Detailed Academic Program
Link to the real-time updated version of the program on SSRN with links to PDF files of the papers: Click here
Start Date | End Date | Location | ||
EFA 2009 Bergen Meetings | 08/19/2009 | 08/22/2009 | Bergen, Norway | |
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1F: Corporate Finance, Empirical: Boards | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Auditorium 14 | Ulf Axelson |
Papers | Name | Public Notes | ||
Costs and Benefits of 'Friendly' Boards during Mergers and Acquisitions Breno Schmidt | Lucian Taylor (Discussant) | |||
The Value of Independent Directors: Evidence from Sudden Deaths Bang Dang Nguyen and Kasper Meisner Nielsen | Lauren Cohen (Discussant) | |||
Hiring Cheerleaders: Board Appointments of 'Independent' Directors Lauren Cohen, Andrea Frazzini and Christopher J. Malloy | Joakim Bång (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1C: Asset Pricing, Empirical: Fund Return Predictability | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Agnar Sandmo's Auditorium | Rossen Valkanov |
Papers | Name | Public Notes | ||
Hedge Fund Predictability Under the Magnifying Glass: Forecasting Individual Fund Returns Using Multiple Predictors Doron Avramov, Laurent Barras and Robert Kosowski | Jialin Yu (Discussant) | |||
Mutual Fund's R2 as Predictor of Performance Yakov Amihud and Ruslan Goyenko | Antonio Rubia (Discussant) | |||
The Performance of European Equity Mutual Funds Allan G. Timmermann, Ayelen Banegas, Benjamin J. Gillen and Russ Wermers | K.J. Martijn Cremers (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1D: Asset Pricing, Empirical: Stocks and Interest Rate Markets | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Finn E. Kydland's Auditorium | Geert Bekaert |
Papers | Name | Public Notes | ||
The Determinants of Stock and Bond Return Comovements Geert Bekaert, Lieven Baele and Koen Inghelbrecht | Francisco Palomino (Discussant) | |||
The Cross-Section and Time-Series of Stock and Bond Returns Ralph S. J. Koijen, Hanno N. Lustig, Stijn Van Nieuwerburgh and | Lars Lochstoer (Discussant) | |||
The Price of Interest Rate Variance Risk and Optimal Investments in Interest Rate Derivatives Anders B. Trolle | Claudia Moise (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1H: Market Microstructure: Matching Agents | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Karl Borch's Auditorium | Ingrid Werner |
Papers | Name | Public Notes | ||
Arbitrage Opportunities: A Blessing or a Curse? Roman Kozhan and Wing Wah Tham | Thierry Foucault (Discussant) | |||
Liquidity Cycles and Make/Take Fees in Electronic Markets Thierry Foucault, Ohad Kadan and Eugene Kandel | Marios Panayides (Discussant) | |||
Market Makers as Information Providers: The Natural Experiment of STAR Pietro Perotti and Barbara Rindi | Ola Simonsen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1B: Asset Pricing, Theoretical: Incomplete Information | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Jan Mossin's Auditorium | Jerome Detemple |
Papers | Name | Public Notes | ||
Incomplete Information, Idiosyncratic Volatility and Stock Returns Julien N. Hugonnier and Tony Berrada | Marcel Rindisbacher (Discussant) | |||
Relative Wealth Concerns and Complementarities in Information Acquisition Diego Garcia and Günter Strobl | David Feldman (Discussant) | |||
Information, Expected Utility, and Portfolio Choice Jun Liu, Ehud Peleg and Avanidhar Subrahmanyam | Ali Lazrak (Discussant) | Withdrawn | ||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1G: Financial Intermediation and Institutions: Liquidity | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Auditorium 24 | Tommy Stamland |
Papers | Name | Public Notes | ||
The Dark Side of Financial Innovation Brian J. Henderson and Neil D. Pearson | Mark Shackleton (Discussant) | |||
The Inefficiency of Diversification in Economies With Endogenous Liquidation Costs Wolf Wagner | Philipp Illeditsch (Discussant) | |||
The Optimality of Interbank Liquidity Insurance Fabio Castiglionesi and Wolf Wagner | Knut Heen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1E: Corporate Finance, Theoretical: Asymmetric Information | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Auditorium E | Milton Harris |
Papers | Name | Public Notes | ||
Corporate Fraud, Governance and Auditing Giovanni Immordino and Marco Pagano | Evgeny Lyandres (Discussant) | |||
Signaling in Tender Offer Games Mike Burkart and Samuel Lee | Alan Morrison (Discussant) | |||
Some Unpleasant General Equilibrium Implications of Executive Incentive Compensation Contracts John B. Donaldson, Natalia Gershun and Marc Giannoni | Kohei Kawamura (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T1A: Special Session on the Role of Sovereign Wealth Funds | 08/20/2009 08:30 AM | 08/20/2009 10:00 AM | Dag Coward's Auditorium | Elroy Dimson |
Papers | Name | Public Notes | ||
Sovereign Wealth Fund Investment Patterns and Performance Bernardo Bortolotti, Veljko Fotak, William L. Megginson and William Miracky | Bruno Gerard (Discussant) | |||
Sovereign Wealth Funds: Investment Choices and Implications Around the World Nuno G. Fernandes | David Chambers (Discussant) | |||
The Dynamics of Sovereign Credit Risk Alexandre Jeanneret | Engelbert Dockner (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2H: Market Microstructure: Liquidity | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Karl Borch's Auditorium | Erik Theissen |
Papers | Name | Public Notes | ||
Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns? Chandrasekhar Krishnamurti, Avanidhar Subrahmanyam and Tiong Yang Thong | Maria Kasch (Discussant) | |||
Managerial Decisions, Asset Liquidity, and Stock Liquidity Radhakrishnan Gopalan, Ohad Kadan and Mikhail Pevzner | Erik Theissen (Discussant) | |||
