2020 NFA Annual Conference
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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?
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?
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
PhD Corporate Finance II
Hedge Fund Activism, Corporate Governance, and Product Market Competition | Board Connections and CEO successions | Social Networks and Corporate Social Responsibility
Asset Pricing I
Equity Prices in a Granular Economy | Consumption Heterogeneity, Business Cycle, and Asset Pricing | Measuring Beliefs from Asset Prices
Banking Regulation
Optimal Financial Regulation | Persuading Multiple Audiences: An Information Design Approach to Banking Regulation | Anti-money laundering enforcement, banks, and the real economy
CEOs
The Market for CEOs | Uncovering the Hidden Effort Problem | In CEO We Trust: Negative Effects of CEO-board Trust
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
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
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
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
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
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
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
Fintech
Product market competition with crypto tokens and smart contracts | The Public Blockchain Ecosystem: An Empirical Analysis | Miner Collusion and the BitCoin Protocol
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
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
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
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
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
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
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
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
Innovation
Disagreement about Innovations and Endogenous Growth | Cross-Border Institutions and the Globalization of Innovation | Does Trading Spur Specialization? Evidence From Patenting
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?
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
Asset Pricing IV
The Variance Risk Premium in Equilibrium Models | Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model | The Technical Default Spread
Asset Pricing V - Disagreements and Beliefs
Range-based Expectations | Testing Disagreement Models | Heterogeneous Beliefs and FOMC Announcements
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
Information Acquisition
Market Feedback: Who Learns What? | Acquiring Innovation Under Information Frictions | Secret and Overt Information Acquisition in Financial Markets
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
Productivity
Flexibility Costs of Debt: Danish Exporters During the Cartoon Crisis | Granular Uncertainty and Disastrous Misallocation | Shielding Firm Value: Employment Protection and Process Innovation
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
Competition
Efficient Cyber Risk: Security and Competition in Financial Markets | Do Venture Capitalists Stifle Competition? | Adjacent Industry Competition Effects on Firm Boundaries
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
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
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
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
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
Microstructure II - Information
Asymmetric Information Risk in FX Markets | Trading on long-term information | The Conduits of Price Discovery: A Machine Learning Approach
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
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
Financial Intermediation
The Value of ETF Liquidity | Loan Insurance, Market Liquidity and Lending Standards | Financial Innovation with Endogenous Experimentation
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
Individual Investors, Behaviour, and Ethics III
Peak-Bust Rental Spreads | Born to be Bad | The consequences of investment fraud for its victims
Microstructure III - Liquidity
Term Structure of the Liquidity Premium | Liquidity in the Cross Section of OTC Assets | Cross-subsidizing liquidity
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
Events
Assistant Professor Session
Christine Parlour, Sylvan C. Coleman Chair in Finance and Accounting, Haas School of Business, University of California, Berkeley
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
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
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