2019 Sfs Cavalcade North America Conference Program Overview
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2019 SFS CAVALCADE NORTH AMERICA CONFERENCE HOSTED BY TEPPER SCHOOL OF BUSINESS AT CARNEGIE MELLON UNIVERSITY PITTSBURGH, PENNSYLVANIA MAY 20-23, 2019 CONFERENCE CHAIRS CHAIR Antoinette Schoar, Massachusetts Institute of Technology VICE CHAIR Monika Piazzesi, Stanford University ASSOCIATE CHAIR Ulrike Malmendier, University of California, Berkeley SFS ADVISORY CHAIR Josef Zechner, Vienna University of Economics and Business THE SOCIETY FOR FINANCIAL STUDIES The Review of Asset Pricing Studies Executive Editor, Jeffrey Pontiff, Boston College The Review of Corporate Finance Studies Executive Editor, Andrew Ellul, Indiana University The Review of Financial Studies Executive Editor, Itay Goldstein, University of Pennsylvania CONFERENCE ORGANIZERS Jaclyn Einstein, Society for Financial Studies Rosanne Christy, Carnegie Mellon University Burton Hollifield, Carnegie Mellon University Chester Spatt, Carnegie Mellon University Lars Kuehn, Carnegie Mellon University 2019 SFS CAVALCADE NORTH AMERICA CONFERENCE SFS CAVALCADE 2019 PROGRAM OVERVIEW MONDAY, MAY 20, 2019 TUESDAY, MAY 21, 2019 8:00 AM – 8:45 AM REGISTRATION / CONTINENTAL BREAKFAST PNC Foundation Rooms 2001/2002/2003 8:45 AM – 12:00 PM AM PARALLEL SESSIONS 2110 Securitization and Secondary Loan Markets 2111 Entrepreneurship and Innovation 2112 Household Finance Savings and Consumption 2118 Equilibrium Models of Asset Prices 2119 Factor Models for Stock Returns 2202 Market Microstructure I 2610 Uninformed Shareholders, Informed Managers 2611 The Influence of Rating, Standards, and Indices on Investment and Financing 2612 Capital Structure Decisions and Asset Price Implications 12:00 PM – 1:20 PM LUNCH / SFS ANNUAL MEETING SFS Annual Meeting Simmons Auditorium, Tepper School of Business 1:30 PM – 3:35 PM PM PARALLEL SESSIONS 2110 Securitization and Secondary Loan Markets 2111 Entrepreneurship and Innovation 2112 Household Finance Savings and Consumption 2118 Equilibrium Models of Asset Prices 2119 Factor Models for Stock Returns 2202 Market Microstructure I 2610 Uninformed Shareholders, Informed Managers 2611 The Influence of Rating, Standards, and Indices on Investment and Financing 2612 Capital Structure Decisions and Asset Price Implications 3:45 PM – 4:30 PM RAPS KEYNOTE Maureen O’Hara, Cornell University Simmons Auditorium, Tepper School of Business 6:00 PM – 8:00 PM WELCOME RECEPTION 6:00 PM – 8:00 PM AWARDS RECEPTION Simmons Auditorium Carnegie Museum of Pittsburgh Tepper School of Business 2 WEDNESDAY, MAY 22, 2019 THURSDAY, MAY 23, 2019 8:00 AM – 8:45 AM REGISTRATION / CONTINENTAL BREAKFAST 8:00 AM – 8:45 AM REGISTRATION / CONTINENTAL BREAKFAST PNC Foundation Rooms 2001/2002/2003 PNC Foundation Rooms 2001/2002/2003 8:45 AM – 12:00 PM AM PARALLEL SESSIONS 8:45 AM – 12:00 PM AM PARALLEL SESSIONS 2110 Bank Regulation 2110 Policy Transmission in Credit Markets 2111 Household Credit 2111 Mortgages 2112 Investment Skill and Profits 2112 Global Credit Flows 2118 Financial Distress and Default Risk 2118 Fixed Income 2119 Security Issues, Shareholder Votes, and Price Movements 2119 Interest Rates and Defaults PROGRAM OVERVIEW 