Optimal Liquidation in Dark Pools Peter Kratz and Torsten Schoeneborn | Mark Van Achter (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2A: Argentum Symposium on Private Equity and Funds of Private Equity: Pricing and Performance | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Dag Coward's Auditorium | Carsten Bienz |
Papers | Name | Public Notes | ||
Informational Hold-Up and Performance Persistence in Venture Capital Yael V. Hochberg, Alexander Ljungqvist and Annette Vissing-Jorgensen | Ulf Axelson (Discussant) | |||
Leverage and Pricing in Buyouts: An Empirical Analysis Ulf Axelson, Per Strömberg, Tim Jenkinson and Michael S. Weisbach | Marco Da Rin (Discussant) | |||
Private Equity Investments: Performance and Diseconomies of Scale Florencio Lopez de Silanes and Ludovic Phalippou | Uwe Walz (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2G: Financial Intermediation and Institutions: Rating Agencies | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Auditorium 24 | Rajna Gibson |
Papers | Name | Public Notes | ||
The Failure of Models that Predict Failure: Distance, Incentives and Defaults Uday Rajan, Amit Seru and Vikrant Vig | Loriana Pelizzon (Discussant) | |||
The Credit Ratings Game Patrick Bolton, Xavier Freixas and Joel Shapiro | Christian Ewerhart (Discussant) | |||
Multiple Ratings and Credit Spreads Dion Bongaerts, Martijn Cremers and William N. Goetzmann | Paolo Porchia (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2E: Corporate Finance, Theoretical: Corporate Debt and Credit Risk | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Auditorium E | Dirk Hackbarth |
Papers | Name | Public Notes | ||
Liquidity and Feasible Debt Relief Josef Zechner and Chris Hennessy | Robert Hauswald (Discussant) | |||
Leverage Choice and Credit Spread Dynamics When Managers Risk Shift Murray Carlson and Ali Lazrak | Jochen Lawrenz (Discussant) | |||
Optimal Design of Rating-Trigger Step-Up Bonds: Agency Conflicts versus Asymmetric Information Christian Koziol and Jochen Lawrenz | Bart Lambrecht (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2C: Asset Pricing, Empirical: Predicting (Components of) Stock Returns | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Agnar Sandmo's Auditorium | Walter N. Torous |
Papers | Name | Public Notes | ||
Oil Price Shocks and Stock Return Predictability Lars Qvigstad Sørensen | Ralph Koijen (Discussant) | |||
Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole Miguel A. Ferreira and Pedro Santa-Clara | Jialin Yu (Discussant) | |||
How Predictable are Components of the Aggregate Market Portfolio? Aiguo Kong, David Rapach, Jack Strauss, Jun Tu and Guofu Zhou | Oliver Boguth (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2B: Asset Pricing, Theoretical: Liquidity I | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Jan Mossin's Auditorium | Michael Brandt |
Papers | Name | Public Notes | ||
Dynamic Margin Constraints Oleg Rytchkov | Astrid Schornick (Discussant) | |||
How Does Illiquidity Affect Delegated Portfolio Choice? Luis Goncalves-Pinto | Michael Gallmeyer (Discussant) | |||
Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang | Johan Walden (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2F: Corporate Finance, Empirical: CEOs | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Auditorium 14 | Paul Oyer |
Papers | Name | Public Notes | ||
The Pay Divide: (Why) are U.S. Top Executives Paid More? Nuno G. Fernandes, Miguel A. Ferreira, Pedro P. Matos and Kevin J. Murphy | Mariassunta Giannetti (Discussant) | |||
Why are CEOS Rarely Fired? Evidence from Structural Estimation Lucian A. Taylor | Marc Martos-Vila (Discussant) | |||
CEOs Under Fire: Pressure from within - The Effects of Inside Directors on CEO Compensation and Turnover H. Shawn Mobbs | Breno Schmidt (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T2D: Asset Pricing, Empirical: Factor Models and Analysis | 08/20/2009 10:30 AM | 08/20/2009 12:00 PM | Finn E. Kydland's Auditorium | Annette Vissing-Jorgensen |
Papers | Name | Public Notes | ||
The Diminishing Liquidity Premium Azi Ben-Rephael, Ohad Kadan and Avi Wohl | Richard Roll (Discussant) | |||
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation Martijn Cremers, Antti Petajisto and Eric Zitzewitz | Lauren Cohen (Discussant) | |||
Option-Implied Correlation and Factor Betas Revisited Adrian Buss and Grigory Vilkov | Ralph Koijen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3D: Asset Pricing, Empirical: Discount Factors | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Finn E. Kydland's Auditorium | Frans de Roon |
Papers | Name | Public Notes | ||
Commonality in Disagreement and Asset Pricing Jialin Yu | Rachel Campbell (Discussant) | |||
Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators Caio Almeida and Rene Garcia | Olesya Grishchenko (Discussant) | ... | ||
The Role of Heterogeneity in Asset Pricing: The Effect in Clustering Approach Olesya V. Grishchenko and Marco Rossi | Frans de Roon (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3G: Financial Intermediation and Institutions: Regulation | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Auditorium 24 | Trond E. Olsen |
Papers | Name | Public Notes | ||
Internal Reporting Systems, Compensation Contracts, and Bank Regulation Gyongyi Loranth and Alan D. Morrison and | Uday Rajan (Discussant) | |||
Optimal Casualty Insurance, Repair and Regulation in the Presence of a Securities Market Philip H. Dybvig and An Chen | Knut K. Aase (Discussant) | |||
Banking and Asset Prices in a Flexible-Tree Economy (Formerly The Credit Channel and Asset Prices) Christine A. Parlour, Richard Stanton and Johan Walden | Svein-Arne Persson (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3E: Corporate Finance, Theoretical: Dynamic Investments and Capital Structure | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Auditorium E | Kristian Miltersen |
