AFA 2024 - San Antonio
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Sessions
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AFA PhD Student Poster Session
Arbitrageur Factors | Bailouts, Bail-ins, and Banking Industry Dynamics | Does the Disclosure of Consumer Complaints Reduce Racial Disparities in the Mortgage Lending Market | Belief Polarization, Unconscious Bias, and Financial Markets | Beta X Forecast Dispersion | The Better Angels of our Nature? | Beyond Peers: Cross-Industry Competition Communities and Strategic Financing | Learning from machines: can CEO vocal cues help to predict future firm performance? | Cash flow duration, financial constraints, and the stock market sensitivity to monetary policy | CLOs' trading of brown loans when climate change draws attention | The Collateral Value of Real Estate and Global Production Networks | Commitment in Debt Financing: The Role of Coordination Problem | Connections over Competence: The Impact of Political Ties on Sell-Side Research Quality | The Consequences of Index Investing on Managerial Incentives | Corporate ESG Profiles and Consumption | The Cost of Capital and the Innovative Efficiency of Public Firms | Market Concentration, Labor Quality, and Efficiency: Evidence from Barriers in the Real Estate Industry | COVID-19 Pandemic, Hate Crimes, and Analyst Forecast Quality | Cybersecurity Risk and Corporate Liquidity: The role of firms’ ex-ante cyber risk expectations in cash holdings | Decoding Anomalies through Alpha Dynamics | Decoding Corporate Green Bonds: What Issuers Do With the Money and Their Real Impact | Delay Your Rivals: Vertical Integration in Securitization and Lending Competition | Derivative-Market Leverage and Risk Premia Implications | Disaster risk, Real Investment, and Corporate Credit Spread | The Discordance Between “E” and “G” in ESG | Do acquirers pay less for unlisted targets? Evidence from OTC markets | Do Hedge Funds Exploit Material Nonpublic Information? Evidence from Corporate Bankruptcies | Do Local Branches Shape Bank Mortgage Lending Decisions? | Does Partisanship Affect Mutual Fund Firm-level Information Processing? Evidence from Textual Analysis on Earnings Calls | Does Short-term Non-fundamental Mispricing Affect the Economy? | Does the Market Mis-Value Non-Executive Employee Diversity? | Does Trading Volume Mitigate or Amplify Mispricing? | Earnings Announcements: Ex-ante Risk Premia | The Edge of Banks is Still Sharp: Evidence from Market Segmentation in the Conforming Loan Market | The Effect of CEO Climate Awareness On Corporate Emissions | The Effect of Regulation on Inventor Mobility and Productivity | The Effect of Social Pressure on Firm-level Attention to Climate Change Exposure | Entrepreneurs of circumstance: labour market distress and entrepreneurship | An ETF-based measure of stock price fragility | Execution quality, conflicts of interest, and brokers’ routing decisions in fragmented markets | Firm-level political risk and intellectual capital investment: Does managerial ability matter? | Flow Hedging and Mutual Fund Performance | Foreign Institutional Ownership and Corporate Carbon Emissions | Fractional homeownership and its impact on life cycle portfolio choice | Friend or Foe? Disentangling a Network of Unregulated and Non-Intermediated Informal Lending | Global Business Networks | The Green Innovation Premium | House Price Expectations and Consumer Spending | Household Wealth and Local Labor Markets: Which Asset Classes Matter? | How Dark Trading Harms Financial Markets? | How Do Corporate Liquidity and Repurchase Policies Respond to Unionization at Major Customer Firms? | How does PE Buyout Affect Firms’ Pension Plan | Inflation and the Relative Price Premium | Inflation, the Corporate Greed