2202 Non-standard Belief Formation and Investment 2202 Microeconomics of Bank Lending 2610 International Macro-Finance 2610 Politics, Media, and the Stock Market 2611 Market Microstructure II 2611 Mergers and Acquisitions: The Role of Management, 2612 Firm Investment and Asset Pricing Bargaining Position, and Regulation 2612 Financial Constraints and Financial Flexibility 12:00 PM – 1:20 PM LUNCH / KEYNOTE 12:00 PM – 1:20 PM LUNCH Monika Piazzesi, Stanford University Simmons Auditorium Simmons Auditorium, Tepper School of Business Tepper School of Business Lunch Sponsored by: IEX Group, Inc. Lunch Sponsored by: PNC Center for Financial Services Innovation and Master of Science in Computational Finance (MSCF) Program at Carnegie Mellon University 1:30 PM – 3:35 PM PM PARALLEL SESSIONS 1:30 PM – 3:35 PM PM PARALLEL SESSIONS 2110 Bank Regulation 2110 Policy Transmission in Credit Markets 2111 Household Credit 2111 Mortgages 2112 Investment Skill and Profits 2112 Global Credit Flows 2118 Financial Distress and Default Risk 2118 Fixed Income 2119 Security Issues, Shareholder Votes, and Price Movements 2119 Interest Rates and Defaults 2202 Non-standard Belief Formation and Investment 2202 Microeconomics of Bank Lending 2610 International Macro-Finance 2610 Politics, Media, and the Stock Market 2611 Market Microstructure II 2611 Mergers and Acquisitions: The Role of Management, 2612 Firm Investment and Asset Pricing Bargaining Position, and Regulation 2612 Financial Constraints and Financial Flexibility 3:45 PM – 4:30 PM RCFS KEYNOTE CONFERENCE CONCLUDES Antoinette Schoar, Massachusetts Institute of Technology Simmons Auditorium, Tepper School of Business 3 TUESDAY MORNING SESSIONS SESSION 1 | ROOM 2110 SESSION 2 | ROOM 2111 SESSION 3 | ROOM 2112 SESSION 4 | ROOM 2118 SESSION 5 | ROOM 2119 SECURITIZATION AND ENTREPRENEURSHIP HOUSEHOLD FINANCE SAVINGS EQUILIBRIUM MODELS FACTOR MODELS SECONDARY LOAN MARKETS AND INNOVATION AND CONSUMPTION OF ASSET PRICES FOR STOCK RETURNS CHAIR: ISIL EREL, CHAIR: PAIGE OUIMET, CHAIR: JONATHAN REUTER, CHAIR: JOAO GOMES, CHAIR: SVETLANA BRYZGALOVA, Ohio State University University of North Carolina, Boston College University of Pennsylvania London Business School Chapel Hill THE PRICE OF SAFETY: THE WOMEN’S INHERITANCE CAN RISK BE SHARED ACROSS SHIFTS IN SECTORAL WEALTH FACTORS THAT FIT THE TIME EVOLUTION OF INSURANCE RIGHTS AND INVESTOR COHORTS? SHARES AND RISK PREMIA: SERIES AND CROSS-SECTION VALUE IN MUNICIPAL MARKETS ENTREPRENEURSHIP EVIDENCE FROM A POPULAR WHAT EXPLAINS THEM? OF STOCK RETURNS GENDER GAP SAVINGS PRODUCT JOHN HUND, COLIN WARD, MARTIN LETTAU, University of Georgia S. LAKSHMI NAARAAYANAN, VICTOR LYONNET, University of Minnesota Stanford University Hong Kong University Ohio State University GIANG NGUYEN, RAVI BANSAL, MARKUS PELGER, of Science & Technology Pennsylvania State University JOHAN HOMBERT, Duke University Stanford University HEC Paris KIMBERLY CORNAGGIA, AMIR YARON, Pennsylvania State University University of Pennsylvania 8:45 – 9:40 AM – 9:40 8:45 DISCUSSANT: DISCUSSANT: DISCUSSANT: DISCUSSANT: DISCUSSANT: DANIEL BERGSTRESSER, CAMILLE HEBERT, BORIS VALLEE, MATTHIEU GOMEZ, YINAN SU, Brandeis University Tilburg University Harvard