Exchange Rate Returns and Currency Risk Premia

Chair: Wolfgang Bessler, Justus-Liebig-University Giessen

1. Countercyclical Currency Risk Premia

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   Hanno Lustig, Nick Roussanov and Adrien Verdelhan, UCLA Anderson School of Management, Wharton School, University of Pennsylvania and MIT Sloan School of Management

   Discussant: Frans De Roon, CentER, Tilburg University

2. Speculative Profits or Hedging Benefits? Currency Investing in Global Portfolios

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   Frans De Roon, Esther Eiling, Bruno Gerard and Pierre Hillion, CentER, Tilburg University, University of Toronto, BI Norwegian School of Management and INSEAD

   Discussant: Ian Cooper, London Business School

3. The Exchange Rate Effect of Multi-Currency Risk Arbitrage

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   Harald Hau, INSEAD

   Discussant: Esther Eiling, University of Toronto

Financial Institutions and Credit Markets

Chair: Stephen Figlewski, Stern School of Business, New York University

1. The Impact of Government Interventions on CDS and Equity Markets

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   Frederic Schweikhard and Zoe Tsesmelidakis, Goethe University Frankfurt

   Discussant: Marti G. Subrahmanyam, Stern School of Business, New York University

2. Banking and Sovereign Risk in the Euro Area

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   Stefan Gerlach, Alexander Schulz and Guntram Wolff, Goethe University Frankfurt and Deutsche Bundesbank

   Discussant: Günseli Tümer-Alkan, VU University Amsterdam

3. The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008

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   Alberto Manconi, Massimo Massa and Ayako Yasuda, INSEAD and UC Davis

   Discussant: Stefan Gerlach, Goethe University Frankfurt

The Cross Section of Stock Returns (I)

Chair: Michael Hertzel, Arizona State University

1. A Long-Horizon Perspective on the Cross-Section of Expected Returns

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   Rene Garcia and Abraham Lioui, EDHEC Business School

   Discussant: Oliver Boguth, University of British Columbia

2. Do the Value and Size Premiums Really Proxy for Time-Varying Investment Opportunities?

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   Abraham Lioui and Patrice Poncet, EDHEC Business School and ESSEC Business School

   Discussant: Alexander Kempf, University of Cologne

3. Government Spending, Political Cycles and the Cross Section of Stock Returns

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   Frederico Belo, Vito Gala and Jun Li, University of Minnesota and London Business School

   Discussant: Elias Henrikki Rantapuska, Aalto University School of Economics

Heterogeneity

Chair: Holger Kraft, Goethe University Frankfurt

1. Financial Markets Equilibrium with Heterogeneous Agents

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   Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp, California Institute of Technology, École Polytechnique Fédérale de Lausanne and Université Paris-Dauphine

   Discussant: Siegfried Trautmann, Johannes-Gutenberg-University of Mainz

2. Skewness in Stock Returns: Reconciling the Evidence on Firm versus Aggregate Returns

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   Rui Albuquerque, Boston University

   Discussant: Grigory Vilkov, Goethe University Frankfurt

3. Asset Prices with Heterogeneity in Preferences and Beliefs

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   Harjoat Bhamra and Raman Uppal, University of British Columbia and London Business School

   Discussant: Yingzi Zhu, Tsinghua University, Beijing

Executive Turnover

Chair: Ernst Maug, University of Mannheim

1. Is a CEO Turnover Good or Bad News?

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   Axel Kind and Yves Schläpfer, University of Basel

   Discussant: Ebru Reis, Bentley University

2. Incentives in Managerial Pay and Voluntary Turnover

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   Jayant Kale, Ebru Reis and Anand Venkateswaran, Georgia State University, Bentley University and Northeastern University

   Discussant: Yves Schläpfer, University of Basel

3. What Death Can Tell: Are Executives Paid for Their Contribution to Firm Value?

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   Bang Dang Nguyen and Kasper Meisner Nielsen, Chinese University of Hong Kong and Hong Kong University of Science and Technology

   Discussant: Mieszko Mazur, CentER, Tilburg University

New Facts and Models of S&P 500 Index and Options

Chair: Wolfgang Bühler, University of New South Wales

1. Option Anomalies and the Pricing Kernel

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   Peter Christoffersen, Steven Heston and Kris Jacobs, McGill University and University of Maryland

   Discussant: Nicole Branger, University of Muenster

2. Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics

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   Katja Ignatieva, Paulo Rodrigues and Norman Seeger, Goethe University Frankfurt and University of St.Gallen

   Discussant: Michael Johannes, Columbia Business School

3. Understanding the Skew in Index Option Prices

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   Roman Kozhan, Anthony Neuberger and Paul Schneider, Warwick Business School

   Discussant: Christian Schlag, Goethe University Frankfurt

Governance and Politics

Chair: Milton Harris, Chicago Booth School of Business

1. Ownership and the Value of Political Connections

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   Oliver Rui, Chongfeng Wu and Wenfeng Wu, Chinese University of Hong Kong and Shanghai Jiao Tong University

   Discussant: Mario Daniele Amore, Copenhagen Business School

2. Political Reforms and the Causal Impact of Blood - Related Politicians on Corporate Performance in the World's Least Corrupt Society

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   Mario Daniele Amore and Morten Bennedsen, Copenhagen Business School and INSEAD

   Discussant: Oliver Rui, Chinese University of Hong Kong

3. The Effect of Corporate Governance Regulation on Transparency: Evidence from the Sarbanes-Oxley Act of 2002

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   Stefan Arping and Zacharias Sautner, Amsterdam Business School

   Discussant: Dalida Kadyrzhanova, University of Maryland

Active Asset Management (I)

Chair: Jerome Detemple, Boston University

1. On the Size of the Active Management Industry

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   Lubos Pastor and Robert Stambaugh, Chicago Booth School of Business, Wharton School and University of Pennsylvania

   Discussant: Min S. Kim, University of Southern California

2. Changes in Mutual Fund Flows and Managerial Incentives

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   Min S. Kim, University of Southern California

   Discussant: Aneel Keswani, Cass Business School

3. The Flow-Performance Relationship Around the World

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   Miguel Ferreira, Aneel Keswani, Antonio Miguel, Lubos Pastor and Sofia Ramos, Universidade Nova de Lisboa, Cass Business School, ISCTE Lisbon and Chicago Booth School of Business

   Discussant: Philipp Gerlach, Goethe University Frankfurt

Liquidity and the Crisis

Chair: Ingrid Werner, Ohio State University

1. International Liquidity Provision and Currency-Specific Liquidity Shortages

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   William Allen and Richhild Moessner, Cass Business School and Bank for International Settlements

   Discussant: Giovanni Favara, HEC University of Lausanne

2. Money and Liquidity in Financial Markets

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   Kjell Nyborg and Per Östberg, University of Zurich and Norwegian School of Economics and Business Administration

   Discussant: Wolfgang Lemke, European Central Bank

3. Credit Supply and the Price of Housing

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   Giovanni Favara and Jean Imbs, HEC University of Lausanne

