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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 DateEnd DateLocation
EFA 2009 Bergen Meetings08/19/2009 08/22/2009 Bergen, Norway 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1F: Corporate Finance, Empirical: Boards08/20/2009 08:30 AM 08/20/2009 10:00 AM Auditorium 14 Ulf Axelson
 
PapersNamePublic Notes
Costs and Benefits of 'Friendly' Boards during Mergers and Acquisitions

Breno Schmidt
University of Southern California - Marshall School of Business - Finance and Business Economics Department

Lucian Taylor
(Discussant)
 
The Value of Independent Directors: Evidence from Sudden Deaths

Bang Dang Nguyen and Kasper Meisner Nielsen
Chinese University of Hong Kong (CUHK) and Chinese University of Hong Kong (CUHK)

Lauren Cohen
(Discussant)
 
Hiring Cheerleaders: Board Appointments of 'Independent' Directors

Lauren Cohen, Andrea Frazzini and Christopher J. Malloy
Harvard Business School, University of Chicago and Harvard Business School

Joakim Bång
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1C: Asset Pricing, Empirical: Fund Return Predictability08/20/2009 08:30 AM 08/20/2009 10:00 AM Agnar Sandmo's Auditorium Rossen Valkanov
 
PapersNamePublic Notes
Hedge Fund Predictability Under the Magnifying Glass: Forecasting Individual Fund Returns Using Multiple Predictors

Doron Avramov, Laurent Barras and Robert Kosowski
University of Maryland, McGill University and Imperial College London

Jialin Yu
(Discussant)
 
Mutual Fund's R2 as Predictor of Performance

Yakov Amihud and Ruslan Goyenko
New York University and McGill University

Antonio Rubia
(Discussant)
 
The Performance of European Equity Mutual Funds

Allan G. Timmermann, Ayelen Banegas, Benjamin J. Gillen and Russ Wermers
University of California, San Diego, University of California, San Diego, University of California, San Diego and University of Maryland

K.J. Martijn Cremers
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1D: Asset Pricing, Empirical: Stocks and Interest Rate Markets08/20/2009 08:30 AM 08/20/2009 10:00 AM Finn E. Kydland's Auditorium Geert Bekaert
 
PapersNamePublic Notes
The Determinants of Stock and Bond Return Comovements

Geert Bekaert, Lieven Baele and Koen Inghelbrecht
Columbia University, Columbia Business School - Economics Department, Tilburg University and Ghent University

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
University of Chicago, University of California, Los Angeles, National Bureau of Economic Research (NBER) and New York University

Lars Lochstoer
(Discussant)
 
The Price of Interest Rate Variance Risk and Optimal Investments in Interest Rate Derivatives

Anders B. Trolle
Copenhagen Business School

Claudia Moise
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1H: Market Microstructure: Matching Agents08/20/2009 08:30 AM 08/20/2009 10:00 AM Karl Borch's Auditorium Ingrid Werner
 
PapersNamePublic Notes
Arbitrage Opportunities: A Blessing or a Curse?

Roman Kozhan and Wing Wah Tham
University of Warwick and Erasmus University Rotterdam (EUR)

Thierry Foucault
(Discussant)
 
Liquidity Cycles and Make/Take Fees in Electronic Markets

Thierry Foucault, Ohad Kadan and Eugene Kandel
HEC Paris, Washington University, St. Louis and Hebrew University of Jerusalem

Marios Panayides
(Discussant)
 
Market Makers as Information Providers: The Natural Experiment of STAR

Pietro Perotti and Barbara Rindi
Bocconi University and Bocconi University

Ola Simonsen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1B: Asset Pricing, Theoretical: Incomplete Information08/20/2009 08:30 AM 08/20/2009 10:00 AM Jan Mossin's Auditorium Jerome Detemple
 
PapersNamePublic Notes
Incomplete Information, Idiosyncratic Volatility and Stock Returns

Julien N. Hugonnier and Tony Berrada
University of Lausanne and University of Geneva

Marcel Rindisbacher
(Discussant)
 
Relative Wealth Concerns and Complementarities in Information Acquisition

Diego Garcia and Günter Strobl
University of North Carolina at Chapel Hill and University of North Carolina at Chapel Hill

David Feldman
(Discussant)
 
Information, Expected Utility, and Portfolio Choice

Jun Liu, Ehud Peleg and Avanidhar Subrahmanyam
University of California, San Diego, University of California, Los Angeles and University of California, Los Angeles

Ali Lazrak
(Discussant)
Withdrawn
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1G: Financial Intermediation and Institutions: Liquidity08/20/2009 08:30 AM 08/20/2009 10:00 AM Auditorium 24 Tommy Stamland
 
PapersNamePublic Notes
The Dark Side of Financial Innovation

Brian J. Henderson and Neil D. Pearson
George Washington University and University of Illinois at Urbana-Champaign

Mark Shackleton
(Discussant)
 
The Inefficiency of Diversification in Economies With Endogenous Liquidation Costs

Wolf Wagner
Tilburg University

Philipp Illeditsch
(Discussant)
 
The Optimality of Interbank Liquidity Insurance

Fabio Castiglionesi and Wolf Wagner
Tilburg University and Tilburg University

Knut Heen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1E: Corporate Finance, Theoretical: Asymmetric Information08/20/2009 08:30 AM 08/20/2009 10:00 AM Auditorium E Milton Harris
 
PapersNamePublic Notes
Corporate Fraud, Governance and Auditing

Giovanni Immordino and Marco Pagano
Università degli Studi di Salerno and University of Naples Federico II

Evgeny Lyandres
(Discussant)
 
Signaling in Tender Offer Games

Mike Burkart and Samuel Lee
Stockholm School of Economics and New York University

Alan Morrison
(Discussant)
 
Some Unpleasant General Equilibrium Implications of Executive Incentive Compensation Contracts

John B. Donaldson, Natalia Gershun and Marc Giannoni
Columbia University, Pace University and Columbia University, Columbia Business School - Economics Department

Kohei Kawamura
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T1A: Special Session on the Role of Sovereign Wealth Funds08/20/2009 08:30 AM 08/20/2009 10:00 AM Dag Coward's Auditorium Elroy Dimson
 
PapersNamePublic Notes
Sovereign Wealth Fund Investment Patterns and Performance

Bernardo Bortolotti, Veljko Fotak, William L. Megginson and William Miracky
Fondazione Eni Enrico Mattei (FEEM), University of Oklahoma, University of Oklahoma and Monitor Group

Bruno Gerard
(Discussant)
 
Sovereign Wealth Funds: Investment Choices and Implications Around the World

Nuno G. Fernandes
IMD International

David Chambers
(Discussant)
 
The Dynamics of Sovereign Credit Risk

Alexandre Jeanneret
University of Lausanne

Engelbert Dockner
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2H: Market Microstructure: Liquidity08/20/2009 10:30 AM 08/20/2009 12:00 PM Karl Borch's Auditorium Erik Theissen
 
PapersNamePublic Notes
Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?