Papers | Name | Public Notes | ||
Valuing Corporate Financing Strategies Andrea Gamba and Alexander J. Triantis | Joril Maeland (Discussant) | |||
The Effect of Investment and Financing Policies on Credit Risk Andrea Gamba and Mamen Aranda | Jochen Lawrenz (Discussant) | |||
Credit Constraints, Firms' Precautionary Investment, and the Business Cycle Ander Perez | Eirik Kristiansen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3B: Asset Pricing, Theoretical: Liquidity II | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Jan Mossin's Auditorium | Christine Parlour |
Papers | Name | Public Notes | ||
Vanishing Liquidity, Market Runs, and the Welfare Impact of Tarp Christian Ewerhart | Frode Brevik (Discussant) | |||
Consumption, Liquidity and the Cross-Sectional Variation of Expected Returns Elena Marquez, Belen Nieto and Gonzalo Rubio | Carles Vergara-Alert (Discussant) | |||
Corporate Bond Liquidity Before and after the Onset of the Subprime Crisis Jens Dick-Nielsen, Peter Feldhütter and David Lando | Jonathan Cohn (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3C: Asset Pricing, Empirical: Asset Pricing Volatility and Macroeconomics | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Agnar Sandmo's Auditorium | Lars Lochstoer |
Papers | Name | Public Notes | ||
Consumption Volatility Risk Oliver Boguth and Lars-Alexander Kuehn | Lukas Schmid (Discussant) | |||
Carry Trades and Global Foreign Exchange Volatility Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf | Ralph Koijen (Discussant) | |||
Dynamic Bond Portfolio Choice with Macroeconomic Information Alexandros Kostakis and Peter Spencer | Georgy Chabakauri (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3A: Argentum Symposium on Private Equity and Funds of Private Equity: Value Creation | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Dag Coward's Auditorium | Ulrich Hege |
Papers | Name | Public Notes | ||
Are Buyout Sponsors Market Timers in RLBOs? Jerry Cao | Tim Jenkinson (Discussant) | |||
Private Equity and Long-Run Investment: The Case of Innovation Morten Sorensen, Per Strömberg and Josh Lerner | Paul Oyer (Discussant) | |||
Managerial Incentives and Value Creation: Evidence from Private Equity Phillip Leslie and Paul Oyer | Per Strömberg (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3H: Market Microstructure: Market Design | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Karl Borch's Auditorium | Gideon Saar |
Papers | Name | Public Notes | ||
Hiding Behind the Veil: Pre-Trade Transparency, Informed Traders and Market Quality Kiran Kumar Kotha, Pradeep K. Yadav and Ramabhadran S. Thirumalai | Ingrid Werner (Discussant) | |||
Do Financial Analysts Restrain Insiders' Informational Advantage? Marios A. Panayides and Andrew Ellul | Erik Theissen (Discussant) | |||
Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading Katya Malinova and Andreas Park | Ohad Kadan (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T3F: Corporate Finance, Empirical: New Evidence on Corporate Governance | 08/20/2009 01:30 PM | 08/20/2009 03:00 PM | Auditorium 14 | Paolo Volpin |
Papers | Name | Public Notes | ||
How Corporate Governance Affects Firm Value: Evidence on Channels from Korea Bernard S. Black, Woochan Kim, Hasung Jang and Kyung Suh Park | Hannes Wagner (Discussant) | |||
The Effect of Search Frictions in Mergers Marc Martos-Vila and Filippos Papakonsantinou | Marc Gabarro (Discussant) | |||
Dividends and Stakeholder Conflicts: A Cleaner Test Øyvind Bøhren, Morten G. Josefsen and Pål Erik Steen | Kasper Nielsen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4H: Behavioral Finance: Educating Investors | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Karl Borch's Auditorium | Harrison Hong |
Papers | Name | Public Notes | ||
Do Financial Counseling Mandates Improve Mortgage Choice and Performance? Evidence from a Legislative Experiment Sumit Agarwal, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas D. Evanoff | Sophie Shive (Discussant) | |||
Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry Markku Kaustia and Samuli Knüpfer | Michela Verardo (Discussant) | |||
Information Disclosure, Cognitive Biases and Payday Borrowing Marianne Bertrand and Adair Morse | Victoria Ivashina (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4C: Asset Pricing, Empirical: Individual Investors | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Agnar Sandmo's Auditorium | Susan Kerr Christoffersen |
Papers | Name | Public Notes | ||
Individual Investor Trading and Return Patterns Around Earnings Announcements Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman | Ruslan Goyenko (Discussant) | |||
Heterogeneous Background Risks, Portfolio Choice, and Asset Returns: Evidence from Micro-Level Data Darius Palia, Yaxuan Qi and Yangru Wu | Shimon Kogan (Discussant) | |||
Determinants of Outstanding Mortgage Loan to Value Ratios: Evidence from the Netherlands M. Ricardo Cunha, Bart M. Lambrecht and Grzegorz Pawlina | Janis Berzins (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4B: Asset Pricing, Theoretical: Derivatives in Incomplete Markets | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Jan Mossin's Auditorium | Suleyman Basak |
Papers | Name | Public Notes | ||
Dynamic Hedging in Incomplete Markets: A Simple Solution Suleyman Basak and Georgy Chabakauri | Marcel Rindisbacher (Discussant) | |||
Expected Option Returns and the Structure of Jump Risk Premia Nicole Branger, Alexandra Hansis and Christian Schlag | Alfredo Ibanez (Discussant) | |||