   Discussant: Richhild Moessner, Bank for International Settlements

Governance in Financial Instititutions

Chair: Ingolf Dittmann, Erasmus School of Economics

1. The Impact of Changes in Bank Ownership Structure on the Allocation of Capital: International Evidence

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   Alvaro G. Taboada, University of Tennessee

   Discussant: Mariassunta Giannetti, Stockholm School of Economics

2. Authority and Information

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   Sumit Agarwal and Robert Hauswald, Federal Reserve Bank of Chicago and American University

   Discussant: Rainer Haselmann, University of Bonn

3. Real Effects of Bank Governance: Bank Ownership and Corporate Innovation

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   Rainer Haselmann and Beatrice Weder di Mauro, University of Bonn and Johannes-Gutenberg-University of Mainz

   Discussant: Jens Grunert, University of Tübingen

Real Estate and Asset Prices

Chair: Marliese Uhrig-Homburg, Karlsruhe Institute of Technology

1. Real Estate Prices During the Great Depression

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   Tom Nicholas and Anna Scherbina, Harvard Business School and UC Davis

   Discussant: Genaro Sucarrat, Universidad Carlos III de Madrid

2. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

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   Jack Favilukis, Sydney Ludvigson and Stijn Van Nieuwerburgh, London School of Economics, New York University, Stern School of Business and New York University

   Discussant: Bruno Gerard, BI Norwegian School of Management

3. Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008

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   Justin Birru and Stephen Figlewski, Stern School of Business and New York University

   Discussant: Alberto Rossi, UC San Diego

Short-Term Financing

Chair: Ulrich Hege, HEC Paris

1. Trade Credit, Relationship-Specific Investment, and Market Power

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   Nishant Dass, Jayant Kale and Vikram Nanda, Georgia State University and Georgia Institute of Technology

   Discussant: Antje Brunner, Humboldt University Berlin

2. The Information Content of Trade Credit

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   Nihat Aktas, Eric de Bodt, Frederic Lobez and Jean-Christophe Statnik, Auburn University and Universite Lille Nord de France

   Discussant: Jayant Kale, Georgia State University

3. The Dynamics of Cash

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   Amy K Dittmar and Ran Duchin, University of Michigan

   Discussant: Breno Schmidt, Emory University

Managerial Incentives and Insider Trading

Chair: Rui Albuquerque, Boston University

1. Executive Stock Options and Manipulated Stock-Price Performance: Evidence from Retiring CEOs

   PDF

   Liu Zheng and Xianming Zhou, University of Hong Kong

   Discussant: Vijay Yerramilli, Kelley School of Business

2. Internal Capital Markets, Non-Cash Divestitures and Managerial Incentives

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   Mieszko Mazur, CentER and Tilburg University

   Discussant: Markus Glaser, University of Konstanz

3. Strategic Trading and Trade Reporting

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   Andre Betzer, Jasmin Gider, Daniel Metzger and Erik Theissen, University of Bonn, London School of Economics and University of Mannheim

   Discussant: Mieszko Mazur, CentER, Tilburg University

Fixed-Income and Commodity Options

Chair: Robert L. McDonald, Kellogg School of Management

1. Understanding the Term Structure of Yield Curve Volatility

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   Anna Cieslak and Pavol Povala, University of Lugano

   Discussant: Raphael Paschke, Munich Re

2. Seasonality and the Valuation of Commodity Options

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   Janis Back, Marcel Prokopczuk and Markus Rudolf, WHU - Otto Beisheim School of Management and University of Reading

   Discussant: Olesya V. Grishchenko, Penn State University

3. The Information Content of the Embedded Deflation Option in TIPS

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   Olesya V. Grishchenko, Joel Vanden and Jianing Zhang, Penn State University

   Discussant: Oreste Tristani, European Central Bank

Ownership Structures

Chair: Francesca Cornelli, London Business School

1. Long Term Changes in Voting Power and Control Structure following the Unification of Dual Class Shares

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   Beni Lauterbach and Yishay Yaffe, Bar Ilan University and Hebrew University of Jerusalem

   Discussant: Gilles Hilary, HEC Paris

2. The Economic Performance of Ownerless Firms

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   Øyvind Bøhren and Morten Josefsen, BI Norwegian School of Management

   Discussant: Beni Lauterbach, Bar Ilan University

3. Insider Trading and Family Firms

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   Lilian H. Chan, Tai-Yuan Chen and Gilles Hilary, University of Hong Kong, Hong Kong University of Science and Technology and HEC Paris

   Discussant: Emilia Garcia Appendini, Università Bocconi

Active Asset Management (II)

Chair: George Skiadopoulos, University of Piraeus

1. Finding Bernie Madoff: Detecting Fraud by Investment Managers

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   Stephen G. Dimmock and William C. Gerken, Michigan State University and Auburn University

   Discussant: Melvyn Teo, Singapore Management University

2. The Liquidity Risk of Liquid Hedge Funds

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   Melvyn Teo, Singapore Management University

   Discussant: Mikhail Simutin, University of British Columbia

3. Excess Cash and Mutual Fund Performance

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   Mikhail Simutin, University of British Columbia

   Discussant: Stephen G. Dimmock, Michigan State University

Sources of Systemic Risk

Chair: Michael Brandt, Duke University

1. The Euro Area Interbank Market and the Liquidity Management of the Eurosystem in the Financial Crisis

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   Achim Hauck and Ulrike Neyer, Heinrich-Heine University Düsseldorf

   Discussant: Kjell Nyborg, University of Zurich

2. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

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   Monica Billio, Milla Getmansky, Andrew W. Lo and Loriana Pelizzon, University of Venice, University of Massachusetts and MIT Sloan School of Management

   Discussant: Bernd Schwaab, European Central Bank

3. Hedge Fund Systemic Risk Contribution, Capital Structure and Performance

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   Juha Joenväärä, University of Oulu

   Discussant: Alfred Lehar, University of Calgary

Bank Risk Taking

Chair: Steven Ongena, CentER, Tilburg University

1. Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies

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   Andrew Ellul and Vijay Yerramilli, Kelley School of Business

   Discussant: Reint Gropp, European Business School

2. Dividends and Risk in European Banks

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   Enrico Onali, Bangor Business School

   Discussant: André Güttler, European Business School

3. The Impact of Public Guarantees on Bank Risk Taking: Evidence From a Natural Experiment

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   Reint Gropp, Christian Gründl and André Güttler, European Business School

   Discussant: Hans Peter Burghof, University of Hohenheim

The Cross Section of Stock Returns (II)

Chair: Christian Laux, Vienna University of Economics and Business

1. Ranking Stocks and Returns: A Non-Parametric Analysis of Asset Pricing Anomalies

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   Denys Maslov and Oleg Rytchkov, University of Texas at Austin and Temple University

   Discussant: Jules van Binsbergen, Stanford Graduate School of Business

2. On the Timing and Pricing of Cash Flows

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   Michael Brandt, Ralph Koijen and Jules van Binsbergen, Duke University, Chicago Booth School of Business and Stanford Graduate School of Business

   Discussant: Zhiyi Qian, Arizona State University

3. Future Labor Income Growth and the Cross-Section of Equity Returns

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   Dongcheol Kim, Tong Suk Kim and Byoung Kyu Min, Korea University, Korea Advanced Institute of Science and Technology and Ohio State University

