2020 NFA Annual Conference

Sessions

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PhD Asset Pricing I

Skills and Sentiment in Sustainable Investing | Do Mutual Funds Manipulate Star Ratings? Evidence from Portfolio Pumping | Is Mutual Fund Family Retirement Money Smart?

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PhD Corporate Finance I

Strategic Disclosure, Price Informativeness, and Efficient Investment | Global Demand Spillovers: When the Central Bank Buys Corporate Bonds | Self-Selected or Designated: Which SIC Code Is True?

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PhD Asset Pricing II

Unintended Benefits of Employment Protection Laws: Households' Increased Risk-taking Behaviors | The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance | Dark Side of Delaying Order Execution

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PhD Corporate Finance II

Hedge Fund Activism, Corporate Governance, and Product Market Competition | Board Connections and CEO successions | Social Networks and Corporate Social Responsibility

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Asset Pricing I

Equity Prices in a Granular Economy | Consumption Heterogeneity, Business Cycle, and Asset Pricing | Measuring Beliefs from Asset Prices

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Banking Regulation

Optimal Financial Regulation | Persuading Multiple Audiences: An Information Design Approach to Banking Regulation | Anti-money laundering enforcement, banks, and the real economy

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CEOs

The Market for CEOs | Uncovering the Hidden Effort Problem | In CEO We Trust: Negative Effects of CEO-board Trust

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Climate-ESG I

Corporate Climate Risk: Measurements and Responses | Stranded Fossil Fuel Reserves and Firm Value | Banking on Carbon: Corporate Lending and Cap-and-Trade Policy

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Disclosure Announcements

Trades by Insiders and the Informativeness of Earnings Announcements | Imprecise and Informative: Lessons from Market Reactions to Imprecise Disclosure | Earnings News and the Number Processing Bias

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Individual Investors, Behaviour, and Ethics I

Untangling the credit card debt puzzle | Reducing Risk or Reaching for Yield? Impact of Stress Tests on Credit Card Lending | Extrapolation and Complexity

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Microstructure I

Are Short Selling Restrictions Effective? | Governance Effects of Corporate Bond Market Microstructure | Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

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Asset Pricing II - Factors

What Alleviates Crowding in Factor Investing? | New and Old Sorts: Implications for Asset Pricing | Common Fund Flows: Flow Hedging and Factor Pricing

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Corporate Policies

Index Investing and Corporate Investment-Price Sensitivity | Media Partisanship and Fundamental Corporate Decisions | Do Firms Save Too Much Cash? Evidence from a Tax on Corporate Savings

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Employees and Inequality

Pay Inequality, Job Satisfaction, and Firm Performance | Intermediated Asymmetric Information, Compensation, and Career Prospects | Equity Market Reaction to Pay Dispersion and Shareholders’ Prosocial Preferences

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Fintech

Product market competition with crypto tokens and smart contracts | The Public Blockchain Ecosystem: An Empirical Analysis | Miner Collusion and the BitCoin Protocol

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Government Policies and Debt

Government Debt and Bank Leverage Cycle: An Analysis of Public and Intermediated Liquidity | Treasury Debt and the Pricing of Short-Term Assets | Social Security and Trends in Inequality

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Individual Investors, Behaviour, and Ethics II

Working More to Pay the Mortgage: Interest Rates and Labor Supply | Spending Less After (Seemingly) Bad News | Estimating the Reference Points of Investors with the Disposition Effect

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Volatility I

Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns | Does ownership concentration affect corporate bond volatility? | Does corporate governance impact equity volatility? Theory and worldwide evidence

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Access to Capital

The Disappearing IPO Puzzle: New Insights from Proprietary U.S. Census Data on Private Firms | IPO Regulation and Initial Capital Structure: Evidence from the JOBS Act | Does limited liability matter? Evidence from a quasi-natural experiment

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Asset Pricing III - Empirical

Market Return Around the Clock: a Puzzle | One anomaly to explain them all | What Moves Equity Markets?A Term Structure Decomposition for Stock Returns

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ESG and Investor Activism

Corporate Governance in the Presence of Active and Passive Delegated Investment | The Real Effects of Environmental Activist Investing | Environmental Externalities of Activism

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Financial Crises I

Endogenous Risk-Exposure and Systemic Instability | What Interbank Rates Tell Us About Time-Varying Disaster Risk | Regulating Financial Networks: A Flying Blind Problem

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Funds and ETFs I

Evaluating Private Equity performance using Stochastic Discount Factors | Nowcasting Net Asset Values: The Case of Private Equity | Unsmoothing Returns of Illiquid Funds

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Innovation

Disagreement about Innovations and Endogenous Growth | Cross-Border Institutions and the Globalization of Innovation | Does Trading Spur Specialization? Evidence From Patenting

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Real Estate

Intermediary Segmentation in the Commercial Real Estate Market | Real Effects of Capital Inflows: Evidence from a China Shock in the U.S. Real Estate Market | Do Wall Street Landlords Undermine Renters' Welfare?

