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Academic program in detail
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last update: August 9, 2005
overview
August 25
Thursday
09:00-10:30
A01 - Asset Pricing Theory I
Session Chair: Tom Berglund (Swedish School of Economics & BA)
The Liquidity Premium in a Dynamic Model with Price Impact
João Pedro Pereira (ISCTE) - Harold Zhang (University of North Carolina at Chapel Hill)
  • Discussant: Benjamin Croitoru (McGill University)
Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
Suleyman Basak (London Business School) - Hongjun Yan (London Business School)
  • Discussant: Stephan Dieckmann (Arizona State University)
Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model
Günter Franke (Universität Konstanz) - Erik Lüders (Université Laval)
  • Discussant: Siegfried Trautmann (Universität Mainz)
overview
August 25
Thursday
09:00-10:30
B01 - Empirical Asset Pricing I
Session Chair: Bruce Grundy (University of Melbourne)
Macroeconomic Risks and the Fama and French/Carhart Model
Söhnke Bartram (Lancaster University) - Kevin Aretz (Lancaster University) - Peter Pope (Lancaster University)
  • Discussant: Pim van Vliet (Robeco Group)
Corporate Innovation, Price Momentum, and Equity Returns
Maria Vassalou (Columbia University)
  • Discussant: Lieven De Moor (Katholieke Universiteit Leuven)
CAPM Tests and Alternative Factor Portfolio Composition: Getting the Alpha's Right
Lieven De Moor (Katholieke Universiteit Leuven) - Piet Sercu (Katholieke Universiteit Leuven)
  • Discussant: Adam Szyszka (Poznan University of Economics)
overview
August 25
Thursday
09:00-10:30
C01 - Capital Structure: Theory and Evidence I
Session Chair: Jeffrey Wurgler (New York University)
Debt and Taxes: Evidence from Bank-financed Small and Medium-sized Firms
Cesário Mateus (Aarhus School of Business) - Jan Bartholdy (The Aarhus School of Business)
  • Discussant: Andrea Gamba (Università di Verona)
Informational Asymmetry Between Managers and Investors in the Optimal Capital Structure Decision
Jochen Lawrenz (Universität Innsbruck) - Matthias Bank (Universität Innsbruck)
  • Discussant: Sergei Guriev (New Economic School)
Beyond Investment-Cash Flow Sensitivities: Using Indirect Inference to Estimate Costs of External Funds
Toni Whited (University of Wisconsin at Madison) - Christopher Hennessy (University of California at Berkeley)
  • Discussant: Sergei Davydenko (London Business School)
overview
August 25
Thursday
09:00-10:30
D01 - Corporate Governance: Boards
Session Chair: Yair Orgler (Tel Aviv University)
Board Structure and Banking Firm Performance
Renée Adams (Stockholm School of Economics) - Hamid Mehran (Federal Reserve Bank of New York)
  • Discussant: Eva Liljeblom (Swedish School of Economics & BA)
What do Boards do? Evidence from Board Committee and Director Compensation Data
Renée Adams (Stockholm School of Economics)
  • Discussant: Elazar Berkovitch (Interdisciplinary Center Herzliya)
The Role of the Board of Directors in the Capital Budgeting Process - Evidence from S&P 500 Firms
Efrat Tolkowsky (Tel Aviv University) - Yaniv Grinstein (Cornell University)
  • Discussant: Renée Adams (Stockholm School of Economics)
overview
August 25
Thursday
09:00-10:30
E01 - Liquidity
Session Chair: Matthew Spiegel (Yale University)
Stock and Bond Pricing with Liquidity Risk
Ruslan Goyenko (Indiana University)
  • Discussant: Olesya Grishchenko (New York University)
Liquidity Supply and Adverse selection in a Pure Limit Order Book Market
Stefan Frey (Universität Tübingen) - Joachim Grammig (Universität Tübingen)
  • Discussant: Masahiro Watanabe (Rice University)
Time-Varying Liquidity Risk and the Cross Section of Stock Returns
Masahiro Watanabe (Rice University) - Akiko Fujimoto (University of Alberta)
  • Discussant: Anna Obizhaeva (Massachusetts Institute of Technology)
overview
August 25
Thursday
09:00-10:30
F01 - Mutual Fund Behavior
Session Chair: Bing Liang (University of Massachusetts at Amherst)
Closing Time? The Determinants and Effects of Mutual Fund Closures
Arturo Bris (IMD) - Huseyin Gulen (Virginia Polytechnic Inst. & State Univ.) - Raghavendra Rau (Purdue University) - Padmaja Kadiyala (Fairleigh Dickinson University)
  • Discussant: Mila Getmansky Sherman (University of Massachusetts at Amherst)
Mutual Funds and the Market for Liquidity
Ludovic Phalippou (University of Amsterdam) - Massimo Massa (INSEAD)
  • Discussant: Bing Liang (University of Massachusetts at Amherst)
Unobserved Actions of Mutual Funds
Lu Zheng (University of Michigan - Ann Arbor) - Clemens Sialm (University of Michigan - Ann Arbor) - Marcin Kacperczyk (University of British Columbia)
  • Discussant: Antti Petajisto (Yale University)
overview
August 25
Thursday
09:00-10:30
G01 - Symposium B: Corporate Governance in Emerging Markets I
Session Chair: Kimberly Rodgers (New York University)
Diversification and Value of Shanghai-listed Manufacturing Companies
Henk von Eije (University of Groningen) - Jiong Jin
  • Discussant: Jie Gan (Hong Kong University of Science & Technology)
Czech Mate: Expropriation and Investor Protection in a Converging World
Mihir Desai (Harvard University) - Alberto Moel (Monitor Corporate Finance)
  • Discussant: Alexei Goriaev (New Economic School)
overview
August 25
Thursday
11:00-12:00
A02 - Asset Pricing Theory II
Session Chair: Federico Nardari (Arizona State University)
Nominal Rigidities and Asset Pricing in New Keynesian Monetary Models
Francesco Sangiorgi (Universitat Pompeu Fabra) - Sergio Santoro (Universitat Pompeu Fabra)
  • Discussant: Antonio Moreno (Universidad de Navarra)
Bounds on the Autocorrelation of Admissible Stochastic Discount Factors
Stéphane Chrétien (Université Laval)
  • Discussant: Mikhail Chernov (Columbia University)
overview
August 25
Thursday
11:00-12:00
B02 - Market Efficiency and Empirical Asset Pricing
Session Chair: Pål Korsvold (Norwegian School of Management BI)
Striking Oil: Another Puzzle?
