western finance association · tahoe resort, spa, & casino, incline village, nevada. on-site...

58

Upload: others

Post on 18-Jul-2020

1 views

Category:

Documents


0 download

TRANSCRIPT

Page 1: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,
Page 2: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

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. 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 http://www.westernfinance.org.

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

Bryan RoutledgeSecretary-Treasurer, WFATepper School of BusinessCarnegie Mellon UniversityPittsburgh, PA 15213-3890Email: [email protected]: (412) 268-7588

A call for papers and participants for the 2014 Conference of the Western Finance Association appears at the end of this program.

Page 3: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

2

REGISTRATION AND HOTEL INFORMATIONAll sessions and conference functions will be held in the Hyatt Regency Lake Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort, Spa, & Casino on the following schedule:

Monday, June 17 2013, 4:00 pm – 8:00 pm Tuesday, June 18, 2013, 8:00 am – 4:00 pmWednesday, June 19, 2013, 8:00 am – 12:00 noon

PRE-REGISTRATIONRegistration is available at http://www.westernfinance.org. We encourage you to pre-register as soon as you can. This facilitates our event planning and reduces your time at the conference registration desk. For discounted registration fees, please register prior to May 24, 2013.

FEE SCHEDULE Early Registration 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 is required and is done at the time you register for the conference. On-site registration for special events is subject to space availability.

Page 4: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

3

WESTERN FINANCE ASSOCIATION

Officers and Directors: 2012-2013President Michael Fishman, Northwestern UniversityPresident Elect John Graham, Duke UniversityVice President Josef Zechner, Vienna University of Economics and BusinessVice-President Elect: Laura Starks, University of Texas-AustinSecretary-Treasurer Bryan Routledge, Carnegie Mellon University

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

Presidents: 1965-20131965-66 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-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

Page 5: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

4

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-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-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 Angeles2012-13 Michael Fishman Northwestern University

Page 6: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

5

Distinguished Speakers

WFA Annual Meeting Speakers 1979-2013

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 2013 Lake Tahoe Darrell Duffie

Page 7: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

6

SAC CAPITAL PHD CANDIDATE AWARD FOR OUTSTANDING RESEARCH 2013

Adam Atmaz, London Business School

Patrick Augustin, Stockholm School of Economics

Julien Cujean, École Polytechnique Fédérale de Lausanne

Wenxin Du, Harvard University

Jerome Dugast, HEC Paris

Lifeng Gu, Illinois University

Yeejin Jang, Ohio State University

Stefan Lewellen, Yale University

Tyler Muir, Northwestern University

Jesse Schreger, Harvard University

David Simon, Brandeis University

Yan Wang, McGill University

Quan Wen, Emory University

Dexin Zhou, Emory University

Irina Zviadadze, London Business School

Page 8: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

7

BEST PAPER AWARDS

THE USC MARSHALL SCHOOL OF BUSINESS TREFFTZS AWARDFOR THE BEST STUDENT PAPER

Product Market Competition, R&D Investment and Stock Returns

Lifeng GuUniversity of Illinois-Urbana-Champaign

CHARLES RIVER ASSOCIATES AWARD FOR THE BEST PAPER ON CORPORATE FINANCE

Rising Intangible Capital, Shrinking Debt Capacity, and the US Corporate Savings Glut

Antonio FalatoFederal Reserve Board

Dalida KadyrahanvoaUniversity of Maryland

Jae SimFederal Reserve Board

KEPOS CAPITAL AWARDFOR THE BEST PAPER ON INVESTMENTS

Currency Premia and Global Imbalances

Pasquale Della CorteImperial College Business School

Steven RiddioughUniversity of Warwick

Lucio SarnoCass Business School

Page 9: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

8

NASDAQ OMX AWARDFOR THE BEST PAPER ON ASSET PRICING

A Welfare Criterion for Models with Distorted Beliefs

Markus BrunnermeierPrinceton University

Alp SimsekHarvard University

Wei XiongPrinceton University

WHARTON SCHOOL-WRDS AWARDFOR THE BEST EMPIRICAL FINANCE PAPER

Tax Evasion Across Industries: Soft Credit Evidence from Greece

Nikolaos ArtavanisVirginia Tech

Adair MorseUniversity of Chicago

Margarita TsoutsouraUniversity of Chicago

Page 10: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

9

PROGRAM SUMMARY

Monday, June 17, 20134:00 pm – 8:00 pm

On-site Registration – Regency Foyer

6:00 pm – 8:00 pm

Research Affiliates LLC Reception – Hyatt Poolside Deck

Tuesday, June 18, 20138:00 am – 4:00 pm

On-site Registration – Regency Foyer

8:15 am – 10:00 am

Mortgage Loans – Regency EBContracting with Employees and Experts – Regency FCReal Investment Policy – Regency DAAsset Pricing – Lakeside AFinancial Crisis – Lakeside BFixed Income – Lakeside C

10:00 am – 10:30 am

The Brattle Group Coffee Break – Regency FoyerCambridge University Press Coffee Break – Lakeside Foyer

10:30 am – 12:15 pm

Causes and Consquences of Innovation – Regency EBHuman Nature, Psychology and Finance – Regency FCCredit, Information, and Bankruptcy – Regency DATrading and Short Interest – Lakeside AStyle and Asset Pricing – Lakeside BPredictability – Lakeside C

12:30 pm – 2:00 pm

NASDAQ OMX Luncheon – Lakeside Cottage Green

Page 11: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

10

2:45 pm – 4:30 pm

Fraud, Taxes and Incentives – Regency EBPrecautionary Cash Holdings and Risk Management – Regency FCManagerial Labor Markets – Regency DANetwork Effects – Lakeside AProduct Markets – Lakeside BCommodity Pricing and the Real Economy – Lakeside C

5:00 pm – 6:30 pm

WFA Executive Committee and Board of Directors Meeting – Martis Peak B

6:00 pm – 8:00 pm

Cornerstone Research Reception – Lakeside Cottage Green

Wednesday, June 19, 20138:00 am – 12:00 noon

On-site Registration – Regency Foyer

8:15 am – 10:00 am

Bank Lending – Regency EBFinance and the Real Economy – Regency FCGovernance and the Stock Market – Regency DALabor and Production – Lakeside ABehavioral Investor Biases – Lakeside BCommodity and Fixed Income Dynamics – Lakeside C

10:00 am – 10:30 am

The Brattle Group Coffee Break – Lakeside FoyerCambridge University Press Coffee Break – Regency Foyer

Page 12: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

11

10:30 am – 12:15 pm

Shocks, Lending Behavior and Financial Fragility – Regency EBCapital Reallocation: Mergers, Asset Sales and Hedge Funds – Regency FCFinancial Contracting – Regency DAInternational Asset Pricing – Lakeside AThe Connection Between Derivatives and Other Financial Markets – Lakeside BMicrostructure 1 – Lakeside C

12:30 pm – 2:00 pm

WFA Annual Luncheon Sponsored by Navigant Economics – Village GreenDistinguished Speaker: Darrell Duffie, Stanford University

2:45 pm – 4:30 pm

Disclosure, Regulation and Yields – Regency EBAnalysts – Regency FCCapital Structure – Regency DAGlobal Fixed Income and Currency Markets – Lakeside AHedge Funds / Performance Evaluation – Lakeside BHigh Frequency Trading – Lakeside C

6:00 pm – 8:00 pm

BlackRock Reception – Cottage Green

Thursday, June 20, 20138:15 am – 10:00 am

Government, Regulation, and Intermediation – Regency EBPayout Policy and Indirect Costs of Financial Distress – Regency FCAccess to Capital – Regency DALearning and Asset Pricing – Lakeside ANews and Sentiment – Lakeside BMicrostructure 2 – Lakeside C

10:00 am – 10:30 am

Wharton Research Data Services Coffee Group – Regency Foyer and Lakeside Foyer

Page 13: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

12

10:30 am – 12:15 pm

Governance and Accounting – Regency EBNew Perspectives on Security Design – Regency FCCompensation – Regency DAMacrofinance – Lakeside AEvent Risk – Lakeside BThe Interaction of CDS and Bond Markets – Lakeside C

Page 14: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

13

PROGRAM DETAILS

Tuesday, June 18, 2013, 8:15 am – 10:00 amMortgage Loans – Regency EBIsil Erel, Ohio State University

