2012 Program47th Annual Conference

of theWestern Finance Association

Wynn Las Vegas HotelLas Vegas, Nevada

June 18 - 21, 2012

WESTERN FINANCE ASSOCIATIONWe are a professional society for academicians and practitioners with a scholarly interest in the development and application of research in finance.

Our purpose is (1) to serve as a focal point for communication among members, (2) to improve teaching and scholarship, and (3) to provide for the dissemination of information, including the holding of meetings and the support of publications.

The Association is an international organization with membership open to individuals from both the academic and professional community, and to institutions. Two classes of individual membership are available: lifetime membership ($150.00) and three-year membership ($50.00). Members of the Association are entitled to receive a reduction in the registration fee at the annual meetings. You are invited to join or renew on-line at the WFA’s informational web site, http://www.westernfinance.org.

Correspondence regarding membership and other business aspects of the Association should be addressed to:

Professor Duane SeppiSecretary-Treasurer, WFATepper School of BusinessCarnegie Mellon UniversityPittsburgh, PA 15213-3890Email: ds64@andrew.cmu.eduTelephone: (412) 268-2298

A call for papers and participants for the 2013 Conference of the Western Finance Association appears at the end of this program.

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REGISTRATION AND HOTEL INFORMATIONAll sessions and conference functions will be held in the Wynn Las Vegas Hotel. On-site registration for the conference will be located in the Wynn Las Vegas Hotel at Registration Desk 3 on the following schedule:

Monday, June 18, 2012, 4:00 pm – 8:00 pm Tuesday, June 19, 2012, 8:00 am – 4:00 pmWednesday, June 20, 2012, 8:00 am – 12:00 noon

PRE-REGISTRATIONPre-registration is at our web site, http://www.westernfinance.org. Those who pre-register are entitled to a discount on registration fees. To qualify for these discounted rates you must pre-register by May 24, 2012. See the web site for details. Checks must be sent to MaryAnn O’Brien or to the Secretary-Treasurer at the address referenced on page 1.

FEE SCHEDULE Pre-Registration On-site Registration

WFA member $ 75 $125Program Committee Member No Charge $125Non-member $125 $175Student No Charge $ 30

SPECIAL EVENT REGISTRATIONRegistration for the WFA Annual Meeting Luncheon and other special events will be done at the time of pre-registration on the WFA website and on-site (subject to availability) for those who do not pre-register. Because space is limited, registration is required for any of the luncheons or evening receptions. The WFA makes every attempt to make these events free to registrants, but reserves the right to charge for these events if sponsorships do not cover the full cost.

SOCIETY FOR FINANCIAL STUDIES MEMBERSHIP MEETINGAll members of the Society for Financial Studies are invited to attend theAnnual Meeting to be held on Wednesday, June 20 from 4:45-5:45 pm in the Montrachet Room at the Wynn Las Vegas Hotel. All subscribers to the Review of Financial Studies are members of the Society for Financial Studies.

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WESTERN FINANCE ASSOCIATION

Officers and Directors: 2011-2012President Francis Longstaff, University of California-Los AngelesPresident Elect Michael Fishman, Northwestern UniversityVice President John Graham, Duke UniversityVice-President Elect: Josef Zechner, Vienna University of Economics and BusinessSecretary-Treasurer Duane Seppi, Carnegie Mellon University

Directors Joshua Coval, Harvard University Andrea Eisfeldt, University of California-Los Angeles Lubos Pastor, University of Chicago Antoinette Schoar, Massachusetts Institute of Technology Jiang Wang, Massachusetts Institute of Technology Toni Whited, University of Rochester

Presidents: 1965-20121965-66 Kenneth L. Trefftzs University of Southern California1966-67 Edward Reed University of Oregon1967-68 Robert Carr Fresno State College1968-69 Burton Kolb University of Colorado1969-70 Lester Stickler Oregon State University1970-71 Harold Stevenson Arizona State University1971-72 W. Scott Bauman University of Oregon1972-73 David Eiteman University of California, Los Angeles1973-74 James Wert University of Arizona1974-75 George Kaufman University of Oregon1975-76 John Herzog Simon Fraser University1976-77 A. Blaine Huntsman University of Utah1977-78 David Pyle University of California, Berkeley1978-79 Guilford Babcock University of Southern California1979-80 Donald Farrar University of Utah1980-81 Charles D’Ambrosio University of Washington1981-82 James Van Horne Stanford University1982-83 Edward Dyl University of Wyoming1983-84 Nils Hakansson University of California, Berkeley1984-85 Seha Tinic University of Texas at Austin1985-86 Alan Kraus University of British Columbia1986-87 Gerald Bierwag University of Arizona1987-88 Robert Litzenberger University of Pennsylvania1988-89 Alan Hess University of Washington1989-90 Lemma Senbet University of Maryland1990-91 Eduardo Schwartz University of California, Los Angeles

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1991-92 Stephen Brown New York University1992-93 Hans Stoll Vanderbilt University1993-94 Kenneth Singleton Stanford University1994-95 Milton Harris University of Chicago1995-96 Chester S. Spatt Carnegie Mellon University1996-97 Michael J. Brennan University of California, Los Angeles1997-98 Maureen O’Hara Cornell University1998-99 Franklin Allen University of Pennsylvania1999-00 Richard C. Green Carnegie Mellon University2000-01 Wayne Ferson University of Washington2001-02 Douglas W. Diamond University of Chicago2002-03 Philip H. Dybvig Washington University in St. Louis2003-04 René M. Stulz Ohio State University2004-05 Ravi Jagannathan Northwestern University2005-06 Mark Grinblatt University of California, Los Angeles2006-07 Sheridan Titman University of Texas at Austin2007-08 Campbell R. Harvey Duke University2008-09 Artur Raviv Northwestern University2009-10 William Goetzmann Yale University2010-11 Peter DeMarzo Stanford University2011-12 Francis Longstaff University of California, Los Angeles

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Distinguished Speakers

WFA Annual Meeting Speakers 1979-2012

Year Location Speaker 1979 San Francisco Nils Hakansson 1980 San Diego Kenneth Arrow 1981 Jackson Lake Eugene Fama 1982 Portland Stephen Ross 1983 Long Beach Myron Scholes 1984 Vancouver Richard Roll 1985 Scottsdale Robert Litzenberger 1986 Colorado Springs Merton Miller 1987 San Diego Edward Kane 1988 Napa Sanford Grossman 1989 Seattle William Sharpe 1990 Santa Barbara Michael Brennan 1991 Jackson Lake Fischer Black 1992 San Francisco Myron Scholes 1993 Whistler Alan Kraus 1994 Santa Fe Mark Rubinstein 1995 Aspen Kenneth French 1996 Sunriver Joseph Williams 1997 San Diego Richard Thaler 1998 Monterey Milton Harris 1999 Santa Monica Andrei Shleifer 2000 Sun Valley Kenneth Singleton 2001 Tucson Robert Shiller 2002 Park City Albert S. “Pete” Kyle 2003 Los Cabos Richard Kihlstrom 2004 Vancouver Michael C. Jensen 2005 Portland Douglas Breeden 2006 Keystone Douglas Diamond 2007 Big Sky John Y. Campbell 2008 Waikoloa René M. Stulz 2009 San Diego Chester Spatt 2010 Victoria Mark Grinblatt 2011 Santa Fe Maureen O’Hara 2012 Las Vegas Campbell Harvey

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2012 Program Committee

Program Chair Michael Fishman, Northwestern University

Program Committee Associate ChairpersonsSnehal Banerjee, Northwestern UniversityJules van Binsbergen, Northwestern UniversityAnna Cieslak, Northwestern UniversityKathleen Hagerty, Northwestern UniversityYael Hochberg, Northwestern UniversityRavi Jagannathan, Northwestern UniversityRobert Korajczyk, Northwestern UniversityArvind Krishnamurthy, Northwestern UniversityDavid Matsa, Northwestern UniversityRobert McDonald, Northwestern UniversityBrian Melzer, Northwestern UniversityDimitris Papanikolaou, Northwestern UniversityJonathan Parker, Northwestern UniversityJoshua Rauh, Northwestern UniversityPaola Sapienza, Northwestern UniversityCostis Skiadas, Northwestern UniversityViktor Todorov, Northwestern UniversityAnnette Vissing-Jorgensen, Northwestern University

Program Committee Members Viral Acharya, New York UniversityAnat Admati, Stanford UniversityReena Aggarwal, Georgetown UniversityRajesh Aggarwal, University of MinnesotaAnup Agrawal, University of AlabamaAshwini Agrawal, New York UniversityHengjie Ai, Duke UniversityYacine Ait-Sahalia, Princeton UniversityRui Albuquerque, Boston UniversityCindy Alexander, Securities and Exchange CommissionGeorge (Yiorgos) Allayannis, University of VirginiaAndres Almazan, University of Texas, AustinHeitor Almeida, University of Illinois, Urbana, ChampaignAydogan Alti, University of Texas, AustinAndrew Ang, Columbia UniversityElena Asparouhova, University of UtahDoron Avramov, Hebrew University