Narrative, and the Value of Corporate Social Responsibility | Internal Carbon Markets and Carbon Emissions | Internalizing Environmental Externalities: The Role of Geographic Common Ownership | Interpretable Characteristics-based Factors: A Machine Learning Approach | Is intangibles talk informative about future returns? Evidence from 10-K filings | Is Sustainable Finance a Dangerous Placebo? | The Joint Cross-Section of Stock and Corporate Bond Returns | Kinship Tightness and Financial Development | Limit orders and price discovery: Evidence from agricultural futures markets | Litigation Risk and Corporate ES Misconduct | Long-Term Banking Relationships and the dampening of Firm Risk Pass-Through | Long Rates, Life Insurers, and Credit Spreads | Managing Regulatory Pressure: Bank Regulation and its Impact on Corporate Bond Intermediation | The Market for Sharing Interest Rate Risk | Soothing Investors: The Impact of Manager Communication on Mutual Fund Flows | Motivated Extrapolative Beliefs | Negative Sentiment and Aggregate Retail Trading: Evidence from Mass Shootings | Neighbouring Assets | Now You See It, Now You Don’t: Financial Constraints, Minimum Wage Policies, and Employment | Outside employment opportunities and tournament incentives | Personal Experience Effects across Markets: Evidence from NFT and Cryptocurrency Investing | The Political Origin of Credit Cycle | The Power of Reserve Tiering: Financial Institution Heterogeneity and Monetary Policy Pass-through | A Preferred-Habitat Model with a Corporate Sector | Private Activity Bonds as Investment Subsidy: Evidence from the 1986 Cap on Bond Volumes | Property Rights, Labor Supply, and Firm Capital Structure | The Real Effects of Green Bonds | The recovery advantage in commercial real estate lending by banks | Reference Price Updating in the Housing Market | Regulatory Model Secrecy and Bank Reporting Discretion | Reinvesting Dividends | Some Bonuses are Bigger than Others? Benchmark-beating Pressure and The Gender Pay Gap | Spatial Extrapolation in The Housing Market | Spouses in The Same Boat: Labor Income Risk and Intra-household Risk Sharing | Startup Catering to Venture Capitalists | Strategic Bargaining and Portfolio Choice in Intermediated Markets | Talk or Walk the Talk? The Real Impact of ESG Investing | Textual Changes in 10-Ks and Stock Price Crash Risk: Evidence from Neural Network Embeddings | To the Moon or Bust: Do Retail Investors Profit From Social Media-Induced Trading?
Asset Pricing: Derivatives
Derivative Spreads: Evidence from SPX Options | Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors | The Risk and Return of Equity and Credit Index Options | Exploring the Variance Risk Premium Across Assets
Asset Pricing: Market Mispricing and Limits to Arbitrage
Decomposing Deviations from Covered-Interest Parity | Non-Fundamental Flows and Foreign Exchange Rates | Why is Asset Demand Inelastic?
Corporate Finance: Compensation and Agency
Firms with Benefits? Nonwage Compensation and Implications for Firms and Labor Markets | Competition and Executive Compensation: Evidence from Pharmaceutical Breakthrough Designations | Process Intangibles and Agency Frictions | ESG-linked Pay Around the World —Trends, Determinants, and Outcomes
Financial Intermediation: Bank Funding and Risk Management
Local Recessions: Evidence from Bank Liquidity Squeezes | Intermediary Market Power and Capital Constraints | Similar Investors
Household Finance
Salient Attributes and Household Demand for Security Designs | Mortgage Lock-In, Mobility, and Labor Reallocation | Choosing Pension Fund Investment Consultants
Special Topics: Digital Currencies
The Digital Economy, Privacy, and CBDC | The Demand for Programmable Payments | CBDC and Banks: Threat or Opportunity?