Financial Flexibility for HouseholdsMark Garmaise, University of California-Los Angeles

Securitization and the Fixed-Rate MortgageAndreas Fuster, Federal Reserve Bank of New York James Vickery, Federal Reserve Bank of New York

Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?John Griffin, University of Texas-AustinRichard Lowery, University of Texas-Austin Alessio Saretto, University of Texas-Dallas

Discussants:Gene Amromin, Federal Reserve Board of ChicagoTomasz Piskorski, Columbia UniversityTaylor Nadauld, Brigham Young University

Contracting with Employees and Experts – Regency FCMilton Harris, University of Chicago

Informed Trading and High Compensation in FinanceVincent Glode, University of PennsylvaniaRichard Lowery, University of Texas-Austin

The Industrial Organization of Money ManagementSimon Gervais, Duke UniversityGünter Strobl, Frankfurt School of Finance and Management

Contracting with SynergiesAlex Edmans, University of PennsylvaniaItay Goldstein, University of PennsylvaniaJohn Zhu, University of Pennsylvania

Discussants: Jonathan Berk, Stanford UniversityChristian Opp, University of PennsylvaniaShai Bernstein, Stanford University

Page 15: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

14

Real Investment Policy – Regency DAGordon Phillips, University of Southern California

Redefining Financial Constraints: A Text-Based AnalysisChristopher Ball, Meta Heuristica LLCGerard Hoberg, University of MarylandVojislav Maksimovic, University of Maryland

Do Private Firms Invest Differently than Public Firms? Taking Cues from the Natural Gas IndustryErik Gilje, Boston College Jérôme Taillard, Boston College

Policy Uncertainty, Irreversibility, and Cross-Border Flows of CapitalBrandon Julio, London Business SchoolYoungsuk Yook, Sungkyunkwan University

Discussants:Raghu Rao, University of CambridgeXavier Giroud, Massachusetts Institute of TechnologyVincenzo Quadrini, University of Southern California

Asset Pricing – Lakeside A Amir Yaron, University of Pennsylvania

Portfolio Choice with Illiquid AssetsAndrew Ang, Columbia UniversityDimitris Papanikolaou, Northwestern UniversityMark Westerfield, University of Washington

Can Idiosyncratic Cash Flow Shocks Explain Asset Pricing Anomalies?Ilona Babenko, Arizona State UniversityOliver Boguth, Arizona State UniversityYuri Tserlukevich, Arizona State University

Does Realized Skewness Predict the Cross-Section of Equity ReturnsDiego Amaya, Université du Québec à MontréalPeter Christoffersen, University of Toronto Kris Jacobs, University of HoustonAurelio Vasquez, Instituto Tecnológico Autónomo de México

Page 16: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

15

Discussants:Lubos Pastor, University of ChicagoLukas Schmid, Duke UniversityBryan Kelly, University of Chicago

Financial Crisis – Lakeside BJonathan Lewellen, Dartmouth College

Financial Crises, Risk Premia, and the Term Structure of Risky AssetsTyler Muir, Northwestern University

Intermediary Leverage Cycles and Financial StabilityTobias Adrian, Federal Reserve Bank of New YorkNina Boyarchenko, Federal Reserve Bank of New York

The Value of Implicit GuaranteesZoe Tsesmelidakis, Oxford UniversityRobert C. Merton, Massachusetts Institute of Technology

Discussants:Nikolai Roussanov, University of PennsylvaniaWei Xiong, Princeton UniversityPietro Veronesi, University of Chicago

Fixed Income – Lakeside CPierluigi Balduzzi, Boston College

The Structure of Risks in Equilibrium Affine Term Structures of Bond YieldsAnh Le, University of North Carolina-Chapel HillKenneth Singleton, Stanford University

Short-Term Debt and Financial Crises: What We Can Learn from U.S. Treasury SupplyArvind Krishnamurthy, Northwestern UniversityAnnette Vissing-Jorgensen, University of California-Berkeley

Mortgage Hedging in Fixed Income MarketsAytek Malkhozov, McGill UniversityPhilippe Mueller, London School of EconomicsAndrea Vedolin, London School of EconomicsGyuri Venter, Copenhagen Business School

Page 17: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

16

Discussants:Andrea Buraschi, University of Chicago and Imperial CollegeJun Qian, Boston CollegeGreg Duffee, John Hopkins

Tuesday, June 18, 2013, 10:30 am – 12:15 pmCauses and Consequences of Innovation – Regency EBYael Hochberg, Northwestern University

Does Banking Competition Affect Corporate Innovation?Jess Cornaggia, Indiana UniversityXuan Tian, Indiana UniversityBrian Wolfe, Indiana University

Corporate Venture Capital, Value Creation, and InnovationThomas Chemmanur, Boston CollegeElena Loutskina, University of VirginiaXuan Tian, Indiana University

Has Financial Innovation Made the World Riskier? CDS, Regulatory Arbitrage and Systemic RiskTanju Yorulmazer, Federal Reserve Bank of New York

Discussants:Krishnamurty Subramanian, Indian School of BusinessLaura Lindsey, Arizona State UniversityMartin Oehmke, Columbia University

Human Nature, Psychology and Finance – Regency FCSimon Gervais, Duke University

Industry Window DressingHuaizhi Chen, London School of EconomicsLauren Cohen, Harvard UniversityDong Lou, London School of Economics

Why Do Individuals Exhibit Investment Biases?Henrik Cronqvist, Claremont McKenna CollegeStephan Siegel, University of Washington

In the Mood for a Loan: The Causal Effect of Sentiment on Credit OriginationSumit Agarwal, National University of SingaporeRan Duchin, University of WashingtonDenis Sosyura, University of Michigan

Page 18: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

17

Discussants:Alexander Chinco, New York UniversityBrad Barber, University of California-DavisEnrichetta Ravina, Columbia University

Credit, Information, and Bankruptcy – Regency DAEdith Hotchkiss, Boston College

Information, Credit and OrganizationsJose Liberti, DePaul UniversityAmit Seru, University of ChicagoVikrant Vig, London Business School

Financial Distress, Stock Returns, and the 1978 Bankruptcy Reform ActDirk Hackbarth, University of Illinois-Urbana-ChampaignRainer Haselmann, University of BonnDavid Schoenherr, London Business School

Are Credit Ratings Still Relevant?Sudheer Chava, Georgia Institute of TechnologyRohan Ganduri, Georgia Institute of TechnologyChayawat Ornthanalai, University of Toronto

Discussants:Andres Liberman, Columbia University and New York UniversityKai Li, University of British ColumbiaMadhu Kalimipalli, Wilfrid Laurier University

Trading and Short Interest – Lakeside AIngrid Werner, Ohio State University

The Growth and Limits of Arbitrage: Evidence from Short InterestSamuel Hanson, Harvard University Adi Sunderam, Harvard University

A Dynamic Model of Short InterestAdem Atmaz, London Business School

Who are Informed? Evidence from Institutional TradesYan Wang, McGill University

Discussants:Karl Deither, Dartmouth CollegeBurton Hollifield, Carnegie Mellon UniversityCharles Jones, Columbia University

Page 19: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

18

Style and Asset Pricing – Lakeside BTarun Chordia, Emory University

Explaining Value and Momentum SimultaneouslyJun Li, University of Texas-Dallas

Confounded FactorsJoseph Gerakos, University of ChicagoJuhani Linnainmaa, University of Chicago

Comomentum: Inferring Arbitrage Capital from Return CorrelationsDong Lou, London School of EconomicsChristopher Polk, London School of Economics

Discussants:Tyler Muir, Northwestern UniversityRobert Novy-Marx, University of RochesterByoung-Hyoun Hwang, Purdue University

Predictability – Lakeside CJules van Binsbergen, Stanford University

What Drives Return Predictability?Quan Wen, Emory UniversityDexin Zhou, Emory University

Does Academic Research Destroy Stock Return Predictability?R. David McLean, University of AlbertaJeffrey Pontiff, Boston College

Forecasting Stock Returns under Economic ConstraintsDavide Pettenuzzo, Brandeis UniversityAllan Timmermann, University of California-San DiegoRossen Valkanov, University of California-San Diego

Discussants:Seth Pruitt, Federal ReserveStijn Van Nieuwerburgh, New York UniversityAnthony Lynch, New York University

Page 20: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

19

Tuesday, June 18, 2013, 2:45 pm – 4:30 pmFraud, Taxes and Incentives – Regency EBJonathan Karpoff, University of Washington