Business School Columbia University Johns Hopkins University LIQUIDITY AND SHOCKS AND TECHNOLOGY UNINTENDED CONSEQUENCES THE LEADING PREMIUM THOUSANDS OF ALPHA TESTS SECURITIZATION ADOPTION: EVIDENCE OF UNEMPLOYMENT MARIANO MASSIMILIANO STEFANO GIGLIO, FROM ELECTRONIC INSURANCE BENEFITS: YUNZHI HU, CROCE, Yale University PAYMENT SYSTEMS THE ROLE OF BANKS University of North Carolina, Bocconi University YUAN LIAO, Chapel Hill NICOLAS CROUZET, YAVUZ ARSLAN, TATYANA MARCHUK, Rutgers University Northwestern University Bank for International DOUGLAS DIAMOND, BI Norwegian Business School Settlements DACHENG XIU, University of Chicago APOORV GUPTA, at Oslo University of Chicago Northwestern University AHMET DEGERLI, RAGHURAM RAJAN, CHRISTIAN SCHLAG, Duke University University of Chicago FILIPPO MEZZANOTTI, Goethe University Frankfurt Northwestern University GAZI KABAS, 9:55 – 10:50 AM – 10:50 9:55 University of Zurich DISCUSSANT: DISCUSSANT: DISCUSSANT: DISCUSSANT: DISCUSSANT: YE LI, CONSTANTINE YANNELIS, LEMING LIN, ERIK LOUALICHE, AMIT GOYAL, Ohio State University University of Chicago University of Pittsburgh University of Minnesota University of Lausanne ILLIQUIDITY SPIRALS IN EXPLORATION OR THE CONSUMPTION RESPONSE CONSUMPTION IN RISK PRICE VARIATION: COUPLED OVER-THE-COUNTER EXPLOITATION? HEDGE TO REALIZED CAPITAL GAINS: ASSET RETURNS THE MISSING HALF OF EVIDENCE FROM MUTUAL THE CROSS-SECTION MARKETS FUNDS IN VENTURE CAPITAL SVETLANA BRYZGALOVA, FUND LIQUIDATIONS OF EXPECTED RETURNS CHRISTOPH AYMANNS, GEORGE ARAGON, London Business School University of St. Gallen Arizona State University STEFFEN MEYER, ANDREW PATTON, CHRISTIAN JULLIARD, University of Southern Denmark Duke University CO-PIERRE GEORG, EMMA LI, London School of Economics Deutsche Bundesbank Deakin University MICHAELA PAGEL, BRIAN WELLER, Columbia Business School Duke University BENJAMIN GOLUB, LAURA LINDSEY, Harvard University Arizona State University ALESSANDRO PREVITERO, Indiana University 11:05 AM – 12:00 PM 11:05 DISCUSSANT: DISCUSSANT: DISCUSSANT: DISCUSSANT: JIALAN WANG, DANA KIKU, DISCUSSANT: DAN LI, SONG MA, University of Illinois, University of Illinois, SHRIHARI SANTOSH, Federal Reserve Board Yale University Urbana-Champaign Urbana-Champaign University of Maryland 4 12:00 – 1:20 PM TUES LUNCH: SFS Annual Meeting (Simmons Auditorium, Tepper School of Business) TUESDAY MAY 21, 2019 SESSION 6 | ROOM 2202 SESSION 7 | ROOM 2610 SESSION 8 | ROOM 2611 SESSION 9 | ROOM 2612 MARKET MICROSTRUCTURE I UNINFORMED SHAREHOLDERS, THE INFLUENCE OF RATING, CAPITAL STRUCTURE DECISIONS INFORMED MANAGERS STANDARDS, AND INDICES ON AND ASSET PRICE IMPLICATIONS CHAIR: DUANE SEPPI, INVESTMENT AND FINANCING Carnegie Mellon University CHAIR: BRENT GLOVER, CHAIR: LUKAS SCHMID, Carnegie Mellon University CHAIR: JAMES WESTON, Duke University Rice University INFORMATION ACQUISITION AND THE COSTS AND BENEFITS OF MODELS OR STARS: THE ROLE PROACTIVE CAPITAL STRUCTURE LIQUIDITY TRAPS IN OVER-THE- SHAREHOLDER DEMOCRACY OF ASSET PRICING MODELS ADJUSTMENTS: EVIDENCE FROM COUNTER MARKETS AND HEURISTICS IN INVESTOR CORPORATE FILINGS NICKOLAY GANTCHEV, RISK ADJUSTMENT JUNYUAN ZOU, Southern Methodist University ARTHUR KORTEWEG, University of Pennsylvania