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Ulf Axelson, London School of EconomicsWarren Bailey, Cornell UniversityMalcolm Baker, Harvard UniversityGurdip Bakshi, University of MarylandSnehal Banerjee, Northwestern UniversityRavi Bansal, Duke UniversitySohnke Bartram, University of WarwickShmuel Baruch, University of UtahSuleyman Basak, London Business SchoolDavid Bates, University of IowaThomas Bates, Arizona State UniversityBo Becker, Harvard UniversityEffi Benmelech, Harvard UniversityLuca Benzoni, Federal Reserve Bank of ChicagoNittai Bergman, Massachusetts Institute of TechnologyDaniel Bergstresser, Harvard UniversityElazar Berkovitch, IDCAntonio Bernardo, University of California, Los AngelesMarianne Bertrand, University of ChicagoJohn Beshears, Stanford UniversityHank Bessembinder, University of UtahSanjai Bhagat, University of Colorado, BoulderHarjoat Bhamra, University of British ColumbiaUtpal Bhattacharya, Indiana UniversityNick Bollen, Vanderbilt UniversityPhilip Bond, University of MinnesotaArnoud Boot, University of AmsterdamPeter Bossaerts, California Institute of TechnologyJacob (Kobi) Boudoukh, IDCChrista Bouwman, Case Western Reserve UniversityMichael Brandt, Duke UniversityAlon Brav, Duke UniversityBradyn Breon-Drish, Stanford UniversityGregory Brown, University of North Carolina, Chapel HillStephen Brown, New York UniversityDavid Brown, University of Wisconsin, MadisonMike Burkart, Stockholm School of EconomicsJeffrey Busse, Emory UniversityMurillo Campello, Cornell UniversityBruce Carlin, University of California, Los AngelesMurray Carlson, University of British ColumbiaJennifer Carpenter, New York UniversityDavid Chapman, Boston CollegeThomas Chemmanur, Boston CollegeMark Chen, Georgia State University

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Zhiwu Chen, Yale UniversityHui Chen, Massachusetts Institute of TechnologyJoseph Chen, University of California, DavisSergey Chernenko, Ohio State UniversityMikhail Chernov, London School of EconomicsJames Choi, Yale UniversityDarwin Choi, Hong Kong University of Science and TechnologyTarun Chordia, Emory UniversityBhagwan Chowdhry, University of California, Los AngelesAnna Cieslak, Northwestern UniversityStijn Claessens, International Monetary FundGian Luca Clementi, New York UniversityJoao Cocco, London Business SchoolLauren Cohen, Harvard UniversityMoshe Cohen, Columbia UniversityShawn Cole, Harvard UniversityJeffrey Coles, Arizona State UniversityPierre Collin-Dufresne, Columbia UniversityJennifer Conrad, University of North Carolina, Chapel HillMichael Cooper, University of UtahFrancesca Cornelli, London Business SchoolJohn Cotter, University College DublinJosh Coval, Harvard UniversityMartijn Cremers, Yale UniversityMariano Croce, University of North Carolina, Chapel HillZhi Da, University of Notre DameMagnus Dahlquist, Stockholm School of EconomicsAmil Dasgupta, London School of EconomicsSudipto Dasgupta, Hong Kong University of Science and TechnologyAdolfo De Motta, McGill UniversityHarry DeAngelo, University of Southern CaliforniaDiane Del Guercio, University of OregonMihir Desai, Harvard UniversityKarl Diether, Dartmouth CollegeAmy Dittmar, University of MichiganRobert Dittmar, University of MichiganDobrislav Dobrev, Federal Reserve BoardCraig Doidge, University of TorontoItamar Drechsler, New York UniversityJoost Driessen, Tilburg UniversityGreg Duffee, Johns Hopkins UniversityEspen Eckbo, Dartmouth CollegeRoger Edelen, University of California, DavisAlex Edmans, University of PennsylvaniaAndrea Eisfeldt, University of California, Los Angeles

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Joseph Engleberg, University of California, San DiegoVihang Errunza, McGill UniversityRudiger Fahlenbrach, Ecole PolytechniqueMichael Faulkender, University of MarylandWayne Ferson, University of Southern CaliforniaAdlai Fisher, University of British ColumbiaMark Flannery, University of FloridaThierry Foucault, HEC ParisJulian Franks, London Business SchoolCarola Frydman, Boston UniversityPaolo Fulghieri, University of North Carolina, Chapel HillXavier Gabaix, New York UniversityLouis Gagnon, Queens UniversityVito Gala, London Business SchoolAmar Gande, Southern Methodist UniversityPengjie Gao, University of Notre DameLorenzo Garlappi, University of British ColumbiaNicolae Garleanu, University of California, BerkeleyMark Garmaise, University of California, Los AngelesThomas George, University of HoustonSimon Gervais, Duke UniversityMila Getmansky Sherman, University of MassachusettsRon Giammarino, University of British ColumbiaScott Gibson, College of William and MaryThomas Gilbert, University of WashingtonXavier Giroud, Massachusetts Institute of TechnologyVincent Glode, University of PennsylvaniaBrent Glover, Carnegie Mellon UniversityWilliam Goetzmann, Yale UniversityRobert Goldstein, University of MinnesotaItay Goldstein, University of PennsylvaniaFrancisco Gomes, London Business SchoolAlexander Gorbenko, London Business SchoolTodd Gormley, University of PennsylvaniaGary Gorton, Yale UniversityAmit Goyal, University of LausanneJeremy Graveline, University of MinnesotaClifton Green, Emory UniversityBrett Green, University of California, BerkeleyRobin Greenwood, Harvard UniversitySteve Grenadier, Stanford UniversityJohn Griffin, University of Texas, AustinYaniv Grinstein, Cornell UniversityGustavo Grullon, Rice UniversityBruce Grundy, University of Melbourne

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Ilan Guedj, University of Texas, AustinDirk Hackbarth, University of Illinois, Urbana, ChampaignKathleen Hagerty, Northwestern UniversityBing Han, University of Texas, AustinMatthew C. Harding, Stanford UniversityJarrad Harford, University of WashingtonLarry Harris, University of Southern CaliforniaMilton Harris, University of ChicagoJay Hartzell, University of Texas, AustinJoel Hasbrouck, New York UniversityTarek Hassan, University of ChicagoZhiguo He, University of ChicagoPing He, Tsinghua UniversityUlrich Hege, HEC ParisJean Helwege, University of South CarolinaTerrence Hendershott, University of California, BerkeleyMichael Hertzel, Arizona State UniversitySteven Heston, University of MarylandDavid Hirshleifer, University of California, IrvineYael Hochberg, Northwestern UniversityCraig Holden, Indiana UniversityBurton Hollifield, Carnegie Mellon UniversityHarrison Hong, Princeton UniversityEdie Hotchkiss, Boston CollegeKewei Hou, Ohio State UniversityDavid Hsieh, Duke UniversityJennifer Huang, University of Texas, AustinEric Hughson, Claremont McKenna CollegeChuan-Yang Hwang, Nanyang Tech UniversityDavid Ikenberry, University of Colorado, BoulderPhilipp Illeditsch, University of PennsylvaniaRonen Israel, IDCVictoria Ivashina, Harvard UniversityZoran Ivkovic, Michigan State UniversityRajkamal Iyer, Massachusetts Institute of TechnologyNarashimhan Jegadeesh, Emory UniversityDirk Jenter, Stanford UniversityWei Jiang, Columbia UniversityLi Jin, Harvard UniversityMichael Johannes, Columbia UniversityKose John, New York UniversityChristopher Jones, University of Southern CaliforniaScott Joslin, University of Southern CaliforniaNengjiu Ju, Hong Kong University of Science and TechnologyBrandon Julio, London Business School