Tax Evasion across Industries: Soft Credit Evidence from GreeceNikolaos Artavanis, Virginia TechAdair Morse, University of ChicagoMargarita Tsoutsoura, University of Chicago

Disciplining Delegated Monitors: The Consequences of Failing to Prevent FraudXuan Tian, Indiana UniversityGregory Udell, Indiana UniversityXiaoyun Yu, Indiana University

Tug-of-War: Incentive Alignment in Securitization and Loan PerformanceZhonglan Dai, University of Texas-Dallas Harold Zhang, University of Texas-DallasFeng Zhao, University of Texas-Dallas

Discussants:Michelle Hanlon, Massachusetts Institute of TechnologyKatherine Litvak, Northwestern UniversityAmiyatosh Purnanandam, University of Michigan

Precautionary Cash Holdings and Risk Management – Regency FCToni Whited, University of Rochester

A Dynamic Tradeoff Theory for Financially Constrained FirmsPatrick Bolton, Columbia UniversityHui Chen, Massachusetts Institute of TechnologyNeng Wang, Columbia University

Rising Intangible Capital, Shrinking Debt Capacity, and the US Corporate Savings GlutAntonio Falato, Federal Reserve BoardDalida Kadyrahanvoa, University of MarylandJae Sim, Federal Reserve Board

Household Risk ManagementAdriano Rampini, Duke UniversityS. Viswanathan, Duke University

Page 21: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

20

Discussants:Gustavo Manso, University of California-BerkeleyAndrea Eisfeldt, University of California-Los AngelesIng-Haw Cheng, University of Michigan

Managerial Labor Markets – Regency DADirk Jenter, Stanford University

CEO Turnover in LBOs: The Role of BoardsFrancesca Cornelli, London Business School Oguzhan Karakas, Boston College

Fit, Style, and the Portability of Managerial TalentYuk Ying Chang, Massey UniversitySudipto Dasgupta, Hong Kong University of Science and TechnologyJie Gan, Cheung Kong Graduate School of Business

Industry Conditions and Managerial Labor MarketsC. Edward Fee, Michigan State University Charles J. Hadlock, Michigan State UniversityJing Huang, University of South CarolinaJoshua R. Pierce, University of South Carolina

Discussants:Yaniv Grinstein, Cornell UniversityKatharina Lewellen, Dartmouth CollegeCamelia Kuhnen, Kellogg School of Management

Network Effects – Lakeside ARon Kaniel, University of Rochester

Firm Volatility in Granular NetworksBryan Kelly, University of Chicago Hanno Lustig, University of California-Los AngelesStijn Van Nieuwerburgh, New York University

The Social Dynamics of PerformanceJulien Cujean, École Polytechnique Fédérale de Lausanne

Social Networks and Price DiscoveryDavid Simon, Brandeis University

Discussants:Jules van Binsbergen, Stanford UniversityHaoxiang Zhu, Massachusetts Institute of TechnologyKenneth R. Ahern, University of Southern California

Page 22: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

21

Product Markets – Lakeside BHengjie Ai, University of Minnesota

Product Market Competition, R&D Investment and Stock ReturnsLifeng Gu, University of Illinois-Urbana-Champaign

Product Market Competition and Industry ReturnsMaria Cecilia Bustamante, London School of EconomicsAndres Donangelo, University of Texas-Austin

Asset Markets with Heterogeneous InformationPablo Kurlat, Stanford University

Discussants:Frederico Belo, University of MinnesotaLorenzo Garlappi, University of British ColumbiaBriana Chang, University of Wisconsin

Commodity Pricing and the Real Economy – Lakeside CBryan Routledge, Carnegie Mellon University

Using Durable Consumption Risk to Explain Commodities ReturnsDeepa Datta, Federal Reserve Board

Exploration Activity, Long Run Decisions, and Roll Returns in Energy FuturesAlexander David, University of Calgary

Commodity Trade and the Carry Trade: A Tale of Two CountriesRobert Ready, University of RochesterNikolai Roussanov, University of PennsylvaniaColin Ward, University of Pennsylvania

Discussants:Robert McDonald, Northwestern UniversityJaime Casassus, Universidad Católica de ChileAndreas Stathopoulos, University of Southern California

Page 23: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

22

Wednesday, June 19, 2013, 8:15 am – 10:00 amBank Lending – Regency EBAnjan Thakor, Washington University

The Information and Agency Effects of Scores: Randomized Evidence from Credit CommitteesDaniel Paravisini, London School of EconomicsAntoinette Schoar, Massachusetts Institute of Technology

The Total Costs of Corporate Borrowing: Don’t Ignore the FeesTobias Berg, New York UniversityAnthony Saunders, New York UniversitySascha Steffen, European School of Management and Technology

Monetary Policy and Bank Risk-Taking: Evidence from the Corporate Loan MarketTeodora Paligorova, Bank of CanadaJoão Santos, Federal Reserve Bank of New York

Discussants:Ashwini Agrawal, New York UniversityMichael Faulkender, University of MarylandTodd Gormley, University of Pennsylvania

Finance and the Real Economy – Regency FCIvo Welch, University of California-Los Angeles

Credit Supply and Corporate InnovationMario Daniele Amore, Bocconi UniversityCédric Schneider, Copenhagen Business SchoolAlminas Zaldokas, Hong Kong University of Science and Technology

Do Asset Price Bubbles Have Negative Real Effects?Indraneel Chakraborty, Southern Methodist UniversityItay Goldstein, University of PennsylvaniaAndrew MacKinlay, Southern Methodist University

House Prices, Collateral and Self-EmploymentManuel Adelino, Duke UniversityAntoinette Schoar, Massachusetts Institute of TechnologyFelipe Severino, Massachusetts Institute of Technology

Page 24: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

23

Discussants:Abraham Ravid, Yeshiva UniversityChava Sudheer, Georgia Institute of TechnologyAmit Seru, University of Chicago

Governance and the Stock Market – Regency DAMike Weisbach, Ohio State University

Hedge Fund Activists: Do They Take Cues from Institutional Exit?Nickolay Gantchev, University of North Carolina-Chapel HillChotibhak Jotikasthira, University of North Carolina-Chapel Hill

The Effect of Liquidity on GovernanceAlex Edmans, University of PennsylvaniaVivian Fang, University of MinnesotaEmanuel Zur, Baruch College

Governance Through Trading: Does Institutional Trading Discipline Empire Building and Earnings Management?Eric C. Chang, University of Hong KongTse-Chun Lin, University of Hong KongXiaorong Ma, University of Hong Kong

Discussants:Jongha Lim, University of MissouriErnst Maug, University of MannheimTracy Yue Wang, University of Minnesota

Labor and Production – Lakeside ALukas Schmid, Duke University

Wage Rigidity: A Solution to Several Asset Pricing PuzzlesJack Favilukis, London School of EconomicsXiaoji Lin, Ohio State University

Production-Based Term Structure of Equity ReturnsHengjie Ai, University of MinnesotaMariano Massimiliano Croce, University of North Carolina-Chapel HillAnthony Diercks, University of North Carolina-Chapel HillKai Li, Duke University

Technological Innovation: Winners and LosersLeonid Kogan, Massachusetts Institute of TechnologyDimitris Papanikolaou, Northwestern UniversityNoah Stoffman, Indiana University

Page 25: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

24

Discussants:Gian Luca Clementi, New York UniversityJules van Binsbergen, Stanford UniversityIan Dew-Becker, Federal Reserve Bank of San Francisco and Duke University

Behavioral Investor Biases – Lakeside BBrad Barber, University of California-Davis

A Welfare Criterion for Models with Distorted BeliefsMarkus Brunnermeier, Princeton UniversityAlp Simsek, Harvard UniversityWei Xiong, Princeton University

Learning from Inflation ExperiencesUlrike Malmendier, University of California-BerkeleyStefan Nagel, Stanford University

Looking for Someone to Blame: Delegation, Cognitive Dissonance and the Disposition EffectTom Chang, University of Southern CaliforniaDavid Solomon, University of Southern CaliforniaMark Westerfield, University of Washington

Discussants:Robert Marquez, University of California-DavisAllan Timmermann, University of California-San DiegoJuhani Linnainmaa, University of Chicago