Ben Jacobsen (Massey University) - Benjamin Maat (Erasmus University of Rotterdam) - Gerben Driesprong (Erasmus University of Rotterdam)
  • Discussant: Jonathan Batten (Macquarie Graduate School of Management)
Momentum in Futures Markets
Craig Pirrong (University of Houston)
  • Discussant: Spencer Martin (Arizona State University)
overview
August 25
Thursday
11:00-12:00
C02 - Capital Structure: Theory and Evidence II
Session Chair: Günter Franke (Universität Konstanz)
Firm Size and Capital Structure
Ilya Strebulaev (Stanford University) - Alexander Kurshev (London Business School)
  • Discussant: Kristian Risgaard Miltersen (Norwegian School of Economics and BA)
Analyzing Callable and Convertible Bonds when the Modigliani-Miller Assumptions are Violated
Yuri Tserlukevich (University of California at Berkeley) - Christopher Hennessy (University of California at Berkeley)
  • Discussant: Florian Heider (European Central Bank)
overview
August 25
Thursday
11:00-12:00
D02 - Firm Management and Governance
Session Chair: Andrei Rachinsky (Center for Economic and Financial Research)
Governance and CEO Turnover: Do Something or Do the Right Thing?
Matthew Rhodes-Kropf (Columbia University) - Rakesh Khurana (Harvard University) - Raymond Fisman (Columbia University)
  • Discussant: Thomas Chemmanur (Boston College)
The Value of Investor Protection: Firm Evidence from Cross-Border Mergers
Arturo Bris (IMD) - Christos Cabolis (ALBA - Athens Laboratory of Business Administration)
  • Discussant: Matthew Rhodes-Kropf (Columbia University)
overview
August 25
Thursday
11:00-12:00
E02 - Empirical Microstructure
Session Chair: Christine Parlour (Carnegie Mellon University)
Forecasting Volatility Using Tick by Tick Data
Zheng Sun (New York University) - Robert Engle (New York University)
  • Discussant: Albert Menkveld (Vrije Universiteit Amsterdam)
Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model
Andréas Heinen (Universidad Carlos III) - Joachim Grammig (Universität Tübingen) - Erick Rengifo (Université catholique de Louvain)
  • Discussant: Akiko Fujimoto (University of Alberta)
overview
August 25
Thursday
11:00-12:00
F02 - Mutual Fund Performance I
Session Chair: Stephen Brown (New York University)
Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry
David Weinbaum (Cornell University) - Pascal Maenhout (INSEAD) - Joost Driessen (University of Amsterdam) - Martijn Cremers (Yale University)
  • Discussant: Alexei Goriaev (New Economic School)
Mutual Fund Performance and Governance Structure: The Role of Portfolio Managers and Boards of Directors
Bill Ding (State University of New York at Albany) - Russell Wermers (University of Maryland)
  • Discussant: David Gallagher (University of New South Wales)
overview
August 25
Thursday
11:00-12:00
G02 - Symposium B: Corporate Governance in Emerging Markets II
Session Chair: Sergei Guriev (New Economic School)
Guanxi, Political Connections, and Expropriation: The Dark Side of State Ownership in Chinese Listed Companies
Aris Stouraitis (City University of Hong Kong) - Raghavendra Rau (Purdue University) - Lihua Jing (City University of Hong Kong) - Steven Yan Leung Cheung (City University of Hong Kong)
  • Discussant: Xiaohong Liu (Hong Kong University of Science & Technology)
Diversification and Ownership Concentration
Bruno Maria Parigi (Università di Padova) - Loriana Pelizzon (University of Venice)
  • Discussant: Patrick Kelly (University of South Florida)
overview
August 25
Thursday
14:30-16:00
A03 - Symposium A: Foundation and Endowment Asset Management
Session Chair: Elroy Dimson (London Business School)
Performance of Private Equity Funds: Another Puzzle?