   Discussant: Oleg Rytchkov, Temple University

Seasoned Equity Offerings

Chair: S. Abraham Ravid, Rutgers Business School

1. Convertibles and Hedge Funds as Distributors of Equity Exposure

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   Stephen Brown, Bruce Grundy, Craig Lewis and Patrick Verwijmeren, Stern School of Business, New York University, Vanderbilt University and University of Melbourne

   Discussant: Sigitas Karpavicius, University of New South Wales

2. Information Asymmetry and SEO Method Choice: The Impact of Institutional Ownership, Analyst Coverage, and Earnings Management

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   Sigitas Karpavicius and Jo-Ann Suchard, University of New South Wales

   Discussant: Laure Matsoukis, Université Paris-Dauphine

3. Financial Intermediation and the Rights Offer Paradox

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   Laure Matsoukis, Université Paris-Dauphine

   Discussant: Patrick Verwijmeren, University of Melbourne

Investor Proximity

Chair: Jayant Kale, Georgia State University

1. Distance Matters! Shareholder Proximity and Corporate Policies

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   Vidhi Chhaochharia, Alok Kumar and Alexandra Niessen, University of Miami, University of Texas at Austin and University of Mannheim

   Discussant: Rüdiger Fahlenbrach, École Polytechnique Fédérale de Lausanne

2. Overcoming Distances via Syndication with Local Friends: The Case of Venture Capital

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   Andrea Schertler and Tereza Tykvova, University of Kiel and Centre for European Economic Research

   Discussant: Alexandra Niessen, University of Mannheim

3. Do Cultural Differences Between Contracting Parties Matter? Evidence from Syndicated Bank Loans

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   Mariassunta Giannetti and Yishay Yafeh, Stockholm School of Economics and Hebrew University of Jerusalem

   Discussant: Tereza Tykvova, Centre for European Economic Research

Debt Problems

Chair: Grigory Vilkov, Goethe University Frankfurt

1. Credit Default Swaps and the Empty Creditor Problem

   PDF

   Patrick Bolton and Martin Oehmke, Columbia Business School

   Discussant: Samuel Lee, Stern School of Business, New York University

2. The Hazards of Debt: Dynamic Debt Runs, Agency, and Bailouts

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   Ing-Haw Cheng and Konstantin Milbradt, University of Michigan and MIT Sloan School of Management

   Discussant: Marcus Matthias Opp, Haas School of Business, Berkeley

3. Rating Agencies in the Face of Regulation - Rating Inflation and Regulatory Arbitrage

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   Christian Carsten Opp, Marcus Matthias Opp and Milton Harris, Chicago Booth School of Business, Haas School of Business and Berkeley

   Discussant: Martin Oehmke, Columbia Business School

Short-Sales

Chair: Pradeep Yadav, University of Oklahoma

1. Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

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   Alessandro Beber and Marco Pagano, Amsterdam Business School and University of Naples Federico II

   Discussant: Matthew Clifton, University of Technology, Sydney

2. Short Selling: Information or Manipulation?

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   Carole Comerton-Forde and Talis Janis Putnins, University of Sydney and Stockholm School of Economics in Riga

   Discussant: Erik Theissen, University of Mannheim

3. The Impact of Short Selling Restrictions and Extreme Uncertainty on Liquidity and Order Flow: Evidence from the London Stock Exchange

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   Matthew Clifton and David Michayluk, University of Technology and Sydney

   Discussant: Mark Van Achter, University of Mannheim

Portfolio Performance

Chair: Lubos Pastor, Chicago Booth School of Business

1. State-Dependent Dependencies: A Continuous-Time Dynamics for Correlations

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   Christoph Becker and Wolfgang Schmidt, Frankfurt School of Finance & Management

   Discussant: Linda Sandris Larsen, University of Southern Denmark

2. How Important is Foreign Ownership for International Stock Co-Movement?

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   Soehnke M. Bartram, John M. Griffin and David Ng, Lancaster University, University of Texas at Austin, Wharton School and University of Pennsylvania

   Discussant: Christoph Becker, Frankfurt School of Finance & Management

3. Asset Allocation with Option-Implied Distributions: A Forward-Looking Approach

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   Alexandros Kostakis, Nikolaos Panigirtzoglou and George Skiadopoulos, University of Glasgow, Queen Mary University of London and University of Piraeus

   Discussant: Steffen Meyer, Goethe University Frankfurt

Large Shareholders

Chair: Chitru Fernando, University of Oklahoma

1. Uninvited U.S. Investors? Economic Consequences of Involuntary Cross-listings

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   Peter Iliev, Darius Miller and Lukas Roth, Penn State University, Southern Methodist University and Alberta School of Business

   Discussant: Jens K. Martin, Amsterdam Business School

2. Institutional Investors and Corporate Investment

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   Cristina Cella, Kelley School of Business

   Discussant: Nihat Aktas, Auburn University

3. The Impact of Foreign Government Investments: Sovereign Wealth Fund Investments in the U.S.

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   Elvira Sojli and Wing Wah Tham, Rotterdam School of Management, Erasmus University and Erasmus School of Economics

   Discussant: Jörg Rocholl, European School of Management and Technology

4. Competition in Shareholders Protection and Portfolio Diversification

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   Bruno Parigi, Loriana Pelizzon and Ernst Ludwig Von Thadden, University of Padua, University of Venice and University of Mannheim

   Discussant: Cristina Cella, Kelley School of Business

Bank Resolution

Chair: Jan Pieter Krahnen, Goethe University Frankfurt

Broader Risks and Portfolio Choice

Chair: Kristian Miltersen, Copenhagen Business School

1. Investment, Income, and Incompleteness

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   Björn Bick, Holger Kraft and Claus Munk, Goethe University Frankfurt and Aarhus University

   Discussant: Jaksa Cvitanic, California Institute of Technology

2. A Long-Run Risks Model with Long- and Short-Run Volatilities: Explaining Predictability and Volatility Risk Premium

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   Guofu Zhou and Yingzi Zhu, Washington University St Louis, Tsinghua University and Beijing

   Discussant: Dana Kiku, Wharton School, University of Pennsylvania

3. Credit Risk and Real Investment Dynamics

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   Lars-Alexander Kuehn and Lukas Schmid, Carnegie Mellon University and Duke University

   Discussant: Holger Kraft, Goethe University Frankfurt

4. Growth to Value: Option Exercise and the Cross Section of Equity Returns

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   Hengjie Ai and Dana Kiku, Duke University, Wharton School and University of Pennsylvania

   Discussant: Claus Munk, Aarhus University

Liquidity Risk

Chair: Rene Garcia, EDHEC Business School

1. Private Equity Performance and Liquidity Risk

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   Francesco Franzoni, Eric Nowak and Ludovic Phalippou, University of Lugano and Amsterdam Business School

   Discussant: Wolfgang Bühler, University of New South Wales

2. The Term Structure of Liquidity Premia in the U.S. Treasury Market

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   Wolfgang Bühler and Volker Vonhoff, University of New South Wales and University of Mannheim

