, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Kenneth Ahern, University of Southern California
Anomalies and News
Joseph Engelberg; University of California, San Diego
David McLean; Driehaus College of Business
Jeffrey Pontiff; Boston College
presented by: David McLean, Driehaus College of Business
Discussant: David Solomon, University of Southern California
Stock Market Coverage
Briana Chang; University of Wisconsin-Madison
Harrison Hong; Princeton University
presented by: Harrison Hong, Princeton University
Discussant: Diego Garcia, University of Colorado
The Momentum of News
Ying Wang; Nanyang Technological University
Bohui Zhang; University of New South Wales
Xiaoneng Zhu; Shanghai University of Finance and Economics
presented by: Xiaoneng Zhu, Shanghai University of Finance and Economics
Discussant: Paul Tetlock, Columbia University
It Depends on Where You Search: A Comparison of Institutional and Retail Attention
Azi Ben-Rephael; Indiana University
Zhi Da; University of Notre Dame
Ryan Israelsen; Indiana University
presented by: Ryan Israelsen, Indiana University
Discussant: Denis Sosyura, University of Michigan
Session: AFA Panel: Public Pension Funds
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Luis Viceira, Harvard Business School
presented by:
Edwin Cass, Canada Pension Plan (CPP) Investment Board
James Poterba, Massachusetts Institute of Technology
Joshua Rauh, Stanford University
Theresa Whitmarsh, Washington State Investment Board
Session: Bank Supervision, Support and Resolution Policies
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Randall Kroszner, University of Chicago
Parsing the Content of Bank Supervision
Paul Goldsmith-Pinkham; Federal Reserve Bank of New York
Beverly Hirtle; Federal Reserve Bank of New York
David Lucca; Federal Reserve Bank of New York
presented by: Paul Goldsmith-Pinkham, Federal Reserve Bank of New York
Discussant: Amit Seru, University of Chicago
Does a Larger Menu Increase Appetite? Collateral Eligibility and Bank Risk-Taking
Sjoerd van Bekkum; Erasmus University Rotterdam
Marc Gabarro; Erasmus University Rotterdam
Rustom Irani; University of Illinois at Urbana-Champaign
presented by: Sjoerd van Bekkum, Erasmus University Rotterdam
Discussant: Philipp Schnabl, New York University
Bank Resolution and the Structure of Global Banks
Patrick Bolton; Columbia University
Martin Oehmke; Columbia University
presented by: Martin Oehmke, Columbia University
Discussant: Randall Kroszner, University of Chicago
Session: Biases
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Renee Adams, University of New South Wales
In-Group Bias in Financial Markets
Sima Jannati; University of Miami
Alok Kumar; University of Miami
Alexandra Niessen-Ruenzi; University of Mannheim
Justin Wolfers; University of Michigan
presented by: Alexandra Niessen-Ruenzi, University of Mannheim
Discussant: Harrison Hong, Princeton University
Are CEOs Different? Characteristics of Top Managers
Steven Kaplan; University of Chicago
Morten Sorensen; Columbia University
presented by: Steven Kaplan, University of Chicago
Discussant: Laura Starks, University of Texas at Austin
Experimenting with Entrepreneurship: The Effect of Job-Protected Leave
Joshua Gottlieb; University of British Columbia
Richard Townsend; Dartmouth College
Ting Xu; University of British Columbia
presented by: Ting Xu, University of British Columbia
Discussant: Antoinette Schoar, Massachusetts Institute of Technology
Session: Credit Ratings
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: John Griffin, University of Texas at Austin
Where the Heart Is: Information Production and the Home Bias
Jess Cornaggia; Georgetown University
Kimberly Cornaggia; Pennsylvania State University
Ryan Israelsen; Indiana University
presented by: Kimberly Cornaggia, Pennsylvania State University
Discussant: Miguel Ferreira, Nova School of Business and Economics
Non-rating Revenue and Conflicts of Interest
Ramin Baghai; Stockholm School of Economics
Bo Becker; Stockholm School of Economics
presented by: Bo Becker, Stockholm School of Economics
Discussant: Jonathan Cohn, University of Texas at Austin
The Disciplining Effect of Credit Ratings: Evidence from Corporate Asset Sales
Dion Bongaerts; Erasmus University Rotterdam
Frederik-Paul Schlingemann; University of Pittsburgh
presented by: Frederik-Paul Schlingemann, University of Pittsburgh
Discussant: Mariassunta Giannetti, Stockholm School of Economics
Session: Dividend and Payout Policy
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Gustavo Grullon, Rice University
The Effect of Option-based Compensation on Payout Policy: Evidence from FAS 123R
Fabrizio Ferri; Columbia University
Nan Li; Columbia University
presented by: Fabrizio Ferri, Columbia University
Discussant: David De Angelis, Rice University
What’s Behind the Smooth Dividends? Evidence from Structural Estimation
Yufeng Wu; University of Illinois at Urbana-Champaign
presented by: Yufeng Wu, University of Illinois at Urbana-Champaign
Discussant: Oliver Levine, University of Wisconsin-Madison
Shareholder-Creditor Conflict and Payout Policy: Evidence from Mergers between Lenders and Shareholders
Yongqiang Chu; University of South Carolina
presented by: Yongqiang Chu, University of South Carolina
Discussant: Alan Crane, Rice University
Financing Payouts
Joan Farre-Mensa; Harvard Business School
Roni Michaely; Cornell Tech
Martin Schmalz; University of Michigan
presented by: Joan Farre-Mensa, Harvard Business School
Discussant: Gerard Hoberg, University of Southern California
Session: Financial Institution Risk Management
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Michael Faulkender, University of Maryland
Bank Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies
Anna Chernobai; Syracuse University
Ali Ozdagli; Federal Reserve Bank of Boston
Jianlin Wang; Federal Reserve Bank of Boston
presented by: Anna Chernobai, Syracuse University
Discussant: Elena Loutskina, University of Virginia
Risk Management in Financial Institutions
Adriano Rampini; Duke University
S. Viswanathan; Duke University
Guillaume Vuillemey; HEC Paris
presented by: Guillaume Vuillemey, HEC Paris
Discussant: Mark Flannery, Securities and Exchange Commission
Do Bank Boards Focus Adequately On Risk?
Samanvaya Agarwal; Indian School of Business
Saipriya Kamath; Indian School of Business
Krishnamurthy Subramanian; Indian School of Business and Northwestern University
Prasanna Tantri; Indian School of Business
presented by: Saipriya Kamath, Indian School of Business
Discussant: Miriam Schwartz-Ziv, Michigan State University
Session: Information and Trading: New Approaches to Classical Problems
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Haoxiang Zhu, Massachusetts Institute of Technology
Multiple Equilibria in Noisy Rational Expectations Economies
Domotor Palvolgyi; University of Cambridge
Gyuri Venter; Copenhagen Business School
presented by: Gyuri Venter, Copenhagen Business School
Discussant: Liyan Yang, University of Toronto
Estimating Information Asymmetry in Securities Markets
Kerry Back; Rice University
Kevin Crotty; Rice University
Tao Li; City University of Hong Kong
presented by: Kevin Crotty, Rice University
Discussant: Vyacheslav Fos, Boston College
Intraday Trading Invariance in the E-mini S&P 500 Futures Market
Torben Andersen; Northwestern University
Oleg Bondarenko; University of Illinois at Chicago
Albert Kyle; University of Maryland
Anna Obizhaeva; New Economic School
presented by: Torben Andersen, Northwestern University
Discussant: Bryan Kelly, University of Chicago
Session: International Finance and Exchange Rates
January 6, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Hanno Lustig, Stanford University
The Term Structure of Implied Volatility and Volatility Risk Premia in the FX Market
Pasquale Della Corte; Imperial College London
Roman Kozhan; University of Warwick
Anthony Neuberger; Cass Business School
presented by: Roman Kozhan, University of Warwick
Discussant: Stefano Giglio, University of Chicago
Real Exchange Rates and Currency Risk Premia
Pierluigi Balduzzi; Boston College
I-Hsuan Ethan Chiang; University of North Carolina at Charlotte
presented by: Pierluigi Balduzzi, Boston College
Discussant: Carolin Pfleuger, University of British Columbia
Uncertainty, the Exchange Rate and International Capital Flows
Robert Kollmann; ECARES, Université Libre de Bruxelles & CEPR
presented by: Robert Kollmann, ECARES, Université Libre de Bruxelles & CEPR
Discussant: Riccardo Colacito, University of North Carolina-Chapel Hill
Entangled Risks in Incomplete FX Markets
Thomas Maurer; Washington University in St. Louis
Ngoc-Khanh Tran; Washington University in St. Louis
presented by: Thomas Maurer, Washington University in St. Louis
Discussant: Matteo Maggiori, Harvard University
Session: AFA Panel: The New Financial Regulatory Environment and its Implications for Financial Markets
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Deborah Lucas, Massachusetts Institute of Technology
presented by:
Tobias Adrian, International Monetary Fund
Stephen Berger, Citadel
Darrell Duffie, Stanford University
Deborah Lucas, Massachusetts Institute of Technology
Session: Behavioral Corporate Finance
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Ulrike Malmendier, University of California, Berkeley
Do Personal Ethics Influence Corporate Ethics?