Commodity and Fixed Income Dynamics – Lakeside CBarbara Ostdiek, Rice University

Variance Risk Premia in Commodity MarketsMarcel Prokopczuk, Zeppelin UniversityChardin Wese, University of Reading

Feedback Effects of Commodity Futures PricesMichael Sockin, Princeton UniversityWei Xiong, Princeton University

Predatory or Sunshine Trading? Evidence from Crude Oil ETF RollsHendrik Bessembinder, University of Utah Allen Carrion, Lehigh UniversityLaura Tuttle, Securities and Exchange CommissionKumar Venkataraman, Southern Methodist University

Page 26: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

25

Forecasting through the Rear-view Mirror: Data Revisions and Bond Return PredictabilityEric Ghysels, University of North Carolina–Chapel HillCasidhe Horan, University of MichiganEmanuel Moench, Federal Reserve Bank of New York

Discussants:Natalia Sizova, Rice UniversityKathy Yuan, London School of EconomicsRobert Whaley, Vanderbilt UniversityMichael Halling, Stockholm School of Economics and University of Utah

Wednesday, June 19, 2013, 10:30 am – 12:15 pmShocks, Lending Behavior and Financial Fragility – Regency EBCharles Calomiris, Columbia University

Liquidity Shocks, Dollar Funding Costs, and the Bank Lending Channel During the European Sovereign CrisisRicardo Correa, Federal Reserve BoardHoracio Sapriza, Federal Reserve BoardAndrei Zlate, Federal Reserve Board

Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market FundsSergey Chernenko, Ohio State UniversityAdi Sunderam, Harvard University

Who Borrows from the Lender of Last Resort? Evidence from the European Financial CrisisItamar Drechsler, New York University Thomas Drechsel, London School of EconomicsDavid Marques-Ibanez, European Central BankPhilipp Schnabl, New York University

Dynamic Debt Runs and Financial Fragility: Evidence from the 2007 ABCP CrisisEnrique Schroth, Cass Business SchoolGustavo Suarez, Federal Reserve BoardLucian Taylor, University of Pennsylvania

Discussants:George Pennacchi, University of IllinoisKrista Schwarz, University of PennsylvaniaAmit Seru, University of ChicagoAnna Kovner, Federal Reserve Board of New York

Page 27: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

26

Capital Reallocation: Mergers, Asset Sales and Hedge Funds – Regency FCAdriano Rampini, Duke University

Merger Activity in Industry EquilibriumTheodosios Dimopoulos, University of LausanneStefano Sacchetto, Carnegie Mellon University

Financing Through Asset SalesAlex Edmans, University of PennsylvaniaWilliam Mann, University of Pennsylvania

Why is Hedge Fund Activism Procyclical?Mike Burkart, Stockholm School of EconomicsAmil Dasgupta, London School of Economics

Discussants:Vojislav Maksimovic, University of MarylandPablo Kurlat, Stanford UniversityLuke Taylor, University of Pennsylvania

Financial Contracting – Regency DAJeff Zwiebel, Stanford University

Predatory Threats and Contractual Constraints of DebtEinar Kjenstad, University of RochesterXunhua Su, Norwegian School of Economics and Business Administration

Estimating the Benefits of Contractual CompletenessGregor Matvos, University of Chicago

Contracting Between Firms: Empirical EvidenceRajkamal Iyer, Massachusetts Institute of Technology Zacharias Sautner, University of Amsterdam

Discussants:Naveen Khanna, Michigan State UniversityNicolae Garleanu, University of California-BerkeleyJohn Beshears, Stanford University

Page 28: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

27

International Asset Pricing – Lakeside ATarun Ramadorai, Oxford University

BKK the EZ Way. An International Production Economy with Recursive PreferencesRiccardo Colacito, University of North Carolina-Chapel HillMariano Massimiliano Croce, University of North Carolina-Chapel HillSteven Ho, University of North Carolina-Chapel HillPhilip Howard, University of North Carolina-Chapel Hill

Do Dollar-Denominated Emerging Market Corporate Bonds Insure Foreign Exchange Risk?Stefanos Delikouras, University of MichiganRobert Dittmar, University of MichiganHaitao Li, University of Michigan and Cheung Kong Graduate School of Business

Term-Structure of Consumption Risk Premia in the Cross-Section of Currency ReturnsIrina Zviadadze, London Business School

Discussants:Harjoat Bhamra, University of British ColumbiaChotibhak Jotikasthira, University of North Carolina-Chapel HillIvan Shaliastovich, University of Pennsylvania

The Connection Between Derivatives and Other Financial Markets – Lakeside BJeff Fleming, Rice University

The Market for OTC DerivativesAndrew G. Atkeson, University of California-Los AngelesAndrea Eisfeldt, University of California-Los AngelesPierre-Olivier Weill, University of California-Los Angeles

The Economics of Options-Implied Inflation Probability Density FunctionsYuriy Kitsul, Federal Reserve Board Jonathan Wright, Johns Hopkins University

Why Do Options Prices Predict Stock Returns?Tse-Chun Lin, University of Hong Kong Xiaolong Lu, University of Hong KongJoost Driessen, Tilburg University

Page 29: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

28

Discussants:Péter Kondor, Central European UniversitySteve Heston, University of MarylandBradley Paye, University of Georgia

Microstructure 1 – Lakeside CJoel Hasbrouck, New York University

Should Exchanges Impose Market Maker Obligations?Amber Anand, Syracuse UniversityKumar Venkataraman, Southern Methodist University

Bid-Ask Spreads and the Pricing of Securitizations: 144a vs. Registered SecuritizationsBurton Hollifield, Carnegie Mellon UniversityArtem Neklyudov, Carnegie Mellon UniversityChester Spatt, Carnegie Mellon University

Dark Trading and Price DiscoveryCarole Comerton-Forde, University of MelbourneTālis Putniņš, University of Technology-Sydney

Discussants:Avanidhar Subrahmanyam, University of California-Los AngelesUday Rajan, University of MichiganMark Ready, University of Wisconsin

Wednesday, June 19, 2013, 2:45 pm – 4:30 pmDisclosure, Regulation and Yields – Regency EBChester Spatt, Carnegie Mellon University

Stress Tests and Information DisclosureItay Goldstein, University of PennsylvaniaYaron Leitner, Federal Reserve Bank of Philadelphia

In Search of a Risk-free AssetVladimir Yankov, Boston University

The Effects of Regulating Hidden Add-on CostsJeremy Ko, Securities and Exchange CommissionJared Williams, Pennsylvania State University

Page 30: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

29

Discussants:Paul Pfleiderer, Stanford UniversityBrent Glover, Carnegie Mellon UniversityTomasz Piskorski, Columbia University

Analysts – Regency FCAlexander Ljungqvist, New York University

Do Financial Analysts Play a Monitoring Role? Evidence from Natural ExperimentsTao Chen, Chinese University of Hong KongJarrad Harford, University of WashingtonChen Lin, Chinese University of Hong Kong

The Dark Side of Analyst Coverage: The Case of InnovationJie He, University of GeorgiaXuan Tian, Indiana University

Revolving Doors on Wall StreetJess Cornaggia, Indiana University Kimberly Cornaggia, Indiana UniversityHan Xia, University of Texas-Dallas

Discussants:Vanitha Ragunathan, University of QueenslandJoan Farre-Mensa, Harvard Business SchoolPaul Irvine, University of Georgia

Capital Structure – Regency DAArthur Korteweg, Stanford University

The Growth Opportunity Channel of Debt StructureErasmo Giambona, University of AmsterdamJoseph Golec, University of Connecticut

Capital Structure and Taxes: What Happens When You (Also) Subsidize Equity?Frédéric Panier, Stanford UniversityFrancisco Pérez-González, Stanford UniversityPablo Villanueva, Stanford University

Systematic Risk, Debt Maturity, and the Term Structure of Credit SpreadsHui Chen, Massachusetts Institute of TechnologyYu Xu, Massachusetts Institute of TechnologyJun Yang, Bank of Canada

Page 31: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

30

Discussants:Mark Leary, Washington UniversityJonathan Cohn, University of Texas-AustinLars-Alexander Kuehn, Carnegie Mellon University

Global Fixed Income and Currency Markets – Lakeside ANikolai Roussanov, University of Pennsylvania

Currency Risk and Pricing Kernel VolatilityFederico Gavazzoni, INSEADBatchimeg Sambalaibat, Carnegie Mellon UniversityChris Telmer, Carnegie Mellon University