   Discussant: Olaf Korn, Georg-August-Universität Göttingen

3. The Term Structure of Illiquidity Premia

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   Alexander Kempf, Olaf Korn and Marliese Uhrig-Homburg, University of Cologne, Georg-August-Universität Göttingen and Karlsruhe Institute of Technology

   Discussant: Sakkapop Panyanukul, Warwick Business School

4. Liquidity Risk and the Pricing of Sovereign Bonds in Emerging Markets

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   Sakkapop Panyanukul, Warwick Business School

   Discussant: Volker Vonhoff, University of Mannheim

Finance and the Macroeconomy

Chair: Reinhard H. Schmidt, Goethe University Frankfurt

1. Q-Theory with Curvature

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   Frederico Belo, Chen Xue and Lu Zhang, University of Minnesota and University of Michigan

   Discussant: Paulo Rodrigues, Goethe University Frankfurt

2. Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

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   Geert Bekaert and Eric Engstrom, Columbia Business School and Federal Reserve Board

   Discussant: Roman Kraeussl, VU University Amsterdam

3. Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

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   Gurdip Bakshi, George Panayotov and Georgios Skoulakis, University of Maryland and Georgetown University

   Discussant: Eric Engstrom, Federal Reserve Board

4. Ratings Quality over the Business Cycle

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   Heski Bar-Isaac and Joel Shapiro, Stern School of Business, New York University and University of Oxford

   Discussant: Abraham Lioui, EDHEC Business School

Financial Distress

Chair: Tim Adam, Humboldt University Berlin

1. Endogenous Bankruptcy and Expected Recovery

   PDF

   Wulin Suo, Wei Wang and Qi Zhang, Queen's University and CA

   Discussant: Vladimir Vladimirov, Goethe University Frankfurt

2. Are Consumers Affected by Durable Goods Makers’ Financial Distress? The Case of Auto Manufacturers

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   Ali Hortacsu, Gregor Matvos, Chad Syverson and Sriram Venkataraman, University of Chicago, Chicago Booth School of Business and Emory University

   Discussant: Yihui Wang, Chinese University of Hong Kong

3. Do Credit Rating Agencies Underestimate Liquidity Risk?

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   Radhakrishnan Gopalan, Fenghua Song and Vijay Yerramilli, Washington University St Louis, Penn State University and Kelley School of Business

   Discussant: Wei Wang, Queen's University, CA

4. Do Environmental Concerns Affect the Cost of Bank Loans?

   PDF

   Sudheer Chava, Texas A&M University

   Discussant: Gregor Matvos, Chicago Booth School of Business

The Market for CEOs

Chair: Bilge Yilmaz, Wharton School, University of Pennsylvania

1. CEO Turnover in a Competitive Assignment Framework

   PDF

   Andrea L. Eisfeldt and Camelia M. Kuhnen, Kellogg School of Management

   Discussant: Ajay Subramanian, Georgia State University

2. Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent

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   Viral Acharya, Marco Pagano and Paolo Volpin, Stern School of Business, New York University, University of Naples Federico II and London Business School

   Discussant: Mike Burkart, Stockholm School of Economics

3. Performance Pay, CEO Dismissal and the Dual Role of Takeovers

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   Mike Burkart and Konrad Raff, Stockholm School of Economics and Toulouse School of Economics

   Discussant: Camelia M. Kuhnen, Kellogg School of Management

4. Restricting CEO Pay

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   Ingolf Dittmann, Ernst Maug and Dan Zhang, Erasmus School of Economics and University of Mannheim

   Discussant: Konrad Raff, Toulouse School of Economics

Empirical Market Microstructure

Chair: Thierry Foucault, HEC Paris

1. Market Microstructure Invariants

   PDF

   Albert Kyle and Anna Obizhaeva, University of Maryland

   Discussant: M. Fabricio Perez, Wilfrid Laurier University

2. International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

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   Kerstin Kehrle and Franziska Julia Peter, University of Zurich and University of Tübingen

   Discussant: Frank De Jong, CentER, Tilburg University

3. A Tale Of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market

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   Peter Dunne, Harald Hau and Michael John Moore, Central Bank & Financial Services Authority of Ireland, INSEAD and Queen's University Belfast

   Discussant: Kerstin Kehrle, University of Zurich

4. Decoding Inside Information

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   Lauren Cohen, Christopher Malloy and Lukasz Pomorski, Harvard Business School and University of Toronto

   Discussant: Harald Hau, INSEAD

Household Finance

Chair: Michalis Haliassos, Goethe University Frankfurt

1. Do Better Educated Investors Make Smarter Investment Decisions?

   PDF

   Petra Halling, Vienna University of Economics and Business

   Discussant: Roine Vestman, New York University

2. Financial Advice: An Improvement for Worse?

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   Yigitcan Karabulut, Goethe University Frankfurt

   Discussant: Petra Halling, Vienna University of Economics and Business

3. Trading on Advice

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   Andreas Hackethal, Roman Inderst and Steffen Meyer, Goethe University Frankfurt

   Discussant: Bart Franciscus Diris, Maastricht University

4. Limited Stock Market Participation and Home Ownership

   PDF

   Roine Vestman, New York University

   Discussant: Yigitcan Karabulut, Goethe University Frankfurt

ECB Special Session: Liquidity, Imbalances and Systemic Risk

Chair: Alex Stomper, MIT Sloan School of Management

1. The Seeds of a Crisis: A Theory of Bank Liquidity and Risk-Taking over the Business Cycle

   PDF

   Viral Acharya and Hassan Naqvi, Stern School of Business, New York University and National University of Singapore

   Discussant: Arnoud Boot, Amsterdam Business School

2. Bank Liquidity Creation During Distress

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   Allen N. Berger, Christa H. S. Bouwman, Thomas Kick and Klaus Schaeck, University of South Carolina, MIT Sloan School of Management, Deutsche Bundesbank and Bangor Business School

   Discussant: Christina Bannier, Frankfurt School of Finance & Management

3. Asset-Price Boom-Bust Cycles and Credit: What Is the Scope for Macro-Prudential Regulation?

   PDF

   Vladimir Borgy, Laurent Clerc and Jean-Paul Renne, Banque de France

   Discussant: Christian Wilde, Goethe University Frankfurt

Using Loan Applications to Identify Credit Supply

Chair: Alfred Lehar, University of Calgary

1. The Dynamics in Demand and Supply - Credit Constraints in Small Business Bank Relationships

   PDF

   Karolin Kirschenmann, University of Mannheim

   Discussant: Hans Degryse, CentER, Tilburg University

2. Do Relationship Loans Have Lower Default Rates? Evidence from 1 Million Loans

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   Manju Puri, Jörg Rocholl and Sascha Steffen, Duke University, European School of Management and Technology and University of Mannheim

   Discussant: José-Luis Peydró, European Central Bank

3. Credit Supply: Identifying Balance-Sheet Channels with Loan Applications and Granted Loans

   PDF

   Gabriel Jiménez, Steven Ongena, José-Luis Peydró and Jesús Saurina, CentER, Tilburg University, European Central Bank and Banco de España