Are We Extracting the True Risk Neutral Density from Option Prices? A Question with No Easy Answer James Huang | Grigory Vilkov (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4G: Financial Intermediation and Institutions: Fund Managers and Analysts | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Auditorium 24 | Josef Zechner |
Papers | Name | Public Notes | ||
Conflict-of-Interest Reforms and Analysts' Research Biases Yuyan Guan, Hai Lu and M.H. Franco Wong | Michael Halling (Discussant) | |||
Do Fund Managers Manipulate Share Prices? Evidence from Their Daily Trades Gang Hu, R. David McLean, Jeffrey Pontiff and Qinghai Wang | Richard Roll (Discussant) | |||
Gold Rush Dynamics of Private Equity Samuel Lee and Tage Daniel Sunesson | Tore Leite (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4E: Corporate Finance, Theoretical: Competition | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Auditorium E | Bart Lambrecht |
Papers | Name | Public Notes | ||
Leaders, Followers, and Risk Dynamics in Industry Equilibrium Murray Carlson, Engelbert J. Dockner, Adlai J. Fisher and Ron Giammarino | Grzegorz Pawlina (Discussant) | |||
The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship Jan Bena | Xavier Freixas (Discussant) | |||
Strategic IPOs and Product Market Competition Jiri Chod and Evgeny Lyandres | Ulrich Hege (Discussant) | ... | ||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4F: Corporate Finance, Empirical: Takeovers | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Auditorium 14 | Karin Thorburn |
Papers | Name | Public Notes | ||
Management Quality and Anti-Takeover Provisions Thomas J. Chemmanur, Imants Paeglis and Karen Simonyan | Hans Hvide (Discussant) | |||
Negotiation Under the Threat of an Auction Nihat Aktas, Eric de Bodt and Richard Roll | Enrique Schroth (Discussant) | |||
Stock Option Grants to Target CEOs During Private Merger Negotiations Eliezer M. Fich, Jie Cai and Anh L. Tran | Aksel Mjøs (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4A: Argentum Symposium on Private Equity and Funds of Private Equity: Special Topics | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Dag Coward's Auditorium | Uwe Walz |
Papers | Name | Public Notes | ||
Venture Capital and Sequential Investments Dirk Bergemann, Ulrich Hege and Liang Peng | Zsuzsanna Fluck (Discussant) | |||
Club Deals in Leveraged Buyouts Micah S. Officer, Oguzhan Ozbas and Berk A. Sensoy | Yael Hochberg (Discussant) | |||
Why SPAC Investors Should Listen to the Market Tim Jenkinson and Miguel Sousa | Jerry Cao (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
T4D: Asset Pricing, Empirical: Asset Pricing Equilibrium and Macroeconomics | 08/20/2009 03:30 PM | 08/20/2009 05:00 PM | Finn E. Kydland's Auditorium | Miguel Ferreira |
Papers | Name | Public Notes | ||
Inflation and the Stock Market: Understanding the 'Fed Model' Geert Bekaert and Eric Engstrom | Alessandro Beber (Discussant) | |||
The Federal Reserve and the Cross-Section of Stock Returns Erica X. N. Li and Francisco Palomino | Richard Priestley (Discussant) | |||
What Does Equity Sector Orderflow Tell Us about the Economy? Alessandro Beber, Kenneth A. Kavajecz and Michael W. Brandt | Soeren Hvidkjaer (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1B: Asset Pricing, Theoretical: Equilibrium Models of the Term Structure of Interest Rates | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Jan Mossin's Auditorium | Carsten Sørensen |
Papers | Name | Public Notes | ||
The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments Carles Vergara-Alert | Benjamin Croitoru (Discussant) | |||
The Long-Term Discount Rate Christine A. Parlour, Richard Stanton and Johan Walden | Nicole Branger (Discussant) | |||
Term Premium Dynamics and the Taylor Rule Michael F. Gallmeyer, Burton Hollifield, Francisco Palomino and Stanley E. Zin | Carsten Sørensen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1G: Financial Intermediation and Institutions: Foreign Borrowing | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Auditorium 24 | Mariassunta Giannetti |
Papers | Name | Public Notes | ||
Foreign Currency Borrowing by Small Firms Martin Brown, Steven Ongena and Pinar Yesin | Linus Siming (Discussant) | |||
Contracting Frictions and Cross-Border Capital Flows: Evidence from Venture Capital Laura Anne Lindsey, Ana Laura Balcarcel and Michael G. Hertzel | Kasper Nielsen (Discussant) | |||
The Real Effect of Foreign Banks Valentina Bruno and Robert B. H. Hauswald | Steven Ongena (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1C: Asset Pricing, Empirical: Fund Managers | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Agnar Sandmo's Auditorium | Michael Halling |
Papers | Name | Public Notes | ||
Brain Drain: Are Mutual Funds Losing Their Best Minds? Leonard Kostovetsky | Evgeny Lyandres (Discussant) | |||
High Water Marks in Competitive Capital Markets Susan Kerr Christoffersen and David K. Musto | Darwin Choi (Discussant) | |||
Pension Fund Performance and Risk-Taking Under Decentralized Investment Management David P. Blake, Allan G. Timmermann, Ian Tonks and Russ Wermers | Erik Kole (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1F: Corporate Finance, Empirical: Equity Offerings | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Auditorium 14 | Samuli Knüpfer |
Papers | Name | Public Notes | ||
Seasoned Equity Offerings, Quality Signalling, and Private Benefits of Control Balasingham Balachandran, Robert W. Faff, Michael Theobald and Eswaran Velayutham | Marie Dutordoir (Discussant) | |||
IPO Lockup Arrangements and Trading by Insiders Hafiz Hoque and Meziane Lasfer | Scott Hsu (Discussant) | |||
Subscription Patterns, Offer Prices and the Underpricing of IPOs Arif Khurshed , Alok Pande and Ajai K. Singh | Petri Jylha (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1E: Corporate Finance, Empirical: Debt Covenants | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Auditorium E | Kristian Miltersen |