Local Currency Sovereign RiskWenxin Du, Harvard UniversityJesse Schreger, Harvard University

Currency Premia and Global ImbalancesPasquale Della Corte, Imperial College Business SchoolSteven Riddiough, University of WarwickLucio Sarno, Cass Business School

Discussants:Jeremy Graveline, University of MinnesotaMichael Michaux, University of Southern CaliforniaAstrid Schornick, INSEAD

Hedge Funds / Performance Evaluation – Lakeside BRobert Kosowski, Imperial College Business School

Hedge Fund Herds and Crowds: The Apologists’ EvidenceBlerina Reca, University of ToledoRichard Sias, University of ArizonaHarry Turtle, West Virginia University

Discretionary Liquidity: Hedge Funds, Side Pockets, and GatesAdam Aiken, Quinnipiac University Christopher Clifford, University of KentuckyJesse Ellis, University of Alabama

Evaluating Hedge Funds with Pooled BenchmarksMichael O’Doherty, University of Missouri N. Eugene Savin, University of IowaAshish Tiwari, University of Iowa

Page 32: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

31

Discussants:Vikas Agarwal, Georgia State UniversityGeorge Aragon, Arizona State UniversityNick Bollen, Vanderbilt University

High Frequency Trading – Lakeside CAvanidhar Subrahmanyam, University of California-Los Angeles

The Trading Profits of High Frequency TradersMatthew Baron, Princeton UniversityJonathan Brogaard, University of WashingtonAndrei Kirilenko, Commodities Futures Trading Commission

Do Retail Traders Suffer From High Frequency Traders?Katya Malinova, University of TorontoAndreas Park, University of TorontoRyan Riordan, University of Ontario Institute of Technology

The Diversity of High Frequency TradersBjörn Hagströmer, Stockholm University Lars Norden, Stockholm University

Discussants:Ananth Madhavan, BlackRockMark Seasholes, Hong Kong University of Science and TechnologyLesli Boni, University of New Mexico

Thursday, June 20, 2013, 8:15 am – 10:00 amGovernment, Regulation, and Intermediation Chair – Regency EBJaime Zender, University of Colorado

Safer Ratios, Riskier Portfolios: Banks’ Response to Government AidRan Duchin, University of WashingtonDenis Sosyura, University of Michigan

Did the Community Reinvestment Act (CRA) Lead to Risky Lending?Sumit Agarwal, National University of SingaporeEfraim Benmelech, Northwestern UniversityNittai Bergman, Massachusetts Institute of TechnologyAmit Seru, University of Chicago

Page 33: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

32

Competition in Lending and Credit RatingsJaved Ahmed, Federal Reserve Board

Discussants:N. Prahbala, University of MarylandRobert DeYoung, University of KansasTodd Milbourn, Washington University

Payout Policy and Indirect Costs of Financial Distress – Regency FCGustavo Grullon, Rice University

Do Investors Value Dividend Smoothing Stocks Differently?Yelena Larkin, Pennsylvania State UniversityMark Leary, Washington UniversityRoni Michaely, Cornell University

The Real Effects of Share RepurchasesHeitor Almeida, University of Illinois-Urbana-ChampaignVyacheslav Fos, University of Illinois-Urbana-ChampaignMathias Kronlund, University of Illinois-Urbana-Champaign

Boarding a Sinking Ship? An Investigation of Job Applications to Distressed FirmsJennifer Brown, Northwestern University David Matsa, Northwestern University

Discussants:James Weston, Rice UniversityUrs Peyer, INSEADHyunseob Kim, Cornell University

Access to Capital – Regency DAMichael Faulkender, University of Maryland

Financing from Family and FriendsSamuel Lee, New York UniversityPetra Persson, Columbia University

Information Production and Conflicts of Interest in Financial Intermediation: The Effects of Stapled FinanceHadiye Aslan, University of HoustonPraveen Kumar, University of Houston

Page 34: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

33

Does International Corporate Diversification Improve Access to Capital?Yeejin Jang, Ohio State University

Discussants:Simon Gervais, Duke UniversityJarrad Harford, University of WashingtonLaurent Fresard, University of Maryland

Learning and Asset Pricing – Lakeside ALaura Veldkamp, New York University

Information Diversity and Market Efficiency SpiralsItay Goldstein, University of Pennsylvania Liyan Yang, University of Toronto

Parameter Learning in General Equilibrium: The Asset Pricing ImplicationsPierre Collin-Dufresne, Columbia UniversityMichael Johannes, Columbia UniversityLars Lochstoer, Columbia University

Measuring the “Dark Matter” in Asset Pricing ModelsHui Chen, Massachusetts Institute of TechnologyWinston Dou, Massachusetts Institute of TechnologyLeonid Kogan, Massachusetts Institute of Technology

Discussants:Bradyn Breon-Drish, Stanford UniversityThomas Mertens, New York UniversityIan Dew-Becker, Federal Reserve Bank of San Francisco and Duke University

News and Sentiment – Lakeside BPaul Tetlock, Columbia University

Is “Sentiment” Sentimental?Steven Sibley, Purdue University Yuhang Xing, Rice UniversityXiaoyan Zhang, Purdue University

Page 35: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

34

Which News Moves Stock Prices? A Textual AnalysisJacob Boudoukh, IDC Arison School of Business Ronen Feldman, Hebrew University Shimon Kogan, University of Texas-AustinMatthew Richardson, New York University

Aggregate News Tone, Stock Returns, and VolatilityMichal Dzielinski, University of Zurich Henrik Hasseltoft, University of Zurich

Discussants:Joseph Engelberg, University of California-San DiegoJames Choi, Yale UniversityRoger Edelen, University of California-Davis

Microstructure 2 – Lakeside CPete Kyle, University of Maryland

Limited Attention and News Arrival in Limit Order MarketsJérôme Dugast, HEC Paris

Costs and Benefits of Dynamic Trading in a Lemons MarketWilliam Fuchs, University of California-BerkeleyAndrzej Skrzypacz, Stanford University

Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order MarketMichael Brolley, University of TorontoKatya Malinova, University of Toronto

Discussants:Ming Guo, Shanghai Jiao Tong UniversityYajun Wang, University of MarylandShmuel Baruch, University of Utah

Thursday, June 20, 2013, 10:30 am – 12:15 pmGovernance and Accounting – Regency EBSimi Kedia, Rutgers University

Governance and Shareholder Value in Delegated Portfolio Management: The Case of Closed-End FundsYouchang Wu, University of Wisconsin-MadisonRuss Wermers, University of MarylandJosef Zechner, University of Vienna

Page 36: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

35

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains TradingAndrew Ellul, Indiana University Chotibhak Jotikasthira, University of North Carolina-Chapel HillChristian Lundblad, University of North Carolina-Chapel HillYihui Wang, Fordham University

The Effects of Supervision on Bank Performance: Evidence from Discontinuous Examination FrequenciesMarcelo Rezende, Federal Reserve Board Jason Wu, Federal Reserve Board

Discussants:Diane Del Guercio, University of OregonJean Helwege, University of South CarolinaXing Zhou, Rutgers Business School

New Perspectives on Security Design – Regency FCPeter DeMarzo, Stanford University

Security Design in a Production Economy with Flexible Information AcquisitionMing Yang, Duke UniversityYao Zeng, Harvard University

Credit Ratings and Security DesignJens Josephson, Stockholm UniversityJoel Shapiro, Oxford University

Ambiguity in Corporate FinanceLorenzo Garlappi, University of British Columbia Ron Giammarino, University of British ColumbiaAli Lazrak, University of British Columbia

Discussants:Diego Garcia, University of North CarolinaMarcus Opp, University of California-BerkeleyPhilipp Illeditsch, University of Pennsylvania

Compensation – Regency DAYaniv Grinstein, Cornell University

Executive Compensation and Peer EffectsStefan Lewellen, Yale University

Page 37: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

36

Does Independent Advice to The Board Affect CEO Compensation?Hamed Mahmudi, University of Oklahoma

Clawback ProvisionsIlona Babenko, Arizona State University Benjamin Bennett, Arizona State UniversityJohn Bizjak, Texas Christian UniversityJeffrey Coles, Arizona State University

Discussants:David De Angelis, Rice UniversityCamelia Kuhnen, Northwestern UniversityDirk Jenter, Stanford University