Chandrasekhar Krishnamurti, Avanidhar Subrahmanyam and Tiong Yang Thong
Auckland University of Technology, University of California, Los Angeles and Singapore Management University

Maria Kasch
(Discussant)
 
Managerial Decisions, Asset Liquidity, and Stock Liquidity

Radhakrishnan Gopalan, Ohad Kadan and Mikhail Pevzner
Washington University, St. Louis, Washington University, St. Louis and George Mason University

Erik Theissen
(Discussant)
 
Optimal Liquidation in Dark Pools

Peter Kratz and Torsten Schoeneborn
Humboldt University of Berlin, Quantitative Products Laboratory and AHL (Man Investments)

Mark Van Achter
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2A: Argentum Symposium on Private Equity and Funds of Private Equity: Pricing and Performance08/20/2009 10:30 AM 08/20/2009 12:00 PM Dag Coward's Auditorium Carsten Bienz
 
PapersNamePublic Notes
Informational Hold-Up and Performance Persistence in Venture Capital

Yael V. Hochberg, Alexander Ljungqvist and Annette Vissing-Jorgensen
Northwestern University, New York University and Northwestern University

Ulf Axelson
(Discussant)
 
Leverage and Pricing in Buyouts: An Empirical Analysis

Ulf Axelson, Per Strömberg, Tim Jenkinson and Michael S. Weisbach
Institute for Financial Research (SIFR), Institute for Financial Research (SIFR), University of Oxford and Ohio State University

Marco Da Rin
(Discussant)
 
Private Equity Investments: Performance and Diseconomies of Scale

Florencio Lopez de Silanes and Ludovic Phalippou
EDHEC Business School, University of Amsterdam and University of Amsterdam

Uwe Walz
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2G: Financial Intermediation and Institutions: Rating Agencies08/20/2009 10:30 AM 08/20/2009 12:00 PM Auditorium 24 Rajna Gibson
 
PapersNamePublic Notes
The Failure of Models that Predict Failure: Distance, Incentives and Defaults

Uday Rajan, Amit Seru and Vikrant Vig
University of Michigan at Ann Arbor, University of Chicago and London Business School

Loriana Pelizzon
(Discussant)
 
The Credit Ratings Game

Patrick Bolton, Xavier Freixas and Joel Shapiro
Columbia University, Columbia Business School - Economics Department, Universitat Pompeu Fabra and Universitat Pompeu Fabra

Christian Ewerhart
(Discussant)
 
Multiple Ratings and Credit Spreads

Dion Bongaerts, Martijn Cremers and William N. Goetzmann
University of Amsterdam, Yale School of Management and Yale School of Management

Paolo Porchia
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2E: Corporate Finance, Theoretical: Corporate Debt and Credit Risk08/20/2009 10:30 AM 08/20/2009 12:00 PM Auditorium E Dirk Hackbarth
 
PapersNamePublic Notes
Liquidity and Feasible Debt Relief

Josef Zechner and Chris Hennessy
Vienna University of Economics and Business Administration and University of California, Berkeley

Robert Hauswald
(Discussant)
 
Leverage Choice and Credit Spread Dynamics When Managers Risk Shift

Murray Carlson and Ali Lazrak
University of British Columbia, HEC Paris and University of British Columbia

Jochen Lawrenz
(Discussant)
 
Optimal Design of Rating-Trigger Step-Up Bonds: Agency Conflicts versus Asymmetric Information

Christian Koziol and Jochen Lawrenz
University of Mannheim and University of Innsbruck

Bart Lambrecht
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2C: Asset Pricing, Empirical: Predicting (Components of) Stock Returns08/20/2009 10:30 AM 08/20/2009 12:00 PM Agnar Sandmo's Auditorium Walter N. Torous
 
PapersNamePublic Notes
Oil Price Shocks and Stock Return Predictability

Lars Qvigstad Sørensen
Norwegian School of Economics and Business Administration (NHH)

Ralph Koijen
(Discussant)
 
Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

Miguel A. Ferreira and Pedro Santa-Clara
New University of Lisbon and New University of Lisbon

Jialin Yu
(Discussant)
 
How Predictable are Components of the Aggregate Market Portfolio?

Aiguo Kong, David Rapach, Jack Strauss, Jun Tu and Guofu Zhou
Fudan University, Saint Louis University, Saint Louis University, Singapore Management University and Washington University, St. Louis

Oliver Boguth
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2B: Asset Pricing, Theoretical: Liquidity I08/20/2009 10:30 AM 08/20/2009 12:00 PM Jan Mossin's Auditorium Michael Brandt
 
PapersNamePublic Notes
Dynamic Margin Constraints

Oleg Rytchkov
University of Texas at Austin

Astrid Schornick
(Discussant)
 
How Does Illiquidity Affect Delegated Portfolio Choice?

Luis Goncalves-Pinto
University of Southern California - Marshall School of Business - Finance and Business Economics Department

Michael Gallmeyer
(Discussant)
 
Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification

Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University, University of British Columbia, London Business School and University of British Columbia

Johan Walden
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2F: Corporate Finance, Empirical: CEOs08/20/2009 10:30 AM 08/20/2009 12:00 PM Auditorium 14 Paul Oyer
 
PapersNamePublic 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
IMD International, New University of Lisbon, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Southern California

Mariassunta Giannetti
(Discussant)
 
Why are CEOS Rarely Fired? Evidence from Structural Estimation

Lucian A. Taylor
University of Pennsylvania

Marc Martos-Vila
(Discussant)
 
CEOs Under Fire: Pressure from within - The Effects of Inside Directors on CEO Compensation and Turnover

H. Shawn Mobbs
University of Alabama

Breno Schmidt
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T2D: Asset Pricing, Empirical: Factor Models and Analysis08/20/2009 10:30 AM 08/20/2009 12:00 PM Finn E. Kydland's Auditorium Annette Vissing-Jorgensen
 
PapersNamePublic Notes
The Diminishing Liquidity Premium

Azi Ben-Rephael, Ohad Kadan and Avi Wohl
Tel Aviv University, Washington University, St. Louis and Tel Aviv University

Richard Roll
(Discussant)
 
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

Martijn Cremers, Antti Petajisto and Eric Zitzewitz
Yale School of Management, Yale School of Management and Dartmouth College

Lauren Cohen
(Discussant)
 
Option-Implied Correlation and Factor Betas Revisited

Adrian Buss and Grigory Vilkov
Goethe University Frankfurt - House of Finance (HoF) - Graduate Program in Finance and Monetary Economics and Goethe University Frankfurt

Ralph Koijen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3D: Asset Pricing, Empirical: Discount Factors08/20/2009 01:30 PM 08/20/2009 03:00 PM Finn E. Kydland's Auditorium Frans de Roon
 
PapersNamePublic Notes
Commonality in Disagreement and Asset Pricing

Jialin Yu
Columbia University, Columbia Business School - Economics Department

Rachel Campbell
(Discussant)
 
Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Caio Almeida and Rene Garcia
Getulio Vargas Foundation (FGV) and EDHEC Business School

Olesya Grishchenko
(Discussant)
... 
The Role of Heterogeneity in Asset Pricing: The Effect in Clustering Approach

Olesya V. Grishchenko and Marco Rossi
New York University and Pennsylvania State University

Frans de Roon
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3G: Financial Intermediation and Institutions: Regulation08/20/2009 01:30 PM 08/20/2009 03:00 PM Auditorium 24 Trond E. Olsen
 