Papers | Name | Public Notes | ||
Soft vs. Tough Bankruptcy Law. Evidence from the US and Germany Vladimir N. Vladimirov | Mads Nielsen (Discussant) | |||
The Defeasance of Control Rights Carsten Bienz, Antoine Faure-Grimaud and Zsuzsanna Fluck | Walter N. Torous (Discussant) | |||
The Value Implications of Creditor Intervention (Formerly Creditor Control Rights, Corporate Governance, and Firm Value) Greg Nini, David C. Smith and Amir Sufi | Carsten Bienz (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1D: Financial Econometrics: Return and Interest Rate Forecasting | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Finn E. Kydland's Auditorium | Ralph Koijen |
Papers | Name | Public Notes | ||
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?f Albert Lee Chun | Lieven Baele (Discussant) | |||
No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth Caroline Jardet, A. Monfort and Fulvio Pegoraro | Scott Joslin (Discussant) | |||
Long-Run Factors and Fluctuations in Dividend/Price Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni | Michael Halling (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1A: ECB Sessions on Liquidity and Financial Crises: Money Markets and the Transmission of Instability | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Dag Coward's Auditorium | Kjell Nyborg |
Papers | Name | Public Notes | ||
Rollover Risk and Market Freezes Viral V. Acharya, Douglas M. Gale and Tanju Yorulmazer | Sudipto Bhattacharya (Discussant) | |||
Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk Florian Heider, Marie Hoerova and Cornelia Holthausen | Kjell Nyborg (Discussant) | ... | ||
The Capital Structure of Financial Institutions and Liquidity Crisis Xuewen Liu and Antonio S. Mello | Mathias Drehmann (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F1H: Viz Risk Management Sessions on Energy Markets, Securities, and Prices: Empirical Analysis of Energy Markets | 08/21/2009 08:30 AM | 08/21/2009 10:00 AM | Karl Borch's Auditorium | Álvaro Cartea |
Papers | Name | Public Notes | ||
Fundamentals, Trader Activity and Derivative Pricing Bahattin Buyuksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl and Michel A. Robe | Anders Trolle (Discussant) | |||
Limits to Arbitrage and Hedging: Evidence from Commodity Markets Viral V. Acharya, Tarun Ramadorai and Lars A. Lochstoer | Jose S. Penalva Zuasti (Discussant) | |||
The European Commission and EUA Prices: A High-Frequency Analysis of the EC's Decision on Second NAPs Christian Conrad, Daniel Rittler and Waldemar Rotfuss | Carl Ullrich (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2E: Corporate Finance, Empirical: Bankruptcy and Financial Distress | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Auditorium E | B. Espen Eckbo |
Papers | Name | Public Notes | ||
What Gives? A Study of Firms' Reactions to Cash Shortfalls Tor-Erik Bakke and Toni M. Whited | Bernt Ødegaard (Discussant) | |||
Conflicts in Bankruptcy and the Sequence of Debt Issues Arturo Bris, S. Abraham Ravid, Ronald Sverdlove | Paul Ehling (Discussant) | |||
The Cost of Financial Distress and the Timing of Default Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson | Svein-Arne Persson (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2C: Asset Pricing, Empirical: Hedge Funds | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Agnar Sandmo's Auditorium | Bruno Gerard |
Papers | Name | Public Notes | ||
Wealth Effects of Hedge Fund Activismf Hadiye Aslan and Hilda Maraachlian | Bogdan Stacescu (Discussant) | |||
On Tournament Behavior in Hedge Funds: High Water Marks, Managerial Horizon, and the Backfilling Bias Vikram K. Nanda and George O. Aragon | Barbara Bukhvalova (Discussant) | |||
Being Locked Up Hurts Frans de Roon, Jinqiang Guo and Jenke ter Horst | Rudi Schadt (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2H: Viz Risk Management Sessions on Energy Markets, Securities, and Prices: Electricity Markets | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Karl Borch's Auditorium | Petter Bjerksund |
Papers | Name | Public Notes | ||
Valuation of Electricity Futures: Reduced-Form vs. Dynamic Equilibrium Models Wolfgang Bühler and Jens Müller-Merbach | Stein-Erik Fleten (Discussant) | |||
Forward Hedging and Vertical Integration in Electricity Markets Arnaud Porchet, René Aïd, Nizar Touzi and Gilles Chemla | Linda Rud (Discussant) | |||
Derivative Price Information Use in Hydroelectric Scheduling Stein-Erik Fleten, Jussi Keppo, Vivi K. Weiss and Helga K. Lumb | Petter Bjerksund (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2A: ECB Sessions on Liquidity and Financial Crises: Key Aspects of the Financial Crisis | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Dag Coward's Auditorium | Philipp Hartmann |
Papers | Name | Public Notes | ||
Securitization, Transparency and Liquidity Marco Pagano and Paolo F. Volpin | Uday Rajan (Discussant) | ... | ||
Bank Lending During the Financial Crisis of 2008 Victoria Ivashina and David S. Scharfstein | Gabriel Jimenez (Discussant) | |||
On the Real Effects of Bank Bailouts: Micro-Evidence from Japan Mariassunta Giannetti and Andrei Simonov | Arnoud Boot (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2G: Financial Intermediation and Institutions: Access to Credit | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Auditorium 24 | Charlotte Ostergaard |
Papers | Name | Public Notes | ||
The Costs of Being Private: Evidence from the Loan Market Anthony Saunders and Sascha Steffen | Frédéric Boissay (Discussant) | |||
Forgive and Forget: Who Gets Credit after Bankruptcy and Why? Ethan Cohen-Cole, Burcu Duygan-Bump and Judit Montoriol-Garriga | Jan Krahnen (Discussant) | |||