Macrofinance – Lakeside AStavros Panageas, University of Chicago

Fiscal Policy and the Distribution of Consumption RiskMariano Massimiliano Croce, University of North Carolina-Chapel HillThien Nguyen, University of PennsylvaniaLukas Schmid, Duke University

Risks For the Long Run: Estimation with Time AggregationRavi Bansal, Duke UniversityDana Kiku, University of PennsylvaniaAmir Yaron, University of Pennsylvania

Tax News: Identifying the Household Consumption Response to Tax Expectations using Municipal Bond PricesLorenz Kueng, Northwestern University

Discussants:Jack Favilukis, London School of EconomicsAndrea Tamoni, London School of EconomicsAdair Morse, University of Chicago

Event Risk – Lakeside BLubos Pastor, University of Chicago

The Pre-FOMC Announcement DriftDavid Lucca, Federal Reserve Bank of New YorkEmanuel Moench, Federal Reserve Bank of New York

Page 38: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

37

Asset Pricing: The Tale of Two DaysPavel Savor, University of PennsylvaniaMungo Wilson, Oxford University

Systemic Risk and the Macroeconomy: An Empirical EvaluationStefano Giglio, University of ChicagoBryan Kelly, University of ChicagoSeth Pruitt, Federal Reserve BoardXiao Qiao, University of Chicago

Discussants:Jonathan Brogaard, University of Washington-SeattleMichaela Verardo, London School of EconomicsAlfed Lehar, University of Calgary

The Interaction of CDS and Bond Markets – Lakeside CJoshua Coval, Harvard Business School

CDS and the Liquidity Provision in the Bond MarketMassimo Massa, INSEAD Lei Zhang, Nanyang Tech University

Distressed Debt Restructuring in the Presence of Credit Default SwapsMascia Bedendo, Bocconi UniversityLara Cathcart, Imperial College Business SchoolLina El-Jahel, Imperial College Business School

The Term Structure of CDS Spreads and Sovereign Credit RiskPatrick Augustin, Stockholm School of Economics

Discussants:Madhu Kalimipalli, Wilfrid Laurier UniversityMartin Oehmke, Columbia UniversityJens Hilscher, Brandeis University

Page 39: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

38

2013 Program Committee

Program Chair John Graham, Duke University

Program Committee Associate ChairpersonsManuel Adelino, Duke UniversityRavi Bansal, Duke UniversityMichael Brandt, Duke UniversityAlon Brav, Duke UniversityIan Dew-Becker, Federal Reserve Bank of San Franciscso and Duke UniversityBen Ee, Duke UniversitySimon Gervais, Duke UniversityBarney Hartman-Glaser, Duke UniversityCam Harvey, Duke UniversityDavid Hsieh, Duke UniversitySong Ma, Duke UniversityErnst Maug, Unversity of MannheimManju Puri, Duke UniversityAdriano Rampini, Duke UniversityDavid Robinson, Duke UniversityLukas Schmid, Duke UniversityS. Viswanathan, Duke UniversityMing Yang, Duke University

Program Committee Members Viral Acharya, New York UniversityManuel Adelino, Duke UniversityReena Aggarwal, Georgetown UniversityRajesh Aggarwal, University of MinnesotaAnup Agrawal, University of AlabamaAshwini Agrawal, New York UniversityHengjie Ai, University of MinnesotaYacine Ait-Sahalia, Princeton UniversityRui Albuquerque, Boston UniversityAndres 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 UniversityWarren Bailey, Cornell UniversityMalcolm Baker, Harvard University

Page 40: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

39

Klaas Baks, Emory UniversityGurdip Bakshi, University of MarylandSnehal Banerjee, Northwestern UniversityRavi Bansal, Duke UniversityJack Bao, Ohio State UniversityBrad Barber, University of California-DavisSohnke Bartram, University of WarwickShmuel Baruch, University of UtahSuleyman Basak, London Business SchoolDavid Bates, University of IowaThomas Bates, Arizona State UniversityBo Becker, Harvard UniversityEffi Benmelech, Northwestern UniversityLuca Benzoni, Federal Reserve Bank of ChicagoNittai Bergman, Massachusetts Institute of TechnologyDaniel Bergstresser, Brandeis 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 AmsterdamJacob (Kobi) Boudoukh, IDCChrista Bouwman, Case Western Reserve 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 AngelesJennifer Carpenter, New York UniversityDavid Chapman, Boston CollegeThomas Chemmanur, Boston CollegeHui Chen, Massachusetts Institute of TechnologyMark Chen, Georgia State UniversitySergey Chernenko, Ohio State UniversityMikhail Chernov, London School of EconomicsJames Choi, Yale University

Page 41: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

40

Darwin 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 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 DublinMariano Croce, University of North Carolina-Chapel HillZhi Da, University of Notre DameMagnus Dahlquist, Stockholm School of EconomicsTri Vi Dang, Columbia UniversitySudipto Dasgupta, Hong Kong University of Science and TechnologyAmil Dasgupta, London School of EconomicsAdolfo De Motta, McGill UniversityHarry DeAngelo, University of Southern CaliforniaDiane Del Guercio, University of OregonMihir Desai, Harvard UniversityKarl Diether, Dartmouth CollegeAmy Dittmar, University of MichiganDobrislav Dobrev, Federal Reserve BoardCraig Doidge, University of TorontoAndres Donangelo, University of Texas-AustinJames Dow, London Business SchoolItamar Drechsler, New York UniversityJoost Driessen, Tilburg UniversityGreg Duffee, Johns Hopkins UniversityEspen Eckbo, Dartmouth CollegeRoger Edelen, University of California-DavisAlex Edmans, University of PennsylvaniaThomas Eisenbach, Federal Reserve Bank of New YorkAndrea Eisfeldt, University of California-Los AngelesJoseph Engleberg, University of California-San DiegoVihang Errunza, McGill UniversityRudiger Fahlenbrach, École Polytechnique Fédérale de LausanneMichael Faulkender, University of MarylandJack Favilukis, London School of EconomicsWayne Ferson, University of Southern California

Page 42: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

41

Laura Field, Pennsylvania State UniversityAdlai Fisher, University of British ColumbiaThierry Foucault, HEC ParisCarola 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 UniversityRon 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 UniversityRobin Greenwood, Harvard UniversitySteve Grenadier, Stanford UniversityYaniv Grinstein, Cornell UniversityGustavo Grullon, Rice UniversityBruce Grundy, University of MelbourneIlan Guedj, University of Texas-AustinDirk Hackbarth, University of Illinois-Urbana-ChampaignKathleen Hagerty, Northwestern UniversityBing Han, University of Texas-AustinSamuel Hanson, Harvard UniversityJarrad Harford, University of WashingtonJeff Harris, University of DelawareLarry Harris, University of Southern CaliforniaBarney Hartman-Glaser, Duke University

Page 43: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

42

Jay Hartzell, University of Texas-AustinJoel Hasbrouck, New York UniversityTarek Hassan, University of ChicagoPing He, Tsinghua UniversityUlrich Hege, HEC ParisThomas Hellmann, University of British ColumbiaJean Helwege, University of South CarolinaTerrence Hendershott, University of California-BerkeleyChristopher Hennessy, London Business SchoolMichael Hertzel, Arizona State UniversitySteven Heston, University of MarylandYael Hochberg, Northwestern UniversityCraig Holden, Indiana UniversityBurton Hollifield, Carnegie Mellon UniversityHarrison Hong, Princeton UniversityEdie Hotchkiss, Boston CollegeKewei Hou, Ohio State UniversityDavid Hsieh, Duke UniversityEric Hughson, Claremont McKenna CollegeChuan-Yang Hwang, Nanyang Tech UniversityDavid Ikenberry, University of Colorado, BoulderPhilipp Illeditsch, University of PennsylvaniaVictoria Ivashina, Harvard UniversityZoran Ivkovic, Michigan State UniversityRajkamal Iyer, Massachusetts Institute of TechnologyRavi Jagannathan, Northwestern UniversityNarashimhan Jegadeesh, Emory UniversityDirk Jenter, Stanford UniversityWei Jiang, Columbia UniversityLi Jin, Oxford UniversityMichael Johannes, Columbia UniversityKose John, New York UniversityChristopher Jones, University of Southern CaliforniaPhilippe Jorion, University of California-IrvineScott Joslin, University of Southern CaliforniaNengjiu Ju, Hong Kong University of Science and TechnologyBrandon Julio, London Business SchoolMarcin Kacperczyk, New York UniversityDalida Kadyrzhanova, University of MarylandSwaminathan Kalpathy, Southern Methodist UniversityAvraham Kamara, University of WashingtonJun-Koo Kang, Nanyang Tech UniversityRon Kaniel, University of RochesterMartin Kanz, World BankSteve Kaplan, University of Chicago