Sustainability and Finance
Carbon Emissions and Shareholder Value: Causal Evidence from the U.S. Power Utilities | Are All ESG Funds Created Equal? Only Some Funds Are Committed | Green Mandates in Two Sided Markets
Asset Pricing: Behavioral
Investor Memory and Biased Beliefs: Evidence from the Field | The Cryptocurrency Participation Puzzle | Consumption out of Fictitious Capital Gains and Selective Inattention | The Cross-section of Subjective Expectations: Understanding Prices and Anomalies
Asset Pricing: ETFs
Portfolio Trading in Corporate Bond Markets | Limits to Diversification: Passive Investing and Market Risk | Passive Investors in Primary Bond Markets | Passive Investing and the Rise of Mega-Firms
Financial Intermediation: General
Is Asset Demand Elasticity Set at the Household or Intermediary Level? | Fragility in Bond Mutual Funds: The Role of Investor Base | Arbitraging Covered Interest Rate Parity Deviations and Bank Lending | “ Glossy Green ” Banks: The Disconnect Between Environmental Disclosures and Lending Activities
Homophily and Finance
Group Identity and Agency Frictions: Evidence Using Big Data | Similarity Breeds Trust: Political Homophily and CEO-Board Communication | Decomposing Partisan Bias: Evidence from Entrepreneur-Politicians
Macro Finance
Who Bears the Cost of Aggregate Fluctuations and Why? | Monetary Policy and Financial Stability | Long-Term Bond Supply, Term Premium, and the Duration of Corporate Investment | Asset Pricing with Optimal Under-Diversification
Market Frictions and Market Power
The Retail Execution Quality Landscape | Competing for Dark Trades | Market Power in the Securities Lending Market | When A Market Is Not Legally Defined As A Market: Evidence From Two Types of Dark Trading
Risk Management
Limited Hedging and Gambling for Resurrection by U.S. Banks During the 2022 Monetary Tightening? | Banking on Uninsured Deposits | Hedging, Contract Enforceability and Competition | What's Wrong with Annuity Markets?
Taxes, Regulation, and Politics
Connections over Competence: The Impact of Political Ties on Sell-Side Research Quality | Closing the Revolving Door | Corporate Taxes and Retail Prices | Regulatory Policy Enforcement and Corporate Performance
Asset Pricing: Preferences and Expectations
Production-based Stochastic Discount Factors | Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems | Identifying Preference for Early Resolution from Asset Prices | Are Subjective Expectations Formed as in Rational Expectations Models of Active Management?
Corporate Finance: Corporate Disclosure
Moral Hazard and the Corporate Information Environment | The Impact of Securities Regulation on New Keynesian Firms | Competition Management in Corporate Filings
Corporate Finance: Innovation and Adaptation
Great Recession Babies: How Are Startups Shaped by Macro Conditions at Birth? | Human Capital Reallocation and Agglomeration of Innovation: Evidence from Technological Breakthroughs | Labor Mobility, Human Capital Investment, and Technological Change | Excess Commitment in R&D
Corporate Finance: Labor Finance
What Drives Finance Professors' Wages? | Pay, Productivity and Management | Too Many Managers: The Strategic Use of Titles to Avoid Overtime Payments | How Do Health Insurance Costs Affect Firm Labor Composition and Technology Investment?
Finance and Climate Transition
Incentives to Decarbonize and Innovate: The Role of Net Zero Commitments | Does Climate Change Adaptation Matter? Evidence from the City on the Water | Decarbonizing Institutional Investor Portfolios: Helping to Green the Planet or Just Greening Your Portfolio? | Financing the Adoption of Clean Technology
FinTech and the Industrial Organization of the Financial Sector
Customer Data Access and Fintech Entry: Early Evidence from Open Banking | Market Concentration in Fintech | Borrowing from a Bigtech Platform | Cashless Payment and Financial Inclusion
Information in Credit Markets
Relationship Banking and Credit Scores: Evidence from a Natural Experiment | Data and Welfare in Credit Markets | FinTech Lending with LowTech Pricing
Asset Pricing: ESG and Sustainable Finance
Understanding the Global Equity Greenium | Unpacking the Demand for Sustainable Equity Investing | Future of Emissions | Do Investors Care About Biodiversity?