PapersNamePublic Notes
Internal Reporting Systems, Compensation Contracts, and Bank Regulation

Gyongyi Loranth and Alan D. Morrison and
London Business School, University of Cambridge and University of Oxford

Uday Rajan
(Discussant)
 
Optimal Casualty Insurance, Repair and Regulation in the Presence of a Securities Market

Philip H. Dybvig and An Chen
Washington University, St. Louis and University of Bonn

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
University of California, Berkeley, University of California, Berkeley and University of California, Berkeley

Svein-Arne Persson
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3E: Corporate Finance, Theoretical: Dynamic Investments and Capital Structure08/20/2009 01:30 PM 08/20/2009 03:00 PM Auditorium E Kristian Miltersen
 
PapersNamePublic Notes
Valuing Corporate Financing Strategies

Andrea Gamba and Alexander J. Triantis
George Washington University and University of Maryland

Joril Maeland
(Discussant)
 
The Effect of Investment and Financing Policies on Credit Risk

Andrea Gamba and Mamen Aranda
George Washington University and University of Navarra

Jochen Lawrenz
(Discussant)
 
Credit Constraints, Firms' Precautionary Investment, and the Business Cycle

Ander Perez
Universitat Pompeu Fabra

Eirik Kristiansen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3B: Asset Pricing, Theoretical: Liquidity II08/20/2009 01:30 PM 08/20/2009 03:00 PM Jan Mossin's Auditorium Christine Parlour
 
PapersNamePublic Notes
Vanishing Liquidity, Market Runs, and the Welfare Impact of Tarp

Christian Ewerhart
University of Zurich - Faculty of Business Administration - Institute for Empirical Research in Economics (IEW)

Frode Brevik
(Discussant)
 
Consumption, Liquidity and the Cross-Sectional Variation of Expected Returns

Elena Marquez, Belen Nieto and Gonzalo Rubio
Complutense University of Madrid, Universidad de Alicante and University Cardenal Herrera-CEU

Carles Vergara-Alert
(Discussant)
 
Corporate Bond Liquidity Before and after the Onset of the Subprime Crisis

Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School, Copenhagen Business School and Copenhagen Business School

Jonathan Cohn
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3C: Asset Pricing, Empirical: Asset Pricing Volatility and Macroeconomics08/20/2009 01:30 PM 08/20/2009 03:00 PM Agnar Sandmo's Auditorium Lars Lochstoer
 
PapersNamePublic Notes
Consumption Volatility Risk

Oliver Boguth and Lars-Alexander Kuehn
University of British Columbia and Carnegie Mellon University

Lukas Schmid
(Discussant)
 
Carry Trades and Global Foreign Exchange Volatility

Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf
University of Hannover, City University London, University of Hannover and Centre for European Economic Research (ZEW)

Ralph Koijen
(Discussant)
 
Dynamic Bond Portfolio Choice with Macroeconomic Information

Alexandros Kostakis and Peter Spencer
University of Glasgow and University of York (UK)

Georgy Chabakauri
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3A: Argentum Symposium on Private Equity and Funds of Private Equity: Value Creation08/20/2009 01:30 PM 08/20/2009 03:00 PM Dag Coward's Auditorium Ulrich Hege
 
PapersNamePublic Notes
Are Buyout Sponsors Market Timers in RLBOs?

Jerry Cao
Boston College

Tim Jenkinson
(Discussant)
 
Private Equity and Long-Run Investment: The Case of Innovation

Morten Sorensen, Per Strömberg and Josh Lerner
Columbia University, Institute for Financial Research (SIFR) and Harvard Business School

Paul Oyer
(Discussant)
 
Managerial Incentives and Value Creation: Evidence from Private Equity

Phillip Leslie and Paul Oyer
Stanford Graduate School of Business and Stanford Graduate School of Business

Per Strömberg
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3H: Market Microstructure: Market Design08/20/2009 01:30 PM 08/20/2009 03:00 PM Karl Borch's Auditorium Gideon Saar
 
PapersNamePublic Notes
Hiding Behind the Veil: Pre-Trade Transparency, Informed Traders and Market Quality

Kiran Kumar Kotha, Pradeep K. Yadav and Ramabhadran S. Thirumalai
National Institute of Securities Markets, University of Oklahoma and Indian School of Business

Ingrid Werner
(Discussant)
 
Do Financial Analysts Restrain Insiders' Informational Advantage?

Marios A. Panayides and Andrew Ellul
University of Utah and Indiana University Bloomington

Erik Theissen
(Discussant)
 
Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading

Katya Malinova and Andreas Park
University of Toronto and University of Toronto

Ohad Kadan
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T3F: Corporate Finance, Empirical: New Evidence on Corporate Governance08/20/2009 01:30 PM 08/20/2009 03:00 PM Auditorium 14 Paolo Volpin
 
PapersNamePublic Notes
How Corporate Governance Affects Firm Value: Evidence on Channels from Korea

Bernard S. Black, Woochan Kim, Hasung Jang and Kyung Suh Park
University of Texas at Austin, KDI School of Public Policy and Management, Korea University and Korea University

Hannes Wagner
(Discussant)
 
The Effect of Search Frictions in Mergers

Marc Martos-Vila and Filippos Papakonsantinou
University of California, Los Angeles and Princeton University

Marc Gabarro
(Discussant)
 
Dividends and Stakeholder Conflicts: A Cleaner Test

Øyvind BøhrenMorten G. Josefsen and Pål Erik Steen
Jo Tankers, Norwegian School of Management (BI) and Norwegian School of Management (BI)

Kasper Nielsen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4H: Behavioral Finance: Educating Investors08/20/2009 03:30 PM 08/20/2009 05:00 PM Karl Borch's Auditorium Harrison Hong
 
PapersNamePublic 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
Federal Reserve Banks, Federal Reserve Banks, Ohio State University, Government of the United States of America and Federal Reserve Banks

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
Helsinki School of Economics and London Business School

Michela Verardo
(Discussant)
 
Information Disclosure, Cognitive Biases and Payday Borrowing

Marianne Bertrand and Adair Morse
University of Chicago and University of Chicago

Victoria Ivashina
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4C: Asset Pricing, Empirical: Individual Investors08/20/2009 03:30 PM 08/20/2009 05:00 PM Agnar Sandmo's Auditorium Susan Kerr Christoffersen
 
PapersNamePublic Notes
Individual Investor Trading and Return Patterns Around Earnings Announcements

Ron Kaniel, Shuming Liu, Gideon Saar and Sheridan Titman
Duke University, San Francisco State University, Cornell University and University of Texas at Austin

Ruslan Goyenko
(Discussant)
 
Heterogeneous Background Risks, Portfolio Choice, and Asset Returns: Evidence from Micro-Level Data

Darius Palia, Yaxuan Qi and Yangru Wu
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Concordia University and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

Shimon Kogan
(Discussant)
 
Determinants of Outstanding Mortgage Loan to Value Ratios: Evidence from the Netherlands

M. Ricardo Cunha, Bart M. Lambrecht and Grzegorz Pawlina
affiliation not provided to SSRN, Lancaster University and Lancaster University