   Discussant: Karolin Kirschenmann, University of Mannheim

SAC Special Session on Expected Stock Returns

Chair: Andreas Hackethal, Goethe University Frankfurt

1. Temporal Risk Aversion and Long Run Risks

   PDF

   Skander Van den Heuvel, Federal Reserve Board

   Discussant: Denitsa Stefanova, VU University Amsterdam

2. Ex Ante Skewness and Expected Stock Returns

   PDF

   Jennifer Conrad, Robert F Dittmar and Eric Ghysels, UNC Kenan-Flagler Business School and University of Michigan

   Discussant: Lukasz Pomorski, University of Toronto

3. What is the Shape of the Risk-Return Relation?

   PDF

   Alberto Rossi and Allan Timmermann, UC San Diego

   Discussant: Skander Van den Heuvel, Federal Reserve Board

Household Finance

Chair: Frans De Roon, CentER, Tilburg University

1. Are Investors Prudent? An Empirical Analysis of the Risk-Return Trade-Off Using Intraday Data

   PDF

   Benoît Sévi, London Business School and CEREBEM

   Discussant: Bruce Grundy, University of Melbourne

2. Do Disaster Expectations Explain Household Portfolios?

   PDF

   Sule Alan, University of Cambridge

   Discussant: Benoît Sévi, London Business School and CEREBEM

3. Style Investing, Mutual Fund Flows, and Return Comovement

   PDF

   Zhiyi Qian and Zhen Shi, Arizona State University

   Discussant: Sule Alan, University of Cambridge

Hedging

Chair: Kjell Nyborg, University of Zurich

1. Are Corporate Hedging Announcements Informative?

   PDF

   Chitru Fernando and Vikas Raman, University of Oklahoma

   Discussant: S. Abraham Ravid, Rutgers Business School

2. Cash Flow Hedging and Liquidity Choices

   PDF

   David Disatnik, Ran Duchin and Breno Schmidt, Tel Aviv University, University of Michigan and Emory University

   Discussant: Chitru Fernando, University of Oklahoma

3. Hedging Policies and Market Power? An Analysis of the Optimality of the Different Types of Hedging

   PDF

   David De Angelis and S. Abraham Ravid, Cornell University and Rutgers Business School

   Discussant: Tim Adam, Humboldt University Berlin

Mathematical Underpinnings of Financial Engineering

Chair: Mikhail Chernov, London Business School

1. Transition Density Approximations for Multivariate Affine Jump Diffusion Processes

   Damir Filipovic, Eberhard Mayerhofer and Paul Schneider, École Polytechnique Fédérale de Lausanne , University of Vienna and Warwick Business School

   Discussant: Anna Cieslak, University of Lugano

2. Asset Pricing with Second-Order Esscher Transforms

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   Alain Monfort and Fulvio Pegoraro, Banque de France

   Discussant: Peter H. Gruber, University of Lugano

3. Three Make a Dynamic Smile? Unspanned Skewness and Interacting Volatility Components in Option Valuation

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   Peter H. Gruber, Claudio Tebaldi and Fabio Trojani, Università Bocconi and University of Lugano

   Discussant: Roman Kozhan, Warwick Business School

Liquidity

Chair: Marco Pagano, University of Naples Federico II

1. Liquidity Externalities and Buyout Delisting Activity

   PDF

   José Miguel Gaspar and Laurence Lescourret, ESSEC Business School

   Discussant: A. J. Menkveld, VU University Amsterdam

2. Regulatory Pressure and Fire Sales in the Corporate Bond Market

   PDF

   Andrew Ellul, Chotibhak Jotikasthira and Christian Lundblad, Kelley School of Business and UNC Kenan-Flagler Business School

   Discussant: Laurent Frésard, HEC Paris

3. Price Pressures

   PDF

   Terrence Hendershott and A. J. Menkveld, Haas School of Business, Berkeley and VU University Amsterdam

   Discussant: Ingrid Werner, Ohio State University

Portfolio Choice

Chair: Elroy Dimson, London Business School

1. Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility

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   João Correia-da-Silva, Gonçalo Faria and Cláudia Ribeiro, Universidade do Porto

   Discussant: Jerome Detemple, Boston University

2. 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus

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   Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano, Centre for Research on Pensions and Welfare Policies, Manchester Business School and University of Turin

   Discussant: Gonçalo Faria, Universidade do Porto

3. Optimal Portfolio Allocations with Hedge Funds

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   Jerome Detemple, Rene Garcia and Marcel Rindisbacher, Boston University and EDHEC Business School

   Discussant: Giovanna Nicodano, University of Turin

CDS and Bond Risk Premia

Chair: Richard Stehle, Humboldt University Berlin

1. The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-09

   PDF

   Jacob Ejsing and Wolfgang Lemke, European Central Bank

   Discussant: Henrik Hasseltoft, University of Zurich

2. Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis

   PDF

   Stephan Dieckmann and Thomas Plank, Wharton School and University of Pennsylvania

   Discussant: Per Östberg, Norwegian School of Economics and Business Administration

3. International Bond Risk Premia

   PDF

   Magnus Dahlquist and Henrik Hasseltoft, Stockholm School of Economics and University of Zurich

   Discussant: Mikhail Chernov, London Business School

Future of Financial Regulation

Chair: Hans-Helmut Kotz, Center for Financial Studies, Goethe University Frankfurt

Financial Integration: Banking

Chair: Reint Gropp, European Business School

1. Interbank Market Integration, Loan Rates, and Firm Leverage

   PDF

   Steven Ongena and Alexander Popov, CentER, Tilburg University and European Central Bank

   Discussant: Christophe Spaenjers, CentER, Tilburg University

2. Financial Integration and Liquidity Crises

   PDF

   Fabio Castiglionesi, Fabio Feriozzi and Guido Lorenzoni, CentER, Tilburg University and MIT Sloan School of Management

   Discussant: Andreas Pfingsten, University of Muenster

3. (Inter-state) Banking and (Inter-state) Trade: Does Real Integration Follow Financial Integration?

   PDF

   Tomasz Michalski and Evren Örs, HEC Paris

   Discussant: Yrjö Koskinen, Boston University

Volatility and Stock Returns

Chair: Michael Johannes, Columbia Business School

1. What Ties Return Volatilities to Price Valuations and Fundamentals?

   PDF

   Alexander David and Pietro Veronesi, University of Calgary and Chicago Booth School of Business

   Discussant: Vladimir Sokolov, ICEF - Higher School of Economics

2. Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns

   PDF

   Oliver Boguth, University of British Columbia

   Discussant: Stephen Figlewski, Stern School of Business, New York University

3. Market Skewness Risk and the Cross-Section of Stock Returns

   PDF

   Bo-Young Chang, Peter Christoffersen and Kris Jacobs, McGill University

   Discussant: Fabio Moneta, Queen's University, CA

Private Equity and Leveraged Buyouts

Chair: Roman Kraeussl, VU University Amsterdam

1. Did Structured Credit Fuel the LBO Boom?

   PDF

   Anil Shivdasani and Yihui Wang, UNC Kenan-Flagler Business School and Chinese University of Hong Kong