John Griffin; University of Texas at Austin
Samuel Kruger; University of Texas at Austin
Gonzalo Maturana; Emory University
presented by: Samuel Kruger, University of Texas at Austin
Discussant: Ivo Welch, University of California, Los Angeles
Afraid of your Workers – CEOs, strikes and financing decisions
Daniel Bias; Technische Universität München
Thomas Schmid; University of Hong Kong
presented by: Daniel Bias, Technische Universität München
Discussant: Efraim Benmelech, Northwestern University
The Face of Risk: CEO Testosterone and Risk Taking Behavior
Shinichi Kamiya; Nanyang Technological University
Y.Han (Andy) Kim; Sungkyunkwan University
Jungwon Suh; Sungkyunkwan University
presented by: Y.Han (Andy) Kim, Sungkyunkwan University
Discussant: Burkhard Schipper, University of California, Davis
Anchoring and Acquisitions
Qingzhong Ma; California State University, Chico
David Whidbee; Washington State University
Wei Zhang; California State University, Chico
presented by: David Whidbee, Washington State University
Discussant: Malcolm Baker, Harvard Business School
Session: CEOs
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Charles Hadlock, Michigan State University
Good and Bad CEOs
Dirk Jenter; London School of Economics
Egor Matveyev; University of Alberta
Lukas Roth; University of Alberta
presented by: Egor Matveyev, University of Alberta
Discussant: Heitor Almeida, University of Illinois at Urbana-Champaign
Compensation Goals and Firm Performance
Ben Bennett; Air Force Institute of Technology
Carr Bettis; Arizona State University
Radhakrishnan Gopalan; Washington University in St. Louis
Todd Milbourn; Washington University in St. Louis
presented by: Carr Bettis, Arizona State University
Discussant: Daniel Bergstresser, Brandeis University
Executive Job Matching: Estimates from a Dynamic Model
Ruoyan Huang; University of Hong Kong
presented by: Ruoyan Huang, University of Hong Kong
Discussant: Jordan Nickerson, Boston College
Session: Derivatives
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Jun Pan, Massachusetts Institute of Technology
Generalized Recovery
Christian Skov Jensen; Copenhagen Business School
David Lando; Copenhagen Business School
Lasse Pedersen; Copenhagen Business School, New York University, and AQR
presented by: Christian Skov Jensen, Copenhagen Business School
Discussant: Stephen Ross, Massachusetts Institute of Technology
Informed Trading and Option Prices: Evidence from Activist Trading
Pierre Collin-Dufresne; Ecole Polytechnique Federale de Lausanne
Vyacheslav Fos; Boston College
Dmitriy Muravyev; Boston College
presented by: Dmitriy Muravyev, Boston College
Discussant: Marcin Kacperczyk, Imperial College London
Option-Based Credit Spreads
Christopher Culp; Johns Hopkins Institute for Applied Economics
Yoshio Nozawa; Federal Reserve Board
Pietro Veronesi; University of Chicago
presented by: Pietro Veronesi, University of Chicago
Discussant: Hui Chen, Massachusetts Institute of Technology
Session: High Frequency Trading
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Mao Ye, University of Illinois at Urbana-Champaign
Do High Frequency Traders Need to be Regulated? Evidence from Trading on Macroeconomic Announcements
Tarun Chordia; Emory University
Clifton Green; Emory University
Badrinath Kottimukkalur; Emory University
presented by: Badrinath Kottimukkalur, Emory University
Discussant: Jonathan Brogaard, University of Washington
Data Abundance and Asset Price Informativeness
Jérôme Dugast; Banque de France
Thierry Foucault; HEC Paris
presented by: Thierry Foucault, HEC Paris
Discussant: Laura Veldkamp, New York University
Correlated High-Frequency Trading
Ekkehart Boehmer; Singapore Management University
Dan Li; Hong Kong University
Gideon Saar; Cornell University
presented by: Gideon Saar, Cornell University
Discussant: Dacheng Xiu, University of Chicago
Fast Traders Make a Quick Buck: The Role of Speed in Liquidity Provision
Markus Baldauf; University of British Columbia
Joshua Mollner; Microsoft Research
presented by: Markus Baldauf, University of British Columbia
Discussant: Ioanid Rosu, HEC Paris
Session: Macroeconomic Models of the Equity Premium
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Sydney Ludvigson, New York University
Macro Announcement Premium and Risk Preferences
Hengjie Ai; University of Minnesota
Ravi Bansal; Duke University
presented by: Hengjie Ai, University of Minnesota
Discussant: Anisha Ghosh, Carnegie Mellon University
Dividend Dynamics, Learning, and Expected Stock Index Returns
Ravi Jagannathan; Northwestern University
Binying Liu; Northwestern University
presented by: Ravi Jagannathan, Northwestern University
Discussant: Lars Lochstoer, Columbia University
The Equity Premium and the One Percent
Alexis Akira Toda; University of California, San Diego
Kieran Walsh; University of Virginia
presented by: Alexis Akira Toda, University of California, San Diego
Discussant: Daniel Greenwald, Massachusetts Institute of Technology
Maximum Likelihood Estimation of the Equity Premium
Efstathios Avdis; University of Alberta
Jessica Wachter; University of Pennsylvania
presented by: Jessica Wachter, University of Pennsylvania
Discussant: Ralph Koijen, New York University
Session: Private Equity
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Ayako Yasuda, University of California, Davis
Private Equity’s Unintended Dark Side: On the Economic Consequences of Excessive Delistings
Alexander Ljungqvist; New York University
Lars Persson; Research Institute of Industrial Economics
Joacim Tåg; Research Institute of Industrial Economics
presented by: Joacim Tåg, Research Institute of Industrial Economics
Discussant: Ulf Axelson, London School of Economics
Financial Intermediation in Private Equity: How Well do Funds of Funds Perform?
Robert Harris; University of Virginia
Tim Jenkinson; Oxford University
Steven Kaplan; University of Chicago
Rüdiger Stucke; University of Oxford
presented by: Tim Jenkinson, Oxford University
Discussant: Arthur Korteweg, University of Southern California
Pay Now or Pay Later?: The Economics within the Private Equity Partnership
Victoria Ivashina; Harvard Business School
Josh Lerner; Harvard University
presented by: Victoria Ivashina, Harvard Business School
Discussant: Elena Simintzi, University of British Columbia
Pension Fund Board Composition and Investment Performance: Evidence from Private Equity
Aleksandar Andonov; Erasmus University Rotterdam
Yael Hochberg; Rice University
Joshua Rauh; Stanford University
presented by: Yael Hochberg, Rice University
Discussant: Denis Sosyura, University of Michigan
Session: R&D, Patents and Innovation
January 6, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: David Robinson, Duke University
Innovation Waves, Investor Sentiment, and Mergers
David Dicks; University of North Carolina
Paolo Fulghieri; University of North Carolina
presented by: David Dicks, University of North Carolina
Discussant: Ramana Nanda, Harvard University
Patents as Substitutes for Relationships
Farzad Saidi; Stockholm School of Economics
Alminas Zaldokas; Hong Kong University of Science and Technology
presented by: Farzad Saidi, Stockholm School of Economics
Discussant: Xuan Tian, Indiana University
Optimal Financing for R&D-intensive Firms
Richard Thakor; University of Minnesota
Andrew Lo; Massachusetts Institute of Technology
presented by: Richard Thakor, University of Minnesota
Discussant: Dirk Hackbarth, Boston University
Learning across Peer Firms and Innovation Waves
Merih Sevilir; Indiana University
presented by: Merih Sevilir, Indiana University
Discussant: Richmond Mathews, University of Maryland
Session: AFA Panel: How Much Finance Does the Economy Need?