Asset Pricing: Safe Asset and Government Debt
When do Treasuries Earn the Convenience Yield? --- A Hedging Perspective | Central Bank’s Balance Sheet and Treasury Markets Disruptions | The Imperfect Intermediation of Money-Like Assets | The Zero-Beta Rate
Corporate Finance: New Valuation Factors
Tracing Out International Data Flow: the Value of Data and Privacy | How Financial Markets Create Superstars | Politicization of the Supreme Court and Firm Value: Evidence from Ruth Bader Ginsburg’s Death
Corporate Finance: Contracts and Incentives
When Is (Performance-Sensitive) Debt Optimal? | Household Debt Overhang and Human Capital Investment | Monitoring with Small Stakes: Evidence from Leveraged Loans
Financial Intermediation: Bank Competition
Instant Payment Systems and Competition for Deposits | Will Central Bank Digital Currency Disintermediate Banks? | Nonbank Market Power in Leveraged Lending | The Rise of Nonbanks and the Quality of Financial Services: Evidence from Consumer Complaints
Financial Intermediation: Banking - General
Bank Private Information in CDS Markets | Why Does the Yield Curve Predict GDP Growth? The Role of Banks | The Network Structure of Money Multiplier | Leverage Regulations and Treasury Market Participation: Evidence from Credit Line Drawdowns
Predictability in a Characteristic-Rich World
Timing the Factor Zoo | Anomaly Predictability with the Mean-Variance Portfolio | Sources of Return Predictability | The Performance of Characteristic-Sorted Portfolios: Evaluating the Past and Predicting the Future
Special Topics: Finance, Development, and Growth
The Real Costs of Washing Away Corruption: Evidence from Brazil’s Lava Jato Investigation | Unleashing Mass Entrepreneurship: Firm-Level Evidence on the Impact of China’s Registered Capital Reform | Can Cashless Payments Spur Economic Growth | Financial Remittances and Gender Inequality
Asset Pricing: Household Finance
A Simple Mapping from MPCs to MPXs | Hedging Permanent Income Shocks | House Price Expectations and Consumer Spending. | Individual Investors’ Housing Income and Interest Rates Fluctuations
Corporate Finance: Capital Structure and Payout Policy
Modeling Managers As EPS Maximizers | Managing Recession Risk | Debt Maturity and Commitment
Corporate Finance: Mergers and Acquisitions
The Incentives of SPAC Sponsors | Negotiation, auction, or negotiauction?! Evidence from the field | Specialized Investments and Firms’ Boundaries: Evidence from Textual Analysis of Patents | Identifying the Real Effects of the M&A Market on Target Firms
Financial Intermediation: Monetary Policy Transmission
Heterogeneous Intermediaries and Bond Characteristics in the Transmission of Monetary Policy | Stop Believing in Reserves | Lending by Servicing: Monetary Policy Transmission through Shadow Banks
Is Sustainable Investing Sustainable?
Sustainability or Greenwashing: Evidence from the Asset Market for Industrial Pollution | Why Do Investors Pay Higher Fees for Sustainable Investments? An Experiment in Five European Countries | The CO2 Question: Technical Progress and the Climate Crisis | Four Facts about ESG Beliefs and Investor Portfolios
Mutual Fund Flows
Quality and Product Differentiation: Theory and Evidence from the Mutual Fund Industry | Institutional Synergies and the Fragility of Loan Funds | “Buy the Rumor, Sell the News”: Liquidity Provision by Bond Funds Following Corporate News Events | Stock Demand and Price Impact of 401(k) Plans
Origins of Risk Factors and Anomalies
Anomalies Never Disappeared: The Case of Stubborn Retail Trading | Wisdom of the Institutional Crowd: Implications for Anomaly Returns | Fundamental Anomalies | Peer-Reviewed Theory does not help Predict the Cross-Section of Stock Returns
Asset Pricing: Machine Learning
Asset-Pricing Factors with Economic Targets | Forecasting and Managing Correlation Risks | Machine Learning and the Implementable Efficient Frontier | Maximizing the Sharpe Ratio: A Genetic Programming Approach
Asset Pricing: Portfolio Choice and Asset Allocation
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice and Asset Pricing | Asset Demand of U.S. Households | Financial Windfalls, Portfolio Allocations, and Risk Preferences | Illiquidity and Inequality
Corporate Finance: Bankruptcy and Distress
The Cost of Intermediary Market Power for Distressed Borrowers | Resolving Financial Distress Where Property Rights are not Clearly Defined: The Case of China | After the Storm: Direct and Spillover Benefits from Disaster Loans to Small Businesses
Corporate Finance: Behavioral
A Theory of Fair CEO Pay | Does Greater Public Scrutiny Hurt a Firm’s Performance? | The Real Effects of Sentiment and Uncertainty | The Impact of Beliefs on Credit Markets: Evidence from Rating Agencies
Financial Intermediation and Crises
Going for Broke: Underwriter Reputation and the Performance of Mortgage-Backed Securities | Nonbank Fragility in Credit Markets: Evidence from a Two-Layer Asset Demand System | Monetary Tightening and U.S. Bank Fragility in 2023: Mark-to-Market Losses and Uninsured Depositor Runs?