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Jakub Jurek, Princeton UniversityMarcin Kacperczyk, New York UniversityDalida Kadyrzhanova, University of MarylandSwaminathan Kalpathy, Southern Methodist UniversityAvraham Kamara, University of WashingtonRaymond Kan, University of TorontoJun-Koo Kang, Nanyang Tech UniversityRon Kaniel, University of RochesterSteve Kaplan, University of ChicagoJason Karceski, LSV Asset ManagementAndrew Karolyi, Cornell UniversityJonathan Karpoff, University of WashingtonAnastasia Kartasheva, University of PennsylvaniaGautam Kaul, University of MichiganKenneth Kavajecz, University of Wisconsin, MadisonSimi Kedia, Rutgers UniversityDonald Keim, University of PennsylvaniaBryan Kelly, University of ChicagoMatti Keloharju, Helsinki School of Economics & BusinessSusan Kerr Christoffersen, University of TorontoBong-Chan Kho, Seoul National UniversityDana Kiku, University of PennsylvaniaDarren Kisgen, Boston CollegeIsaac Kleshchelski, Washington University, St. LouisJohan Knif, Hanken School of EconomicsSamuli Knüpfer, London Business SchoolShimon Kogan, University of Texas, AustinLeonid Kogan, Massachusetts Institute of TechnologyRalph Koijen, University of ChicagoAdam Kolasinski, University of WashingtonPeter Kondor, Central European UniversityArthur Korteweg, Stanford UniversityJennifer Koski, University of WashingtonIlan Kremer, Stanford UniversityCNV Krishnan, Case Western Reserve UniversityLars-Alexander Kuehn, Carnegie Mellon UniversityCamelia Kuhnen, Northwestern UniversityPraveen Kumar, University of HoustonChristopher Lamoureux, University of ArizonaNisan Langberg, University of HoustonRafael LaPorta, Dartmouth CollegeChris Leach, University of Colorado, BoulderCharles Lee, Stanford UniversitySamuel Lee, New York UniversityQin Lei, Southern Methodist University

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Yaron Leitner, Federal Reserve Bank of PhiladelphiaMichael Lemmon, University of UtahJosh Lerner, Harvard UniversityMartin Lettau, University of California, BerkeleyDoron Levit, University of PennsylvaniaJonathan Lewellen, Dartmouth CollegeKatharina Lewellen, Dartmouth CollegeBing Liang, University of MassachusettsErik Lie, University of IowaEva Liljeblom, Hanken School of EconomicsJames Linck, University of GeorgiaLaura Lindsey, Arizona State UniversityJuhani Linnainmaa, University of ChicagoKarl Lins, University of UtahMarc Lipson, University of VirginiaCrocker Liu, Cornell UniversityJun Liu, University of California, San DiegoTingjun Liu, Cheung Kong Graduate School of BusinessQianqiu Liu, University of HawaiiDmitry Livdan, University of California, BerkeleyAlexander Ljungqvist, New York UniversityAndrew Lo, Massachusetts Institute of TechnologyClaudio Loderer, Universitaet BernFrancis Longstaff, University of California, Los AngelesRichard Lowery, University of Texas, AustinMichelle Lowry, Penn State UniversityChristian Lundblad, University of North Carolina, Chapel HillEvgeny Lyandres, Boston UniversityAnthony Lynch, New York UniversityPeter MacKay, Hong Kong University of Science and TechnologyCraig MacKinlay, University of PennsylvaniaAnanth Madhavan, Barclays Global InvestorsLeonardo Madureira, Case Western Reserve UniversityPascal Maenhout, INSEADIgor Makarov, London Business SchoolVojislav Maksimovic, University of MarylandNadya Malenko, Boston CollegeAndrey Malenko, Massachusetts Institute of TechnologyChris Malloy, Harvard UniversityUlrike Malmendier, University of California, BerkeleyGustavo Manso, Massachusetts Institute of TechnologyRobert Marquez, Boston UniversitySpencer Martin, University of MelbourneMarc Martos-Vila, University of California, Los AngelesMassimo Massa, INSEAD

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Ron Masulis, University of New South WalesPedro Matos, University of VirginiaGregor Matvos, University of ChicagoDavid Mauer, University of Texas, DallasWilliam Maxwell, Southern Methodist UniversityRobert McDonald, Northwestern UniversityDavid McLean, University of AlbertaAlbert Menkveld, VU University AmsterdamAndrew Metrick, Yale UniversityRoni Michaely, Cornell UniversityTodd Milbourn, Washington University, St. LouisDarius Miller, Southern Methodist UniversityKristian Miltersen, Copenhagen Business SchoolBernadette Minton, Ohio State UniversityErwan Morellec, Ecole Polytechnique Fédérale de LausanneAdair Morse, University of ChicagoPamela Moulton, Cornell UniversityHolger Mueller, New York UniversityJustin Murfin, Yale UniversityDavid Musto, University of PennsylvaniaBrett Myers, Texas Tech UniversityStefan Nagel, Stanford UniversityGregory Nini, University of PennsylvaniaThomas Noe, Oxford UniversityKjell Nyborg, University of ZurichTerrance Odean, University of California, BerkeleyMaureen O’Hara, Cornell UniversityChristian Opp, University of PennsylvaniaMarcus Opp, University of California, BerkeleyHernan Ortiz-Molina, University of British ColumbiaBarbara Ostdiek, Rice UniversityPaige Parker Ouimet, University of North Carolina, Chapel HillOguzhan Ozbas, University of Southern CaliforniaMarco Pagano, Università di Napoli Federico IIDarius Palia, Rutgers UniversityStavros Panageas, University of ChicagoMarios Panayides, University of PittsburghDimitris Papanikolaou, Northwestern UniversityJonathan Parker, Northwestern UniversityChristine Parlour, University of California, BerkeleyRobert Parrino, University of Texas, AustinChristopher Parsons, University of California, San DiegoLubos Pastor, University of ChicagoAnna Pavlova, London Business SchoolLasse H. Pedersen, New York University

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Liang Peng, University of Colorado, BoulderGeorge Pennacchi, University of Illinois, Urbana, ChampaignFrancisco Perez-Gonzalez, Stanford UniversityEnrico Perotti, University of AmsterdamMitchell Petersen, Northwestern UniversityGordon Phillips, University of Southern CaliforniaKate Phylaktis, City University, LondonGuillaume Plantin, Toulouse UniversityChristopher Polk, London School of EconomicsJoshua Pollet, Michigan State UniversityN.R. Prabhala, University of MarylandManju Puri, Duke UniversityUday Rajan, University of MichiganAdriano Rampini, Duke UniversityRaghavendra Rau, University of CambridgeS. Abraham (Avri) Ravid, Rutgers UniversityMark Ready, University of Wisconsin, MadisonAdam Reed, University of North Carolina, Chapel HillJonathan Reuter, Boston CollegeMatt Rhodes-Kropf, Harvard UniversityEdward Rice, University of WashingtonMichael Roberts, University of PennsylvaniaDavid Robinson, Duke UniversityTavy Ronen, Rutgers UniversityEhud I. Ronn, University of Texas, AustinIoanid Rosu, HEC ParisNikolai Roussanov, University of PennsylvaniaBryan Routledge, Carnegie Mellon UniversityGeert Rouwenhorst, Yale UniversityKristian Rydqvist, Binghamton UniversityGideon Saar, Cornell UniversityRonnie Sadka, Boston CollegePatrik Sandas, University of VirginiaPedro Santa-Clara, Universidade Nova de LisboaPavel Savor, University of PennsylvaniaAnna Scherbina, University of California, DavisLukas Schmid, Duke UniversityPhilipp Schnabl, New York UniversityJan Schneider, University of Texas, AustinPaul Schultz, University of Notre DameKrista Schwarz, University of PennsylvaniaMark Seasholes, Hong Kong University of Science and TechnologyLemma Senbet, University of MarylandDuane Seppi, Carnegie Mellon UniversityPiet Sercu, Catholic University of Leuven

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Amit Seru, University of ChicagoHenri Servaes, London Business SchoolIvan Shaliastovich, University of PennsylvaniaJay Shanken, Emory UniversityAnn Sherman, Depaul UniversityAnil Shivdasani, University of North Carolina, Chapel HillTyler Shumway, University of MichiganClemens Sialm, University of Texas, AustinRaj Singh, University of MinnesotaErik Sirri, Babson CollegeGeorgios Skoulakis, University of MarylandSorin Sorescu, Texas A&M UniversityChester Spatt, Carnegie Mellon UniversityBharath Sreedhar, Arizona State UniversityRichard Stanton, University of California, BerkeleyLaura Starks, University of Texas, AustinHans Stoll, Vanderbilt UniversityNeal Stoughton, Wirtschaftsuniversität WienIlya Strebulaev, Stanford UniversityPer Strömberg, Stockholm School of EconomicsMichael Stutzer, University of Colorado, BoulderAvanidhar Subrahmanyam, University of California, Los AngelesAdi Sunderam, Harvard UniversityGeoffrey Tate, University of California, Los AngelesLucian Taylor, University of PennsylvaniaAlexei Tchistyi, University of California, BerkeleyChris Telmer, Carnegie Mellon UniversityMelvyn Teo, Singapore Management UniversityPaul Tetlock, Columbia UniversityAnjan Thakor, Washington University, St. LouisKarin Thorburn, Norwegian School of Economics and Business Admin (NHH)Sheri Tice, Tulane UniversityStathis Tompaidis, University of Texas, AustinWalter Torous, University of California, Los AngelesAlex Triantis, University of MarylandCharles Trzcinka, Indiana UniversityMargarita Tsoutsoura, University of ChicagoSergey Tsyplakov, University of South CarolinaSelale Tuzel, University of Southern CaliforniaAndrey Ukhov, Cornell UniversityRaman Uppal, London Business SchoolRossen Valkanov, University of California, San DiegoStijn Van Nieuwerburgh, New York UniversityDimitri Vayanos, London School of EconomicsAdrien Verdelhan, Massachusetts Institute of Technology