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Guy Rolnik, University of Chicago
presented by:
Anat Admati, Stanford University
Catherine Mann, Organisation for Economic Co-operation and Development
Ceyla Pazarbasioglu, IMF and World Bank
Antoinette Schoar, Massachusetts Institute of Technology
Session: Corporate Culture
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Christopher Parsons, University of California, San Diego
Bank Culture
Fenghua Song; Pennsylvania State University
Anjan Thakor; Washington University in St. Louis
presented by: Fenghua Song, Pennsylvania State University
Discussant: Adi Sunderam, Harvard Business School
Integrity Culture and Analyst Forecast Quality
Joseph Pacelli; Indiana University
presented by: Joseph Pacelli, Indiana University
Discussant: William Mayew, Duke University
A Clash of Cultures: The Governance and Valuation Effects of Multiple Corporate Cultures
Stephen Ferris; University of Missouri
Narayanan Jayaraman; Georgia Institute of Technology
Teng Zhang; Georgia Institute of Technology
presented by: Narayanan Jayaraman, Georgia Institute of Technology
Discussant: Paul Smeets, Maastricht University
Corporate Culture: Evidence from the Field
John Graham; Duke University
Campbell Harvey; Duke University
Jillian Popadak; Duke University
Shivaram Rajgopal; Columbia University
presented by: Jillian Popadak, Duke University
Discussant: Kelly Shue, University of Chicago
Session: Financial Crises and the Transmission of Shocks
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Stacey Schreft, U.S. Office of Financial Research
Wholesale Funding Runs
Christophe Perignon; HEC Paris
David Thesmar; Massachusetts Institute of Technology and CEPR
Guillaume Vuillemey; HEC Paris
presented by: Guillaume Vuillemey, HEC Paris
Discussant: Adam Copeland, Federal Reserve Bank of New York
Competition, Reach for Yield, and Money Market Funds
Gabriele La Spada; Federal Reserve Bank of New York
presented by: Gabriele La Spada, Federal Reserve Bank of New York
Discussant: Benjamin Munyan, Vanderbilt University
Asset Encumbrance, Bank Funding, and Financial Fragility
Toni Ahnert; Bank of Canada
Kartik Anand; Deutsche Bundesbank
Prasanna Gai; University of Auckland
James Chapman; Bank of Canada
presented by: Toni Ahnert, Bank of Canada
Discussant: Itay Goldstein, University of Pennsylvania
Session: High Sharpe Ratios
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Alexi Savov, New York University
How should investors respond to increases in volatility?
Alan Moreira; Yale University
Tyler Muir; University of California, Los Angeles
presented by: Alan Moreira, Yale University
Discussant: John Campbell, Harvard University
Cross-Currency Basis
Wenxin Du; Federal Reserve Board
Alexander Tepper; Columbia University
Adrien Verdelhan; Massachusetts Institute of Technology
presented by: Wenxin Du, Federal Reserve Board
Discussant: Pierre Collin-Dufresne, Ecole Polytechnique Federale de Lausanne
A First Glimpse into the Short Side of Hedge Funds
Jaewon Choi; University of Illinois at Urbana-Champaign
Neil Pearson; University of Illinois at Urbana-Champaign
Shastri Sandy; Brattle Group
presented by: Jaewon Choi, University of Illinois at Urbana-Champaign
Discussant: Itamar Drechsler, New York University
Session: Household Finance
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Johannes Stroebel, New York University
Minimum Payments and Debt Paydown in Consumer Credit Cards
Benjamin Keys; University of Chicago
Jialan Wang; University of Illinois at Urbana-Champaign
presented by: Benjamin Keys, University of Chicago
Discussant: Andres Liberman, New York University
Access to Credit and Stock Market Participation
Serhiy Kozak; University of Michigan
Denis Sosyura; University of Michigan
presented by: Denis Sosyura, University of Michigan
Discussant: Andrew Hertzberg, Columbia University
The Liquid Hand-to-Mouth: Evidence from Personal Finance Management Software
Arna Olafsson; Copenhagen Business School
Michaela Pagel; Columbia University
presented by: Michaela Pagel, Columbia University
Discussant: Scott Baker, Northwestern University
The Misguided Beliefs of Financial Advisors
Juhani Linnainmaa; University of Chicago
Brian Melzer; Northwestern University
Alessandro Previtero; University of Texas at Austin
presented by: Brian Melzer, Northwestern University
Discussant: Gregor Matvos, University of Chicago
Session: Housing Returns and Speculation
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Chester Spatt, Carnegie Mellon University
Residential Real Estate Traders: Returns, Risk and Strategies
Marco Giacoletti; Stanford University
Victor Westrupp; Stanford University
presented by: Marco Giacoletti, Stanford University
Discussant: Richard Stanton, University of California, Berkeley
Economic Consequences of Housing Speculation
Zhenyu Gao; Chinese University of Hong Kong
Michael Sockin; University of Texas at Austin
Wei Xiong; Princeton University
presented by: Zhenyu Gao, Chinese University of Hong Kong
Discussant: Barney Hartman-Glaser, University of California, Los Angeles
Excessive Credit Supply and the Housing Boom in the US
Vahid Saadi; University of Frankfurt
presented by: Vahid Saadi, University of Frankfurt
Discussant: Manuel Adelino, Duke University
Recourse Mortgage Law and Housing Speculation
Tong-yob Nam; Office of the Comptroller of the Currency
Seungjoon Oh; Peking University
presented by: Seungjoon Oh, Peking University
Discussant: Asaf Bernstein, University of Colorado at Boulder
Session: Information Disclosure and Stock Returns
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Dong Lou, London School of Economics
Good News in Numbers
Dexin Zhou; Baruch College
presented by: Dexin Zhou, Baruch College
Discussant: Huaizhi Chen, London School of Economics
In No (Un-)Certain Terms: Managerial Style in Communicating Earnings News
Michał Dzieliński; Stockholm University
Alexander Wagner; University of Zurich, Swiss Finance Institute
Richard Zeckhauser; Harvard University
presented by: Michał Dzieliński, Stockholm University
Discussant: David Solomon, University of Southern California
Complexity and Information Content of Financial Disclosures: Evidence from Evolution of Uncertainty Following 10-K Filings
Frederico Belo; University of Minnesota and NBER
Jun Li; University of Texas-Dallas
Xiaoji Lin; Ohio State University
Xiaofei Zhao; University of Texas-Dallas
presented by: Xiaofei Zhao, University of Texas-Dallas
Discussant: Shiyang Huang, University of Hong Kong
What do Measures of Real-time Corporate Sales Tell us about Earnings Surprises and Post-announcement Returns?
Kenneth Froot; Harvard Business School
Namho Kang; University of Connecticut
Gideon Ozik; EDHEC Business School
Ronnie Sadka; Boston College
presented by: Namho Kang, University of Connecticut
Discussant: Marina Niessner, Yale University
Session: Sustainable Investments
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Harrison Hong, Princeton University
Socially Responsible Investing: Good is Good, Bad is Bad
Ravi Bansal; Duke University
Di (Andrew) Wu; University of Michigan
Amir Yaron; University of Pennsylvania
presented by: Amir Yaron, University of Pennsylvania
Discussant: Rossen Valkanov, University of California, San Diego
Impact Investing
Brad Barber; University of California, Davis
Adair Morse; University of California, Berkeley
Ayako Yasuda; University of California, Davis
presented by: Ayako Yasuda, University of California, Davis
Discussant: Laura Starks, University of Texas at Austin
Do Institutional Investors Transplant Social Norms? International Evidence on Corporate Social Responsibility
I. J. Alexander Dyck; University of Toronto
Karl Lins; University of Utah
Lukas Roth; University of Alberta
Hannes Wagner; Bocconi University
presented by: Lukas Roth, University of Alberta
Discussant: Inessa Liskovich, University of Texas at Austin
Peer Effects of Corporate Social Responsibility
Jie Cao; Chinese University of Hong Kong
Hao Liang; Singapore Management University
Xintong Zhan; Chinese University of Hong Kong
presented by: Xintong Zhan, Chinese University of Hong Kong
Discussant: Ing-Haw Cheng, Dartmouth College
Session: Tax Shelters and Corporate Inversions
January 7, 2017 8:00 to 10:00
Sheraton Grand Chicago, Mayfair (Level 2)
Session Chair: Kose John, New York University and Temple University
Corporate Inversions: A Case of Having the Cake and Eating it Too?