Raising Funds for Private Firms
Irreplaceable Venture Capitalists | Private Equity and Debt Contract Enforcement: Evidence from Covenant Violations | A Model of Informed Intermediation in the Market for Going Public
Special Topics: Finance and Race
Explaining Racial Disparities in Personal Bankruptcy Outcomes | Racial Integration and Active Investing | Who Do You Vote For? Same-Race Voting Preferences in Director Elections | Racial Segmentation in the US Housing Market
Asset Pricing: Belief Formation and Market Efficiency
Which Expectation? | Extrapolating Long-Term Cash Flow Expectations from Returns | The Subjective Risk and Risk Premia of Institutional Investors | Conservative Holdings, Aggressive Trades: Ambiguity, Learning, and Equilibrium Flows
Asset Pricing: International Finance
Dollar Asset Holding and Hedging Around the Globe | Can Time Varying Currency Risk Hedging Explain Exchange Rates? | Understanding the Strength of the Dollar | What do Financial Markets say About the Exchange Rate?
Asset Pricing: Volatility, Tail Risk
Realized Illiquidity | Tail Risk and Asset Prices in the Short-Term | The "Hairy" Premium
Corporate Bond Markets
Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds | Do Insurers Listen to Earnings Conference Calls? Evidence from the Corporate Bond Market | Corporate Bond Elasticities: Substitutes Matter
ESG, Regulation, and Markets
Sustainable Finance Under Regulation | Why Divest? The Political and Informational Roles of Institutions in Asset Stranding | Reducing Carbon Using Regulatory and Financial Market Tools
Financial Regulation
Regulatory Leakage Among Financial Advisors: Evidence From FINRA Regulation of "Bad" Brokers | Measuring Regulatory Complexity | Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies
Investment with Changing and Uncertain Incentives
Investment when New Capital is Hard to Find | Business Expectations and Uncertainty in Developing and Emerging Economies | What Gets Measured Gets Managed: Investment and the Cost of Capital | Strategic Investment under Uncertainty with First- and Second-mover Advantages
Asset Pricing: Credit Risk
Interdealer Price Dispersion | The Financial Premium | Voter-induced Municipal Credit Risk
Asset Pricing: Cross-section of Returns (Conditional)
Complexity in Factor Pricing Models | The Factor Multiverse: The Role of Interest Rates in Factor Return Measurement and Discovery | Dissecting Anomalies in Conditional Asset Pricing | Equity Factors and Firms' Perceived Cost of Capital
Corporate Finance: CEOs
CEO Relative Age and Corporate Risk-Taking | Do CEOs Benefit from Employee Pay Raises? Evidence from a Federal Minimum Wage Law | Is ESG a Managerial Style?
Housing Finance
The Opioid Epidemic and Consumer Finance: Quo Vadis? | Mortgages, Monetary Policy, and the Great Inflation of 2021–? | The Cross-Section of Housing Returns | Housing Wealth and Overpayment: When Money Moves In
Industrial Organization and Finance
Bank Competition Amid Digital Disruption: Implications for Financial Inclusion | Financial Shocks, Productivity, and Prices | A Tale of Two Networks: Common Ownership and Product Market Rivalry | The Role of Intermediaries in Selection Markets: Evidence from Mortgage Lending
Mutual Funds and Hedge Funds
Revealed Beliefs about Responsible Investing: Evidence from Mutual Fund Managers | Race, Discrimination, and Hedge Funds | The Unintended Consequences of Investing for the Long Run: Evidence from Target Date Funds | Why Have Actively Managed Bond Funds Remained Popular?