Janis Berzins
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4B: Asset Pricing, Theoretical: Derivatives in Incomplete Markets08/20/2009 03:30 PM 08/20/2009 05:00 PM Jan Mossin's Auditorium Suleyman Basak
 
PapersNamePublic Notes
Dynamic Hedging in Incomplete Markets: A Simple Solution

Suleyman Basak and Georgy Chabakauri
Centre for Economic Policy Research (CEPR), London Business School and London Business School

Marcel Rindisbacher
(Discussant)
 
Expected Option Returns and the Structure of Jump Risk Premia

Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster, House of Finance (HoF) and Goethe University Frankfurt

Alfredo Ibanez
(Discussant)
 
Are We Extracting the True Risk Neutral Density from Option Prices? A Question with No Easy Answer

James Huang
Lancaster University

Grigory Vilkov
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4G: Financial Intermediation and Institutions: Fund Managers and Analysts08/20/2009 03:30 PM 08/20/2009 05:00 PM Auditorium 24 Josef Zechner
 
PapersNamePublic Notes
Conflict-of-Interest Reforms and Analysts' Research Biases

Yuyan Guan, Hai Lu and M.H. Franco Wong
City University of Hong Kong (CityUHK), University of Toronto and University of Toronto

Michael Halling
(Discussant)
 
Do Fund Managers Manipulate Share Prices? Evidence from Their Daily Trades

Gang Hu, R. David McLean, Jeffrey Pontiff and Qinghai Wang
Babson College, University of Alberta, Boston College and Georgia Institute of Technology

Richard Roll
(Discussant)
 
Gold Rush Dynamics of Private Equity

Samuel Lee and Tage Daniel Sunesson
New York University and Stockholm School of Economics

Tore Leite
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4E: Corporate Finance, Theoretical: Competition08/20/2009 03:30 PM 08/20/2009 05:00 PM Auditorium E Bart Lambrecht
 
PapersNamePublic Notes
Leaders, Followers, and Risk Dynamics in Industry Equilibrium

Murray Carlson, Engelbert J. Dockner, Adlai J. Fisher and Ron Giammarino
University of British Columbia, University of Vienna, University of British Columbia and University of British Columbia

Grzegorz Pawlina
(Discussant)
 
The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship

Jan Bena
University of British Columbia

Xavier Freixas
(Discussant)
 
Strategic IPOs and Product Market Competition

Jiri Chod and Evgeny Lyandres
Boston College and Boston University

Ulrich Hege
(Discussant)
...
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4F: Corporate Finance, Empirical: Takeovers08/20/2009 03:30 PM 08/20/2009 05:00 PM Auditorium 14 Karin Thorburn
 
PapersNamePublic Notes
Management Quality and Anti-Takeover Provisions

Thomas J. Chemmanur, Imants Paeglis and Karen Simonyan
Boston College, Concordia University and Suffolk University

Hans Hvide
(Discussant)
 
Negotiation Under the Threat of an Auction

Nihat Aktas, Eric de Bodt and Richard Roll
EMLYON Business School, University of Lille II and University of California, Los Angeles

Enrique Schroth
(Discussant)
 
Stock Option Grants to Target CEOs During Private Merger Negotiations

Eliezer M. Fich, Jie Cai and Anh L. Tran
Drexel University, Drexel University and Drexel University

Aksel Mjøs
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4A: Argentum Symposium on Private Equity and Funds of Private Equity: Special Topics08/20/2009 03:30 PM 08/20/2009 05:00 PM Dag Coward's Auditorium Uwe Walz
 
PapersNamePublic Notes
Venture Capital and Sequential Investments

Dirk Bergemann, Ulrich Hege and Liang Peng
Yale University, HEC Paris and University of Cincinnati

Zsuzsanna Fluck
(Discussant)
 
Club Deals in Leveraged Buyouts

Micah S. Officer, Oguzhan Ozbas and Berk A. Sensoy
Loyola Marymount University, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Yael Hochberg
(Discussant)
 
Why SPAC Investors Should Listen to the Market

Tim Jenkinson and Miguel Sousa
University of Oxford and University of Oxford

Jerry Cao
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     T4D: Asset Pricing, Empirical: Asset Pricing Equilibrium and Macroeconomics08/20/2009 03:30 PM 08/20/2009 05:00 PM Finn E. Kydland's Auditorium Miguel Ferreira
 
PapersNamePublic Notes
Inflation and the Stock Market: Understanding the 'Fed Model'

Geert Bekaert and Eric Engstrom
Columbia University, Columbia Business School - Economics Department and Government of the United States of America

Alessandro Beber
(Discussant)
 
The Federal Reserve and the Cross-Section of Stock Returns

Erica X. N. Li and Francisco Palomino
University of Michigan at Ann Arbor and University of Michigan at Ann Arbor

Richard Priestley
(Discussant)
 
What Does Equity Sector Orderflow Tell Us about the Economy?

Alessandro Beber, Kenneth A. Kavajecz and Michael W. Brandt
University of Amsterdam, University of Wisconsin - Madison and Duke University

Soeren Hvidkjaer
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1B: Asset Pricing, Theoretical: Equilibrium Models of the Term Structure of Interest Rates08/21/2009 08:30 AM 08/21/2009 10:00 AM Jan Mossin's Auditorium Carsten Sørensen
 
PapersNamePublic Notes
The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments

Carles Vergara-Alert
University of Navarra

Benjamin Croitoru
(Discussant)
 
The Long-Term Discount Rate

Christine A. Parlour, Richard Stanton and Johan Walden
University of California, Berkeley, University of California, Berkeley and University of California, Berkeley

Nicole Branger
(Discussant)
 
Term Premium Dynamics and the Taylor Rule

Michael F. Gallmeyer, Burton Hollifield, Francisco Palomino and Stanley E. Zin
Texas A&M University, Carnegie Mellon University, University of Michigan at Ann Arbor and Carnegie Mellon University

Carsten Sørensen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1G: Financial Intermediation and Institutions: Foreign Borrowing08/21/2009 08:30 AM 08/21/2009 10:00 AM Auditorium 24 Mariassunta Giannetti
 
PapersNamePublic Notes
Foreign Currency Borrowing by Small Firms

Martin Brown, Steven Ongena and Pinar Yesin
Swiss National Bank, Tilburg University and Swiss National Bank

Linus Siming
(Discussant)
 
Contracting Frictions and Cross-Border Capital Flows: Evidence from Venture Capital

Laura Anne Lindsey, Ana Laura Balcarcel and Michael G. Hertzel
Arizona State University, affiliation not provided to SSRN and Arizona State University

Kasper Nielsen
(Discussant)
 
The Real Effect of Foreign Banks

Valentina Bruno and Robert B. H. Hauswald
American University and
American University

Steven Ongena
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1C: Asset Pricing, Empirical: Fund Managers08/21/2009 08:30 AM 08/21/2009 10:00 AM Agnar Sandmo's Auditorium Michael Halling
 
PapersNamePublic Notes
Brain Drain: Are Mutual Funds Losing Their Best Minds?