Ludovic Phalippou (University of Amsterdam) - Maurizio Zollo (INSEAD)
  • Discussant: Clemens Sialm (University of Michigan - Ann Arbor)
Economic Growth and Equity Returns
Jay Ritter (University of Florida)
  • Discussant: Elroy Dimson (London Business School)
The Selection and Termination of Investment Managers by Plan Sponsors
Sunil Wahal (Emory University) - Amit Goyal (Emory University)
  • Discussant: Roberto Barontini (Sant'Anna School of Advanced Studies, Pisa)
overview
August 25
Thursday
14:30-16:00
B03 - Empirical Asset Pricing II
Session Chair: Richard Brealey (London Business School)
The Foregone Gains of Incomplete Portfolios
Monica Paiella (Banca d'Italia)
  • Discussant: Clara Vega (University of Rochester)
Investment Irreversibility, Real Activity and the Value Premium
Ilan Cooper (Norwegian School of Management BI) - Bruno Gerard (Norwegian School of Management BI) - Guojun Wu (University of Michigan - Ann Arbor)
  • Discussant: Cheekiat Low (National University of Singapore)
The Price Is (Almost) Right
Randolph Cohen (Harvard University) - Tuomo Vuolteenaho (Harvard University) - Christopher Polk (Northwestern University)
  • Discussant: Xiaotong Wang (Yale University)
overview
August 25
Thursday
14:30-16:00
C03 - Capital Structure: Theory and Evidence III
Session Chair: Ilya Strebulaev (Stanford University)
The Effect of Family Control on Firm Value and Performance. Evidence from Continental Europe
Roberto Barontini (Sant'Anna School of Advanced Studies, Pisa) - Lorenzo Caprio (Università Cattolica del Sacro Cuore)
  • Discussant: Anete Pajuste (Stockholm School of Economics)
Capital Structure Decisions and Corporate Pension Plans
Irina Stefanescu (University of North Carolina at Chapel Hill)
  • Discussant: Josef Zechner (Universität Wien)
The Value of Financial Flexibility
Alexander Triantis (University of Maryland) - Andrea Gamba (Università di Verona)
  • Discussant: Yuri Tserlukevich (University of California at Berkeley)
overview
August 25
Thursday
14:30-16:00
E03 - Microstructure Theory
Session Chair: Jens Jackwerth (Universität Konstanz)
Information Acquisition in a Limit Order Market
Christine Parlour (Carnegie Mellon University) - Ronald Goettler (Carnegie Mellon University) - Uday Rajan (University of Michigan - Ann Arbor)
  • Discussant: Jos van Bommel (University of Oxford)
The Navigation of an Iceberg: The Optimal Use of Hidden Orders
Burkart Mönch (Universität Frankfurt/M.) - Angelika Esser (DekaBank)
  • Discussant: Diego Garcia (Dartmouth College)
Competition for Order Flow and Smart Order Routing Systems
Albert Menkveld (Vrije Universiteit Amsterdam) - Thierry Foucault (Groupe HEC)
  • Discussant: Oliver Hansch (Pennsylvania State University)
overview
August 25
Thursday
14:30-16:00
F03 - Mutual Fund Performance II
Session Chair: Lu Zheng (University of Michigan - Ann Arbor)
Improved Forecasting of Mutual Fund Alphas and Betas
Matthew Spiegel (Yale University) - Hong Billy Zhang (INSEAD) - Harry Mamaysky (Yale University)
  • Discussant: Mitch Warachka (Singapore Management University)
Can Mutual Fund Managers Pick Stocks? Evidence from their Trades Prior to Earnings Announcements
Jeffrey Wurgler (New York University) - Lubomir Litov (New York University) - Jessica Wachter (University of Pennsylvania) - Malcolm Baker (Harvard University)
  • Discussant: Lu Zheng (University of Michigan - Ann Arbor)
Implied Measures of Relative Fund Performance
Mitch Warachka (Singapore Management University) - Steve Hogan (Credit Suisse First Boston)
  • Discussant: Bill Ding (State University of New York at Albany)
overview
August 25
Thursday
14:30-16:00
G03 - Symposium B: Corporate Governance in Emerging Markets III
Session Chair: Dusan Mramor (University of Ljubljana)
The Corporate Governance Role of the Media: Clinical Evidence from Russia
Natalya Volchkova (New Economic School) - Luigi Zingales (University of Chicago) - Alexander Dyck (University of Toronto)
  • Discussant: Christos Cabolis (ALBA - Athens Laboratory of Business Administration)
Is Political Risk Company-Specific? The Market Side of the Yukos Affair
Alexei Goriaev (New Economic School) - Konstantin Sonin (New Economic School)
  • Discussant: Ingolf Dittmann (Humboldt-Universität zu Berlin)
The Determinants of Ownership After Privatisation - the Case of Russia
Carsten Sprenger (Universitat Pompeu Fabra)
  • Discussant: Matti Suominen (Helsinki School of Economics & BA)
overview
August 25
Thursday
16:30-18:00
A04 - ECB Session I: Financial Stability and Systemic Risk
Session Chair: Bruno Gerard (Norwegian School of Management BI)
The Financial Risks of Corporations in the Global Economy
Gregory Brown (University of North Carolina at Chapel Hill) - Söhnke Bartram (Lancaster University)
  • Discussant: Richard Stehle (Humboldt-Universität zu Berlin)
Systemic Risk and Hedge Funds
Mila Getmansky Sherman (University of Massachusetts at Amherst) - Andrew Lo (Massachusetts Institute of Technology) - Nicholas Chan (Massachusetts Institute of Technology) - Chane Haas
  • Discussant: Bruce Grundy (University of Melbourne)
The Contagion Box: Measuring Financial Market Co-Movements by Regression Quantiles
Bruno Gerard (Norwegian School of Management BI) - Simone Manganelli (European Central Bank) - Lorenzo Cappiello (European Central Bank)
  • Discussant: Stephen Brown (New York University)
overview
August 25
Thursday
16:30-18:00
B04 - Empirical Asset Pricing III
Session Chair: Pradeep Yadav (Lancaster University)
The Non-Relevance of the Elusive Holy Grail of Asset Pricing Tests: the 'True' Market Portfolio Doesn't Really Matter
Cheekiat Low (National University of Singapore) - Subhankar Nayak (Georgia Institute of Technology)
  • Discussant: Oyvind Norli (Norwegian School of Management BI)
Examining the Statistical Properties of Financial Ratios
Charlotte Hansen (City University of New York) - Bjorn Tuypens (Oak Hill Platinum Partners, LLC)
  • Discussant: Stijn van Nieuwerburgh (New York University)
The Optimal Use of Return Predictability: An Empirical Analysis
Alexander Stremme (University of Warwick) - Devraj Basu (University of Warwick) - Abhay Abhyankar (University of Durham)
  • Discussant: Galina Ovtcharova
overview
August 25
Thursday
16:30-18:00
C04 - Ownership Structure
Session Chair: Mihir Desai (Harvard University)
Reluctant Privatization
Bernardo Bortolotti (Fondazione Eni Enrico Mattei (FEEM)) - Mara Faccio (Vanderbilt University)
  • Discussant: Dusan Mramor (University of Ljubljana)
The Ownership and Implementation of Ideas
Stefan Arping (University of Amsterdam)
  • Discussant: Sheraz Ahmed (HANKEN-Swedish School of Economics & BA)
Pyramidal Discounts: Tunneling or Overinvestment?