Page 44: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

43

Jason Karceski, LSV Asset ManagementAndrew Karolyi, Cornell UniversityJonathan Karpoff, University of WashingtonAnastasia Kartasheva, Bank for International SettlementsGautam Kaul, University of MichiganKenneth Kavajecz, University of Wisconsin-MadisonSimi Kedia, Rutgers UniversityDonald Keim, University of PennsylvaniaBryan Kelly, University of ChicagoMatti Keloharju, Aalto UniversitySusan Kerr Christoffersen, University of TorontoBong-Chan Kho, Seoul National UniversityDana Kiku, University of PennsylvaniaHyunseob Kim, Cornell UniversityDarren Kisgen, Boston CollegeJohan Knif, Hanken School of EconomicsSamuli Knüpfer, London Business SchoolShimon Kogan, University of Texas-AustinLeonid Kogan, Massachusetts Institute of TechnologyAdam Kolasinski, University of WashingtonJiro Kondo, McGill UniversityPeter Kondor, Central European UniversityRobert Korajczyk, Northwestern 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 HoustonHoward Kung, University of British ColumbiaChristopher Lamoureux, University of ArizonaNisan Langberg, University of HoustonChris Leach, University of Colorado-BoulderMark Leary, Washington University-St. LouisSamuel Lee, New York UniversityCharles Lee, Stanford UniversityQin Lei, Southern Methodist UniversityYaron Leitner, Federal Reserve Bank of PhiladelphiaJosh Lerner, Harvard UniversityMartin Lettau, University of California-BerkeleyDoron Levit, University of PennsylvaniaJonathan Lewellen, Dartmouth CollegeKatharina Lewellen, Dartmouth CollegeSi Li, Wilfrid Laurier University

Page 45: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

44

Bing Liang, University of MassachusettsErik Lie, University of IowaEva Liljeblom, Hanken School of EconomicsXiaoji Lin, Ohio State UniversityJames Linck, Southern Methodist UniversityLaura 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 TechnologyLars Lochstoer, Columbia UniversityClaudio Loderer, Universitaet BernFrancis Longstaff, University of California-Los AngelesRichard Lowery, University of Texas-AustinMichelle Lowry, Pennsylvania 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, INSEADMatteo Maggiori, New York UniversityIgor 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, University of California-BerkeleyRobert Marquez, University of California-DavisIan Martin, Stanford UniversitySpencer Martin, University of MelbourneMarc Martos-Vila, University of California-Los AngelesMassimo Massa, INSEADRon Masulis, University of New South WalesPedro Matos, University of VirginiaDavid Matsa, Northwestern University

Page 46: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

45

Gregor Matvos, University of ChicagoErnst Maug, University of MannheimWilliam Maxwell, Southern Methodist UniversityRobert McDonald, Northwestern UniversityDavid McLean, University of AlbertaAntonio Mello, Massachusetts Institute of TechnologyAlbert 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, École Polytechnique Fédérale de LausanneAdair Morse, University of ChicagoPamela Moulton, Cornell UniversityHolger Mueller, New York UniversityPhilippe Mueller, London School of EconomicsJustin Murfin, Yale UniversityDavid Musto, University of PennsylvaniaBrett Myers, Texas Tech UniversityStefan Nagel, Stanford UniversityBoris Nikolov, University of RochesterGregory Nini, University of PennsylvaniaThomas Noe, Oxford UniversityKjell Nyborg, University of ZurichTerrance Odean, University of California-BerkeleyMartin Oehmke, Columbia UniversityMaureen 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 IIDino Palazzo, Boston UniversityDarius Palia, Rutgers UniversityStavros Panageas, University of ChicagoMarios Panayides, University of PittsburghDimitris Papanikolaou, Northwestern UniversityChristine Parlour, University of California-BerkeleyRobert Parrino, University of Texas-AustinChristopher Parsons, University of California-San DiegoLubos Pastor, University of Chicago

Page 47: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

46

Anna Pavlova, London Business SchoolLiang 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, University of Illinois-Urbana-ChampaignJeffrey Pontiff, Boston CollegeN.R. Prabhala, University of MarylandManju Puri, Duke UniversityUday Rajan, University of MichiganAdriano Rampini, Duke UniversityRaghavendra Rau, University of CambridgeS. Abraham (Avri) Ravid, Yeshiva 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 UniversityKristian Rydqvist, Binghamton UniversityGideon Saar, Cornell UniversityRonnie Sadka, Boston CollegeJacob Sagi, University of North Carolina-Chapel HillPatrik Sandas, University of VirginiaPedro Santa-Clara, Universidade Nova de LisboaPaola Sapienza, Northwestern UniversityPavel Savor, University of PennsylvaniaAnna Scherbina, University of California-DavisMartin Schmalz, University of MichiganLukas Schmid, Duke UniversityPhilipp Schnabl, New York UniversityJan Schneider, University of Texas-AustinAntoinette Schoar, Massachusetts Institute of TechnologyPaul Schultz, University of Notre Dame

Page 48: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

47

Krista Schwarz, University of PennsylvaniaMark Seasholes, Hong Kong University of Science and TechnologyLemma Senbet, University of MarylandBerk Sensoy, Ohio State UniversityDuane Seppi, Carnegie Mellon UniversityPiet Sercu, Catholic University of LeuvenHenri 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 UniversityErik Stafford, Harvard UniversityRichard Stanton, University of California-BerkeleyLaura Starks, University of Texas-AustinNeal Stoughton, Wirtschaftsuniversität WienIlya Strebulaev, Stanford UniversityPer Strömberg, Stockholm School of EconomicsMichael Stutzer, University of Colorado-BoulderAvanidhar Subrahmanyam, University of California-Los AngelesAdi Sunderam, Harvard UniversityBhaskaran (Swami) Swaminathan, Cornell UniversityGeoffrey Tate, University of North Carolina-Chapel HillLucian 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-AustinHeather Tookes, Yale UniversityAlex Triantis, University of MarylandCharles Trzcinka, Indiana UniversityMargarita Tsoutsoura, University of ChicagoSergey Tsyplakov, University of South CarolinaSelale Tuzel, University of Southern California

Page 49: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

48

Andrey Ukhov, Cornell UniversityRaman Uppal, EDHEC Business SchoolJules van Binsbergen, Stanford UniversityStijn Van Nieuwerburgh, New York UniversityDimitri Vayanos, London School of EconomicsAndrea Vedolin, London School of EconomicsAdrien Verdelhan, Massachusetts Institute of TechnologyPietro Veronesi, University of ChicagoVikrant 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, BerkeleyNeng Wang, Columbia UniversityTan Wang, University of British ColumbiaJiang Wang, Massachusetts Institute of TechnologyZhenyu Wang, Indiana UniversityAkiko 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 WashingtonBob Whaley, Vanderbilt UniversityToni Whited, University of RochesterRobert Whitelaw, New York UniversityRohan Williamson, Georgetown UniversityAndrew Winton, University of MinnesotaAvi 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 CarolinaMing Yang, Duke UniversityJie Yang, Georgetown UniversityLiu Yang, University of Maryland

Page 50: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

49

Amir Yaron, University of PennsylvaniaAyako Yasuda, University of California-DavisDavid Yermack, New York UniversityMotohiro Yogo, Federal Reserve Bank of MinneapolisLance Young, University of WashingtonFernando Zapatero, University of Southern CaliforniaRebecca Zarutskie, Federal Reserve BoardJosef Zechner, Vienna University of Economics and BusinessJaime Zender, University of Colorado-BoulderLu Zhang, Ohio State UniversityWeina Zhang, National University of SingaporeMengxin Zhao, University of AlbertaLu Zheng, University of California-IrvineGuofu Zhou, Washington UniversityNing Zhu, University of California-DavisHaoxiang Zhu, Massachusetts Institute of TechnologyJeffrey Zwiebel, Stanford University

AcknowledgmentsAs Program Chair I would like to thank the program committee for their service to the WFA. I’d also like to express deep gratitude to my colleagues and Associ-ate Chairpersons at Duke University who helped create the program. Thanks also to Leigh Ann Clark for her dedicated assistance, and to the Tepper School of Business at Carnegie Mellon and Jeff Easter, Rosemarie Lang, and MaryAnn O’Brien for their invaluable help and support. I would like to extend particular thanks to Mike Fishman, Cam Harvey, Francis Longstaff, Bryan Routledge, Laura Starks 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.