Leonard Kostovetsky
William E. Simon Graduate School of Business Administration

Evgeny Lyandres
(Discussant)
 
High Water Marks in Competitive Capital Markets

Susan Kerr Christoffersen and David K. Musto
McGill University and University of Pennsylvania

Darwin Choi
(Discussant)
 
Pension Fund Performance and Risk-Taking Under Decentralized Investment Management

David P. Blake, Allan G. Timmermann, Ian Tonks and Russ Wermers
City University London, University of California, San Diego, University of Exeter Business School and University of Maryland

Erik Kole
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1F: Corporate Finance, Empirical: Equity Offerings08/21/2009 08:30 AM 08/21/2009 10:00 AM Auditorium 14 Samuli Knüpfer
 
PapersNamePublic Notes
Seasoned Equity Offerings, Quality Signalling, and Private Benefits of Control

Balasingham Balachandran, Robert W. Faff, Michael Theobald and Eswaran Velayutham
La Trobe University, Monash University, University of Birmingham and Monash University

Marie Dutordoir
(Discussant)
 
IPO Lockup Arrangements and Trading by Insiders

Hafiz Hoque and Meziane Lasfer
City University London and City University London

Scott Hsu
(Discussant)
 
Subscription Patterns, Offer Prices and the Underpricing of IPOs

Arif Khurshed , Alok Pande and Ajai K. Singh
University of Manchester, IIM Bangalore and Case Western Reserve University

Petri Jylha
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1E: Corporate Finance, Empirical: Debt Covenants08/21/2009 08:30 AM 08/21/2009 10:00 AM Auditorium E Kristian Miltersen
 
PapersNamePublic Notes
Soft vs. Tough Bankruptcy Law. Evidence from the US and Germany

Vladimir N. Vladimirov
Goethe University Frankfurt

Mads Nielsen
(Discussant)
 
The Defeasance of Control Rights

Carsten Bienz, Antoine Faure-Grimaud and Zsuzsanna Fluck
Norwegian School of Economics and Business Administration (NHH), London School of Economics & Political Science (LSE) and Michigan State University

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
University of Pennsylvania, University of Chicago and University of Virginia

Carsten Bienz
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1D: Financial Econometrics: Return and Interest Rate Forecasting08/21/2009 08:30 AM 08/21/2009 10:00 AM Finn E. Kydland's Auditorium Ralph Koijen
 
PapersNamePublic Notes
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?f

Albert Lee Chun
Copenhagen Business School

Lieven Baele
(Discussant)
 
No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

Caroline Jardet, A. Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) and Banque de France

Scott Joslin
(Discussant)
 
Long-Run Factors and Fluctuations in Dividend/Price

Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University, Bocconi University and Bocconi University

Michael Halling
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1A: ECB Sessions on Liquidity and Financial Crises: Money Markets and the Transmission of Instability08/21/2009 08:30 AM 08/21/2009 10:00 AM Dag Coward's Auditorium Kjell Nyborg
 
PapersNamePublic Notes
Rollover Risk and Market Freezes

Viral V. Acharya, Douglas M. Gale and Tanju Yorulmazer
London Business School, New York University and Federal Reserve Banks

Sudipto Bhattacharya
(Discussant)
 
Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

Florian Heider, Marie Hoerova and Cornelia Holthausen
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)

Kjell Nyborg
(Discussant)
...
The Capital Structure of Financial Institutions and Liquidity Crisis

Xuewen Liu and Antonio S. Mello
Imperial College London and University of Wisconsin - Madison

Mathias Drehmann
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F1H: Viz Risk Management Sessions on Energy Markets, Securities, and Prices: Empirical Analysis of Energy Markets08/21/2009 08:30 AM 08/21/2009 10:00 AM Karl Borch's Auditorium Álvaro Cartea
 
PapersNamePublic Notes
Fundamentals, Trader Activity and Derivative Pricing

Bahattin Buyuksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl and Michel A. Robe
Commodity Futures Trading Commission (CFTC), K2 Advisors, University of Delaware, Commodity Futures Trading Commission (CFTC) and American University

Anders Trolle
(Discussant)
 
Limits to Arbitrage and Hedging: Evidence from Commodity Markets

Viral V. Acharya, Tarun Ramadorai and Lars A. Lochstoer
London Business School, University of Oxford and Columbia University

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
University of Heidelberg, University of Heidelberg and Centre for European Economic Research (ZEW)

Carl Ullrich
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2E: Corporate Finance, Empirical: Bankruptcy and Financial Distress08/21/2009 10:30 AM 08/21/2009 12:00 PM Auditorium E B. Espen Eckbo
 
PapersNamePublic Notes
What Gives? A Study of Firms' Reactions to Cash Shortfalls

Tor-Erik Bakke and Toni M. Whited
University of Wisconsin - Madison and William E. Simon Graduate School of Business Administration

Bernt Ødegaard
(Discussant)
 
Conflicts in Bankruptcy and the Sequence of Debt Issues

Arturo Bris, S. Abraham Ravid, Ronald Sverdlove
IMD International, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, University of Pennsylvania and New Jersey Institute of Technology

Paul Ehling
(Discussant)
 
The Cost of Financial Distress and the Timing of Default

Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson
McGill University, University of North Carolina at Chapel Hill and McGill University

Svein-Arne Persson
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2C: Asset Pricing, Empirical: Hedge Funds08/21/2009 10:30 AM 08/21/2009 12:00 PM Agnar Sandmo's Auditorium Bruno Gerard
 
PapersNamePublic Notes
Wealth Effects of Hedge Fund Activismf

Hadiye Aslan and Hilda Maraachlian
Cornell University and University of Houston

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
Georgia Institute of Technology and Arizona State University

Barbara Bukhvalova
(Discussant)
 
Being Locked Up Hurts

Frans de Roon, Jinqiang Guo and Jenke ter Horst
Tilburg University, Tilburg University and Tilburg University

Rudi Schadt
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2H: Viz Risk Management Sessions on Energy Markets, Securities, and Prices: Electricity Markets08/21/2009 10:30 AM 08/21/2009 12:00 PM Karl Borch's Auditorium Petter Bjerksund
 
PapersNamePublic Notes
Valuation of Electricity Futures: Reduced-Form vs. Dynamic Equilibrium Models

Wolfgang Bühler and Jens Müller-Merbach
University of Mannheim and BHF-Bank Aktiengesellschaft

Stein-Erik Fleten
(Discussant)
 
Forward Hedging and Vertical Integration in Electricity Markets

Arnaud Porchet, René Aïd, Nizar Touzi and Gilles Chemla
Citibank, N.A., Electricite de France, Ecole Polytechnique, Paris and Imperial College London

Linda Rud
(Discussant)
 
Derivative Price Information Use in Hydroelectric Scheduling

Stein-Erik Fleten, Jussi Keppo, Vivi K. Weiss and Helga K. Lumb
Norwegian University of Science and Technology (NTNU), University of Michigan at Ann Arbor, affiliation not provided to SSRN and affiliation not provided to SSRN

Petter Bjerksund
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2A: ECB Sessions on Liquidity and Financial Crises: Key Aspects of the Financial Crisis08/21/2009 10:30 AM 08/21/2009 12:00 PM Dag Coward's Auditorium Philipp Hartmann
 
PapersNamePublic Notes
Securitization, Transparency and Liquidity

Marco Pagano and Paolo F. Volpin
University of Naples Federico II and London Business School

Uday Rajan
(Discussant)
...
Bank Lending During the Financial Crisis of 2008

Victoria Ivashina and David S. Scharfstein
Harvard Business School and Harvard Business School

Gabriel Jimenez
(Discussant)
 
On the Real Effects of Bank Bailouts: Micro-Evidence from Japan

Mariassunta Giannetti and Andrei Simonov
Stockholm School of Economics and Michigan State University

Arnoud Boot
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2G: Financial Intermediation and Institutions: Access to Credit08/21/2009 10:30 AM 08/21/2009 12:00 PM Auditorium 24 Charlotte Ostergaard
 
PapersNamePublic Notes
The Costs of Being Private: Evidence from the Loan Market

Anthony Saunders and Sascha Steffen
New York University and University of Mannheim

Frédéric Boissay
(Discussant)
 
Forgive and Forget: Who Gets Credit after Bankruptcy and Why?