Martin Holmén (Uppsala University) - Peter Högfeldt (Stockholm School of Economics)
  • Discussant: Charles Kahn (University of Illinois at Urbana Champaign)
overview
August 25
Thursday
16:30-18:00
D04 - Venture Capital I
Session Chair: Jay Ritter (University of Florida)
Shareholder Diversification and the Decision to Go Public
Andriy Bodnaruk (Stockholm School of Economics & University of Maastricht) - Massimo Massa (INSEAD) - Eugene Kandel (Hebrew University) - Andrei Simonov (Stockholm School of Economics)
  • Discussant: Martin Holmén (Uppsala University)
The Role of Venture Capital Backing in Initial Public Offerings: Certification, Screening, or Market Power?
Thomas Chemmanur (Boston College) - Elena Loutskina (Boston College)
  • Discussant: Sergey Sanzhar (University of North Carolina at Chapel Hill)
The Going Public Decision and the Product Market
Shan He (Boston College) - Thomas Chemmanur (Boston College) - Debarshi Nandy (York University)
  • Discussant: Francois Derrien (University of Toronto)
overview
August 25
Thursday
16:30-18:00
E04 - Information Dissemination and Risk
Session Chair: Bernt Arne Ødegaard (Norwegian School of Management BI)
Understanding the Limit Order Book: Conditioning on Trade Informativeness
Helena Beltran Lopez (Center for Operations Research and Econometrics (CORE)) - Joachim Grammig (Universität Tübingen) - Albert Menkveld (Vrije Universiteit Amsterdam)
  • Discussant: Ruslan Goyenko (Indiana University)
Which Trades Move Stock Prices in the Internet Age?
Oliver Hansch (Pennsylvania State University) - Hyuk Choe (Seoul National University)
  • Discussant: Selim Topaloglu (Queen's University)
Institutional Trading and Share Returns
David Gallagher (University of New South Wales) - F. Douglas Foster (University of New South Wales) - Adrian Looi (University of New South Wales)
  • Discussant: Söhnke Bartram (Lancaster University)
overview
August 25
Thursday
16:30-18:00
F04 - Delegated Portfolio Management
Session Chair: Onno Steenbeek (Erasmus University Rotterdam)
Double or Nothing: Patterns of Equity Fund Holdings and Transactions
Stephen Brown (New York University) - Onno Steenbeek (Erasmus University Rotterdam) - David Gallagher (University of New South Wales) - Peter Swan (University of New South Wales)
  • Discussant: Akitoshi Ito (University of Tsukuba)
Value at Risk and the Cross-Section of Hedge Fund Returns
Bing Liang (University of Massachusetts at Amherst) - Turan Bali (City University of New York) - Suleyman Gokcan (Citigroup Alternative Investments)
  • Discussant: Hong Billy Zhang (INSEAD)
Change is Good or the Disposition Effect Among Mutual Fund Managers
Anna Scherbina (Harvard University) - Li Jin (Harvard University)
  • Discussant: Ilan Guedj (Massachusetts Institute of Technology)
overview
August 25
Thursday
16:30-18:00
G04 - International Finance
Session Chair: Randall Morck (University of Alberta)
Cross Border Equity Flows in Privately Held Firms
Douglas Cumming (University of New South Wales) - Grant Fleming (Wilshire Private Markets Group) - Armin Schwienbacher (University of Amsterdam)
  • Discussant: Michael Hertzel (Arizona State University)
Hedging Currency Risk: a Regret-Theoretic Approach
Sébastien Michenaud (Groupe HEC) - Bruno Solnik (Groupe HEC)
  • Discussant: Ines Chaieb (McGill University)
overview
August 26
Friday
09:00-10:30
A05 - Option Pricing Theory
Session Chair: Claus Munk (University of Southern Denmark)
Risk Neutral Probabilities and Option Bounds: A Geometric Approach
James Xiaoping Huang (Lancaster University)
  • Discussant: Grigory Vilkov (INSEAD)
Path Dependant Option Pricing under Levy Processes
Conall O'Sullivan (National University of Ireland)
  • Discussant: Sadayuki Ono (University of York)
Option Pricing under Stochastic Volatility and Trading Volume
Sadayuki Ono (University of York)
  • Discussant: Gordon Gemmill (University of Warwick)
overview
August 26
Friday
09:00-10:30
B05 - Market Efficiency
Session Chair: Tim Jenkinson (Oxford University)
The Role of the Media in the Internet IPO Bubble
Neal Galpin (Indiana University) - Rina Ray (Indiana University) - Utpal Bhattacharya (Indiana University) - Xiaoyun Yu (Indiana University)
  • Discussant: Diego Garcia (Dartmouth College)
Information Efficiency and Firm-Specific Return Variation
Patrick Kelly (University of South Florida)
  • Discussant: Artyom Durnev (McGill University)
Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns
John Scruggs (University of Georgia) - Federico Nardari (Arizona State University)
  • Discussant: Bruce Grundy (University of Melbourne)
overview
August 26
Friday
09:00-10:30
C05 - Firm Management and Share Repurchases
Session Chair: Matthew Rhodes-Kropf (Columbia University)
Can Buybacks be a Product of Shorter Shareholder Horizons?