Felipe Cortes; Northeastern University
Armando Gomes; Washington University in St. Louis
Radhakrishnan Gopalan; Washington University in St. Louis
presented by: Radhakrishnan Gopalan, Washington University in St. Louis
Discussant: Dalida Kadyrzhanova, Georgia State University
What Drives Corporate Inversions? International Evidence
Burcin Col; Pace University
Rose Liao; Rutgers University
Stefan Zeume; University of Michigan
presented by: Rose Liao, Rutgers University
Discussant: Kimberly Cornaggia, Pennsylvania State University
Debt, Bankruptcy Risk, and Corporate Tax Sheltering
Akanksha Jalan; Indian Institute of Management
Jayant Kale; Northeastern University
Costanza Meneghetti; West Virginia University
presented by: Costanza Meneghetti, West Virginia University
Discussant: S. Abraham Ravid, Yeshiva University
Are Corporate Inversions Good for Shareholders?
Anton Babkin; University of Wisconsin
Brent Glover; Carnegie Mellon University
Oliver Levine; University of Wisconsin-Madison
presented by: Brent Glover, Carnegie Mellon University
Discussant: Michael Faulkender, University of Maryland
Session: AFA Panel: Low Interest Rates and Financial Markets
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Anil Kashyap, University of Chicago
presented by:
Kenneth Griffin, CEO and Founder, Citadel
Jerome Powell, Governor, Federal Reserve System
Raghuram Rajan, University of Chicago
Session: Behavioral Finance I
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Martin Schmalz, University of Michigan
Information Asymmetry, Market Participation, and Asset Prices
David Hirshleifer; University of California, Irvine
Chong Huang; University of California, Irvine
Siew Hong Teoh; University of California, Irvine
presented by: Chong Huang, University of California, Irvine
Discussant: David Easley, Cornell University
A Tough Act to Follow: Contrast Effects in Financial Markets
Samuel Hartzmark; University of Chicago
Kelly Shue; University of Chicago
presented by: Kelly Shue, University of Chicago
Discussant: John Beshears, Harvard University
Financial Loss Aversion Illusion
Christoph Merkle; University of Mannheim
presented by: Christoph Merkle, University of Mannheim
Discussant: Cary Frydman, University of Southern California
Thinking About Prices Versus Thinking About Returns in Financial Markets
Markus Glaser; Ludwig-Maximilians-University (LMU) Munich
Zwetelina Iliewa; Centre for European Economic Research
Martin Weber; University of Mannheim
presented by: Martin Weber, University of Mannheim
Discussant: Markku Kaustia, Aalto University
Session: Debt Structure
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Justin Murfin, Yale University
The Role of Hard Information in Debt Contracting: Evidence from Fair Value Adoption
Aytekin Ertan; London Business School
Stephen Karolyi; Carnegie Mellon University
presented by: Stephen Karolyi, Carnegie Mellon University
Discussant: Jose Liberti, Northwestern University and DePaul University
Still Learning After All These Years: Dynamic Information Acquisition in Banking
Matthew Botsch; Bowdoin College
Victoria Vanasco; Stanford University
presented by: Matthew Botsch, Bowdoin College
Discussant: Mitchell Petersen, Northwestern University
Bank Monitoring: Evidence from Syndicated Loans
Matthew Gustafson; Pennsylvania State University
Ivan Ivanov; Federal Reserve Board
Ralf Meisenzahl; Federal Reserve Board
presented by: Ivan Ivanov, Federal Reserve Board
Discussant: Taylor Begley, London Business School
Session: Government and Regulatory Issues
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Mara Faccio, Purdue University
The Political Economy of Financial Innovation: Evidence from Local Governments
Christophe Perignon; HEC Paris
Boris Vallee; Harvard Business School
presented by: Christophe Perignon, HEC Paris
Discussant: Larry Fauver, University of Tennessee
Political Information, Firm Value and Information Networks: Evidence from the Chinese National Social Security Fund
Yong Li; University of Queensland
Karen Benson; University of Queensland
Robert Faff; University of Queensland
presented by: Yong Li, University of Queensland
Discussant: Martijn Cremers, University of Notre Dame
Political Influence and Government Investment: Evidence from Contract-Level Data
Jonathan Brogaard; University of Washington
Matthew Denes; University of Washington
Ran Duchin; University of Washington
presented by: Jonathan Brogaard, University of Washington
Discussant: Stefano Rossi, Purdue University
Policy Uncertainty, Political Capital, and Firm Risk-Taking
Pat Akey; University of Toronto
Stefan Lewellen; London Business School
presented by: Stefan Lewellen, London Business School
Discussant: Alexei Ovtchinnikov, HEC Paris
Session: Insurance
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Motohiro Yogo, Princeton University
Asset Insulators
Gabriel Chodorow-Reich; Harvard University
Andra Ghent; University of Wisconsin
Valentin Haddad; Princeton University
presented by: Valentin Haddad, Princeton University
Discussant: Andrew Ellul, Indiana University, CEPR, CSEF, and ECGI
Portfolio Similarity and Asset Liquidation in the Insurance Industry
Mila Getmansky Sherman; University of Massachusetts-Amherst
Giulio Girardi; Securities and Exchange Commission
Kathleen Hanley; Lehigh University
Stanislava Nikolova; University of Nebraska-Lincoln
Loriana Pelizzon; SAFE – Goethe University
presented by: Giulio Girardi, Securities and Exchange Commission
Discussant: Ralph Koijen, New York University
Securities Lending as Wholesale Funding: Evidence from the U.S. Life Insurance Industry
Nathan Foley-Fisher; Federal Reserve Board
Borghan Narajabad; Federal Reserve Board
Stephane Verani; Federal Reserve Board
presented by: Stephane Verani, Federal Reserve Board
Discussant: Robert McDonald, Northwestern University
Capital Regulation and Product Market Outcomes
Ishita Sen; London Business School
David Humphry; Bank of England
presented by: Ishita Sen, London Business School
Discussant: Gregor Matvos, University of Chicago
Session: Investment Behavior
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: David Sraer, UC Berkeley
Intangible Capital and the Investment-q Relation
Ryan Peters; University of Pennsylvania
Lucian Taylor; University of Pennsylvania
presented by: Ryan Peters, University of Pennsylvania
Discussant: Lukas Schmid, Duke University
Financing Durable Assets
Adriano Rampini; Duke University
presented by: Adriano Rampini, Duke University
Discussant: Cecilia Parlatore, New York University
The Speculation Channel and Crowding Out Channel: Real Estate Shocks and Corporate Investment in China
Ting Chen; Hong Kong University of Science and Technology
Laura Xiaolei Liu; Peking University
Wei Xiong; Princeton University
Li-an Zhou; Peking University
presented by: Laura Xiaolei Liu, Peking University
Discussant: Charles Nathanson, Northwestern University
Ripple Effects of Noise on Corporate Investment
Olivier Dessaint; University of Toronto
Thierry Foucault; HEC Paris
Laurent Fresard; University of Maryland
Adrien Matray; Princeton University
presented by: Laurent Fresard, University of Maryland
Discussant: Adi Sunderam, Harvard Business School
Session: Market Mispricing
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Christopher Polk, London School of Economocs
Lazy Prices
Lauren Cohen; Harvard Business School
Christopher Malloy; Harvard Business School
Quoc Nguyen; University of Illinois at Chicago
presented by: Lauren Cohen, Harvard Business School
Discussant: Gerard Hoberg, University of Southern California
Real Anomalies: Are Financial Markets a Sideshow?
