2021 NFA Annual Conference

Sessions

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PhD Session: Early-Stage Financing

(Sponsored by: Bank of Canada)

Financing New Ideas: Evidence from Kickstarter Campaigns | Asymmetric Information, Patent Publication, and Inventor Human Capital Reallocation | Angels and Demons: The Negative Effect of Employees' Angel Investments on Corporate Innovation

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PhD Session: Sophisticated Trading

(Sponsored by: Bank of Canada)

Green or Brown: Which Overpriced Stock to Short Sell? | Old wine in new bottles: Why do relationships matter in securitized lending? | Speaking with One Voice: Shareholder Collaboration on Activism

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PhD Session: Personal Investing

(Sponsored by: Bank of Canada)

Ex-Post Loss Sharing In Consumer Financial Markets | The Investment Side of College Savings | Real-Time Predictability of Mutual Fund Performance Predictors

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PhD Session: Real Effects of Finance

(Sponsored by: Bank of Canada)

Payout Policy Reform and Investor Horizons | Patient Capital, Product Markets, and Real Effects | Does Private Equity Ownership Make Firms Cleaner? The Role Of Environmental Liability Risks

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Asset Pricing Theory 1

A Supply and Demand Approach to Equity Pricing | Investment under Up- and Downstream Uncertainty | Financing Innovation with Future Equity

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Behavioral Finance

Asymmetries and the Market for Put Options | Psychological Distance and Deviations from Rational Expectations | Economic Narratives and Market Outcomes: A Semi-supervised Topic Modeling Approach

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Corporate Theory 1

Separating equilibria, under-pricing and security design | Fighting Fire with Fire: Optimality of Value Destruction to Mitigate Short-Termism | Are Markups Too High? Competition, Strategic Innovation, and Industry Dynamics

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Derivatives

Leveraged ETFs, Option Market Imbalances, and End-of-Day Price Dynamics | Mutual Fund Stock Holdings and the Cross-Section of Option Returns | Investor Attention and Option Returns

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Firm Financial Policy

Workplace Automation and Corporate Financial Policy | The Real Effects of Legal and Trading Frictions in Collateralization | Policy Uncertainty, Multinational Firms, and Reallocation

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Lending

Can the Federal Reserve Effectively Target Main Street? Evidence from the 1970s Recession | The Value of Lending Relationships | Credit Fire Sales: Captive Lending as Liquidity in Distress

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Real Estate

Housing Collateral Reform and Economic Reallocation | The Mortgage Piggy Bank: Building Wealth through Amortization | The Mortgage-Cash Premium Puzzle

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Asset Pricing Theory 2

A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models | The Slippery Slope of the Negative Correlation Condition | Democratization, Inequality, and Risk Premia

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Blockchain and Crypto

News-Driven Peer Co-Movement in Crypto Markets | The Adoption of Blockchain-based Decentralized Exchanges | Decentralized Exchanges

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Corporate Disclosure

Shareholder Litigation Risk and Readability of Corporate Financial Disclosures: Evidence from Natural Experiments | How to Talk When a Machine is Listening: Corporate Disclosure in the Age of AI | Does mandatory recognition of off-balance sheet liabilities affect capital structure choice? Evidence from SFAS 158

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Covid-19 and Credit

Liquidity Insurance vs. Credit Provision: Evidence from the COVID-19 Crisis | Motivating Banks to Lend? Credit Spillover Effects of the Main Street Lending Program | Mutual Fund Fragility, Dealer Liquidity Provision, and the Pricing of Municipal Bonds

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Equity Prices and Returns

Digesting FOREXS | Confident Risk Premia: Economics and Econometrics of Machine Learning Uncertainties | From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses

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Fixed Income

The SOE Premium and Government Support in China’s Credit Market | Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk | Internal Models, Make Believe Prices, and Bond Market Cornering

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Law and Finance

Lawyer Networks and Corporate Bankruptcies | Court Quality and Economic Resilience | Deputization

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Asset Pricing Models 2

Does the CAPM predict returns? | Short Selling Efficiency | Consumption growth persistence and the stock/bond correlation

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CEOs

CEO Activism and Firm Value | CEO Compensation: Evidence From the Field | CEO Pet Projects

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Gender and Behavioral Finance

Gender and Managerial Job Mobility: Career Prospects for Executives Displaced by Acquisitions | Corporate Leadership and Inherited Beliefs about Gender Roles | Locked-in at Home: Limited Attention of Female Analysts during the COVID-19 Pandemic

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Investment Policy - Theory

Collective Activism | A q theory of internal capital markets | Style Over Substance? Advertising, Innovation, and Endogenous Market Structure

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Labor and Finance

Financial Resilience in Labor Negotiations | Workplace Inequality in Pay Growth: Evidence from US Individual-level Data | Restructuring the Labor Force after Mergers

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Market Efficiency 1

Finite Sample Analysis of Predictive Regressions with Long-Horizon Returns | The Loan Fee Anomaly: A Short Seller's Best Ideas | Momentum, Reversal, and Seasonality in Option Returns

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Asset Pricing Models 1

Factor Models with Drifting Prices | A One-Factor Model of Corporate Bond Premia | Geographic Links and Predictable Returns

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Corporate Governance

The Man(ager) who Knew too much | The Proxy Advisory Industry: Influencing and Being Influenced | Too Many Managers: Strategic Use of Titles to Avoid Overtime Payments

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Credit

Who mismanages student loans and why? | Fire-Sale Risk in the Leveraged Loan Market | Validity, Tightness, and Forecasting Power of Risk Premium Bounds