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Vikrant Vig, London Business SchoolAnnette Vissing-Jorgensen, Northwestern UniversityS. (Vish) Viswanathan, Duke UniversityPaolo Volpin, London Business SchoolErnst-Ludwig (Elu) von Thadden, University of MannheimJessica Wachter, University of PennsylvaniaSunil Wahal, Arizona State UniversityJohan Walden, University of California, BerkeleyNancy wallace, University of California, BerkeleyTan Wang, University of British ColumbiaJiang Wang, Massachusetts Institute of TechnologyNeng Wang, Columbia UniversityZhenyu Wang, Federal Reserve Bank of New YorkAkiko Watanabe, University of AlbertaMasahiro Watanabe, University of AlbertaPierre-Oliver Weill, University of California, Los AngelesMichael Weisbach, Ohio State UniversityScott Weisbenner, University of Illinois, Urbana, ChampaignRuss Wermers, University of MarylandIngrid Werner, Ohio State UniversityMark Westerfield, University of Southern CaliforniaBob Whaley, Vanderbilt UniversityLucy White, Harvard UniversityToni Whited, University of RochesterRobert Whitelaw, New York UniversityRohan Williamson, Georgetown UniversityAvi Wohl, Tel, Aviv UniversityDaniel Wolfenzon, Columbia UniversityJeff Wurgler, New York UniversityWei Xiong, Princeton UniversityYuhai Xuan, Harvard UniversityPradeep Yadav, University of OklahomaHongjun Yan, Yale UniversityHong Yan, University of South CarolinaLiu Yang, University of California, Los AngelesAmir Yaron, University of PennsylvaniaAyako Yasuda, University of California, DavisDavid Yermack, New York UniversityBilge Yilmaz, University of PennsylvaniaMotohiro Yogo, Federal Reserve Bank of MinneapolisLance Young, University of WashingtonFernando Zapatero, University of Southern CaliforniaRebecca Zarutskie, Duke UniversityJosef Zechner, Vienna University of Economics and BusinessJaime Zender, University of Colorado, Boulder

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Lu Zhang, Ohio State UniversityWeina Zhang, National University of SingaporeMengxin Zhao, University of AlbertaLu Zheng, University of California, IrvineNing Zhu, University of California, DavisJeffrey Zwiebel, Stanford University

AcknowledgmentsAs Program Chair I would like to express my deep gratitude to my colleagues and Associate Chairpersons at Northwestern who were key participants in all as-pects of the program logistics. Thanks also to Carol Smith and Leigh Ann Clark for their dedicated assistance, and to the Tepper School of Business at CarnegieMellon and Jeff Easter, Rosemarie Lang, and MaryAnn O’Brien for their invalu-able help and support. I would like to extend particular thanks to Peter DeMarzo, John Graham, Francis Longstaff, Bryan Routledge, Duane Seppi, and Josef Zechner for their help, advice, and guidance. Finally, a deep appreciation to the many sponsors and donors for their continuing support of the WFA.

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SAC CAPITAL PHD CANDIDATE AWARD FOR OUTSTANDING RESEARCH 2012

Kristle Cortes, Boston College

Andras Danis, Vienna Graduate School of Finance

Erik Gilje, Boston College

Nicholas Hirschey, University of Texas-Austin

Hyunseob Kim, Duke University

Taejin Kim, Northwestern University

Mauricio Larrain, University of California-Berkeley

Matteo Maggiori, University of California-Berkeley

Vishal Mangla, Northwestern University

Clemens Otto, London Business School

Or Shachar, New York University

Elena Simintzi, London Business School

Quan Wen, Emory University

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BEST PAPER AWARDS

USC MARSHALL SCHOOL OF BUSINESS TREFFTZS AWARDFOR THE BEST STUDENT PAPER

Does Financial Liberalization Contribute to Wage Inequality?

Mauricio LarrainUniversity of California-Berkeley

CHARLES RIVER ASSOCIATES AWARD FOR THE BEST PAPER ON CORPORATE FINANCE

The Evolution of Capital Structure and Operating Performance after Leveraged Buyouts: Evidence from U.S. Corporate Tax Returns

Jonathan CohnUniversity of Texas-Austin

Lillian MillsUniversity of Texas-Austin

Erin ToweryUniversity of Texas-Austin

JP MORGAN AWARD FOR THE BEST PAPER ONFINANCIAL INSTITUTIONS AND MARKETS

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

Bryan KellyUniversity of Chicago

Hanno LustigUniversity of California-Los Angeles

Stijn Van NieuwerburghNew York University

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NASDAQ OMX AWARDFOR THE BEST PAPER ON ASSET PRICING

CDS Auctions

Mikhail ChernovLondon School of Economics

Alexander GorbenkoLondon Business School

Igor MakarovLondon Business School

WHARTON SCHOOL-WRDS AWARDFOR THE BEST EMPIRICAL FINANCE PAPER

Executive Networks and Firm Policies: Evidence from the Random Assignment of MBA Peers

Kelly ShueUniversity of Chicago

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PROGRAM SUMMARY

Monday, June 18, 20124:00 pm – 8:00 pm

On-site Registration – Registration Desk 3

6:00 pm – 8:00 pm

Research Affiliates LLC Reception – Margaux Ballroom

Tuesday, June 19, 20128:00 am – 4:00 pm

On-site Registration – Registration Desk 3

8:15 am – 10:00 am Liquidity – Chambertin 1Learning and Asset Prices – Chambertin 2Private Equity & Venture Capital – Latour 4Volatility – Latour 5Real Estate – Latour 6Boards, CEOs, and Employees – Latour 7

10:00 am – 10:15 am

Cambridge University Press Coffee Break – Latour Foyer

10:15 am – 12:00 noon

Bond Markets – Chambertin 1Price Pressure and Liquidity – Chambertin 2 CEOs & Other Top Executives – Latour 4 Corporate Investment – Latour 5Financial Regulation I – Latour 6Equilibrium Models with Production – Latour 7

12:30 pm – 2:00 pm

NASDAQ OMX Luncheon – Latour Ballrooms 2 & 3

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2:45 pm – 4:30 pm

Dynamic Agency – Chambertin 1Financial Intermediaries and Leverage – Chambertin 2Bond Yields and the Economy – Latour 4Labor & Finance – Latour 5Long Run Risk and Discount Rates – Latour 6Politics & Finance I – Latour 7

5:00 pm – 6:30 pm

WFA Executive Committee and Board of Directors Meeting – St. Pierre Boardroom

6:00 pm – 8:00 pm

Cornerstone Research Reception – Margaux Ballroom

Wednesday, June 20, 20128:00 am – 12:00 noon

On-site Registration – Registration Desk 3

8:15 am – 10:00 am

Financial Frictions – Chambertin 1Conglomerates & Pyramids – Chambertin 2Compensation – Latour 4Experimental – Latour 5Momentum/Herding – Latour 6Corporate Fixed Income – Latour 7

10:00 am – 10:15 am

Kepos Capital Coffee Break – Latour Foyer

10:15 am – 12:00 noon

Credit – Chambertin 1Treasury Bonds – Chambertin 2Mortgages – Latour 4Lending & Financial Constraints – Latour 5Boards of Directors and Governance – Latour 6Prospect Theory/Skewness – Latour 7

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12:30 pm – 2:00 pm

WFA Annual Luncheon Sponsored by AFE Consulting – Latour Ballrooms 2 & 3Distinguished Speaker: Campbell Harvey, Duke University

2:45 pm – 4:30 pm

Financial Regulation II – Chambertin 1CDS Markets – Chambertin 2Hedge Funds – Latour 4Corporate Control – Latour 5Term Structure of the ERP – Latour 6Microstructure – Latour 7

4:45 pm – 5:45 pm

Society for Financial Studies Annual Meeting – Montrachet Room

6:00 pm – 8:00 pm

Society for Financial Studies Reception, co-sponsored by BlackRock and The Society for Financial Studies – Margaux Ballroom

Thursday, June 21, 20128:15 am – 10:00 am

Structured Finance – Chambertin 1Financial Crisis – Chambertin 2International Finance – Latour 4Private Equity – Latour 5Politics and Finance II – Latour 6Risk Taking – Latour 7

10:00 am – 10:15 am

Oxford University Press Coffee Break – Latour Foyer

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10:15 am – 12:00 noon

Pension and Mutual Funds – Chambertin 1The Equity Risk Premium – Chambertin 2Bank Lending – Latour 4Competition & Finance – Latour 5Sovereign Debt – Latour 6Informed Trading – Latour 7