   Discussant: Sascha Steffen, University of Mannheim

2. Hedge Funds and Shareholder Wealth Gains in Leveraged Buyouts

   PDF

   Jiekun Huang, National University of Singapore

   Discussant: Wolfgang Bessler, Justus-Liebig-University Giessen

3. Contract Characteristics and the Returns of Private Equity Investments

   PDF

   Stefano Caselli, Emilia Garcia Appendini and Filippo Ippolito, Università Bocconi

   Discussant: Jiekun Huang, National University of Singapore

Financing Innovation

Chair: Mike Burkart, Stockholm School of Economics

1. Financing Risk and Bubbles of Innovation

   PDF

   Ramana Nanda and Matthew Rhodes-Kropf, Harvard Business School

   Discussant: Ulrich Hege, HEC Paris

2. Incentives to Innovate and the Decision to Go Public or Private

   PDF

   Daniel Ferreira, Gustavo Manso and Andre Silva, London School of Economics, MIT Sloan School of Management and Universidade Nova de Lisboa

   Discussant: Christian Keuschnigg, University of St.Gallen

3. Profit Taxation, Innovation and the Financing of Heterogeneous Firms

   PDF

   Christian Keuschnigg and Evelyn Ribi, University of St.Gallen

   Discussant: Matthew Rhodes-Kropf, Harvard Business School

Board of Directors

Chair: Josef Zechner, Vienna University of Economics and Business

1. The Changing of the Boards

   PDF

   Kenneth Ahern and Amy K Dittmar, University of Michigan

   Discussant: Iness Aguir, University of Texas at San Antonio

2. Does Director Liability Matter?

   PDF

   Iness Aguir, Natasha Burns, Sattar A. Mansi and John Wald, University of Texas at San Antonio and Virginia Tech University

   Discussant: Amy K Dittmar, University of Michigan

3. Corporate Governance and Value Creation: Evidence from Private Equity

   PDF

   Viral Acharya, Moritz Hahn and Conor Kehoe, Stern School of Business, New York University, Ludwig Maximilian University Munich and McKinsey & Company

   Discussant: Mario Daniele Amore, Copenhagen Business School

Household Portfolio Choice

Chair: Loriana Pelizzon, University of Venice

1. Participation Constraints in the Stock Market: Evidence from Unexpected Inheritance Due to Sudden Death

   PDF

   Steffen Andersen and Kasper Meisner Nielsen, Copenhagen Business School and Hong Kong University of Science and Technology

   Discussant: Samuli Knüpfer, London Business School

2. Nature or Nurture: What Determines Investor Behavior?

   PDF

   Amir Barnea, Henrik Cronqvist and Stephan Siegel, Claremont McKenna College and University of Washington

   Discussant: Günter Franke, University of Konstanz

3. From Customers to Shareholders: The Effect of Product Market Choices on Investment Decisions

   PDF

   Matti Keloharju, Samuli Knüpfer and Juhani Linnainmaa, Aalto University School of Economics, London Business School and Chicago Booth School of Business

   Discussant: Amir Barnea, Claremont McKenna College

Home Bias and Financial Integration

Chair: Beni Lauterbach, Bar Ilan University

1. The Foreign Firm Discount

   PDF

   Laurent Frésard and Carolina Salva, HEC Paris and University of Neuchâtel

   Discussant: Christian Lundblad, UNC Kenan-Flagler Business School

2. Home Bias Revisited

   PDF

   Geert Bekaert and Xiaozheng Wang, Columbia Business School and Criterion Economics

   Discussant: Piet Sercu, K.U.Leuven

3. Asset Fire Sales and Purchases and the International Transmission of Financial Shocks

   PDF

   Chotibhak Jotikasthira, Christian Lundblad and Tarun Ramadorai, UNC Kenan-Flagler Business School and University of Oxford

   Discussant: Stephan Dieckmann, Wharton School, University of Pennsylvania

Transaction Taxes and Short-Selling Restrictions: Stability Tools or Dangerous Populism?

Chair: Harald Hau, INSEAD

Financial Institutions, Systemic Risk and the Financial Crisis

Chair: Frank De Jong, CentER, Tilburg University

1. Macroprudential Capital Requirements and Systemic Risk

   PDF

   Celine Gauthier, Alfred Lehar and Moez Souissi, University of Calgary and Bank of Canada

   Discussant: Alexander Schulz, Deutsche Bundesbank

2. Were Bank Bailouts Effective during the 2007-2009 Financial Crisis? Evidence from Counterparty Risk in the Global Hedge Fund Industry

   PDF

   Robert W. Faff, Jerry T. Parwada and Kian M. Tan, University of Queensland, Australia and University of New South Wales

   Discussant: Kasper Roszbach, Sveriges Riksbank

3. Does Financial Experience Help Banks during Credit Crises?

   PDF

   Eliezer Fich and Fernandes Nuno, Drexel University and IMD Lausanne

   Discussant: Lars Norden, Rotterdam School of Management, Erasmus University

Bond Risk Premia

Chair: Bruce Grundy, University of Melbourne

1. Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

   PDF

   Deniz Anginer and Celim Yildizhan, World Bank and University of Michigan

   Discussant: Lukas Schmid, Duke University

2. Term Spread and Primary Bond Dealers? Behavior at the Fed's Repo Auctions

   PDF

   Vladimir Sokolov, ICEF - Higher School of Economics

   Discussant: Bo-Young Chang, McGill University

3. Credit Default Swap Spreads and Variance Risk Premia

   PDF

   Hao Wang, Hao Zhou and Yi Zhou, Tsinghua University, Beijing , Federal Reserve Board and University of Oklahoma

   Discussant: Marliese Uhrig-Homburg, Karlsruhe Institute of Technology

Thomson Reuters Special Session on Mergers and Alliances

Chair: Erik Theissen, University of Mannheim

1. Liquidity Mergers

   PDF

   Heitor Almeida, Murillo Campello and Dirk Hackbarth, University of Illinois

   Discussant: Michael J. Schill, University of Virginia

2. The Price of Growth: Evidence of the Pedestrian Nature of Post-Merger Returns

   PDF

   Sandra Mortal and Michael J. Schill, University of Memphis and University of Virginia

   Discussant: Elvira Sojli, Rotterdam School of Management, Erasmus University

3. Alliances and Corporate Governance

   PDF

   Andriy Bodnaruk, Massimo Massa and Andrei Simonov, University of Notre Dame, INSEAD and Michigan State University

   Discussant: Issam Hallak, Università Bocconi

Corporate Governance

Chair: Matthew Rhodes-Kropf, Harvard Business School

1. Consensus, Control and Corporate Boards

   PDF

   Archishman Chakraborty and Bilge Yilmaz, York University, Wharton School and University of Pennsylvania

   Discussant: Jongsub Lee, Stern School of Business, New York University

2. Monopolistic Competition, Managerial Incentives, and the Distribution of Firms in General Equilibrium

   PDF

   Jose Plehn-Dujowich and Ajay Subramanian, Temple University and Georgia State University