Jules van Binsbergen; University of Pennsylvania
Christian Opp; University of Pennsylvania
presented by: Jules van Binsbergen, University of Pennsylvania
Discussant: Malcolm Baker, Harvard Business School
Betting Against Winners
Kent Daniel; Columbia University
Alexander Klos; Universität Kiel
Simon Rottke; University of Münster
presented by: Kent Daniel, Columbia University
Discussant: Dong Lou, London School of Economics
Are Stocks Real Assets? Sticky Discount Rates in Stock Markets
Michael Katz; AQR Capital Management, LLC
Hanno Lustig; Stanford University
Lars Nielsen; AQR Capital Management, LLC
presented by: Hanno Lustig, Stanford University
Discussant: Luis Viceira, Harvard Business School
Session: Securities Markets and Macroeconomic Outcomes
January 7, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Philipp Schnabl, New York University
The Securities Lending Market and the Collateral Channel of Monetary Policy Transmission
Reena Aggarwal; Georgetown University
Jennie Bai; Georgetown University
Luc Laeven; European Central Bank
presented by: Jennie Bai, Georgetown University
Discussant: Rustom Irani, University of Illinois at Urbana-Champaign
Macroeconomic Effects of Secondary Market Trading
Daniel Neuhann; University of Texas at Austin
presented by: Daniel Neuhann, University of Texas at Austin
Discussant: Guillaume Plantin, Carnegie Mellon University
Risk Taking and Low Longer-term Interest Rates: Evidence from the U.S. Syndicated Loan Market
Sirio Aramonte; Federal Reserve Board
Seung Jung Lee; Board of Governors of the Federal Reserve System
Viktors Stebunovs; Board of Governors of the Federal Reserve System
presented by: Sirio Aramonte, Federal Reserve Board
Discussant: Steven Ongena, University of Zurich
Session: AFA Lecture: Machine Learning and Prediction in Economics and Finance
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Sendhil Mullainathan, Harvard University
Session: Bankruptcy and Financial Distress
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Edith Hotchkiss, Boston Colleage
Bankruptcy and the Cost of Organized Labor
Murillo Campello; Cornell University and NBER
Janet Gao; Indiana University
Jiaping Qiu; McMaster University
Yue Zhang; UC Louvain and McMaster University
presented by: Murillo Campello, Cornell University and NBER
Discussant: David Matsa, Northwestern University
The Privatization of Bankruptcy: Evidence from Financial Distress in the Shipping Industry
Julian Franks; London Business School
Oren Sussman; University of Oxford
Vikrant Vig; London Business School
presented by: Oren Sussman, University of Oxford
Discussant: Sreedhar Bharath, Arizona State University
Bankruptcy Law, Private Benefits, and Risk-Taking
David Schoenherr; London Business School
presented by: David Schoenherr, London Business School
Discussant: Sergei Davydenko, University of Toronto
Corporate Leverage and Employees’ Rights in Bankruptcy
Andrew Ellul; Indiana University, CEPR, CSEF, and ECGI
Marco Pagano; University of Naples Federico II
presented by: Andrew Ellul, Indiana University, CEPR, CSEF, and ECGI
Discussant: Nittai Bergman, Massachusetts Institute of Technology
Session: Entrepreneurial Finance
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Yael Hochberg, Rice University
How Do Venture Capitalists Make Decisions?
Paul Gompers; Harvard University
Will Gornall; University of British Columbia
Steven Kaplan; University of Chicago
Ilya Strebulaev; Stanford University
presented by: Ilya Strebulaev, Stanford University
Discussant: David Robinson, Duke University
Going Entrepreneurial? IPOs and New Firm Creation
Tania Babina; Columbia University
Paige Ouimet; University of North Carolina
Rebecca Zarutskie; Federal Reserve Board
presented by: Tania Babina, Columbia University
Discussant: Shai Bernstein, Stanford University
The Life Cycle of Corporate Venture Capital
Song Ma; Duke University, Fuqua School of Business
presented by: Song Ma, Yale University
Discussant: Josh Lerner, Harvard University
Session: Information Transmission and Trading
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Gideon Saar, Cornell University
Trading Costs and Informational Efficiency
Eduardo Davila; New York University
Cecilia Parlatore; New York University
presented by: Cecilia Parlatore, New York University
Discussant: Kerry Back, Rice University
Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades
Giovanni Cespa; City University London
Paolo Colla; Bocconi University
presented by: Giovanni Cespa, City University London
Discussant: Lawrence Glosten, Columbia University
Rational Quantitative Trading in Efficient Markets
Stefano Rossi; Purdue University
Katrin Tinn; Imperial College London
presented by: Katrin Tinn, Imperial College London
Discussant: Bilge Yilmaz, University of Pennsylvania
Session: Labor and Finance
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Ashwini Agrawal, London School of Economics
Collateral Values and Corporate Employment
Nuri Ersahin; University of Illinois
Rustom Irani; University of Illinois at Urbana-Champaign
presented by: Nuri Ersahin, University of Illinois
Discussant: Felipe Severino, Dartmouth College
Will I Get Paid? Employee Stock Options and Mergers and Acquisitions
Ilona Babenko; Arizona State University
Fangfang Du; Arizona State University
Yuri Tserlukevich; Arizona State University
presented by: Yuri Tserlukevich, Arizona State University
Discussant: Kenneth Ahern, University of Southern California
Firing the Wrong Workers: Financing Constraints and Labor Misallocation
Andrea Caggese; Pompeu Fabra University
Vicente Cunat; London School of Economics
Daniel Metzger; Stockholm School of Economics
presented by: Andrea Caggese, Pompeu Fabra University
Discussant: Xavier Giroud, Massachusetts Institute of Technology
Session: Market Risk Factors
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Ralph Koijen, New York University
Size Matters, If You Control Your Junk
Cliff Asness; AQR Capital Management, LLC
Andrea Frazzini; AQR Capital Management, LLC
Ronen Israel; AQR Capital Management, LLC
Tobias Moskowitz; Yale University
Lasse Pedersen; Copenhagen Business School, New York University, and AQR
presented by: Tobias Moskowitz, Yale University
Discussant: Kent Daniel, Columbia University
Dividend Risk Premia
Georg Cejnek; WU Vienna University of Economics and Business
Otto Randl; WU Vienna University of Economics and Business
presented by: Otto Randl, WU Vienna University of Economics and Business
Discussant: Jules van Binsbergen, University of Pennsylvania
Low Risk Anomalies?
Paul Schneider; University of Lugano (USI), Swiss Finance Institute
Christian Wagner; Copenhagen Business School
Josef Zechner; WU Vienna University of Economics and Business
presented by: Paul Schneider, University of Lugano (USI), Swiss Finance Institute
Discussant: Yoshio Nozawa, Federal Reserve Board
Gone Factors: Assessment of Asset Pricing Models Using a Myriad of Factors
Guanhao Feng; University of Chicago
Stefano Giglio; University of Chicago
Dacheng Xiu; University of Chicago
presented by: Guanhao Feng, University of Chicago
Discussant: Svetlana Bryzgalova, Stanford University
Session: Real Estate Finance
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Itzhak Ben-David, Ohio State University and NBER
Are Lemons Sold First? Dynamic Signaling in the Mortgage Market
Manuel Adelino; Duke University
Kristopher Gerardi; Federal Reserve Bank of Atlanta
Barney Hartman-Glaser; University of California, Los Angeles
presented by: Manuel Adelino, Duke University
Discussant: Christopher Palmer, University of California, Berkeley
Sustainable Housing Policy
Itay Goldstein; University of Pennsylvania
Deeksha Gupta; University of Pennsylvania
presented by: Deeksha Gupta, University of Pennsylvania
Discussant: Tomasz Piskorski, Columbia University
The Impact of Positive Payment Shocks on Mortgage Credit Risk – a Natural Experiment from Home Equity Lines of Credit at End of Draw
Min Qi; Office of the Comptroller of the Currency
Harald Scheule; University of Technology, Sydney
presented by: Min Qi, Office of the Comptroller of the Currency