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PROGRAM DETAILS

Tuesday, June 19, 2012, 8:15 am – 10:00 amLiquidity – Chambertin 1Ernst Ludwig Von-Thadden, Universität Mannheim

Liquidity Flooding, Asset Prices and the Real EconomyAlexander Bleck, Booth School of Business, University of ChicagoXuewen Liu, Hong Kong University of Science and Technology

A Theory of Bank Liquidity RequirementsCharles Calomiris, Columbia UniversityFlorian Heider, European Central BankMarie Hoerova, European Central Bank

Dynamic Risk ManagementAdriano Rampini, Duke University Amir Sufi, University of ChicagoS. Viswanathan, Duke University

Discussants:Jaime Zender, University of Colorado-BoulderChristine Parlour, University of California-BerkeleyAndrey Malenko, Massachusetts Institute of Technology

Learning and Asset Prices – Chambertin 2Jiang Wang, Massachusetts Institute of Technology

Asset Return Dynamics Under Bad Environment-Good Environment FundamentalsGeert Bekaert, Columbia UniversityEric Engstrom, Federal Reserve Board

The Effect of Learning on Equity Returns in Financial DistressChristian Opp, University of Pennsylvania

Political Uncertainty and Risk PremiaLubos Pastor, University of ChicagoPietro Veronesi, University of Chicago

Discussants: Jessica Wachter, University of PennsylvaniaHui Chen, Massachusetts Institute of TechnologyJules van Binsbergen, Northwestern University

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Private Equity & Venture Capital – Latour 4Arnoud Boot, University of Amsterdam

Venture Capitalists in Mature Public FirmsMerih Sevilir, Indiana UniversityUgur Celikyurt, Koc UniversityAnil Shivdasani, University of North Carolina-Chapel Hill

Do Private Equity Returns Result from Wealth Transfers and Short-Termism? Evidence From a Comprehensive Sample of Large BuyoutsJarrad Harford, University of WashingtonAdam Kolasinski, University of Washington

Buyout Groups’ Reputational Concerns and Costs of Debt Financing: Evidence from Bond Offerings by IPO Firms Donghang Zhang, University of South CarolinaRongbing Huang, Kennesaw State UniversityJay Ritter, University of Florida

Discussants:Thomas Chemmanur, Boston CollegeSanjai Bhagat, University of Colorado-BoulderRadhakrishnan Goplan, Washington University-St. Louis

Volatility – Latour 5Georgios Skoulakis, University of Maryland

Coherent Model-Free Implied Volatility: A Corridor Fix to High-Frequency VIXTorben Andersen, Northwestern UniversityOleg Bondarenko, University of Illinois at ChicagoMaria Gonzalez-Perez, Colegio Universitario de Estudios Financieros

In Search of Aggregate Jump and Volatility Risk in the Cross Section of Stock ReturnsDavid Weinbaum, Syracuse UniversityMartijn Cremers, Yale UniversityMichael Halling, University of Utah

Price and Volatility Co-JumpsFederico Bandi, Johns Hopkins UniversityRoberto Renò, Università di Siena

27

Discussants:Kris Jacobs, University of HoustonFousseni Chabi-Yo, Ohio State UniversityDobrislav Dobrev, Federal Reserve Board

Real Estate – Latour 6Nancy Wallace, University of California-Berkeley

Credit Supply and House Prices: Evidence from Mortgage Market SegmentationManuel Adelino, Dartmouth CollegeAntoinette Schoar, Massachusetts Institute of TechnologyFelipe Severino, Massachusetts Institute of Technology

Estimating Loan-to-Value and Foreclosure BehaviorArthur Korteweg, Stanford UniversityMorten Sorensen, Columbia University

Market Timing and Investment Selection: Evidence from Real Estate InvestorsYael Hochberg, Northwestern UniversityTobias Muhlhofer, Indiana University

Discussants:Itzhak Ben-David, Ohio State UniversityCarles Vergara-Alert, IESE Business SchoolBarney Hartman-Glaser, Duke University

Boards, CEOs, and Employees – Latour 7Ronen Israel, Interdisciplinary Center-Herzliya

The Brain Gain of Corporate Boards: A Natural Experiment from ChinaMariassunta Giannetti, Stockholm School of EconomicsXiaoyun Yu, Indiana UniversityGuanmin Liao, Indiana University

The Option to Quit: The Effect of Employee Stock Options on TurnoverEdward Van Wesep, University of North Carolina-Chapel HillPaige Ouimet, University of North Carolina-Chapel HillSerdar Aldatmaz, University of North Carolina-Chapel Hill

28

Shaped by Booms and Busts: How the Economy Impacts CEO Careers and Management StyleAntoinette Schoar, Massachusetts Institute of TechnologyLuo Zuo, Massachusetts Institute of Technology

Discussants:Yaniv Grinstein, Cornell UniversityShimon Kogan, University of Texas-AustinEvgeny Lyandres, Boston University

Tuesday, June 19, 2012, 10:15 am – 12:00 noonBond Markets – Chambertin 1Gregory Duffee, Johns Hopkins University

Momentum in Corporate Bond ReturnsChristof Stahel, U.S. Securities and Exchange CommissionStanislava Nikolova, U.S. Securities and Exchange CommissionGergana Jostova, George Washington UniversityAlexander Philipov, George Mason University

Core and ‘Crust’: Consumer Prices and the Term Structure of Interest RatesAndrea Ajello, Federal Reserve BoardLuca Benzoni, Federal Reserve Bank of ChicagoOlena Chyruk, Federal Reserve Bank of Chicago

The Cross-Section of Credit Risk Premia and Equity ReturnsNils Friewald, WU Vienna University of Economics and BusinessChristian Wagner, WU Vienna University of Economics and BusinessJosef Zechner, Vienna University of Economics and Business

Discussants: Spencer Martin, University of MelbourneMarcel Priebsch, Federal Reserve BoardJennie Bai, Federal Reserve Bank of New York

Price Pressure and Liquidity – Chambertin 2Larry Harris, University of Southern California

Shaping Liquidity: On the Causal Effects of Voluntary DisclosureKarthik Balakrishnan, University of PennsylvaniaMary Billings, New York UniversityBryan Kelly, University of ChicagoAlexander Ljungqvist, New York University

29

Do High-Frequency Traders Anticipate Buying and Selling Pressure?Nicholas Hirschey, University of Texas-Austin

Rules and Regression Discontinuities in Asset MarketsYen-Cheng Chang, Shanghai Advanced Institute of FinanceHarrison Hong, Princeton University

Discussants:Charles Jones, Columbia University Robert Battalio, University of Notre Dame Pete Kyle, University of Maryland

CEOs & Other Top Executives – Latour 4Ron Giammarino, University of British Columbia

Executive Networks and Firm Policies: Evidence from the Random Assignment of MBA PeersKelly Shue, University of Chicago

CEO Optimism and Incentive CompensationClemens Otto, London Business School

The Determinants and Impact of Executive-Firm MatchesYihui Pan, University of Utah

Discussants: Jan Bena, University of British ColumbiaGeoffrey Tate, University of California-Los AngelesAlex Edmans, University of Pennsylvania

Corporate Investment – Latour 5Lucian Taylor, University of Pennsylvania

Strategic Cash Holdings and R&D Competition: Theory and EvidenceDino Palazzo, Boston UniversityEvgeny Lyandres, Boston University

Stochastic Volatility, Bond Yields, and the Q Theory of InvestmentMichael Michaux, University of Southern CaliforniaFrancois Gourio, Boston University

30

Equity Market Misvaluation and Firm Financial PoliciesMissaka Warusawitharana, Federal Reserve BoardToni Whited, University of Rochester

Discussants:Ran Duchin, University of MichiganLars Kuehn, Carnegie Mellon UniversityGregor Matvos, University of Chicago

Financial Regulation I – Latour 6Maureen O’Hara, Cornell University

Should Derivatives be Privileged in Bankruptcy?Patrick Bolton, Columbia UniversityMartin Oehmke, Columbia University

The Regulation of Financial ProductsBruce Carlin, University of California-Los AngelesShaun Davies, University of California-Los Angeles

Precision of RatingsAnastasia Kartasheva, University of Pennsylvania Bilge Yilmaz, University of Pennsylvania

Discussants: Yaniv Grinstein,Cornell UniversityPhilip Bond, University of MinnesotaMarcus Opp, University of California-Berkeley

Equilibrium Models with Production – Latour 7Dimitris Papanikolaou, Northwestern University

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible CapitalKai Li, Duke UniversityHengjie Ai, Duke UniversityMariano Croce, University of North Carolina-Chapel Hill

Investment Flexibility and Stock ReturnsTim Johnson, University of Illinois-Urbana-ChampaignDirk Hackbarth, University of Illinois-Urbana-Champaign

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Nominal Rigidities, Asset Returns and Monetary PolicyFrancisco Palomino, University of MichiganErica X.N. Li, University of Michigan