Pedro Matos (INSEAD) - Rajdeep Patgiri (INSEAD) - José-Miguel Gaspar (ESSEC Business School) - Massimo Massa (INSEAD) - Zahid Rehman (INSEAD)
  • Discussant: Yuanto Kusnadi (Hong Kong University of Science & Technology)
Mimicking Repurchases
Zahid Rehman (INSEAD) - Theo Vermaelen (INSEAD) - Massimo Massa (INSEAD)
  • Discussant: Evgeny Lyandres (Rice University)
Corporate Governance Mechanisms and Corporate Cash Holdings
Yuanto Kusnadi (Hong Kong University of Science & Technology)
  • Discussant: Pradeep Yadav (Lancaster University)
overview
August 26
Friday
09:00-10:30
D05 - Corporate Fraud
Session Chair: Anup Agrawal (University of Alabama)
Theft and Taxes
Luigi Zingales (University of Chicago) - Mihir Desai (Harvard University) - Alexander Dyck (University of Toronto)
  • Discussant: Sergey Stepanov (Université Libre de Bruxelles)
Earnings Manipulation and Incentives in Firms
Sergei Guriev (New Economic School) - Guido Friebel (Université de Toulouse)
  • Discussant: Maria Simatova (London Business School)
overview
August 26
Friday
09:00-10:30
E05 - Behavioral Finance I
Session Chair: Brad Barber (University of California at Davis)
One Trade at a Time: Narrow Framing and Stock Investment Decisions of Individual Investors
Alok Kumar (University of Notre Dame) - Sonya Seongyeon Lim (DePaul University)
  • Discussant: Ning Zhu (University of California at Davis)
Who Loses from Trade? Evidence from Taiwan
Brad Barber (University of California at Davis) - Yi-Tsung Lee (National Chengchi University) - Yu-Jane Liu (National Chengchi University) - Terrance Odean (University of California at Berkeley)
  • Discussant: Avi Wohl (Tel Aviv University)
Who Gambles in the Stock Market?
Alok Kumar (University of Notre Dame)
  • Discussant: Jerry Parwada (University of New South Wales)
overview
August 26
Friday
09:00-10:30
F05 - Mutual Funds
Session Chair: William Goetzmann (Yale University)
How Does Investor Short-termism Affect Mutual Fund Manager Short-termism
Li Jin (Harvard University)
  • Discussant: Melvyn Teo (Singapore Management University)
Do Market Timing Hedge Funds Time the Market?
Bing Liang (University of Massachusetts at Amherst) - Yong Chen (Boston College)
  • Discussant: Karen Benson (University of Queensland)
The ABCs of Mutual Funds: On the Introduction of Multiple Share Classes
Lu Zheng (University of Michigan - Ann Arbor) - Zhi Jay Wang (University of Michigan - Ann Arbor) - Vikram Nanda (University of Michigan - Ann Arbor)
  • Discussant: Li Jin (Harvard University)
overview
August 26
Friday
09:00-10:30
G05 - Government Bond Markets
Session Chair: Philipp Hartmann (European Central Bank)
Euro Area Sovereign Yield Dynamics: The Role of Order Imbalance
Albert Menkveld (Vrije Universiteit Amsterdam) - Frank de Jong (University of Amsterdam) - Yiu Chung Cheung (University of Amsterdam)
  • Discussant: Burkart Mönch (Universität Frankfurt/M.)