   Discussant: Daniel Ferreira, London School of Economics

3. Corporate Finance in Family Business Groups

   PDF

   Jongsub Lee, Stern School of Business and New York University

   Discussant: Bilge Yilmaz, Wharton School, University of Pennsylvania

Corporate Voting and Control

Chair: David Yermack, Stern School of Business, New York University

1. The Vote is Cast: The Effect of Corporate Governance on Shareholder Value

   PDF

   Vicente Cunat, Mireia Gine and Maria Guadalupe, London School of Economics, Wharton School, University of Pennsylvania and Columbia Business School

   Discussant: Zacharias Sautner, Amsterdam Business School

2. Spillover Effects in the Market for Corporate Control

   PDF

   Kose John and Dalida Kadyrzhanova, Stern School of Business, New York University and University of Maryland

   Discussant: Mireia Gine, Wharton School, University of Pennsylvania

3. Corporate Governance and Internal Capital Markets

   PDF

   Zacharias Sautner and Belen Villalonga, Amsterdam Business School and Harvard Business School

   Discussant: Daniel Metzger, London School of Economics

Investor Biases and Performance

Chair: Bruno Gerard, BI Norwegian School of Management

1. Do Smart Investors Outperform Dumb Investors?

   PDF

   Mark Grinblatt, Matti Keloharju and Juhani Linnainmaa, UCLA Anderson School of Management, Aalto University School of Economics and Chicago Booth School of Business

   Discussant: Oliver Spalt, CentER, Tilburg University

2. A Test of the Self-Serving Attribution Bias: Evidence from Mutual Funds

   PDF

   Darwin Choi and Dong Lou, Hong Kong University of Science and Technology and London School of Economics

   Discussant: Anna Scherbina, UC Davis

3. Don't Confuse Brains with a Bull Market: Attribution Bias, Market Condition, and Trading Behavior of Individual Investors

   PDF

   Zhen Shi and Na Wang, Arizona State University

   Discussant: Matti Keloharju, Aalto University School of Economics

Conflicts of Interest in Financial Intermediation

Chair: Marti G. Subrahmanyam, Stern School of Business, New York University

1. Conflicts of Interests in the Financial Analysis Industry: Why Did Europeans Get Mad?

   PDF

   Michel Georges Dubois, Pascal Dumontier and Laurent Frésard, University of Neuchâtel, Université Pierre Mendès France Grenoble and HEC Paris

   Discussant: Philip Strahan, Boston College

2. Social Value of Information in a Levered Economy

   PDF

   Vito Gala and Paolo Volpin, London Business School

   Discussant: Achim Hauck, Heinrich-Heine University Düsseldorf

3. Credit Ratings and the Evolution of the Mortgage-Backed Securities Market

   PDF

   Jie He, Jun Qian and Philip Strahan, Boston College

   Discussant: Joel Shapiro, University of Oxford

Relationship Banking

Chair: Jörg Rocholl, European School of Management and Technology

1. Investment in Relationship-Specific Assets: Does Finance Matter?

   PDF

   Madina Kukenova and Martin Strieborny, University of Lausanne

   Discussant: Michael Hertzel, Arizona State University

2. Bargaining Power and Information in SME Lending

   PDF

   Jens Grunert and Lars Norden, University of Tübingen, Rotterdam School of Management and Erasmus University

   Discussant: Martin Brown, Swiss National Bank

3. Relationship Bank Behavior During Borrower Distress and Bankruptcy

   PDF

   Yan Li and Anand Srinivasan, Korea University and National University of Singapore

   Discussant: Enrico Onali, Bangor Business School

Macroeconomic Conditions and Asset Prices

Chair: Georgios Skoulakis, University of Maryland

1. Credit Conditions and Expected Stock Returns

   PDF

   Sudheer Chava, Michael F. Gallmeyer and Heungju Park, Texas A&M University and University of Virginia

   Discussant: Frederico Belo, University of Minnesota

2. Earnings Expectations and Macroeconomic Conditions

   PDF

   Dieter Hess and Daniel Kreutzmann, University of Cologne

   Discussant: Sudheer Chava, Texas A&M University

3. Financial Intermediation, Asset Prices, and Macroeconomic Dynamics

   PDF

   Tobias Adrian, Emanuel Moench and Hyun Song Shin, Federal Reserve Bank of New York and Princeton University

   Discussant: Dieter Hess, University of Cologne

Banks and Politics

Chair: Arnoud Boot, Amsterdam Business School

1. The Politics of Bank Looting

   PDF

   Michael Halling, Pegaret Pichler and Alex Stomper, University of Utah, Vienna Graduate School of Finance and MIT Sloan School of Management

   Discussant: Patrick Behr, Goethe University Frankfurt

2. Political Capital and Moral Hazard

   PDF

   Leonard Kostovetsky, University of Rochester

   Discussant: Denis Sosyura, University of Michigan

3. TARP Investments: Financials and Politics

   PDF

   Ran Duchin and Denis Sosyura, University of Michigan

   Discussant: Leonard Kostovetsky, University of Rochester

Mergers and Breakups

Chair: Dirk Hackbarth, University of Illinois

1. The Value of CEOs' Industry Expertise - Evidence from Mergers & Acquisitions

   PDF

   Claudia Custodio and Daniel Metzger, London School of Economics

   Discussant: Xiaoyang Li, University of Michigan

2. The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis

   PDF

   Florian Bardong, Soehnke M. Bartram and Pradeep Yadav, Barclays Global Investors, Lancaster University and University of Oklahoma

   Discussant: Karin Thorburn, Norwegian School of Economics and Business Administration

3. The Impact of Merger on Workers

   PDF

   Xiaoyang Li, University of Michigan

   Discussant: Xianming Zhou, University of Hong Kong

Behavioral Corporate Finance

Chair: Günter Franke, University of Konstanz

1. Does Managerial Optimism Lead to Long-Run Underperformance? Evidence from Venture Capital-Backed IPOs

   PDF

   Jean-Sebastien Michel, HEC Montreal

   Discussant: Kasper Meisner Nielsen, Hong Kong University of Science and Technology

2. An Experimental Study On Real Option Strategies

   PDF

   Abraham Bernstein, Marc Chesney and Mei Wang, University of Zurich

   Discussant: Salvatore Miglietta, BI Norwegian School of Management

3. Incentives and Relative-Wealth Concerns: Theory and Evidence

   PDF

   Salvatore Miglietta, BI Norwegian School of Management

   Discussant: Ingolf Dittmann, Erasmus School of Economics

CEO Behaviour and Incentives

Chair: Mariassunta Giannetti, Stockholm School of Economics

1. To Each According to His Ability? A Cross-Sectional Analysis of the Market for CEO Talent

   PDF

   Antonio Falato, Dan Li and Todd Milbourn, Federal Reserve Board and Washington University St Louis

   Discussant: Josef Zechner, Vienna University of Economics and Business

2. Market Timing and Managerial Talent

   PDF

   Amir Rubin and Alexander Vedrashko, Simon Fraser University

   Discussant: Antonio Falato, Federal Reserve Board

3. Monitoring Managers: Does it Matter?

   PDF

   Francesca Cornelli, Zbigniew Kominek and Alexander Ljungqvist, London Business School, European Bank for Reconstruction and Development, Stern School of Business and New York University