Discussants:Sebastien Betermier, McGill UniversityJianfeng Yu, University of MinnesotaHoward Kung, Duke University

Tuesday, June 19, 2012, 2:45 pm – 4:30 pmDynamic Agency – Chambertin 1Paolo Fulghieri, University of North Carolina

Risking Other People’s Money: Gambling, Limited Liability, and Optimal IncentivesPeter DeMarzo, Stanford UniversityDmitry Livdan, University of California-BerkeleyAlexei Tchistyi, University of California-Berkeley

Agency, Growth and Managerial TurnoverRonald Anderson, London School of EconomicsMaria-Cecilia Bustamante, London School of EconomicsStephane Guibaud, London School of Economics

Dynamic Investment with Adverse Selection and Moral HazardMiguel Cantillo, IESE Business School

Discussants:Neng Wang, Columbia UniversityDavid Dicks, University of North CarolinaAydogan Alti, University of Texas-Austin

Financial Intermediaries and Leverage – Chambertin 2Elena Carletti, European University Institute

Collateral-Motivated Financial InnovationHongjun Yan, Yale UniversityJi Shen, London School of EconomicsJinfan Zhang, Yale University

Overcoming Limits of Arbitrage: Theory and EvidenceJohan Hombert, HEC ParisDavid Thesmar, HEC Paris

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Leveraged Financial Intermediation, Default, and the Design of Public DebtYves Nosbusch, London School of Economics

Discussants:Robert Marquez, University of California-DavisItay Goldstein, University of PennsylvaniaDirk Hackbarth, University of Illinois at Urbana-Champaign

Bond Yields and the Economy – Latour 4Scott Joslin, University of Southern California

Explaining Credit Spreads and Volatility Smirk: A Unified FrameworkDu Du, Hong Kong University of Science and TechnologyRedouane Elkamhi, University of Toronto

Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit SpreadsRené Kallestrup, Copenhagen Business SchoolDavid Lando, Copenhagen Business SchoolAgatha Murgoci, Copenhagen Business School

Information in the Term Structure of Yield Curve VolatilityAnna Cieslak, Northwestern UniversityPavol Povala, University of Lugano

Discussants:Ngoc Khanh Tran, Massachusetts Institute of TechnologyAndreas Stathopoulos, University of Southern CaliforniaAnders Trolle, Swiss Finance Institute

Labor & Finance – Latour 5David Matsa, Northwestern University

Does Financial Liberalization Contribute to Wage Inequality?Mauricio Larrain, University of California-Berkeley

Does Human Capital Specificity Affect Employer Capital Structure? Evidence from a Natural ExperimentHyunseob Kim, Duke University

33

Female Leadership and Gender Equity: Evidence from Plant ClosureGeoffrey Tate, University of California-Los AngelesLiu Yang, University of California-Los Angeles

Discussants:Todd Gormley, University of PennsylvaniaAshwini Agrawal, New York UniversityAntoinette Schoar, Massachusetts Institute of Technology

Long Run Risk and Discount Rates – Latour 6Jonathan Lewellen, Dartmouth College

Volatility, the Macroeconomy and Asset PricesRavi Bansal, Duke UniversityDana Kiku, University of PennsylvaniaIvan Shaliastovich, University of PennsylvaniaAmir Yaron, University of Pennsylvania

Equity YieldsJules van Binsbergen, Northwestern UniversityWouter Hueskes, APG Asset ManagementRalph Koijen, University of ChicagoEvert Vrugt, VU University Amsterdam

An Intertemporal CAPM with Stochastic VolatilityJohn Campbell, Harvard UniversityStefano Giglio, University of ChicagoChristopher Polk, London School of EconomicsRobert Turley, Harvard University

Discussants:Lu Zhang, Ohio State UniversityJessica Wachter, University of PennsylvaniaGurdip Bakshi, University of Maryland

Politics & Finance I – Latour 7Carola Frydman, Boston University

Government Guarantees and Bank Risk Taking IncentivesMarkus Fischer, Goethe University FrankfurtChrista Hainz, IFO Institute for Economic ResearchJoerg Rocholl, ESMT European School of Management and TechnologySascha Steffen, Universität of Mannheim

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Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local AuthoritiesBoris Vallee, HEC ParisChristophe Perignon, HEC Paris

Political Contributions and CEO PayHadiye Aslan, University of HoustonYaniv Grinstein, Cornell University

Discussants:Lori Santikian, University of Southern CaliforniaJames Vickery, Federal Reserve Bank of New YorkDirk Jenter, Stanford University

Wednesday, June 20, 2012, 8:15 am – 10:00 amFinancial Frictions – Chambertin 1Mark Westerfield, University of Southern California

Pricing Liquidity Risk with Heterogeneous Investment HorizonsPatrick Tuijp, Tilburg UniversityAlessandro Beber, Cass Business SchoolJoost Driessen, Tilburg University

Speculative BetasHarrison Hong, Princeton UniversityDavid Sraer, Princeton University

Risk Choice Under High-Water MarksItamar Drechsler, New York University

Discussants:Jack Bao, Ohio State UniversityHarjoat Bhamra, University of British ColumbiaAndrea Eisfeldt, University of California-Los Angeles

Conglomerates & Pyramids – Chambertin 2Francisco Perez-Gonzalez, Stanford University

Pyramidal Ownership and the Creation of New FirmsJan Bena, University of British ColumbiaHernan Ortiz-Molina, University of British Columbia

35

Resource Allocation within Firms and Financial Market Dislocation: Evidence from Diversified ConglomeratesGregor Matvos, University of ChicagoAmit Seru, University of Chicago

Conglomerate Industry Choice and Product DifferentiationGerard Hoberg, University of MarylandGordon Phillips, University of Southern California

Discussants: Xavier Giroud, Massachusetts Institute of TechnologyAndres Almazan, University of Texas-AustinAlbert Sheen, Harvard University

Compensation – Latour 4Itay Goldstein, University of Pennsylvania

Bankers and RegulatorsPhilip Bond, University of MinnesotaVincent Glode, University of Pennsylvania

CEO Talent, CEO Compensation, and Product Market CompetitionHae Won Jung, Georgia State UniversityAjay Subramanian, Georgia State University

Wall Street Occupations: An Equilibrium Theory of Overpaid JobsUlf Axelson, London School of EconomicsPhilip Bond, University of Minnesota

Discussants: Uday Rajan, University of MichiganLucian Taylor, University of PennsylvaniaSimon Gervais, Duke University

Experimental – Latour 5Bryan Routledge, Carnegie Mellon University

Trading Complex AssetsBruce Carlin, University of California-Los AngelesShimon Kogan, University of Texas-AustinRichard Lowery, University of Texas-Austin

36

Asymmetric Learning from Financial InformationCamelia Kuhnen, Northwestern University

Self Control and Liquidity: How to Design a Commitment ContractJohn Beshears, Stanford UniversityJames Choi, Yale UniversityDavid Laibson, Harvard UniversityBrigitte Madrian, Harvard UniversityJung Sakong, NBER

Discussants: Murray Frank, University of MinnesotaEric Hughson, Claremont McKenna CollegeChristopher Parsons, University of California-San Diego

Momentum/Herding – Latour 6Joshua Coval, Harvard University

Daily Stock Market Swings and Investor Reaction to Firm-Specific NewsHuseyin Gulen, Purdue UniversityByoung-Hyoun Hwang, Purdue University

Risky Cycles in Momentum ReturnsKent Daniel, Columbia UniversityRavi Jagannathan, Northwestern UniversitySoohun Kim, Northwestern University

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund PerformanceMichela Verardo, London School of EconomicsHao Jiang, Erasmus University Rotterdam

Discussants: Christopher Malloy, Harvard UniversityLukacz Pomorski, University of TorontoRandolph Cohen, Massachusetts Institute of Technology

Corporate Fixed Income – Latour 7Kose John, New York University

How did Moody’s and S&P Disagree on CDO Fundamentals but Agree on AAA Ratings?Jordan Nickerson, University of Texas-AustinJohn Griffin, University of Texas-AustinDragon Tang, University of Hong Kong

37

Did CDS Trading Improve the Market for Corporate BondsSanjiv Das, Santa Clara UniversityMadhu Kalimipalli, Wilfrid Laurier UniversitySubhankar Nayak, Wilfrid Laurier University

Why Ratings Matter: Evidence from the Lehman Brothers Index Rating RedefinitionZhihua Chen, Shanghai University of Finance and EconomicsNorman Schuerhoff, University of LausanneDuane Seppi, Carnegie Mellon UniversityAziz Lookman, Moody’s Research Labs

Discussants: S. Abraham Ravid, Yeshiva UniversityHeather Tookes, Yale UniversityDalida Kadyrzhanova, University of Maryland