Abnormal Short-Term Returns Following Market-Moving Events in the International Government Bond Market
Konstantinos Kassimatis (Athens University of Economics & Business) - Spyrou Spyros (Athens University of Economics & Business)
  • Discussant: Jaehoon Hahn (University of Washington)
Informed and Strategic Order Flow in the Bond Market
Clara Vega (University of Rochester) - Paolo Pasquariello (University of Michigan - Ann Arbor)
  • Discussant: Christine Parlour (Carnegie Mellon University)
overview
August 26
Friday
11:00-12:30
A06 - Option Pricing
Session Chair: Siegfried Trautmann (Universität Mainz)
Mispricing of S&P 500 Index Options
Jens Jackwerth (Universität Konstanz) - George Constantinides (University of Chicago) - Stylianos Perrakis (Concordia University)
  • Discussant: James Xiaoping Huang (Lancaster University)
Demand-Based Option Pricing
Nicolae Garleanu (University of Pennsylvania) - Lasse Heje Pedersen (New York University) - Allen Poteshman (University of Illinois at Urbana Champaign)
  • Discussant: Hongjun Yan (London Business School)
overview
August 26
Friday
11:00-12:30
B06 - Cross Section of Stock Returns
Session Chair: Li Jin (Harvard University)
Financial Constraints, Debt Capacity, and the Cross Section of Stock Returns
Jaehoon Hahn (University of Washington) - Hangyong Lee (Korea Development Institute (KDI))
  • Discussant: Leonardo Madureira (Case Western Reserve University)
Takeover, Governance and The Cross-Section of Returns
Vinay Nair (University of Pennsylvania) - Kose John (New York University) - Martijn Cremers (Yale University)
  • Discussant: William Goetzmann (Yale University)
overview
August 26
Friday
11:00-12:30
C06 - External Finance
Session Chair: Marco Pagano (Università degli Studi di Napoli Federico II)
Investment-Based Underperformance Following Seasoned Equity Offerings
Lu Zhang (University of Rochester) - Evgeny Lyandres (Rice University)
  • Discussant: Ambrus Kecskés (University of Toronto)
The Initial Public Offerings of Listed Firms
Ambrus Kecskés (University of Toronto) - Francois Derrien (University of Toronto)
  • Discussant: Neil Brisley (University of Western Ontario)
An Empirical Enquiry into the Speed of Information Aggregation: A Study of IPOs
Jos van Bommel (University of Oxford) - Jay Dahya (Purdue University)
  • Discussant: Oyvind Norli (Norwegian School of Management BI)
overview
August 26
Friday
11:00-12:30
D06 - Agency and Contract Theory
Session Chair: Josef Zechner (Universität Wien)
A Theory of Takeovers and Disinvestment
Bart Lambrecht (Lancaster University) - Stewart Myers (Massachusetts Institute of Technology)
  • Discussant: Jeffrey Zwiebel (Stanford University)
The Duration of Equity Ownership
Bernt Arne Ødegaard (Norwegian School of Management BI) - Øyvind Bøhren (Norwegian School of Management BI) - Richard Priestley (Norwegian School of Management BI)
  • Discussant: Mihir Desai (Harvard University)
Board Monitoring and Firm Risk
Nemmara Chidambaran (Rutgers University) - Ivan Brick (Rutgers University)
  • Discussant: Anup Agrawal (University of Alabama)
overview
August 26
Friday
11:00-12:30
E06 - Behavioral Finance II
Session Chair: Frans Tempelaar (University of Groningen)
Systematic Noise
Ning Zhu (University of California at Davis) - Terrance Odean (University of California at Berkeley) - Brad Barber (University of California at Davis)
  • Discussant: Christopher Malloy (London Business School)
Supply and Demand Shifts in the Shorting Market
Christopher Malloy (London Business School) - Lauren Cohen (University of Chicago) - Karl Diether (Ohio State University)
  • Discussant: Menachem Brenner (New York University)
Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation
Stefan Nagel (Stanford University) - Markus Brunnermeier (Princeton University)
  • Discussant: Randolph Cohen (Harvard University)
overview
August 26
Friday
11:00-12:30
F06 - Asset Allocation
Session Chair: Raman Uppal (London Business School)
Information Acquisition and Portfolio Under-Diversification
Stijn van Nieuwerburgh (New York University) - Laura Veldkamp (New York University)
  • Discussant: Antti Petajisto (Yale University)
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Raman Uppal (London Business School) - Lorenzo Garlappi (University of Texas at Austin) - Tan Wang (University of British Columbia)
  • Discussant: Eli Sani (School of Business Administration, Rishon Lezion, Israel)
Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?
Georg Michael Rockinger (Université de Lausanne) - Eric Jondeau (Université de Lausanne)
  • Discussant: Claus Munk (University of Southern Denmark)
overview
August 26
Friday
11:00-12:30
G06 - Term Structure of Interest Rates and Stochastic Volatility
Session Chair: Christian Wolff (Universiteit Maastricht)
No-Arbitrage Macroeconomic Determinants of the Yield Curve
Ruslan Bikbov (Columbia University) - Mikhail Chernov (Columbia University)
  • Discussant: Andrea Roncoroni (ESSEC Business School)
Time-Variation in Term Premia: International Evidence
Christian Wolff (Universiteit Maastricht) - Willem Verschoor (Universiteit Maastricht) - Ron Jongen (Universiteit Maastricht)
  • Discussant: Antonio Moreno (Universidad de Navarra)
New-Keynesian Macroeconomics and the Term Structure
Antonio Moreno (Universidad de Navarra) - Seonghoon Cho (Korea Development Institute (KDI)) - Geert Bekaert (Columbia University)
  • Discussant: Adrien Verdelhan (University of Chicago)
overview
August 26
Friday
11:00-12:30
H06 - Liquidity, Volatility, and Other
Session Chair: Avi Wohl (Tel Aviv University)
Analyst Disagreement, Mispricing and Liquidity
Ronnie Sadka (University of Washington) - Anna Scherbina (Harvard University)
  • Discussant: Jos van Bommel (University of Oxford)
Endogenous Financial Fragility and Prudential Regulation
Joao Santos (Federal Reserve Bank of New York) - Charles Kahn (University of Illinois at Urbana Champaign)
  • Discussant: Ravi Singh (Harvard University)
Creative Destruction and Firm-Specific Volatility
Randall Morck (University of Alberta) - Jung-Wook Kim (University of Alberta) - Hyunbae Chun (City University of New York) - Jason Lee (University of Alberta)
  • Discussant: Artyom Durnev (McGill University)
overview
August 26
Friday
14:30-16:00
A07 - Hedging and Risk
Session Chair: Mikhail Chernov (Columbia University)
Can Structural Models Price Default Risk? New Evidence from Bond and Credit Derivative Markets
Hao Wang (McGill University) - Joel Reneby (Stockholm School of Economics) - Jan Ericsson (McGill University)
  • Discussant: Kevin Aretz (Lancaster University)
Gold-Mining
Johannes Raaballe (University of Aarhus) - Bruce Grundy (University of Melbourne)
  • Discussant: Nicolae Garleanu (University of Pennsylvania)
Towards a General Theory of Good Deal Bounds
Tomas Björk (Stockholm School of Economics) - Irina Slinko (Stockholm School of Economics)
  • Discussant: William Goetzmann (Yale University)
overview
August 26
Friday
14:30-16:00
B07 - Factor Models
Session Chair: Tobias Adrian (Federal Reserve Bank of New York)
What Can Rational Investors Do About Excessive Volatility?