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Analysts

Crowded Analyst Coverage | The Value of Differing Points of View: Evidence from Financial Analysts' Geographic Diversity | Mergers under the Microscope: Analysing Conference Call Transcripts

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Asset Pricing IV

The Variance Risk Premium in Equilibrium Models | Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model | The Technical Default Spread

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Asset Pricing V - Disagreements and Beliefs

Range-based Expectations | Testing Disagreement Models | Heterogeneous Beliefs and FOMC Announcements

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Climate - ESG II

Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement | Do Directors Drive Corporate Sustainability? | The Determinants of ESG Ratings: Rater Ownership Matters

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Information Acquisition

Market Feedback: Who Learns What? | Acquiring Innovation Under Information Frictions | Secret and Overt Information Acquisition in Financial Markets

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Mergers

Lender Effects on Gains from Mergers and Acquisitions | Market Concentration and Uniform Pricing: Evidence from bank Mergers | Common Ownership and Competition in Mergers and Acquisitions

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Productivity

Flexibility Costs of Debt: Danish Exporters During the Cartoon Crisis | Granular Uncertainty and Disastrous Misallocation | Shielding Firm Value: Employment Protection and Process Innovation

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Valuation

Is financial globalization in reverse after the global financial crisis? Evidence from corporate valuations | Valuation and Long-Term Growth Expectations | It’s Not Who You Know—It’s Who Knows You: Employee Social Capital and Firm Performance

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Competition

Efficient Cyber Risk: Security and Competition in Financial Markets | Do Venture Capitalists Stifle Competition? | Adjacent Industry Competition Effects on Firm Boundaries

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Corporate Debt

Crowded out from the Beginning: Impact of Government Debt on Corporate Financing | The Transmission of Quantitative Easing to Corporate Bond Prices and Issuance | Options Trading and Corporate Debt Structure

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Finance and Labour

Within-firm Labor Heterogeneity and Firm Performance: Evidence from Employee Political Ideology Conflicts | Robots, labor market frictions, and corporate financial policies | Labor Voice in Corporate Governance: Evidence from Opportunistic Insider Trading

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Financial Crisis II - Systemic Risk

Bad News Bankers: Underwriter Reputation and Contagion in Pre-1914 Sovereign Debt Markets | Identifying Financial Crises Using Machine Learning on Textual Data | From Finance to Fascism

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Funds and ETFs II

Don't Take Their Word For It: The Misclassification of Bond Mutual Funds | Peer versus Pure Benchmarks in the Compensation of Mutual Fund Managers | The Information in Trade Financing

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Governance

Losing Control? The 20-Year Decline in Loan Covenant Restrictions | Mechanisms to Address Manager-Shareholder Agency Conflicts | “Pump and Dump” through Media Tone: The Role of Cross-Blockholders in Corporate Litigation

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Microstructure II - Information

Asymmetric Information Risk in FX Markets | Trading on long-term information | The Conduits of Price Discovery: A Machine Learning Approach

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Asset Pricing VI - Options

Does the Tail Wag the Dog? How Options Affect Stock Price Dynamics | Common factors in equity option returns | Operating Leverage and Hedging: A Tale of Two Production Costs for Asset Pricing

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Capital Structure

Optimal Debt Dynamics, Issuance Costs, and Commitment | How Large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model | The Dynamics of Corporate Debt Structure

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Financial Intermediation

The Value of ETF Liquidity | Loan Insurance, Market Liquidity and Lending Standards | Financial Innovation with Endogenous Experimentation

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Funds and ETFs III - Theory

Flows and Performance with Optimal Money Management Contracts | Capital Allocation and the Market for Mutual Funds: Inspecting the Mechanism | Activism and Indexing in Equilibrium

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Individual Investors, Behaviour, and Ethics III

Peak-Bust Rental Spreads | Born to be Bad | The consequences of investment fraud for its victims

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Microstructure III - Liquidity

Term Structure of the Liquidity Premium | Liquidity in the Cross Section of OTC Assets | Cross-subsidizing liquidity

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Volatility II

The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps? | Modeling Volatility in Dynamic Term Structure Models | Nonlinear Dynamics in Conditional Volatility

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Events

Tech Room

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Assistant Professor Session

Christine Parlour, Sylvan C. Coleman Chair in Finance and Accounting, Haas School of Business, University of California, Berkeley

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Panel Discussion on Sustainable Finance

Sean Cleary (moderator), Smith School of Business, Queen's University; Andrew Hall, TMX Group; Basma Majerbi, Gustavson School of Business, University of Victoria; Pedro Matos, Darden School of Business, University of Victoria

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Panel Discussion on Women in Finance

Kai Li (moderator), Sauder School of Business, University of British Columbia; Jan Bena, Sauder School of Business, University of British Columbia; Anisha Ghosh, Desautels Faculty of Management; Irene Yi, Rotman School of Management, University of Toronto

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Tech Room

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NFA Annual General Meeting and Keynote Speech

The keynote speaker is Anat R. Admati, George G.C. Parker Professor of Finance and Economics, Stanford University

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Tech Room

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