Wednesday, June 20, 2012, 10:15 am – 12:00 noonCredit – Chambertin 1Francis Longstaff, University of California-Los Angeles

Opacity, Credit Rating Shopping and BiasFrancesco Sangiorgi, Stockholm School of EconomicsChester Spatt, Carnegie Mellon University

Endogenous Liquidity and Defaultable BondsZhiguo He, University of ChicagoKonstantin Milbradt, Massachusetts Institute of Technology

Modeling Credit Contagion via the Updating of Fragile BeliefsLuca Benzoni, Federal Reserve Bank of ChicagoPierre Collin-Dufresne, Columbia UniversityRobert Goldstein, University of MinnesotaJean Helwege, University of South Carolina

Discussants:Robert Marquez, University of California-DavisNicolae Garleanu, University of California-BerkeleyFan Yu, Claremont McKenna College

38

Treasury Bonds – Chambertin 2Wayne Ferson, University of Southern California

Foreign Ownership of U.S. Debt: Good or Bad?Jack Favilukis, London School of EconomicsSydney Ludvigson, New York UniversityStijn Van Nieuwerburgh, New York University

Notes on Bonds: Liquidity at all Costs in the Great RecessionDavid Musto, University of PennsylvaniaGreg Nini, University of PennsylvaniaKrista Schwarz, University of Pennsylvania

Liquidity and Volatility in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models Robert Engle, New York UniversityMichael Fleming, Federal Reserve Bank of New York Eric Ghysels, University of North Carolina-Chapel HillGiang Nguyen, University of North Carolina-Chapel Hill

Discussants: Michael Michaux, University of Southern CaliforniaAnna Cieslak, Northwestern UniversityDuane Seppi, Carnegie Mellon University

Mortgages – Latour 4Brian Melzer, Northwestern University

Did Local Lenders Forecast the Bust? Evidence from the Real Estate MarketKristle Cortes, Boston College

Borrower Misrepresentation and Loan PerformanceMark Garmaise, University of California-Los Angeles

The Effect of Mortgage Broker Licensing On Loan Origination Standards: Evidence from Home Mortgage Disclosure ActLan Shi, University of Washington

Discussants:Andra Ghent, Baruch College, The City University of New YorkTomasz Piskorski, Columbia UniversityBenjamin Keys, University of Chicago

39

Lending & Financial Constraints – Latour 5Jose Liberti, DePaul University

Does Local Access To Finance Matter? Evidence from U.S. Oil and Natural Gas Shale BoomsErik Gilje, Boston College

Outsourcing Bank Loan Screening: Evidence from Third-Party Loan GuaranteesChenyu Shan, University of Hong KongPhilip Dybvig, Washington University-St. LouisDragon Tang, University of Hong Kong

The Effects of Increasing Lending to Constrained Firms During a Crisis: Evidence from an Accounting Based Shock to Debt CapacityMoshe Cohen, Columbia UniversitySharon Katz, Columbia UniversityGil Sadka, Columbia University

Discussants:Ashwini Agrawal, New York UniversityAndrew Hertzberg, Columbia UniversityAmit Seru, University of Chicago

Boards of Directors and Governance – Latour 6Andrea Eisfeldt, University of California-Los Angeles

The Wall Street Walk when Blockholders Compete for FlowsAmil Dasgupta, London School of EconomicsGiorgia Piacentino, London School of Economics

Authority, Consensus and GovernanceArchishman Chakraborty, York UniversityBilge Yilmaz, University of Pennsylvania

Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund TwinsRichard Evans, University of VirginiaRüdiger Fahlenbrach, Ecole Polytechnique

Discussants:Wei Jiang, Columbia University Dmitry Livdan, University of California-BerkeleyCamelia Kuhnen, Northwestern University

40

Prospect Theory/Skewness – Latour 7Jinghua Yan, SAC Capital

Stock Options as LotteriesKeith Vorkink, Brigham Young UniversityBrian Boyer, Brigham Young University

Do Mutual Funds Gamble? Evidence from the Skewness-Adjusting Behavior of Fund ManagersYan Luo, Fudan Univeristy and University of Hong KongEric Chang, University of Hong Kong

Realization Utility with Reference-Dependent PreferencesJonathan Ingersoll, Yale UniversityLawrence Jin, Yale University

Discussants: Turan Bali, Georgetown UniversityRuss Wermers, University of MarylandPete Kyle, University of Maryland

Wednesday, June 20, 2012, 2:45 pm – 4:30 pmFinancial Regulation II – Chambertin 1Robert McDonald, Northwestern University

Optimal Capital Regulation with Two Banking SectorsTaejin Kim, Northwestern UniversityVishal Mangla, Northwestern University

Competing on SpeedEmiliano Pagnotta, New York UniversityThomas Philippon, New York University

Pricing Contingent Capital Bonds: Incentives MatterCharles Himmelberg, Goldman SachsSergey Tsyplakov, University of South Carolina

Discussants:Zhenyu Wang, Federal Reserve Bank of New YorkJonathan Brogaard, University of WashingtonAndrew Winton, University of Minnesota

41

CDS Markets – Chambertin 2Nicolae Garleanu, University of California, Berkeley

Exposing The Exposed: Intermediation Capacity in the Credit Default Swap MarketOr Shachar, New York University

CDS AuctionsMikhail Chernov, London School of EconomicsAlexander Gorbenko, London Business SchoolIgor Makarov, London Business School

The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond ReturnsHaitao Li, University of Michigan and Cheung Kong Graduate School of BusinessWeina Zhang, National University of SingaporeGi Hyun Kim, University of Michigan

Discussants: Joshua Coval, Harvard UniversityHaoxiang Zhu, Stanford UniversityFrancis Longstaff, University of California-Los Angeles

Hedge Funds – Latour 4Veronika Pool, Indiana University

The Real Effects of Hedge Fund Activism: Productivity, Risk, and Product Market CompetitionAlon Brav, Duke UniversityWei Jiang, Columbia UniversityHyunseob Kim, Duke University

The Role of Activist Hedge Funds in Distressed FirmsJongha Lim, University of Missouri

The Impact of Portfolio Disclosure on Hedge Fund Performance, Fees, and FlowsZhen Shi, Georgia State University

Discussants:Vikram Nanda, Georgia Institute of TechnologyVikas Agarwal, Georgia State UniversityNick Bollen, Vanderbilt University

42

Corporate Control – Latour 5Thomas Chemmanur, Boston College

Insider Trading in Takeover TargetsAnup Agrawal, University of AlabamaTareque Nasser, Kansas State University

Cash is King: Revaluation and the Medium of Exchange in Merger BidsUlrike Malmendier, University of California-BerkeleyMarcus Opp, University of California-BerkeleyFarzad Saidi, New York University

Coordination Costs and Institutional Investors: Evidence from the Market for Corporate ControlJiekun Huang, National University of Singapore

Discussants: Xuan Tian, Indiana UniversityMatthew Rhodes-Kropf, Harvard UniversityJarrad Harford, University of Washington-Seattle

Term Structure of the ERP – Latour 6Rossen Valkanov, University of California, San Diego

What Does the Value Premium Tell Us About the Term Structure of Equity Returns?Jason Chen, University of British Columbia

Dividend Strips and the Term Structure of Equity Risk Premia: A Case Study of Limits to ArbitrageOliver Boguth, Arizona State UniversityMurray Carlson, University of British ColumbiaAdlai Fisher, University of British Columbia Mikhail Simutin, University of Toronto

Dividend Dynamics and the Term Structure of Dividend StripsFrederico Belo, University of MinnesotaRobert Goldstein, University of Minnesota

Discussants: Anisha Ghosh, Carnegie Mellon UniversityRobert Dittmar, University of MichiganJakub Jurek, Princeton University

43

Microstructure – Latour 7Christine Parlour, University of California-Berkeley

Dark Pool Exclusivity MattersLeslie Boni, University of New MexicoDavid Brown, University of Colorado-BoulderJ. Chris Leach, University of Colorado-Boulder

To Pay or be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options MarketsRobert Battalio, University of Notre DameAndriy Shkilko, Wilfrid Laurier UniversityRobert Van Ness, University of Mississippi

Click or Call? Auction versus Search in the Over-the-Counter MarketTerrence Hendershott, University of California-BerkeleyAnanth Madhavan, BlackRock, Inc.