Alexander Kurshev (London Business School) - Bernard Dumas (INSEAD) - Raman Uppal (London Business School)
  • Discussant: Tomas Björk (Stockholm School of Economics)
A New Measure of Cross-Sectional Risk and its Empirical Implications for Portfolio Risk Management
Andrea Roncoroni (ESSEC Business School) - Stefano Gallucio (BNP Paribas)
  • Discussant: Georg Michael Rockinger (Université de Lausanne)
overview
August 26
Friday
14:30-16:00
C07 - External and Internal Capital Markets
Session Chair: Claudio Loderer (Universität Bern)
Capital Allocation in Indian Business Groups. Who Benefits, Who Loses?
Remco van der Molen (Dutch Ministry of Finance)
  • Discussant: Eli Talmor (London Business School)
Ownership vs. Contract: How Vertical Integration Affects Investment Decisions in Pharmaceutical R&D
Ilan Guedj (Massachusetts Institute of Technology)
  • Discussant: Zahid Rehman (INSEAD)
PIPE Dreams? The Performance of Companies Issuing Equity Privately
Clemens Sialm (University of Michigan - Ann Arbor) - David Brophy (University of Michigan - Ann Arbor) - Paige Parker Ouimet (University of Michigan - Ann Arbor)
  • Discussant: Ilan Cooper (Norwegian School of Management BI)
overview
August 26
Friday
14:30-16:00
D07 - Corporate Finance: Theory and Evidence I
Session Chair: Milton Harris (University of Chicago)
The Stakeholder Pension Lottery: An Analysis of the Default Funds in UK Stakeholder Pension Schemes
Alistair Byrne (University of Strathclyde) - David Blake (University of London) - Andrew Cairns (Heriot-Watt University) - Kevin Dowd (University of Nottingham)
  • Discussant: Elena Loutskina (Boston College)
Determinants of Management Ownership of Unrestricted Equity: Overconfidence versus Tax Explanations
Li Jin (Harvard University) - Sriprakash Kothari (Massachusetts Institute of Technology)
  • Discussant: Stefan Arping (University of Amsterdam)
Do Investors Reinvest Dividends and Tender Offer Proceeds?
Elias Henrikki Rantapuska (Helsinki School of Economics & BA)
  • Discussant: Scott Weisbenner (University of Illinois at Urbana-Champaign)
overview
August 26
Friday
14:30-16:00
E07 - Investor Beliefs and Behavior
Session Chair: Pascal Maenhout (INSEAD)
The Impact of Clientele Changes: Evidence from Stock Splits
Ning Zhu (University of California at Davis) - Ravi Dhar (Yale University) - William Goetzmann (Yale University)
  • Discussant: Brad Barber (University of California at Davis)
All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad Barber (University of California at Davis) - Terrance Odean (University of California at Berkeley)
  • Discussant: Michela Verardo (London School of Economics)
From the Horse's Mouth: Gauging Conditional Expected Stock Returns from Investor Surveys
Gene Amromin (Federal Reserve Bank of Chicago) - Steven Sharpe (Federal Reserve Board)
  • Discussant: Ludovic Phalippou (University of Amsterdam)
overview
August 26
Friday
14:30-16:00
F07 - Asset Management
Session Chair: Eva Liljeblom (Swedish School of Economics & BA)
Tax-Motivated Trading by Individual Investors
Scott Weisbenner (University of Illinois at Urbana-Champaign) - James Poterba (Massachusetts Institute of Technology) - Zoran Ivkovich (University of Illinois at Urbana-Champaign)
  • Discussant: Clemens Sialm (University of Michigan - Ann Arbor)
Optimal Trading Strategy and Supply/Demand Dynamics
Anna Obizhaeva (Massachusetts Institute of Technology) - Jiang Wang (Massachusetts Institute of Technology)
  • Discussant: Christine Parlour (Carnegie Mellon University)
Dynamic Portfolio and Mortgage Choice for Homeowners
Otto van Hemert (University of Amsterdam) - Frank de Jong (University of Amsterdam) - Joost Driessen (University of Amsterdam)
  • Discussant: Thomas Steinberger (Università di Salerno)
overview
August 26
Friday
14:30-16:00
G07 - Exchange Rates
Session Chair: Christian Lundblad (Indiana University)
The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspective
Lucio Sarno (University of Warwick) - Giorgio Valente (University of Warwick) - Hyginus Leon (International Monetary Fund)
  • Discussant: Adrien Verdelhan (University of Chicago)
Is Foreign Exchange Intervention Effective? Some Micro-Analytical Evidence from the Czech Republic
Antonio Scalia (Banca d'Italia)
  • Discussant: Lucio Sarno (University of Warwick)
A Habit-Based Explanation of the Exchange Rate Risk Premium