Discussant: Taylor Nadauld, Brigham Young University
Real Estate Holdings of Public Firms and Collateral Discount
Irem Demirci; University of Mannheim
Umit Gurun; University of Texas-Dallas
Erkan Yonder; Ozyegin University
presented by: Irem Demirci, University of Mannheim
Discussant: Maisy Wong, University of Pennsylvania
Session: Regulation and Trust in Financial Stability
January 7, 2017 14:30 to 16:30
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: David Thesmar, MIT Sloan
Information Sharing and Rating Manipulation
Mariassunta Giannetti; Stockholm School of Economics
Jose Liberti; Northwestern University and DePaul University
Jason Sturgess; Kellstadt Graduate School of Business
presented by: Mariassunta Giannetti, Stockholm School of Economics
Discussant: Daniel Paravisini, London School of Economics
Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks
Urs Birchler; University of Zurich
Rene Hegglin; University of Zurich
Michael Reichenecker; UBS Switzerland AG
Alexander Wagner; University of Zurich, Swiss Finance Institute
presented by: Alexander Wagner, University of Zurich, Swiss Finance Institute
Discussant: Paola Sapienza, Northwestern University
The Invisible Hand of the Government: ”Moral Suasion” during the European Sovereign Debt Crisis
Steven Ongena; University of Zurich
Alex Popov; European Central Bank
Neeltje van Horen; Bank of England
presented by: Neeltje van Horen, Bank of England
Discussant: Stijn Claessens, Federal Reserve Board
Equity is Cheap for Large Financial Institutions: The International Evidence
Priyank Gandhi; University of Notre Dame
Hanno Lustig; Stanford University
Alberto Plazzi; University of Lugano (USI), Swiss Finance Institute
presented by: Priyank Gandhi, University of Notre Dame
Discussant: Jeffrey Wurgler, New York University
Session: Banks and Central Banks
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Arvind Krishnamurthy, Stanford University
The Effect of Monetary Policy on Bank Wholesale Funding
Dong Beom Choi; Federal Reserve Bank of New York
Hyun-Soo Choi; Singapore Management University
presented by: Dong Beom Choi, Federal Reserve Bank of New York
Discussant: Alexi Savov, New York University
The Effect of Central Bank Liquidity Injections on Bank Credit Supply
Luisa Carpinelli; Bank of Italy
Matteo Crosignani; Federal Reserve Board
presented by: Matteo Crosignani, Federal Reserve Board
Discussant: Marco Di Maggio, Harvard Business School & NBER
Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis
Viral Acharya; New York University, CEPR, and NBER
Diane Pierret; University of Lausanne
Sascha Steffen; University of Mannheim
presented by: Diane Pierret, HEC Lausanne
Discussant: Jennie Bai, Georgetown University
Monetary Policy and Global Banking
Falk Brauning; Federal Reserve Bank of Boston
Victoria Ivashina; Harvard Business School
presented by: Falk Brauning, Federal Reserve Bank of Boston
Discussant: Nicola Cetorelli, Federal Reserve Bank of New York
Session: Boards
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Cesare Fracassi, University of Texas at Austin
Independent Directors and Corporate Litigation
James Malm; College of Charleston
Shawn Mobbs; University of Alabama
presented by: James Malm, College of Charleston
Discussant: John Core, Massachusetts Institute of Technology
Performance-Based Turnover on Corporate Boards
Thomas Bates; Arizona State University
David Becher; Drexel University
Jared Wilson; Indiana University
presented by: Jared Wilson, Indiana University
Discussant: David Yermack, New York University
Death by Committee? An Analysis of Delegation in Corporate Boards
Renee Adams; University of New South Wales
Vanitha Ragunathan; University of Queensland
Robert Tumarkin; University of New South Wales
presented by: Vanitha Ragunathan, University of Queensland
Discussant: Martijn Cremers, University of Notre Dame
Board Diversity and Director Dissent in Corporate Boards
Seil Kim; Baruch College
Seungjoon Oh; Peking University
presented by: Seil Kim, Baruch College
Discussant: Seoyoung Kim, Santa Clara University
Session: Finance and the Product Market
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Gregor Matvos, University of Chicago
Risk Management with Supply Contracts
Heitor Almeida; University of Illinois at Urbana-Champaign
Kristine Hankins; University of Kentucky
Ryan Williams; University of Arizona
presented by: Ryan Williams, University of Arizona
Discussant: Michael Faulkender, University of Maryland
Product Market Competition in a World of Cross-Ownership: Evidence from Institutional Blockholdings
Jie He; University of Georgia
Jiekun Huang; University of Illinois at Urbana-Champaign
presented by: Jie He, University of Georgia
Discussant: Martin Schmalz, University of Michigan
Financial Condition and Product Quality: The Case of Nonprofit Hospitals
Manuel Adelino; Duke University
Katharina Lewellen; Dartmouth College
William McCartney; Duke University
presented by: Katharina Lewellen, Dartmouth College
Discussant: David Matsa, Northwestern University
Session: Financial Intermediaries and Asset Prices
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Tyler Muir, UCLA
A Macroeconomic Model with Financially Constrained Producers and Intermediaries
Vadim Elenev; New York University
Tim Landvoigt; University of Texas at Austin
Stijn Van Nieuwerburgh; New York University
presented by: Stijn Van Nieuwerburgh, New York University
Discussant: Frederico Belo, University of Minnesota
An Equilibrium Model of Institutional Demand and Asset Prices
Ralph Koijen; New York University
Motohiro Yogo; Princeton University
presented by: Motohiro Yogo, Princeton University
Discussant: Stefano Giglio, University of Chicago
Intermediary Asset Pricing: New Evidence from Many Asset Classes
Zhiguo He; University of Chicago
Bryan Kelly; University of Chicago
Asaf Manela; Washington University in St. Louis
presented by: Asaf Manela, Washington University in St. Louis
Discussant: Robert Richmond, New York University
The Banking View of Bond Risk Premia
Valentin Haddad; Princeton University
David Sraer; University of California, Berkeley
presented by: Valentin Haddad, Princeton University
Discussant: Anna Cieslak, Duke University
Session: Liquidity and Trading in Bond and Derivatives Markets II
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Samuel Hanson, Harvard Business School
Funding Value Adjustments
Leif Andersen; Bank of America Merrill Lynch
Darrell Duffie; Stanford University
Yang Song; Stanford University
presented by: Darrell Duffie, Stanford University
Discussant: Martin Oehmke, Columbia University
Trading Frictions in the Interbank Market, and the Central Bank
Jean-Edouard Colliard; HEC Paris
Thierry Foucault; HEC Paris
Peter Hoffmann; European Central Bank
presented by: Peter Hoffmann, European Central Bank
Discussant: Ana Babus, Federal Reserve Bank of Chicago
Liquidity and Price Pressure in the Corporate Bond Market: Evidence from Mega-bonds
Jean Helwege; University of California, Riverside
Liying Wang; University of Nebraska-Lincoln
presented by: Liying Wang, University of Nebraska-Lincoln
Discussant: Christian Lundblad, University of North Carolina
The Cost of Immediacy for Corporate Bonds
Jens Dick-Nielsen; Copenhagen Business School
Marco Rossi; Texas A&M University
presented by: Jens Dick-Nielsen, Copenhagen Business School
Discussant: Jack Bao, Federal Reserve Board
Session: Mergers and Acquisitions
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Isil Erel, Ohio State University
Vote Avoidance and Shareholder Voting in Mergers & Acquisitions
Kai Li; University of British Columbia
Tingting Liu; Creighton University
Julie Wu; University of Nebraska-Lincoln
presented by: Julie Wu, University of Nebraska-Lincoln
Discussant: Andrey Malenko, Massachusetts Institute of Technology
Predicting Merger Targets and Acquirers from Text
Bryan Routledge; Carnegie Mellon University
Stefano Sacchetto; University of Navarra
Noah Smith; University of Washington
presented by: Bryan Routledge, Carnegie Mellon University
Discussant: Di (Andrew) Wu, University of Michigan