   Discussant: Alexander Vedrashko, Simon Fraser University

Life-Cyle Investing and Pension Fund Design

Chair: Peter Schotman, Maastricht University

1. Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts

   PDF

   Jingjing Chai, Wolfram Horneff, Raimond Maurer and Olivia Mitchell, Goethe University Frankfurt, Wharton School and University of Pennsylvania

   Discussant: Roel Mehlkopf, CentER, Tilburg University

2. Life Cycle Asset Allocation in the Presence of Housing and Tax-Deferred Investing

   PDF

   Marcel Marekwica, Alexander Schaefer and Steffen Sebastian, Copenhagen Business School, Goethe University Frankfurt and University of Regensburg

   Discussant: Shingo Goto, University of South Carolina

3. Intergenerational Risk Sharing under Endogenous Labor Supply

   PDF

   Roel Mehlkopf, CentER and Tilburg University

   Discussant: Marcel Marekwica, Copenhagen Business School

Monetary Policy, Asset Markets and Banks

Chair: Yrjö Koskinen, Boston University

1. On Monetary Policy and Stock Market Anomalies

   PDF

   Alexandros Kontonikas and Alexandros Kostakis, University of Glasgow

   Discussant: Federico Gavazzoni, Carnegie Mellon University

2. Does Monetary Policy Affect Bank Risk-Taking?

   PDF

   Yener Altunbas, Leonardo Gambacorta and David Marques, Bangor Business School, Bank for International Settlements and European Central Bank

   Discussant: Alexandros Kostakis, University of Glasgow

3. Monetary Policy and the Uncovered Interest Rate Parity Puzzle

   PDF

   David Backus, Federico Gavazzoni, Chris Telmer and Stan Zin, Carnegie Mellon University, Stern School of Business and New York University

   Discussant: Tommaso Mancini-Griffoli, Swiss National Bank

Agency

Chair: Mark Wahrenburg, Goethe University Frankfurt

1. Managerial Compensation in the Financial Industry

   PDF

   Felix Suntheim, Università Bocconi

   Discussant: Paul Ehling, BI Norwegian School of Management

2. Some Like It Safe: Agency and Corporate Purchase of Insurance

   PDF

   Paul Ehling, Avner Kalay and Shagun Pant, BI Norwegian School of Management, University of Utah and Texas A&M University

   Discussant: Felix Suntheim, Università Bocconi

Anomalies

Chair: Christian Schlag, Goethe University Frankfurt

1. Complicated Trades

   PDF

   Lauren Cohen and Dong Lou, Harvard Business School and London School of Economics

   Discussant: Alan Guoming Huang, University of Waterloo

2. The Accrual Volatility Anomaly

   PDF

   Sati Bandyopadhyay, Alan Guoming Huang and Tony Wirjanto, University of Waterloo

   Discussant: Dong Lou, London School of Economics

3. Connected Stocks

   PDF

   Miguel Anton and Christopher Polk, London School of Economics

   Discussant: Andriy Bodnaruk, University of Notre Dame

New Approaches

Chair: Claus Munk, Aarhus University

1. A General Theory of Markovian Time Inconsistent Stochastic Control Problems

   PDF

   Tomas Björk and Agatha Valentina Murgoci, Stockholm School of Economics and Copenhagen Business School

   Discussant: Paolo Porchia, University of St.Gallen

2. Risk Price Dynamics

   PDF

   Jaroslav Borovicka, Lars Peter Hansen, Mark Hendricks and Jose Scheinkman, University of Chicago and Princeton University

   Discussant: Agatha Valentina Murgoci, Copenhagen Business School

3. Learning and Rare Disasters in the Lucas Orchard

   PDF

   Andrea Buraschi, Paolo Porchia and Fabio Trojani, Imperial College London, University of St.Gallen and University of Lugano

   Discussant: Jaroslav Borovicka, University of Chicago

Capital Structure

Chair: Mario Daniele Amore, Copenhagen Business School

1. Competition and the Cost of Debt

   PDF

   Philip Valta, École Polytechnique Fédérale de Lausanne

   Discussant: Filippo Ippolito, Università Bocconi

2. Debt Structure and Debt Specialization

   PDF

   Paolo Colla, Filippo Ippolito and Kai Li, Università Bocconi and University of British Columbia

   Discussant: Philip Valta, École Polytechnique Fédérale de Lausanne

3. Labor and Capital: Is Debt a Bargaining Tool?

   PDF

   Eleni Simintzi, Vikrant Vig and Paolo Volpin, London Business School

   Discussant: Bang Dang Nguyen, Chinese University of Hong Kong

Investor Behavior and Asset Prices

Chair: Matti Keloharju, Aalto University School of Economics

1. The Persistent Effects of a False News Shock

   PDF

   Carlos Carvalho, Nicholas Klagge and Emanuel Moench, Federal Reserve Bank of New York

   Discussant: Peter Ockenfels, Goethe University Frankfurt

2. Penny Wise, Dollar Foolish: The Left-Digit Effect in Security Trading

   PDF

   Utpal Bhattacharya, Craig W. Holden and Stacey Jacobsen, Kelley School of Business

   Discussant: Darwin Choi, Hong Kong University of Science and Technology

3. Investor Clienteles and Habitat-Based Return Comovements

   PDF

   Alok Kumar, Jeremy Page and Oliver Spalt, University of Texas at Austin, CentER and Tilburg University

   Discussant: Stephan Siegel, University of Washington

Market Microstructure: Theory

Chair: Hans Degryse, CentER, Tilburg University

1. Liquidity and Information in Order Driven Markets

   PDF

   Ioanid Rosu, Chicago Booth School of Business

   Discussant: Giovanni Cespa, Queen Mary University of London

2. Higher Order Expectations, Rational Confusion, and Short Term Trading

   PDF

   Giovanni Cespa and Xavier Vives, Queen Mary University of London and University of Navarra

   Discussant: Ioanid Rosu, Chicago Booth School of Business

3. Internalization, Clearing and Settlement, and Stock Market Liquidity

   PDF

   Hans Degryse, Mark Van Achter and Gunther Wuyts, CentER, Tilburg University, University of Mannheim and Katholieke Universiteit Leuven

   Discussant: Sarah Draus, Université Paris-Dauphine

Practical Issues on Portfolio Optimization

Chair: Ian Cooper, London Business School

1. Improving Portfolio Selection Using Option-Implied Volatility and Skewness

   PDF

   Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov, Goethe University Frankfurt and London Business School

   Discussant: Peter Schotman, Maastricht University

2. On Mean Variance Portfolio Optimization: Improving Performance Through Better Use of Hedging Relations

   PDF

   Shingo Goto and Yan Xu, University of South Carolina and University of Rhode Island

   Discussant: Raman Uppal, London Business School

3. Long-Term Strategic Asset Allocation: An Out-Of-Sample Evaluation

   PDF

   Bart Franciscus Diris, Franz Palm and Peter Schotman, Maastricht University

   Discussant: Yuliya Plyakha, Goethe University Frankfurt