Papers - ESSFM 2015 (AP)

Monday 20 July

 

08.30 - 09.30 Credit Expansion and Neglected Crash Risk

*Matt Baron (Cornell University) with Wei Xiong (Princeton University)

09.30 - 10.30 Option-Based Credit Spreads

*Pietro Veronesi (Booth School of Business, University of Chicago) with Christopher Culp (Compass Lexecon) and Yoshio Nozawa (Federal Reserve Board of Governor)

11.00 - 12.00 Insolvency After the 2005 Bankruptcy Reform

*Jaromir Nosal (Columbia University) with Stefania Albanesi (Federal Reserve Bank of New York and CEPR)

 

Tuesday 21 July

 

Focus session: Monetary Policy and Bond/Equity Markets

08.50 - 09.40 Government maturity structure twists

*Howard Kung (London Business School)

09.40 - 10.30 Monetary Policy in the Bond Markets and Macroeconomy

*Ivan Shaliastovich (Wharton) with Ram Yamarthy (Wharton)

11.00 - 11.50 Stock returns over the FOMC cycle

*Anna Cieslak (Duke University) with Annette Vissing-Jorgensen (University of California, Berkeley and CEPR) and Adair Morse (University of California, Berkeley)

 

Wednesday 22 July

 

08.30 - 09.30 Asset Pricing with Countercyclical Household Consumption Risk

*Anisha Ghosh (Carnegie Mellon University) with George Constantinides (University of Chicago)

09.30 - 10.30 The Price of Variance Risk

*Ian Dew-Becker (Kellogg, Northwestern University) with Ahn Le (University of North Carolina), Stefano Giglio (Chicago Booth) and Marius Rodriguez (Federal Reserve Board)

11.00 - 12.00 Intermediaries as Information Aggregators: An Application to U. S. Treasury Auctions

*Nina Boyarchenko (Federal Reserve Bank of New York) with David Lucca (Federal Reserve Bank of New York) and Laura Veldkamp (NYU Stern and CEPR)

 

Thursday 23 July

 

Focus session: Asset Pricing with Financial Intermediation

08.45 - 09.40 Intermediary Asset Pricing: a Cross-Asset Analysis​

Asaf Manela (Washington University in St. Louis)

09.40 - 10.35 Financial Crisis and Risk Premia

Tyler Muir (Yale) 

11.05 - 12.00 The Macroeconomics of Shadow Banking

Alan Moreira (Yale)

 

Friday 24 July

 

08.30 - 09.30 Advertising Arbitrage

*Sergei Kovbasyuk (Einaudi Institute for Economics and Finance) with Marco Pagano (Università di Napoli Federico II and CEPR)

09.30 - 10.30 A News-Utility Theory for Inattention and Delegation in Portfolio Choice

*Michaela Pagel  (Columbia Business School)

11.00 - 12.00 Interest Rate Risk and Corporate Hedging

*Lukas Schmid (Duke University) with Lorenzo Bretscher (LSE), Philippe Mueller (LSE) and Andrea Vedolin (LSE)