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Currency and Exchange Rates

When the penny doesn't drop — Macroeconomic tail risk and currency crises | The Geography of Exchange Rate Disconnect | The Hedging Channel of Exchange Rate Determination

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Financial Intermediation - Theory

Private Renegotiations and Government Interventions in Debt Chains | Dynamic Banking and the Value of Deposits | Bank Runs, Bank Competition and Opacity

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Fintech

FinTech Adoption and Household Risk-Taking | Dissemination, Publication, and Impact of Finance Research: When Novelty Meets Conventionality | Surviving the Fintech Disruption

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Market Efficiency 2

More than 100% of the equity premium: How much is really earned on macroeconomic announcement days? | Market Returns and a Tale of Two Types of Attention | Open Source Cross-Sectional Asset Pricing

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Household Finance 1

Almost Famous: The Short- and Long-Term Effects of Housing Wealth Shocks on Career Decisions | Conflicting Interests and the Effect of Fiduciary Duty — Evidence from Variable Annuities | Using High-Frequency Evaluations to Estimate Discrimination: Evidence from Mortgage Loan Officers

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Innovation

Paid Family Leave and Corporate Innovation | Academic Directors and Corporate Innovation | Mapping US-China Technology Decoupling, Innovation, and Firm Performance

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Market Microstructure Theory

Information Sharing in Financial Markets | The Conceptual Flaws of Constant Product Automated Market Making | Thinking Fast and Slow, Speculative Trading, and Skewness

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Mutual Funds 1

Factor Demand and Factor Returns | Two APs are Better Than One: ETF Mispricing and Primary Market Participation | Mutual Fund Revenue Sharing in 401(k) Plans

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Regulation

Do Environmental Regulations Do More Harm Than Good? Evidence from Competition and Innovation | Labor Market Effects of Deleting Delinquencies | Municipal Bond Insurance and the U.S. Drinking Water Crisis

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Corporate Empirical 1

Measuring the Quality of Mergers and Acquisitions | Neglected Peers in Merger Valuations | What Explains the Effect of Anti-Takeover Provisions on Corporate Innovation?

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Financial Crises

Dissecting Mechanisms of Financial Crises: Intermediation and Sentiment | Reducing Strategic Default in a Financial Crisis | Better Be Careful: The Replenishment of ABS backed by SME loans

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High Frequency Trading

Liquid speed: A micro-burst fee for low-latency exchanges | Identifying High Frequency Trading activity without proprietary data | Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality

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Household Finance 2

Competition and Selection in Credit Markets | The Negativity Bias and Perceived Return Distributions: Evidence from a Pandemic | Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs

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Info Transmission

Political polarization and financial news | Does Alternative Data Improve Financial Forecasting? The Horizon Effect | The Social Internetwork and Stock Returns

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Mutual Funds 2

Smartphone Trading Technology, Investor Behavior, and Financial Fragility | Hiding in Plain Sight: The Global Implications of Manager Disclosure | Paying for Beta: Leverage Demand and Asset Management Fees

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Risk Premia

Credit Risk and the Transmission of Interest Rate Shocks | Smart Beta Made Smart: Synthetic Risk Factors for Institutional and Retail Investors | Expected Macroeconomic Conditions and Market Risk Premium: Evidence from A Term Structure of Macroeconomic Forecasts

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Banking Policy

The real effects of bank supervision: evidence from on-site inspections | Bank Stress Test Disclosures, Private Information Production, and Price Informativeness | Liquidity Restrictions, Runs, and Central Bank Interventions: Evidence from Money Market Funds

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Climate

(Sponsored by: Institute for Sustainable Finance, Queen's University)

Household Wealth and Entrepreneurial Career Choices: Evidence from Climate Disasters | Sea Level Rise and Portfolio Choice | The rising tide lifts some interest rates: climate change, natural disasters, and loan pricing

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Corporate Empirical 2

Is Public Equity Deadly? Evidence from Workplace Safety and Productivity Tradeoffs in the Coal Industry | Does the Confidential IPO Registration Process Create Value? | Board dynamics over the startup life cycle

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Macro Theory

Information Acquisition and the Pre-Announcement Drift | Inflation risk and the finance-growth nexus | Announcements, Expectations, and Stock Returns with Asymmetric Information

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Market Microstructure Empirical

Refusing the Best Price? | Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets | Centralizing over-the-counter markets?

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Portfolio Choice

More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency | What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns? | A robust approach to optimal portfolio choice with parameter uncertainty

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Venture Capital

A Valuation Model of Venture Capital-Backed Companies with Multiple Financing Rounds | Angels and Venture Capitalists: Complementarity versus Substitution, Financing Sequence, and Relative Value Addition to Entrepreneurial Firms | Trademarks and Entrepreneurial Firm Success: Theory and Evidence from Private Firm Exits and Initial Public Offerings

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Events

Assistant Professor Session

Session for early-stage researchers to discuss strategies for creating a successful research pipeline and earning tenure/promotion. Chaired by Burton Hollifield, PNC Professor of Finance, Carnegie Mellon University

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Diversity and Inclusion in Finance Panel Session

(Sponsored by: University of Calgary)

Panel session which explores removing barriers to diversity and inclusion in finance, within both academia and the profession. Chaired by Susan Christoffersen, Dean of Rotman School of Management.

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NFA Annual General Meeting and Keynote Speech: The U.S. Treasuries Market Needs a Reformation

The keynote speaker is Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business, Stanford University

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