Price and Probability: Decomposing the Takeover Effects of Anti-Takeover Provisions
Vicente Cunat; London School of Economics
Mireia Gine; University of Navarra & Wharton WRDS
Maria Guadalupe; INSEAD
presented by: Vicente Cunat, London School of Economics
Discussant: Rob Schonlau, Brigham Young University
Product Integration and Merger Success
Gerard Hoberg; University of Southern California
Gordon Phillips; Dartmouth College
presented by: Gordon Phillips, Dartmouth College
Discussant: Sergey Chernenko, Ohio State University
Session: Mutual Fund Management
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: Marcin Kacperczyk, Imperial College London
Using Managerial Attributes to Identify Market Feedback Effects: The Case of Mutual Fund Fire Sales
Suman Banerjee; Stevens Institute of Technology
Vikram Nanda; University of Texas-Dallas
Steven Chong Xiao; University of Texas-Dallas
presented by: Suman Banerjee, Stevens Institute of Technology
Discussant: Alex Edmans, London Business School
Mutual Fund Flight-to-Liquidity
Aleksandra Rzeznik; Copenhagen Business School
presented by: Aleksandra Rzeznik, Copenhagen Business School
Discussant: Lubos Pastor, University of Chicago
Why Do Institutions Delay Reporting Their Shareholdings? Evidence from Form 13F
Susan Christoffersen; University of Toronto
Erfan Danesh; Federal Reserve Board of Governors
David Musto; University of Pennsylvania
presented by: Erfan Danesh, Federal Reserve Board of Governors
Discussant: Lauren Cohen, Harvard Business School
A Dynamic Theory of Mutual Fund Runs and Liquidity Management
Yao Zeng; University of Washington
presented by: Yao Zeng, University of Washington
Discussant: Wei Jiang, Columbia University
Session: Stock Returns: Characteristics and Factors
January 8, 2017 8:00 to 10:00
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Jonathan Lewellen, Dartmouth College
Linking Cross-Sectional and Aggregate Expected Returns
Serhiy Kozak; University of Michigan
Shrihari Santosh; University of Maryland
presented by: Serhiy Kozak, University of Michigan
Discussant: Christopher Polk, London School of Economocs
Mispricing Factors
Robert Stambaugh; University of Pennsylvania
Yu Yuan; Shanghai Advanced Institute of Finance
presented by: Yu Yuan, Shanghai Advanced Institute of Finance
Discussant: Tobias Moskowitz, Yale University
The History of the Cross Section of Stock Returns
Juhani Linnainmaa; University of Chicago
Michael Roberts; University of Pennsylvania
presented by: Juhani Linnainmaa, University of Southern California
Discussant: Christopher Hrdlicka, University of Washington
Session: Bank Lending Behavior
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Elena Loutskina, University of Virginia
Sequential Credit Markets
Ulf Axelson; London School of Economics
Igor Makarov; London School of Economics
presented by: Igor Makarov, London School of Economics
Discussant: Anjan Thakor, Washington University in St. Louis
The Economic Consequences of Borrower Information Sharing: Relationship Dynamics and Investment
Andrew Sutherland; Massachusetts Institute of Technology
presented by: Andrew Sutherland, Massachusetts Institute of Technology
Discussant: Justin Murfin, Yale University
Loan Terms and Collateral: Evidence from the Bilateral Repo Market
Jun Kyung Auh; Georgetown University
Mattia Landoni; Southern Methodist University
presented by: Mattia Landoni, Southern Methodist University
Discussant: Erik Gilje, University of Pennsylvania
CDS and Credit: Testing the Small Bang Theory of the Financial Universe with Micro Data
Yalin Gunduz; Deutsche Bundesbank
Steven Ongena; University of Zurich
Gunseli Tumer-Alkan; VU University Amsterdam
Yuejuan Yu; Shandong University
presented by: Gunseli Tumer-Alkan, VU University Amsterdam
Discussant: Martin Oehmke, Columbia University
Session: Behavioral Finance II
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom IV
Session Chair: David Solomon, University of Southern California
Differences of Opinion and Stock Prices: Evidence from Spin-Offs and Mergers
Tara Bhandari; Securities and Exchange Commission
presented by: Tara Bhandari, Securities and Exchange Commission
Discussant: Karl Diether, Brigham Young University
Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?
Harjoat Bhamra; Imperial College London
Raman Uppal; EDHEC Business School
presented by: Harjoat Bhamra, Imperial College London
Discussant: Aydoğan Alti, University of Texas at Austin
Why Don’t We Agree? Evidence from a Social Network of Investors
J. Anthony Cookson; University of Colorado
Marina Niessner; Yale University
presented by: J. Anthony Cookson, University of Colorado
Discussant: Joseph Engelberg, University of California, San Diego
The Speed of Communication
Shiyang Huang; University of Hong Kong
Byoung-Hwoun Hwang; Cornell University
Dong Lou; London School of Economics
presented by: Dong Lou, London School of Economics
Discussant: Matti Keloharju, Aalto University
Session: Capital Structure
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Mark Leary, Washington University in St. Louis
The Misallocation of Finance
Toni Whited; University of Michigan
Jake Zhao; Stony Brook University
presented by: Toni Whited, University of Michigan
Discussant: Arthur Korteweg, University of Southern California
Corporate Capital Structure Actions
Murray Frank; University of Minnesota and SAIF
Tao Shen; Tsinghua University
presented by: Tao Shen, Tsinghua University
Discussant: Armen Hovakimian, Baruch College
Financing Intangible Capital
Qi Sun; Shanghai University of Finance and Economics
Mindy X. Zhang; University of Texas at Austin
presented by: Mindy X. Zhang, University of Texas at Austin
Discussant: Ilona Babenko, Arizona State University
Understanding Precautionary Cash at Home and Abroad
Michael Faulkender; University of Maryland
Kristine Hankins; University of Kentucky
Mitchell Petersen; Northwestern University
presented by: Mitchell Petersen, Northwestern University
Discussant: Rohan Williamson, Georgetown University
Session: Corporate Governance
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Todd Gormley, University of Pennsylvania
Older and Wiser, or Too Old to Govern?
Ronald Masulis; University of New South Wales
Cong Wang; Chinese University of Hong Kong
Fei Xie; University of Delaware
Shuran Zhang; Chinese University of Hong Kong
presented by: Shuran Zhang, Chinese University of Hong Kong
Discussant: Dirk Jenter, London School of Economics
Is Skin in the Game a Game Changer? Evidence from Mandatory Changes of D&O Insurance Policies
Chen Lin; University of Hong Kong
Micah Officer; Loyola Marymount University
Thomas Schmid; University of Hong Kong
Hong Zou; University of Hong Kong
presented by: Micah Officer, Loyola Marymount University
Discussant: Ian Appel, Boston College
Contrasts in Governance: Newly Public Firms Versus Mature Firms
Laura Field; University of Delaware
Michelle Lowry; Drexel University
presented by: Laura Field, University of Delaware
Discussant: Jeffrey Coles, University of Utah
Session: Dynamic and Quantitative Models of Banking
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Adriano Rampini, Duke University
Intervention Policy in a Dynamic Environment: Coordination and Learning
Lin Cong; University of Chicago
Steven Grenadier; Stanford University
Yunzhi Hu; University of Chicago
presented by: Lin Cong, University of Chicago
Discussant: Xavier Vives, IESE
Optimal Deposit Insurance
Eduardo Davila; New York University
Itay Goldstein; University of Pennsylvania
presented by: Eduardo Davila, New York University
Discussant: Sebastian Di Tella, Stanford
Financial Regulation in a Quantitative Model of the Modern Banking System
Juliane Begenau; Harvard Business School
Tim Landvoigt; University of Texas at Austin
presented by: Tim Landvoigt, University of Texas at Austin
Discussant: Dean Corbae, University of Wisconsin
Session: Monetary Policy and Asset Prices
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Annette Vissing-Jorgensen, University of California, Berkeley
Does Central Bank Tone Move Asset Prices?