Discussants: Sabrina Buti, University of TorontoKatya Malinova, University of TorontoBurton Hollifield, Carnegie Mellon University

Thursday, June 21, 2012, 8:15 am – 10:00 amStructured Finance – Chambertin 1Kathleen Hagerty, Northwestern University

Do Empty Creditors Matter? Evidence from Distressed Exchange OffersAndras Danis, Vienna Graduate School of Finance

Optimal Incentives and Securitization of Defaultable AssetsSemyon Malamud, EPFLHuaxia Rui, University of Texas-AustinAndrew Whinston, University of Texas-Austin

Sizing Up RepoArvind Krishnamurthy, Northwestern UniversityStefan Nagel, Stanford UniversityDmitry Orlov, Stanford University

44

Discussants:Konstantinos Zachariadis, London School of EconomicsBarney Hartman-Glaser, Duke UniversityAntoine Martin, Federal Reserve Bank of New York

Financial Crisis – Chambertin 2Jonathan Berk, Stanford University

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government GuaranteesBryan Kelly, University of ChicagoHanno Lustig, University of California-Los AngelesStijn Van Nieuwerburgh, New York University

Runs on Money Market Mutual FundsRuss Wermers, University of Maryland

The Role of Equity Funds in the Financial Crisis PropagationHarald Hau, University of GenevaSandy Lai, Singapore Management University

Discussants: Pascal Maenhout, INSEADPaula Tkac, Federal Reserve Bank of AtlantaGeorge Aragon, Arizona State University

International Finance – Latour 4Mark Schroder, Michigan State University

Financial Intermediation, International Risk Sharing, and Reserve CurrenciesMatteo Maggiori, University of California-Berkeley

The Variance Risk Premium Around the WorldJuan M. Londono, Federal Reserve Board

Portfolio Home Bias and External Habit FormationAndreas Stathopoulos, University of Southern California

Discussants:Yajun Wang, University of MarylandMungo Wilson, Oxford UniversityIan Dew-Becker, Harvard University

45

Private Equity – Latour 5Edward Rice, University of Washington

Financial vs. Strategic BuyersMarc Martos-Vila, University of California-Los AngelesMatthew Rhodes-Kropf, Harvard University

Investor Protection, Diversification, Investment and Tobin’s Q Yingcong Lan, CornerstoneNeng Wang, Columbia UniversityJinqiang Yang, Shanghai University of Finance and Economics

The Evolution of Capital Structure and Operating Performance after Leveraged Buyouts: Evidence from U.S. Corporate Tax ReturnsJonathan Cohn, University of Texas-AustinLillian Mills, University of Texas-AustinErin Towery, University of Texas-Austin

Discussants: Rich Mathews, University of MarylandJeffrey Zwiebel, Stanford UniversityEdie Hotchkiss, Boston College

Politics and Finance II – Latour 6Laura Starks, University of Texas

Stock Ownership and Political Behavior: Evidence from DemutualizationsSami Torstila, Aalto UniversityMarkku Kaustia, Aalto UniversitySamuli Knüpfer, London Business School

Legislating Stock PricesLauren Cohen, Harvard UniversityKarl Diether, Dartmouth CollegeChristopher Malloy, Harvard University

The Political Concerns of Mortgage Servicers and Their Decision to ForecloseSumit Agarwal, Federal Reserve Bank of ChicagoGene Amromin, Federal Reserve Bank of ChicagoItzhak Ben-David, Ohio State UniversitySerdar Dinc, Rutgers University

46

Discussants: Reena Aggarwal, Georgetown UniversityClemens Sialm, University of Texas-AustinArt Durnev, University of Iowa

Risk Taking – Latour 7Terrance Odean, University of California-Berkeley

Peer Effects in Economic AttitudesKenneth Ahern, University of Southern CaliforniaRan Duchin, University of MichiganTyler Shumway, University of Michigan

Gamblers as the Personal Finance ActivistsGeng Li, Federal Reserve Board

Small Cues Change Savings ChoicesJames Choi, Yale UniversityCade Massey, Yale UniversityEmily Haisley, Barclays Bank PLCJennifer Kurkoski, Google Inc.

Discussants:Tracy Yue Wang, University of MinnesotaNing Zhu, Shanghai Advanced Institute of FinanceChristoph Merkle, Universität of Mannheim

Thursday, June 21, 2012, 10:15 am – 12:00 noonPension and Mutual Funds – Chambertin 1William Goetzmann, Yale University

The Investment Behavior of State Pension PlansScott Weisbenner, University of Illinois-Urbana-ChampaignJeffrey Brown, University of Illinois-Urbana-ChampaignJoshua Pollet, Michigan State University

Winners in the Spotlight: Media Coverage of Fund Holdings as a Driver of FlowsDavid Solomon, University of Southern CaliforniaEugene Soltes, Harvard UniversityDenis Sosyura, University of Michigan

47

Fee Dispersion and Persistence in the Mutual Fund IndustryMichael Cooper, University of UtahMichael Halling, University of UtahMichael Lemmon, University of Utah

Discussants: Zoran Ivkovich, Michigan State UniversityPaul Tetlock, Columbia UniversityJames Choi, Yale University

The Equity Risk Premium – Chambertin 2B. Swaminathan, LSV Asset Management

Capital Asset Pricing with a Stochastic HorizonYuzhao Zhang, Temple UniversityMichael Brennan, University of California-Los Angeles

Predictable Risks and Predictive Regression in Present-Value ModelsIlaria Piatti, University of LuganoFabio Trojani, University of Lugano

Asset Growth and Stock Market Returns: A Time-Series AnalysisQuan Wen, Emory University

Discussants: Jonathan Lewellen, Dartmouth CollegeYan Li, Temple UniversityAmiyatosh Purnanandam, University of Michigan

Bank Lending – Latour 4Elazar Berkovitch, Interdisciplinary Center-Herzliya

The Effects of Loan Officers’ Compensation on Loan Approval and Performance: Direct Evidence from a Corporate ExperimentSumit Agarwal, Federal Reserve Bank of ChicagoItzhak Ben-David, Ohio State University

Liquidity Risk and Maturity Management Over the Credit CycleAtif Mian, University of California-BerkeleyJoao Santos, Federal Reserve Bank of New York

48

Lender Moral Hazard and Reputation in Originate-to-Distribute MarketsAndrew Winton, University of MinnesotaVijay Yerramilli, University of Houston

Discussants:Naveen Khanna, Michigan State UniversityMartin Cherkes, Columbia UniversityJaime Zender, University of Colorado-Boulder

Competition & Finance – Latour 5Sudipto Dasgupta, Hong Kong University of Science & Technology

Strategic Investments: Evidence from Restructuring AnnouncementsElena Simintzi, London Business School

Can Competition Improve the Information Quality of Credit Ratings?Han Xia, University of Texas-Dallas

The Anticompetitive Effects of Minority Stake AcquisitionsAmrita Nain, University of IowaYan Wang, McGill University

Discussants: Ronald Masulis, University of New South WalesRajdeep Singh, University of MinnesotaIlona Babenko, Arizona State University

Sovereign Debt – Latour 6Jeffrey Zwiebel, Stanford University

Sovereign Debt, Government Myopia, and the Financial SectorViral Acharya, New York UniversityRaghuram Rajan, University of Chicago

Sovereign Default Risk and the US Equity MarketAlexandre Jeanneret, HEC Montreal

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit RiskViral Acharya, New York UniversityItamar Drechsler, New York UniversityPhilipp Schnabl, New York University

49

Discussants:Manuel Amador, Stanford UniversityAnna Pavlova, London Business SchoolStefano Rossi, Imperial College

Informed Trading – Latour 7Brett Green, University of California-Berkeley

Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity ProvidersAlex Boulatov, Moscow State UniversityThomas George, University of Houston

Insider Trading with Uncertain Informed TradingTao Li, City University of Hong Kong

‘Those Who Know Most’: Insider Trading in 18th c. AmsterdamPeter Koudijs, Stanford University

Discussants: Shmuel Baruch, University of UtahBradyn Breon-Drish, Stanford UniversityAvanidhar Subrahmanyam, University of California-Los Angeles

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2013 ANNUAL MEETINGS OF THE WESTERN FINANCE ASSOCIATION

JUNE 17-20, 2013HYATT REGENCY LAKE TAHOE RESORT, SPA & CASINO

INCLINE VILLAGE, NEVADA

Members and friends of the Western Finance Association are invited to submit papers to be considered for presentation at the 2013 Annual Meetings. Papers on any topic related to finance will be considered. Submission of papers: Papers should be submitted electronically at the WFA web site, www.westernfinance.org, which will contain full instructions for submission, including required on-line registration, creation of the required cover page, the submission fee, and other vital instructions. We will begin taking submissions on October 1, 2012. The deadline for submissions will be mid-night PST November 18, 2012. Papers will be reviewed anonymously by three members of the Program Committee, and authors will be notified of the Program Committee’s decisions at the end of March, 2013. Best Paper Awards (subject to change): USC Marshall School of Business Trefftzs Award of $5,000 for the best student paper.

Charles River Associates Award of $5,000 for the best paper on corporate finance.

JP Morgan Award of $5,000 for the best paper on financial institutions and markets.

NASDAQ OMX Award of $5,000 for the best paper on asset pricing.

Wharton School – WRDS Award of $5,000 for the best empirical finance paper.

2013 Program Chair:

John Graham, Duke University

Wynn Las Vegas Hotel