Tests of Ex Ante versus Ex Post Theories of Collateral Using Private and Public Information Allen N. Berger, W. Scott Frame and Vasso Ioannidou | Bent Vale (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2D: Financial Econometrics: Asset Pricing | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Finn E. Kydland's Auditorium | Frank de Jong Jonas Andersson |
Papers | Name | Public Notes | ||
Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice Mathijs Cosemans, Rik G.P. Frehen, Peter C. Schotman and Rob Bauer | Adrian Buss (Discussant) | |||
A New Class of Asset Pricing Models with Levy Processes: Theory and Applications Chayawat Ornthanalai | Tony Berrada (Discussant) | |||
Jumps in Equilibrium Prices and Market Microstructure Noise Suzanne S. Lee and Per A. Mykland | Bård Støve (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2B: Asset Pricing, Theoretical: General Equilibrium Models | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Jan Mossin's Auditorium | James Darrell Duffie |
Papers | Name | Public Notes | ||
Multiple Trees Subject to Event Risk Paolo Porchia and Fabio Trojani | Ethan Chiang (Discussant) | |||
Asset Pricing in General Equilibrium with Constraints Georgy Chabakauri | Jerome Detemple (Discussant) | |||
Generalized Transform Analysis of Affine Processes and Asset Pricing Applications Hui Chen and Scott Joslin | Peter Feldhütter (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F2F: Corporate Finance, Empirical: Investing in Firms with Debt | 08/21/2009 10:30 AM | 08/21/2009 12:00 PM | Auditorium 14 | David Smith |
Papers | Name | Public Notes | ||
Estimating Equity Premia from CDS Spreads Christoph Kaserer and Tobias Berg | Jan Ericsson (Discussant) | |||
Investing in Chapter 11 Stocks: Liquidity and Performance Yuanzhi Li and Zhaodong Zhong | Robert Mooradian (Discussant) | |||
Does Debtor Protection Really Protect Debtors? Evidence from the Small Business Credit Market Allen N. Berger, Geraldo Cerqueiro and Maria Fabiana Penas | Ove Rein Hetland (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3C: Asset Pricing, Empirical: Asymmetric Information | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Agnar Sandmo's Auditorium | Peter Christoffersen |
Papers | Name | Public Notes | ||
Price Adjustment to News with Uncertain Precision Dieter Hess, Nikolaus Hautsch and Christoph Müller | Günter Strobl (Discussant) | ... | ||
When Uncertainty Blows in the Orchard: Comovement and Volatility Risk Premia Andrea Buraschi, Fabio Trojani and Andrea Vedolin | Chayawat Ornthanalai (Discussant) | |||
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows Andrew J. Patton and Michela Verardo | Grigory Vilkov (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3G: Financial Intermediation and Institutions: Syndicated Loans | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Auditorium 24 | Carsten Bienz |
Papers | Name | Public Notes | ||
The Option Value of Consumer Bankruptcy: Can Uninsured Idiosyncratic Risk Explain Bankruptcy Patterns? Ethan Cohen-Cole | Kyoung Sun Park (Discussant) | |||
Institutional Investment in Syndicated Loans Debarshi Nandy and Pei Shao | Sascha Steffen (Discussant) | |||
Controlling Shareholders and the Agency Cost of Debt: Evidence from Syndicated Loans Praveen Kumar and Hadiye Aslan | David Smith (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3B: Asset Pricing, Theoretical: Ambiguity | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Jan Mossin's Auditorium | Jørgen Haug |
Papers | Name | Public Notes | ||
Uncertainty Aversion and the Term Structure of Interest Rates Frode Brevik | Philipp Illeditsch (Discussant) | |||
Ambiguity Information, Risk Aversion, and Asset Pricing Philipp K. Illeditsch | Tommy Stamland (Discussant) | |||
Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds Maxim Ulrich | Frode Brevik (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3E: Corporate Finance, Empirical: Corporate Investments | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Auditorium E | Toni Whited |
Papers | Name | Public Notes | ||
Corporate Savings and Price Informativeness Laurent Fresard | Jan Bena (Discussant) | |||
Political Uncertainty and Corporate Investment Cycles Brandon Julio and Youngsuk Yook | Ethan Cohen-Cole (Discussant) | |||
Agency Costs of Idiosyncratic Volatility, Corporate Governance, and Investment Kose John and Dalida Kadyrzhanova | Toni Whited (Discussant) | Withdrawn | ||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3A: Special Sessions on Liquidity and Financial Crises: Stability | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Dag Coward's Auditorium | Bent Vale |
Papers | Name | Public Notes | ||
Monetary Policy and Credit Crunch: Identifying Simultaneously the Bank Lending and Balance Sheet Channels Steven Ongena, Jose Luis Peydro, Jesus Saurina Salas and Gabriel Jimenez | Jørn I. Halvorsen (Discussant) | |||
Bank Competition and Economic Stability: The Role of Monetary Policy Sylvain Champonnois | Ewa Miklaszewska (Discussant) | |||
Funding Liquidity Risk in a Quantitative Model of Systemic Stability David Aikman, Piergiorgio Alessandri, Bruno Eklund, Prasanna Gai, Sujit Kapadia, Elizabeth Martin, Nada Mora, Gabriel Sterne and Matthew Willison | Philipp Hartmann (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3D: International Finance: Volatility of International Stock Markets | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Finn E. Kydland's Auditorium | Richard Roll |
Papers | Name | Public Notes | ||
Is There a Trend in Idiosyncratic Volatility? Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang | Ian Cooper (Discussant) | |||
Contagion in the Presence of Stochastic Interdependence Clifford A. Ball and Walter N. Torous | Akiko Watanabe (Discussant) | |||
Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms? Sohnke M. Bartram, Gregory W. Brown and Rene M. Stulz | Piet Sercu (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3H: Behavioral Finance: Attracting Investor Types | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Karl Borch's Auditorium | Marcin Kacperczyk |
Papers | Name | Public Notes | ||
Red and Blue Investing: Values and Finance Harrison G. Hong and Leonard Kostovetsky | Sophie Shive (Discussant) | |||
Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes Alok Kumar, Jeremy K. Page and Oliver G. Spalt | Lucian Taylor (Discussant) | |||
The Dark Side of the Moon: Structured Products from the Customer's Perspective Thorsten Hens and Marc Oliver Rieger | Paul Ehling (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
F3F: Corporate Finance, Empirical: Active Stake Holders | 08/21/2009 01:30 PM | 08/21/2009 03:00 PM | Auditorium 14 | Peter Swan |
Papers | Name | Public Notes | ||
Blockholder Intervention Versus Threat of Exit David R. Gallagher, Peter Gardner and Peter L. Swan | Jonathan Cohn (Discussant) | |||
Liquidity and Shareholder Activism Oyvind Norli, Charlotte Ostergaard and Ibolya Schindele | Woochan Kim (Discussant) | |||
Industry Technological Changes, Venture Capital Incubation, and Post-IPO Firm Innovation and Performance Scott H.C Hsu | Jerry Cao (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1A: Special Sessions on Liquidity and Financial Crises: Asset Pricing | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Dag Coward's Auditorium | Andrea Buraschi |
Papers | Name | Public Notes | ||
Bond Liquidity Premia Jean-Sebastien Fontaine and Rene Garcia | Neil Pearson (Discussant) | |||
The Same Bond at Different Prices: Identifying Search Frictions and Demand Pressures Peter Feldhütter | Rene Garcia (Discussant) | |||
The Joint Pricing of Volatility and Liquidity Federico M. Bandi, Claudia E. Moise and Jeffrey Russell | Andrea Vedolin (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1C: Asset Pricing, Empirical: Investments in Corporate Bonds | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Agnar Sandmo's Auditorium | Peter Feldhütter |
Papers | Name | Public Notes | ||
Correlation in Corporate Defaults: Contagion or Conditional Independence? David Lando and Mads Stenbo Nielsen | Wolfgang Bühler (Discussant) | |||
Measuring and Modeling Default Dependence: Evidence from CDO, CDS and Equity Data Peter F. Christoffersen, Jan Ericsson, Kris Jacobs and Xisong Jin | David Lando (Discussant) | |||
Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change Zhihua Chen, Aziz A. Lookman, Norman Schürhoff and Duane J. Seppi | Olfa Maalaoui (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1E: Corporate Finance, Empirical: Dividends | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Auditorium E | Micah Officer |
Papers | Name | Public Notes | ||
Capital Gains Tax Overhang and Payout Policy Jonathan B. Cohn and Stephanie A. Sikes | Andriy Bodnaruk (Discussant) | |||
Dividend Policies in an Unregulated Market: The London Stock Exchange 1895-1905 Lyndon Moore and Fabio Braggion | Balasingham Balachandran (Discussant) | |||
The Shareholder Base and Payout Policy Andriy Bodnaruk and Per Östberg | Miguel Ferreira (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1B: Asset Pricing, Empirical: Active (Smart) Investors | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Jan Mossin's Auditorium | Soeren Hvidkjaer |
Papers | Name | Public Notes | ||
The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options Michael L. Lemmon and Sophie X. Ni | Maik Schmeling (Discussant) | |||
Riding Bubbles Nadja Guenster, Erik Kole and Ben Jacobsen | Sophie Shive (Discussant) | |||
Modern Portfolio Management with Conditioning Information I-Hsuan Ethan Chiang | Michael Gallmeyer (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1F: Corporate Finance, Empirical: Catering Stake Holders | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Auditorium 14 | K.J. Martijn Cremers |
Papers | Name | Public Notes | ||
A Servant to Many Masters: Competing Shareholder Preferences and Limits to Catering Massimo Massa and Alberto Manconi | Laurent Fresard (Discussant) | |||
Why Do Convertible Issuers Simultaneously Repurchase Stock? An Arbitrage-Based Explanation Abe de Jong, Marie Dutordoir and Patrick Verwijmeren | Darwin Choi (Discussant) | |||
When Shareholders are Creditors: Effects of the Simultaneous Holding of Equity and Debt by Institutional Investors Wei Jiang, Kai Li and Pei Shao | George Aragon (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1G: Financial Intermediation and Institutions: Borrower-Lender Conflicts | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Auditorium 24 | Andrew Ellul |
Papers | Name | Public Notes | ||
The Effect of Litigation on Venture Capitalist Reputation Vladimir A. Atanasov, Vladimir I. Ivanov and Kate Litvak | Jonathan Cohn (Discussant) | Withdrawn | ||
Bank Capital, Borrower Power, and Loan Rates João A. C. Santos and Andrew Winton | Florian Heider (Discussant) | |||
Interest Rates in Trade Credit Markets Klenio Barbosa, Humberto Moreira and Walter Novaes | Zsuzsanna Fluck (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1D: International Finance: International Stock Markets | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Finn E. Kydland's Auditorium | Ian Cooper |
Papers | Name | Public Notes | ||
Competing Capital Constraints Astrid V. Schornick | Van Nguyen (Discussant) | |||
Informed Trading Around the World Sandy Lai, Lilian K. Ng and Bohui Zhang | Patrick Kelly (f) | |||
Cross Listing Waves Sergei Sarkissian and Michael J. Schill | Masahiro Watanabe (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S1H: Behavioral Finance: Documenting Behavioral Biases | 08/22/2009 09:00 AM | 08/22/2009 10:30 AM | Karl Borch's Auditorium | Thorsten Hens |
Papers | Name | Public Notes | ||