Maik Schmeling; City University London
Christian Wagner; Copenhagen Business School
presented by: Maik Schmeling, City University London
Discussant: Marco Di Maggio, Harvard Business School & NBER
Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
Wenxin Du; Federal Reserve Board
Carolin Pflueger; University of British Columbia
Jesse Schreger; Princeton University
presented by: Carolin Pfleuger, University of British Columbia
Discussant: Adrien Auclert, Stanford University
Monetary Policy through Production Networks: Evidence from the Stock Market
Michael Weber; University of Chicago
Ali Ozdagli; Federal Reserve Bank of Boston
presented by: Michael Weber, University of Chicago
Discussant: Bernard Herskovic, University of California, Los Angeles
Session: New Methodology for Mutual Fund Performance
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Chicago Ballroom VI
Session Chair: Martijn Cremers, University of Notre Dame
Rethinking Performance Evaluation
Campbell Harvey; Duke University
Yan Liu; Texas A&M University
presented by: Yan Liu, Texas A&M University
Discussant: Laurant Barras, McGill University
Skewness Consequences of Seeking Alpha
Kerry Back; Rice University
Alan Crane; Rice University
Kevin Crotty; Rice University
presented by: Alan Crane, Rice University
Discussant: Marcin Kacperczyk, Imperial College London
Cashflow Timing vs. Discount-rate Timing: A Decomposition of Mutual Fund Market-timing Skills
Chunhua Lan; University of New South Wales
Russ Wermers; University of Maryland
presented by: Chunhua Lan, University of New South Wales
Discussant: Stijn Van Nieuwerburgh, New York University
Session: Volatility
January 8, 2017 10:15 to 12:15
Sheraton Grand Chicago, Sheraton Ballroom V
Session Chair: Ian Dew-Becker, Northwestern University
Time-Varying Crash Risk: The Role of Stock Market Liquidity
Peter Christoffersen; University of Toronto
Bruno Feunou; Bank of Canada
Yoontae Jeon; University of Toronto
Chayawat Ornthanalai; University of Toronto
presented by: Yoontae Jeon, University of Toronto
Discussant: Torben Andersen, Northwestern University
Oil Volatility Risk
Lin Gao; University of Luxembourg
Steffen Hitzemann; Ohio State University
Ivan Shaliastovich; University of Pennsylvania
Lai Xu; Syracuse University
presented by: Lin Gao, University of Luxembourg
Discussant: Kyle Jurado, Duke University
Weighted Least Squares Estimates of Return Predictability Regressions
Travis Johnson; University of Texas at Austin
presented by: Travis Johnson, University of Texas at Austin
Discussant: Rasmus Tangsgaard Varneskov, Northwestern University
Variance Risk Premia on Stocks and Bonds
Philippe Mueller; London School of Economics
Petar Sabtchevsky; London School of Economics
Andrea Vedolin; London School of Economics
Paul Whelan; Copenhagen Business School
presented by: Petar Sabtchevsky, London School of Economics
Discussant: Anh Le, Pennsylvania State University
Session: Asset Allocation
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Missouri (Level 2)
Session Chair: Francisco Gomes, London Business School
Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios
Paolo Zaffaroni; Imperial College London
Raman Uppal; EDHEC Business School
presented by: Paolo Zaffaroni, Imperial College London
Discussant: Svetlana Bryzgalova, Stanford University
On the Asset Allocation of a Default Pension Fund
Magnus Dahlquist; Stockholm School of Economics and CEPR
Ofer Setty; Tel Aviv University
Roine Vestman; Stockholm University
presented by: Roine Vestman, Stockholm University
Discussant: Clemens Sialm, University of Texas at Austin and NBER
Information Aggregation and Asset Prices in Large Markets with Institutional Investors
Matthijs Breugem; Frankfurt School of Finance and Management
Adrian Buss; INSEAD
presented by: Matthijs Breugem, Frankfurt School of Finance and Management
Discussant: Andrea Buffa, Boston University
Session: Bond Risk Premia
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Sheraton Ballroom III
Session Chair: Carolin Pfleuger, University of British Columbia
Robust Bond Risk Premia
Michael Bauer; Federal Reserve Bank of San Francisco
James Hamilton; University of California, San Diego
presented by: Michael Bauer, Federal Reserve Bank of San Francisco
Discussant: Jing Cynthia Wu, University of Chicago
Term Structure of Interest Rates with Short-run and Long-run Risks
Olesya Grishchenko; Board of Governors of the Federal Reserve System
Zhaogang Song; Johns Hopkins University
Hao Zhou; Tsinghua University
presented by: Olesya Grishchenko, Board of Governors of the Federal Reserve System
Discussant: Philippe Mueller, London School of Economics
The Cross-Section of Subjective Bond Risk Premia
Andrea Buraschi; Imperial College London
Ilaria Piatti; University of Oxford
Paul Whelan; Copenhagen Business School
presented by: Paul Whelan, Copenhagen Business School
Discussant: Christian Heyerdahl-Larsen, London Business School
Session: Finance and Development
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Chicago Ballroom IX
Session Chair: Paola Sapienza, Northwestern University
When Do Laws and Institutions Affect Recovery Rates on Collateral?
Hans Degryse; KU Leuven
Vasso Ioannidou; Lancaster University
Jose Liberti; Northwestern University and DePaul University
Jason Sturgess; DePaul University
presented by: Jose Liberti, Northwestern University and DePaul University
Discussant: Stefano Rossi, Purdue University
Do Criminal Politicians affect Firm Investment and Value? Evidence from a Regression Discontinuity Approach
Vikram Nanda; University of Texas-Dallas
Ankur Pareek; Rutgers University
presented by: Ankur Pareek, Rutgers University
Discussant: Mara Faccio, Purdue University
Creditor Rights and Relationship Banking: Evidence from a Policy Experiment
Nagpurnanand Prabhala; University of Maryland
Prasanna Tantri; Indian School of Business
Gursharan Bhue; University of Chicago
presented by: Prasanna Tantri, Indian School of Business
Discussant: Carola Schenone, University of Virginia
Session: Financing Frictions and the Real Economy
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Colorado (Level 2)
Session Chair: David Matsa, Northwestern University
Competition and Innovation in the Presence of Financial Constraints
William Grieser; Tulane University
Zack Liu; University of Texas at Austin
presented by: William Grieser, Tulane University
Discussant: Filippo Mezzanotti, Northwestern University
Can Paying Firms Quicker Affect Aggregate Employment?
Jean-Noel Barrot; Massachusetts Institute of Technology
Ramana Nanda; Harvard University
presented by: Ramana Nanda, Harvard University
Discussant: Eric Zwick, University of Chicago
Aggregate Effects of Collateral Constraints
Sylvain Catherine; HEC
Thomas Chaney; Toulouse School of Economics
Zongbo Huang; Princeton University
David Sraer; UC Berkeley
David Thesmar; MIT Sloan
presented by: David Sraer, UC Berkeley
Discussant: Anthony DeFusco, Northwestern University
Session: Liquidity, Frictions and Limits to Arbitrage
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Chicago Ballroom X
Session Chair: Dimitri Vayanos, London School of Economics
Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices
Stephan Jank; Deutsche Bundesbank
Christoph Roling; Deutsche Bundesbank
Esad Smajlbegovic; Erasmus University Rotterdam
presented by: Esad Smajlbegovic, Erasmus University Rotterdam
Discussant: Adam Reed, University of North Carolina-Chapel Hill
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
Yongqiang Chu; University of South Carolina
David Hirshleifer; University of California, Irvine
Liang Ma; University of South Carolina
presented by: Liang Ma, University of South Carolina
Discussant: Jeffrey Pontiff, Boston College
Slow Trading and Stock Return Predictability
Allaudeen Hameed; National University of Singapore
Matthijs Lof; Aalto University
Matti Suominen; Aalto University School of Economics
presented by: Matthijs Lof, Aalto University
Discussant: Tobias Moskowitz, Yale University
What Drives Liquidity? Identifying Shocks to Market Makers’ Supply of Liquidity and Their Role in Economic Fluctuations
Jonathan Goldberg; Federal Reserve Board
presented by: Jonathan Goldberg, Federal Reserve Board
Discussant: Tyler Muir, UCLA
Session: Market Structure and Market Design
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Chicago Ballroom VIII
Session Chair: Pierre-Olivier Weill, University of California, Los Angeles
Can Decentralized Markets Be More Efficient?
Vincent Glode; University of Pennsylvania
Christian Opp; University of Pennsylvania
presented by: Christian Opp, University of Pennsylvania
Discussant: Briana Chang, University of Wisconsin-Madison
Size Discovery
Darrell Duffie; Stanford University
Haoxiang Zhu; Massachusetts Institute of Technology
presented by: Haoxiang Zhu, Massachusetts Institute of Technology
Discussant: Marzena Rostek, University of Wisconsin-Madison
Endogenous Specialization and Dealer Networks
Artem Neklyudov; University of Lausanne and Swiss Finance Institute
Batchimeg Sambalaibat; Indiana University
presented by: Batchimeg Sambalaibat, Indiana University
Discussant: Benjamin Lester, Federal Reserve Bank of Philadelphia
Centralized Trading, Transparency and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act
Evangelos Benos; Bank of England
Richard Payne; City University London
Michalis Vasios; Bank of England
presented by: Michalis Vasios, Bank of England
Discussant: Emil Siriwardane, Harvard Business School
Session: Shareholders and Governance
January 8, 2017 13:00 to 15:00
Sheraton Grand Chicago, Sheraton Ballroom II
Session Chair: Xavier Giroud, Massachusetts Institute of Technology
Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism
Ian Appel; Boston College
Todd Gormley; University of Pennsylvania
Donald Keim; University of Pennsylvania
presented by: Ian Appel, Boston College
Discussant: Maria Guadalupe, INSEAD
Opportunistic Proposals by Union Shareholders
John Matsusaka; University of Southern California
Oguzhan Ozbas; University of Southern California
Irene Yi; University of Southern California
presented by: Oguzhan Ozbas, University of Southern California
Discussant: Ashwini Agrawal, London School of Economics
Analyst Coverage Network and Corporate Financial Policies
Armando Gomes; Washington University in St. Louis
Radhakrishnan Gopalan; Washington University in St. Louis
Mark Leary; Washington University in St. Louis
Francisco Marcet; University of Chile
presented by: Mark Leary, Washington University in St. Louis
Discussant: Ambrus Kecskes, York University