Regulation, Private Equity, and Entrepreneurship
Limited Partners versus Unlimited Machines | Keeping Up with the Blackstones: Institutional Investors and Gentrification | Return-based Crowdfunding and Entrepreneurship | Secondary Stock Exchanges and Growth of High-Tech Entrepreneurs
Special Topics: Finance and Gender
Diversity, Equity, and Inclusion | Gender, Competition, and Performance: International Evidence | The Importance of Signaling for Women's Careers | Inventor Gender and Patent Undercitation: Evidence from Causal Text Estimation
Special Topics: Social Influence and Networks
Social Connections and Bank Deposit Funding | Tweeting in the Dark: Corporate Communication and Information Diffusion | The Role of Employees as Information Intermediaries: Evidence from Their Professional Connections | Information Processing: The Role of Expertise within Peer Effects
Asset Pricing: Cryptoassets
The End of the Crypto-Diversification Myth | The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume | Trust in DeFi: An Empirical Study of the Decentralized Exchange | Price Discovery on Decentralized Exchanges
Asset Pricing: Inflation and Monetary Policy
Beyond the Yield Curve: Understanding the Effects of FOMC Announcements on Financial Markets | Stagflationary Stock Returns and the Role of Market Power | Let the Market Speak: Using Interest Rates to Identify the Fed Information Effect
Asset Pricing: Market Risk Factors
Idiosyncratic Financial Risk and a Reevaluation of the Market Risk-Return Tradeoff | Volatility and the Pricing Kernel | Asset Pricing with Daily Shopper Spending | What Drives Anomaly Decay?
Corporate Finance: Corporate Governance (Shareholder Monitoring/Voting)
Voting Choice | Propagation of Climate Disasters through Ownership Networks and its Impact on Corporate ESG Policies | The Changing Landscape of Corporate Governance Disclosure: Impact on Shareholder Voting
Financial Intermediation: Bank Lending
The Secular Decline in Interest Rates and the Rise of Shadow Banks | Trade Shocks Through Banking Lending Channel | Climate, Amenities and Banking: El Nino in the US
Financing Cycles and Financial Flexibility
Financing Cycles | Cash Holding, Rollover Risk and M&A | Balance Sheet Financial Flexibility | Supply Network Fragility, Inventory Investment, and Corporate Liquidity
Trading in Financial Markets
Profiting from Investor Mistakes: Evidence from Suboptimal Option Exercise | Sequential Search for Corporate Bonds | Disclosing and Cooling-Off: An Analysis of Insider Trading Rules | C.H.I.L.E.
Events
Panel Session and Reception for students on the AFA Poster Session
INVITATION ONLY: This panel is for students who have a poster in the AFA PhD Student Poster Session.
AFA Panel - Climate Risks
CHAIR: Monika Piazzesi (Stanford University) PANELISTS: Harrison Hong (Columbia University); Luke Taylor (University of Pennsylvania); Frances C. Moore (University of California-Davis); Diego Kaenzig (Northwestern University)
AFA Panel - The Functioning of the Economy with High Interest Rates
CHAIR: Nikolai Roussanov (University of Pennsylvania) PANELISTS: Emi Nakamura (University of California-Berkeley); Janice Eberly (Northwestern University); Samuel Hanson (Harvard University); Simon Gilchrist (New York University)
AFA Panel - AI and the Future of Finance
CHAIR: Steven Kaplan (University of Chicago) PANELISTS: Andrea Eisfeldt (University of California-Los Angeles); Tania Babina (Columbia University); Tobias Moskowitz (Yale University); Dimitris Papanikolaou (Northwestern University)