Adrien Verdelhan (University of Chicago)
  • Discussant: Raman Uppal (London Business School)
overview
August 26
Friday
14:30-16:00
H07 - Information and the Market
Session Chair: Anna Scherbina (Harvard University)
Conflicts of Interest and Stock Recommendations - The Effects of the Global Settlement and Recent Regulations
Leonardo Madureira (Case Western Reserve University)
  • Discussant: Frédéric Sonney (Université de Neuchâtel)
Do Analyst Conflicts Matter? Evidence from Stock Recommendations
Anup Agrawal (University of Alabama) - Mark Chen (University of Maryland)
  • Discussant: Anna Scherbina (Harvard University)
Sector versus Country Specialization and Financial Analysts' Performance
Frédéric Sonney (Université de Neuchâtel)
  • Discussant: Lu Zheng (University of Michigan - Ann Arbor)
overview
August 26
Friday
16:30-18:00
A08 - ECB Session II: Financial Development and Foreign Banks in Central and Eastern European Countries
Session Chair: Jan Pieter Krahnen (Universität Frankfurt/M.)
Creditor Rights and Banking Behavior: Evidence from Transition Economies
Rainer Haselmann (Universität Leipzig) - Vikrant Vig (Columbia University) - Katharina Pistor (Columbia University)
  • Discussant: Christa Hainz (Universität München)
Financial Integration and Entrepreneurial Activity: Evidence from Foreign Bank Entry in Emerging Markets
Mariassunta Giannetti (Stockholm School of Economics) - Steven Ongena (Tilburg University)
  • Discussant: Natalya Volchkova (New Economic School)
Modes of Foreign Bank Entry and the Effects on Bank Interest Rates: Theory and Evidence
Sophie Claeys (University of Ghent) - Christa Hainz (Universität München)
  • Discussant: Dmitri Vinogradov (Universität Heidelberg)
overview
August 26
Friday
16:30-18:00
B08 - Risk Factors in Asset Returns
Session Chair: Maria Vassalou (Columbia University)
Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk
Matthew Spiegel (Yale University) - Xiaotong Wang (Yale University)
  • Discussant: Tobias Adrian (Federal Reserve Bank of New York)
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Fangjian Fu (University of Rochester)
  • Discussant: Jan Bartholdy (The Aarhus School of Business)
Stock Returns and Volatility: Pricing the Long-Run and Short-Run Components of Market Risk
Tobias Adrian (Federal Reserve Bank of New York) - Joshua Rosenberg (Federal Reserve Bank of New York)
  • Discussant: Stéphane Chrétien (Université Laval)
overview
August 26
Friday
16:30-18:00
C08 - Executive Compensation
Session Chair: Avner Kalay (University of Utah)
Lower Salaries and No Options? On the Optimal Structure of Executive Pay
Ingolf Dittmann (Humboldt-Universität zu Berlin) - Ernst Maug (Humboldt-Universität zu Berlin)
  • Discussant: Nemmara Chidambaran (Rutgers University)
The Good, the Bad and the Lucky: CEO Pay and Skill
Robert Daines (Stanford University) - Lewis Kornhauser (New York University) - Vinay Nair (University of Pennsylvania)
  • Discussant: Mark Chen (University of Maryland)
Stocks or Options? Moral Hazard, Firm Viability, and the Design of Compensation Contracts
Ohad Kadan (Washington University in St. Louis) - Jeroen Swinkels (Washington University in St. Louis)
  • Discussant: Vinay Nair (University of Pennsylvania)
overview
August 26
Friday
16:30-18:00
D08 - Venture Capital II
Session Chair: Kristian Risgaard Miltersen (Norwegian School of Economics and BA)
The Staging of Venture Capital Financing: Milestone vs. Rounds
Eli Talmor (London Business School) - Charles Cuny (Texas A&M University)
  • Discussant: Ohad Kadan (Washington University in St. Louis)
Design and Renegotiation of Debt Covenants
Jeffrey Zwiebel (Stanford University) - Nicolae Garleanu (University of Pennsylvania)
  • Discussant: Bart Lambrecht (Lancaster University)
Unbiased Estimation of Economic Impact of Venture Capital Backed Firms
Luisa Alemany (Fundacio ESADE) - José Martí Pellón (Universidad Complutense de Madrid)
  • Discussant: Claudio Loderer (Universität Bern)
overview
August 26
Friday
16:30-18:00
E08 - Behavioral Issues in Portfolio Choice
Session Chair: Andrei Simonov (Stockholm School of Economics)
History versus Geography: The Role of College Interaction in Portfolio Choice and Stock Market Prices
Andrei Simonov (Stockholm School of Economics) - Massimo Massa (INSEAD)
  • Discussant: Toni Whited (Uni