Ethan Cohen-Cole, Burcu Duygan-Bump and Judit Montoriol-Garriga
University of Maryland, Federal Reserve Banks and Federal Reserve Banks

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
University of South Carolina, Federal Reserve Banks and Tilburg University

Bent Vale
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2D: Financial Econometrics: Asset Pricing08/21/2009 10:30 AM 08/21/2009 12:00 PM Finn E. Kydland's Auditorium Frank de Jong
Jonas Andersson
 
PapersNamePublic 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
University of Maastricht, University of Maastricht, University of Maastricht and University of Maastricht

Adrian Buss
(Discussant)
 
A New Class of Asset Pricing Models with Levy Processes: Theory and Applications

Chayawat Ornthanalai
Georgia Institute of Technology

Tony Berrada
(Discussant)
 
Jumps in Equilibrium Prices and Market Microstructure Noise

Suzanne S. Lee and Per A. Mykland
Georgia Institute of Technology and University of Chicago

Bård Støve
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2B: Asset Pricing, Theoretical: General Equilibrium Models08/21/2009 10:30 AM 08/21/2009 12:00 PM Jan Mossin's Auditorium James Darrell Duffie
 
PapersNamePublic Notes
Multiple Trees Subject to Event Risk

Paolo Porchia and Fabio Trojani
University of St. Gallen, Swiss Finance Institute and Università di Lugano (USI)

Ethan Chiang
(Discussant)
 
Asset Pricing in General Equilibrium with Constraints

Georgy Chabakauri
London Business School

Jerome Detemple
(Discussant)
 
Generalized Transform Analysis of Affine Processes and Asset Pricing Applications

Hui Chen and Scott Joslin
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT)

Peter Feldhütter
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F2F: Corporate Finance, Empirical: Investing in Firms with Debt08/21/2009 10:30 AM 08/21/2009 12:00 PM Auditorium 14 David Smith
 
PapersNamePublic Notes
Estimating Equity Premia from CDS Spreads

Christoph Kaserer and Tobias Berg
Munich University of Technology and Munich University of Technology

Jan Ericsson
(Discussant)
 
Investing in Chapter 11 Stocks: Liquidity and Performance

Yuanzhi Li and Zhaodong Zhong
affiliation not provided to SSRN and Rutgers, The State University of New Jersey

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
University of South Carolina, Tilburg University and Tilburg University

Ove Rein Hetland
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3C: Asset Pricing, Empirical: Asymmetric Information08/21/2009 01:30 PM 08/21/2009 03:00 PM Agnar Sandmo's Auditorium Peter Christoffersen
 
PapersNamePublic Notes
Price Adjustment to News with Uncertain Precision

Dieter Hess, Nikolaus Hautsch and Christoph Müller
University of Cologne, Humboldt University of Berlin and University of Cologne

Günter Strobl
(Discussant)
...
When Uncertainty Blows in the Orchard: Comovement and Volatility Risk Premia

Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College London, Università di Lugano (USI), Swiss Finance Institute and Università di Lugano (USI)

Chayawat Ornthanalai
(Discussant)
 
Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows

Andrew J. Patton and Michela Verardo
University of Oxford and London School of Economics & Political Science (LSE)

Grigory Vilkov
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3G: Financial Intermediation and Institutions: Syndicated Loans08/21/2009 01:30 PM 08/21/2009 03:00 PM Auditorium 24 Carsten Bienz
 
PapersNamePublic Notes
The Option Value of Consumer Bankruptcy: Can Uninsured Idiosyncratic Risk Explain Bankruptcy Patterns?

Ethan Cohen-Cole
University of Maryland

Kyoung Sun Park
(Discussant)
 
Institutional Investment in Syndicated Loans

Debarshi Nandy and Pei Shao
York University

Sascha Steffen
(Discussant)
 
Controlling Shareholders and the Agency Cost of Debt: Evidence from Syndicated Loans

Praveen Kumar and Hadiye Aslan
University of Houston and Cornell University

David Smith
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3B: Asset Pricing, Theoretical: Ambiguity08/21/2009 01:30 PM 08/21/2009 03:00 PM Jan Mossin's Auditorium Jørgen Haug
 
PapersNamePublic Notes
Uncertainty Aversion and the Term Structure of Interest Rates

Frode Brevik
VU University Amsterdam

Philipp Illeditsch
(Discussant)
 
Ambiguity Information, Risk Aversion, and Asset Pricing

Philipp K. Illeditsch
University of Pennsylvania

Tommy Stamland
(Discussant)
 
Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds

Maxim Ulrich
Columbia University

Frode Brevik
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3E: Corporate Finance, Empirical: Corporate Investments08/21/2009 01:30 PM 08/21/2009 03:00 PM Auditorium E Toni Whited
 
PapersNamePublic Notes
Corporate Savings and Price Informativeness

Laurent Fresard
HEC Paris

Jan Bena
(Discussant)
 
Political Uncertainty and Corporate Investment Cycles

Brandon Julio and Youngsuk Yook
London Business School and University of North Carolina at Chapel Hill

Ethan Cohen-Cole
(Discussant)
 
Agency Costs of Idiosyncratic Volatility, Corporate Governance, and Investment

Kose John and Dalida Kadyrzhanova
New York University and University of Maryland

Toni Whited
(Discussant)
Withdrawn
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3A: Special Sessions on Liquidity and Financial Crises: Stability08/21/2009 01:30 PM 08/21/2009 03:00 PM Dag Coward's Auditorium Bent Vale
 
PapersNamePublic 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
Tilburg University, European Central Bank (ECB), Bank of Spain and Bank of Spain

Jørn I. Halvorsen
(Discussant)
 
Bank Competition and Economic Stability: The Role of Monetary Policy

Sylvain Champonnois
University of California, San Diego

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
Bank of England, Bank of England, Bank of England, Bank of England, Bank of England, affiliation not provided to SSRN, American University of Beirut, Bank of England and Bank of England

Philipp Hartmann
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3D: International Finance: Volatility of International Stock Markets08/21/2009 01:30 PM 08/21/2009 03:00 PM Finn E. Kydland's Auditorium Richard Roll
 
PapersNamePublic Notes
Is There a Trend in Idiosyncratic Volatility?

Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University, Columbia Business School - Economics Department, Columbia University and Cornell University

Ian Cooper
(Discussant)
 
Contagion in the Presence of Stochastic Interdependence

Clifford A. Ball and Walter N. Torous
Vanderbilt University and University of California, Los Angeles

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
Lancaster University, University of North Carolina at Chapel Hill and Ohio State University

Piet Sercu
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3H: Behavioral Finance: Attracting Investor Types08/21/2009 01:30 PM 08/21/2009 03:00 PM Karl Borch's Auditorium Marcin Kacperczyk
 
PapersNamePublic Notes
Red and Blue Investing: Values and Finance

Harrison G. Hong and Leonard Kostovetsky
Princeton University and William E. Simon Graduate School of Business Administration

Sophie Shive
(Discussant)
 
Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes

Alok Kumar, Jeremy K. Page and Oliver G. Spalt
University of Texas at Austin, University of Texas at Austin and University of Texas at Austin

Lucian Taylor
(Discussant)
 
The Dark Side of the Moon: Structured Products from the Customer's Perspective

Thorsten Hens and Marc Oliver Rieger
University of Zurich and Swiss Federal Institute of Technology Zurich

Paul Ehling
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     F3F: Corporate Finance, Empirical: Active Stake Holders08/21/2009 01:30 PM 08/21/2009 03:00 PM Auditorium 14 Peter Swan
 
PapersNamePublic Notes
Blockholder Intervention Versus Threat of Exit

David R. Gallagher, Peter Gardner and Peter L. Swan
University of Technology, Sydney, University of New South Wales and University of New South Wales

Jonathan Cohn
(Discussant)
 
Liquidity and Shareholder Activism

Oyvind Norli, Charlotte Ostergaard and Ibolya Schindele
Norwegian School of Management (BI), Norwegian School of Management (BI) and Norwegian School of Management (BI)

Woochan Kim
(Discussant)
 
Industry Technological Changes, Venture Capital Incubation, and Post-IPO Firm Innovation and Performance

Scott H.C Hsu
University of Wisconsin - Milwaukee

Jerry Cao
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1A: Special Sessions on Liquidity and Financial Crises: Asset Pricing08/22/2009 09:00 AM 08/22/2009 10:30 AM Dag Coward's Auditorium Andrea Buraschi
 
PapersNamePublic Notes
Bond Liquidity Premia

Jean-Sebastien Fontaine and Rene Garcia
Government of Canada and EDHEC Business School

Neil Pearson
(Discussant)
 
The Same Bond at Different Prices: Identifying Search Frictions and Demand Pressures

Peter Feldhütter
Copenhagen Business School

Rene Garcia
(Discussant)
 
The Joint Pricing of Volatility and Liquidity

Federico M. Bandi, Claudia E. Moise and Jeffrey Russell
University of Chicago, Case Western Reserve University and University of Chicago

Andrea Vedolin
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1C: Asset Pricing, Empirical: Investments in Corporate Bonds08/22/2009 09:00 AM 08/22/2009 10:30 AM Agnar Sandmo's Auditorium Peter Feldhütter
 
PapersNamePublic Notes
Correlation in Corporate Defaults: Contagion or Conditional Independence?

David Lando and Mads Stenbo Nielsen
Copenhagen Business School and Copenhagen Business School

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
McGill University, McGill University, McGill University and McGill University

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
HEC University of Lausanne, University of Pittsburgh, University of Lausanne and Carnegie Mellon University

Olfa Maalaoui
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1E: Corporate Finance, Empirical: Dividends08/22/2009 09:00 AM 08/22/2009 10:30 AM Auditorium E Micah Officer
 
PapersNamePublic Notes
Capital Gains Tax Overhang and Payout Policy

Jonathan B. Cohn and Stephanie A. Sikes
University of Texas at Austin and Duke University

Andriy Bodnaruk
(Discussant)
 
Dividend Policies in an Unregulated Market: The London Stock Exchange 1895-1905

Lyndon Moore and Fabio Braggion
University of Montreal and Tilburg University

Balasingham Balachandran
(Discussant)
 
The Shareholder Base and Payout Policy

Andriy Bodnaruk and Per Östberg
University of Notre Dame and Norwegian School of Economics and Business Administration (NHH)

Miguel Ferreira
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1B: Asset Pricing, Empirical: Active (Smart) Investors08/22/2009 09:00 AM 08/22/2009 10:30 AM Jan Mossin's Auditorium Soeren Hvidkjaer
 
PapersNamePublic Notes
The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options

Michael L. Lemmon and Sophie X. Ni
University of Utah and Hong Kong University of Science & Technology (HKUST)

Maik Schmeling
(Discussant)
 
Riding Bubbles

Nadja Guenster, Erik Kole and Ben Jacobsen
University of Maastricht, Erasmus University Rotterdam (EUR) and Massey University

Sophie Shive
(Discussant)
 
Modern Portfolio Management with Conditioning Information

I-Hsuan Ethan Chiang
University of North Carolina at Charlotte

Michael Gallmeyer
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1F: Corporate Finance, Empirical: Catering Stake Holders08/22/2009 09:00 AM 08/22/2009 10:30 AM Auditorium 14 K.J. Martijn Cremers
 
PapersNamePublic Notes
A Servant to Many Masters: Competing Shareholder Preferences and Limits to Catering

Massimo Massa and Alberto Manconi
INSEAD and INSEAD

Laurent Fresard
(Discussant)
 
Why Do Convertible Issuers Simultaneously Repurchase Stock? An Arbitrage-Based Explanation

Abe de Jong, Marie Dutordoir and Patrick Verwijmeren
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR), University of Manchester and Erasmus University Rotterdam (EUR)

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
Columbia University and University of British Columbia

George Aragon
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1G: Financial Intermediation and Institutions: Borrower-Lender Conflicts08/22/2009 09:00 AM 08/22/2009 10:30 AM Auditorium 24 Andrew Ellul
 
PapersNamePublic Notes
The Effect of Litigation on Venture Capitalist Reputation

Vladimir A. Atanasov, Vladimir I. Ivanov and Kate Litvak
College of William and Mary, Vanderbilt University and Northwestern University

Jonathan Cohn
(Discussant)
Withdrawn
Bank Capital, Borrower Power, and Loan Rates

João A. C. Santos and Andrew Winton
Federal Reserve Banks and University of Minnesota - Twin Cities

Florian Heider
(Discussant)
 
Interest Rates in Trade Credit Markets

Klenio Barbosa, Humberto Moreira and Walter Novaes
University of Toulouse 1, Getulio Vargas Foundation (FGV) and Pontifical Catholic University of Rio de Janeiro (PUC-Rio)

Zsuzsanna Fluck
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1D: International Finance: International Stock Markets08/22/2009 09:00 AM 08/22/2009 10:30 AM Finn E. Kydland's Auditorium Ian Cooper
 
PapersNamePublic Notes
Competing Capital Constraints

Astrid V. Schornick
INSEAD

Van Nguyen
(Discussant)
 
Informed Trading Around the World

Sandy Lai, Lilian K. Ng and Bohui Zhang
Singapore Management University, University of Wisconsin - Milwaukee and University of New South Wales

Patrick Kelly
(f)
 
Cross Listing Waves

Sergei Sarkissian and Michael J. Schill
McGill University and University of Virginia