Prospect Theory, Partial Liquidation and the Disposition Effect Vicky Henderson | Withdrawn | |||
Managerial Biases and Corporate Risk Management Tim Adam, Chitru S. Fernando and Evgenia V. Golubeva | Per Östberg (Discussant) | |||
Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry Vincent Glode, Burton Hollifield, Marcin T. Kacperczyk and Shimon Kogan | Thorsten Hens (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2C: Asset Pricing, Empirical: Implications of Corporate Decisions on Asset Pricing | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Agnar Sandmo's Auditorium | David Lando |
Papers | Name | Public Notes | ||
Is Shareholders' Strategic Default Behavior Priced? Evidence from the International Cross-Section of Stocks Giovanni Favara, Enrique J. Schroth and Philip Valta | Albert Lee Chun (Discussant) | |||
Real Investment, Risk and Risk Dynamics Ilan Cooper and Richard Priestley | Engelbert Dockner (Discussant) | |||
Capital Structure Effects on Prices of Firm Stock Options: Tests Using Implied Market Values of Corporate Debt Robert L. Geske and Yi Zhou | Dion Bongaerts (Discussant) | Withdrawn | ||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2G: Financial Intermediation and Institutions: Governance Structure | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Auditorium 24 | Steven Ongena |
Papers | Name | Public Notes | ||
Investment Banking Careers Ulf Axelson and A. Philip Bond | Ibolya Schindele (Discussant) | |||
Social Capital and the Viability of Stakeholder-Oriented Firms: Evidence from Norwegian Savings Banks Charlotte Ostergaard, Ibolya Schindele and Bent Vale | Maria Penas (Discussant) | |||
Informed and Uninformed Investment in Housing: The Downside of Diversification Elena Loutskina and Philip E. Strahan | Wolf Wagner (Discussant) | Withdrawn | ||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2D: International Finance: Currency Markets | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Finn E. Kydland's Auditorium | Tom Berglund |
Papers | Name | Public Notes | ||
Spot and Forward Volatility in Foreign Exchange Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas | Fulvio Pegoraro (Discussant) | |||
Crash Risk in Currency Markets Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain Ranciere and Adrien Verdelhan | Aku Penttinen (Discussant) | |||
Why are Some Currencies Viewed as Benchmarks? The Roles of Interest Rates, Economic Size, and Exchange-Rate Regime Fang Liu and Piet Sercu | Arto Thurlin (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2E: Financial Econometrics: Volatility | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Auditorium E | Peter Schotman |
Papers | Name | Public Notes | ||
Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches Eric Ghysels, Rossen I. Valkanov and Antonio Rubia | Mathijs Cosemans (Discussant) | |||
The Equity Premium and The Volatility Spread : The Role of Risk-Neutral Skewness Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap | Nicole Branger (Discussant) | |||
Realized Volatility and Price Spikes in Electricity Markets: The Importance of Observation Frequency Carl J. Ullrich | Jonas Andersson (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2H: Behavioral Finance: Explaining Behavioral Biases | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Karl Borch's Auditorium | Soeren Hvidkjaer |
Papers | Name | Public Notes | ||
Asset Market Games of Survival Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé | Shimon Kogan (Discussant) | |||
Myopic Extrapolation, Price Momentum, and Price Reversal Long Chen, Claudia E. Moise and Shelly Zhao | J. Spencer Martin (Discussant) | |||
Do Investment Flows Drive the Disposition Effect on Fund Managers? Min-Hsieng Chiang and Hsin-Yi Huang | Susan Kerr Christoffersen (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2A: Special Sessions on Liquidity and Financial Crises: Funding | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Dag Coward's Auditorium | Per Östberg |
Papers | Name | Public Notes | ||
Funding Liquidity Risk: Definition and Measurement Mathias Drehmann and Kleopatra Nikolaou | Ruslan Goyenko (Discussant) | |||
The Stabilizing Effects of Risk-Sensitive Bank Capital Frédéric Boissay and Christoffer Kok Sorensen | Bogdan Stacescu (Discussant) | |||
Hedge Funds and Prime Brokers: The Role of Funding Risk Benjamin Klaus and Bronka Rzepkowski | Claudia Moise (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2F: Corporate Finance, Empirical: Family Firms | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Auditorium 14 | Arnoud Boot |
Papers | Name | Public Notes | ||
Inheritance Law and Investment in Family Firms Andrew Ellul, Marco Pagano and Fausto Panunzi | Thore Johnsen (Discussant) | |||
Capital Structure Decisions in Family Firms - Empirical Evidence from a Bank-Based Economy Markus Ampenberger, Thomas Schmid, Ann-Kristin Achleitner and Christoph Kaserer | Andrew Ellul (Discussant) | |||
The Life Cycle of Family Ownership: A Comparative Study of France, Germany, Italy and the U.K. Julian R. Franks, Colin Mayer, Paolo F. Volpin and Hannes F. Wagner | Marcel Vorage (Discussant) | |||
Session Name | Start Date/Time | End Date/Time | Location | Session Chair(s) |
S2B: Asset Pricing, Empirical: Reestablishing Efficient Markets | 08/22/2009 11:00 AM | 08/22/2009 12:30 PM | Jan Mossin's Auditorium | Markku Kaustia |
Papers | Name | Public Notes | ||
A Unique View of Hedge Fund Derivatives Usage: Safeguard or Speculation? George O. Aragon and J. Spencer Martin | Joop Huij (Discussant) | |||
Are Stocks Really Less Volatile in the Long Run? Lubos Pastor and Robert F. Stambaugh | Peter Christoffersen (Discussant) | |||
Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading Paul H. Schultz and Sophie Shive | Katya Malinova (Discussant) |