Masahiro Watanabe
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S1H: Behavioral Finance: Documenting Behavioral Biases08/22/2009 09:00 AM 08/22/2009 10:30 AM Karl Borch's Auditorium Thorsten Hens
 
PapersNamePublic Notes
Prospect Theory, Partial Liquidation and the Disposition Effect

Vicky Henderson
University of Oxford

 Withdrawn
Managerial Biases and Corporate Risk Management

Tim Adam, Chitru S. Fernando and Evgenia V. Golubeva
Humboldt University of Berlin, University of Oklahoma and University of Oklahoma

Per Östberg
(Discussant)
 
Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry

Vincent Glode, Burton Hollifield, Marcin T. Kacperczyk and Shimon Kogan
University of Pennsylvania, Carnegie Mellon University, New York University and University of Texas at Austin

Thorsten Hens
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2C: Asset Pricing, Empirical: Implications of Corporate Decisions on Asset Pricing08/22/2009 11:00 AM 08/22/2009 12:30 PM Agnar Sandmo's Auditorium David Lando
 
PapersNamePublic Notes
Is Shareholders' Strategic Default Behavior Priced? Evidence from the International Cross-Section of Stocks

Giovanni Favara, Enrique J. Schroth and Philip Valta
HEC University of Lausanne, University of Lausanne and Swiss Finance Institute

Albert Lee Chun
(Discussant)
 
Real Investment, Risk and Risk Dynamics

Ilan Cooper and Richard Priestley
Norwegian School of Management (BI) and Norwegian School of Management (BI)

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
University of California, Los Angeles and University of Oklahoma

Dion Bongaerts
(Discussant)
Withdrawn
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2G: Financial Intermediation and Institutions: Governance Structure08/22/2009 11:00 AM 08/22/2009 12:30 PM Auditorium 24 Steven Ongena
 
PapersNamePublic Notes
Investment Banking Careers

Ulf Axelson and A. Philip Bond
Institute for Financial Research (SIFR) and University of Pennsylvania

Ibolya Schindele
(Discussant)
 
Social Capital and the Viability of Stakeholder-Oriented Firms: Evidence from Norwegian Savings Banks

Charlotte Ostergaard, Ibolya Schindele and Bent Vale
Norwegian School of Management (BI), Norwegian School of Management (BI) and Central Bank of Norway

Maria Penas
(Discussant)
 
Informed and Uninformed Investment in Housing: The Downside of Diversification

Elena Loutskina and Philip E. Strahan
University of Virginia and Boston College

Wolf Wagner
(Discussant)
Withdrawn
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2D: International Finance: Currency Markets08/22/2009 11:00 AM 08/22/2009 12:30 PM Finn E. Kydland's Auditorium Tom Berglund
 
PapersNamePublic Notes
Spot and Forward Volatility in Foreign Exchange

Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
University of Warwick, City University London and University of Warwick

Fulvio Pegoraro
(Discussant)
 
Crash Risk in Currency Markets

Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain Ranciere and Adrien Verdelhan
Harvard University, New York University, New York University, International Monetary Fund (IMF) and Boston University

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
Catholic University of Leuven (KUL) and Catholic University of Leuven (KUL)

Arto Thurlin
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2E: Financial Econometrics: Volatility08/22/2009 11:00 AM 08/22/2009 12:30 PM Auditorium E Peter Schotman
 
PapersNamePublic Notes
Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

Eric Ghysels, Rossen I. Valkanov and Antonio Rubia
University of North Carolina at Chapel Hill, University of California, San Diego and Universidad de Alicante-Dpto. Economía Financiera

Mathijs Cosemans
(Discussant)
 
The Equity Premium and The Volatility Spread : The Role of Risk-Neutral Skewness

Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap
Duke University, Government of Canada and Stockholm School of Economics

Nicole Branger
(Discussant)
 
Realized Volatility and Price Spikes in Electricity Markets: The Importance of Observation Frequency

Carl J. Ullrich
Virginia Polytechnic Institute & State University

Jonas Andersson
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2H: Behavioral Finance: Explaining Behavioral Biases08/22/2009 11:00 AM 08/22/2009 12:30 PM Karl Borch's Auditorium Soeren Hvidkjaer
 
PapersNamePublic Notes
Asset Market Games of Survival

Rabah Amir, Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé
Catholic University of Louvain, University of Manchester and University of Leeds

Shimon Kogan
(Discussant)
 
Myopic Extrapolation, Price Momentum, and Price Reversal

Long Chen, Claudia E. Moise and Shelly Zhao
Washington University, St. Louis, Case Western Reserve University and Kent State University

J. Spencer Martin
(Discussant)
 
Do Investment Flows Drive the Disposition Effect on Fund Managers?

Min-Hsieng Chiang and Hsin-Yi Huang
National Cheng Kung University and National Cheng Kung University

Susan Kerr Christoffersen
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2A: Special Sessions on Liquidity and Financial Crises: Funding08/22/2009 11:00 AM 08/22/2009 12:30 PM Dag Coward's Auditorium Per Östberg
 
PapersNamePublic Notes
Funding Liquidity Risk: Definition and Measurement

Mathias Drehmann and Kleopatra Nikolaou
Bank for International Settlements (BIS) and European Central Bank (ECB)

Ruslan Goyenko
(Discussant)
 
The Stabilizing Effects of Risk-Sensitive Bank Capital

Frédéric Boissay and Christoffer Kok Sorensen
European Central Bank (ECB) and European Central Bank (ECB)

Bogdan Stacescu
(Discussant)
 
Hedge Funds and Prime Brokers: The Role of Funding Risk

Benjamin Klaus and Bronka Rzepkowski
Goethe University Frankfurt and affiliation not provided to SSRN

Claudia Moise
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2F: Corporate Finance, Empirical: Family Firms08/22/2009 11:00 AM 08/22/2009 12:30 PM Auditorium 14 Arnoud Boot
 
PapersNamePublic Notes
Inheritance Law and Investment in Family Firms

Andrew Ellul, Marco Pagano and Fausto Panunzi
Indiana University Bloomington, University of Naples Federico II and Bocconi University

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
Munich University of Technology, Munich University of Technology, Munich University of Technology and Munich University of Technology

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
London Business School, University of Oxford, London Business School and Bocconi University

Marcel Vorage
(Discussant)
 
     Session NameStart Date/TimeEnd Date/TimeLocationSession Chair(s)
     S2B: Asset Pricing, Empirical: Reestablishing Efficient Markets08/22/2009 11:00 AM 08/22/2009 12:30 PM Jan Mossin's Auditorium Markku Kaustia
 
PapersNamePublic Notes
A Unique View of Hedge Fund Derivatives Usage: Safeguard or Speculation?

George O. Aragon and J. Spencer Martin
Arizona State University and Carnegie Mellon University

Joop Huij
(Discussant)
 
Are Stocks Really Less Volatile in the Long Run?

Lubos Pastor and Robert F. Stambaugh
University of Chicago and University of Pennsylvania

Peter Christoffersen
(Discussant)
 
Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading

Paul H. Schultz and Sophie Shive
University of Notre Dame and University of Notre Dame

Katya Malinova
(Discussant)
 

 

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