Page 51: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

50

A

Adelino, Manuel 22Adrian, Tobias 15Agarwal, Sumit 16, 31Agarwal, Vikas 31Agrawal, Ashwini 22Ahern, Kenneth R. 20Ahmed, Javed 32Ai, Hengjie 21, 23Aiken, Adam 30Almeida, Heitor 32Amaya, Diego 14Amore, Mario Daniele 22Amromin, Gene 13Anand, Amber 28Ang, Andrew 14Aragon, George 31Artavanis, Nikolaos 19Aslan, Hadiye 32Atkeson, Andrew G. 27Atmaz, Adem 17Augustin, Patrick 37

B

Babenko, Ilona 14, 36Balduzzi, Pierluigi 15Ball, Christopher 14Bansal, Ravi 36Barber, Brad 17, 24Baron, Matthew 31Baruch, Shmuel 34Bedendo, Mascia 37Belo, Frederico 21Benmelech, Efraim 31Bennett, Benjamin 36Berg, Tobias 22Bergman, Nittai 31Berk, Jonathan 13Bernstein, Shai 13Beshears, John 26Bessembinder, Hendrik 24Bhamra, Harjoat 27van Binsbergen, Jules 18, 20, 24Bizjak, John 36

IndexBoguth, Oliver 14Bollen, Nick 31Bolton, Patrick 19Boni, Lesli 31Boudoukh, Jacob 34Boyarchenko, Nina 15Breon-Drish, Bradyn 33Brogaard, Jonathan 31, 37Brolley, Michael 34Brown, Jennifer 32Brunnermeier, Markus 24Buraschi, Andrea 16Burkart, Mike 26Bustamante, Maria Cecilia 21

C

Calomiris, Charles 25Carrion, Allen 24Casassus, Jaime 21Cathcart, Lara 37Chakraborty, Indraneel 22Chang, Briana 21Chang, Eric C. 23Chang, Tom 24Chang, Yuk Ying 20Chava, Sudheer 17Chemmanur, Thomas 16Chen, Huaizhi 16Chen, Hui 19, 29, 33Chen, Tao 29Cheng, Ing-Haw 20Chernenko, Sergey 25Chinco, Alexander 17Choi, James 34Chordia, Tarun 18Christoffersen, Peter 14Clementi, Gian Luca 24Clifford, Christopher 30Cohen, Lauren 16Cohn, Jonathan 30Colacito, Riccardo 27Coles, Jeffrey 36Collin-Dufresne, Pierre 33Comerton-Forde, Carole 28Cornaggia, Jess 16, 29

Page 52: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

51

Cornaggia, Kimberly 29Cornelli, Francesca 20Correa, Ricardo 25Corte, Pasquale Della 30Coval, Joshua 37Croce, Mariano Massimiliano 23, 27, 36Cronqvist, Henrik 16Cujean, Julien 20

D

Dai, Zhonglan 19Dasgupta, Amil 26Dasgupta, Sudipto 20Datta, Deepa 21David, Alexander 21De Angelis, David 36Deither, Karl 17Del Guercio, Diane 35Delikouras, Stefanos 27DeMarzo, Peter 35Dew-Becker, Ian 24, 33DeYoung, Robert 32Diercks, Anthony 23Dimopoulos, Theodosios 26Dittmar, Robert 27Donangelo, Andres 21Dou, Winston 33Drechsel, Thomas 25Drechsler, Itamar 25Driessen, Joost 27Du, Wenxin 30Duchin, Ran 16, 31Duffee, Greg 16Dugast, Jérôme 34Dzielinski, Michal 34

E

Edelen, Roger 34Edmans, Alex 13, 23, 26Eisfeldt, Andrea 20, 27El-Jahel, Lina 37Ellis, Jesse 30Ellul, Andrew 35Engelberg, Joseph 34Erel, Isil 13

F

Falato, Antonio 19Fang, Vivian 23

Farre-Mensa, Joan 29Faulkender, Michael 22, 32Favilukis, Jack 23, 36Fee, C. Edward 20Feldman, Ronen 34Fleming, Jeff 27Fos, Vyacheslav 32Fresard, Laurent 33Fuchs, William 34Fuster, Andreas 13

G

Gan, Jie 20Ganduri, Rohan 17Gantchev, Nickolay 23Garcia, Diego 35Garlappi, Lorenzo 21, 35Garleanu, Nicolae 26Garmaise, Mark 13Gavazzoni, Federico 30Gerakos, Joseph 18Gervais, Simon 13, 16, 33Ghysels, Eric 25Giambona, Erasmo 29Giammarino, Ron 35Giglio, Stefano 37Gilje, Erik 14Giroud, Xavier 14Glode, Vincent 13Glover, Brent 29Goldstein, Itay 13, 22, 28, 33Golec, Joseph 29Gormley, Todd 22Graveline, Jeremy 30Griffin, John 13Grinstein, Yaniv 20, 35Grullon, Gustavo 32Gu, Lifeng 21Guo, Ming 34

H

Hackbarth, Dirk 17Hadlock, Charles J. 20Hagströmer, Björn 31Halling, Michael 25Hanlon, Michelle 19Hanson, Samuel 17Harford, Jarrad 29, 33Harris, Milton 13

Page 53: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

52

Hasbrouck, Joel 28Haselmann, Rainer 17Hasseltoft, Henrik 34He, Jie 29Helwege, Jean 35Heston, Steve 28Hilscher, Jens 37Ho, Steven 27 Hoberg, Gerard 14Hochberg, Yael 16Hollifield, Burton 17, 28Horan, Casidhe 25Hotchkiss, Edith 17Howard, Philip 27Huang, Jing 20Hwang, Byoung-Hyoun 18

I

Illeditsch, Philipp 35Irvine, Paul 29Iyer, Rajkamal 26

J

Jacobs, Kris 14Jang, Yeejin 33Jenter, Dirk 20, 36Johannes, Michael 33Jones, Charles 17Josephson, Jens 35Jotikasthira, Chotibhak 23, 27, 35Julio, Brandon 14

K

Kadyrahanvoa, Dalida 19Kalimipalli, Madhu 17, 37Kaniel, Ron 20Karakas, Oguzhan 20Karpoff, Jonathan 19Kedia, Simi 34Kelly, Bryan 15, 20, 37Khanna, Naveen 26Kiku, Dana 36Kim, Hyunseob 32Kirilenko, Andrei 31Kitsul, Yuriy 27Kjenstad, Einar 26Ko, Jeremy 28 Kogan, Leonid 23, 33Kogan, Shimon 34

Kondor, Péter 28Korteweg, Arthur 29Kosowski, Robert 30Kovner, Anna 25Krishnamurthy, Arvind 15Kronlund, Mathias 32Kuehn, Lars-Alexander 30Kueng, Lorenz 36Kuhnen, Camelia 20, 36Kumar, Praveen 32Kurlat, Pablo 21, 26Kyle, Pete 34

L

Larkin, Yelena 32Lazrak, Ali 35Le, Anh 15Leary, Mark 30, 32Lee, Samuel 32Lehar, Alfed 37Leitner, Yaron 28Lewellen, Jonathan 15Lewellen, Katharina 20Lewellen, Stefan 35Li, Haitao 27Li, Jun 18Li, Kai 17, 23Liberman, Andres 17Liberti, Jose 17Lim, Jongha 23Lin, Chen 29Lin, Tse-Chun 23, 27Lin, Xiaoji 23Lindsey, Laura 16Linnainmaa, Juhani 18, 24Litvak, Katherine 19Ljungqvist, Alexander 29Lochstoer, Lars 33Lou, Dong 16, 18Loutskina, Elena 16Lowery, Richard 13Lu, Xiaolong 27Lucca, David 36Lundblad, Christian 35Lustig, Hanno 20Lynch, Anthony 18

Page 54: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

53

M

Ma, Xiaorong 23 MacKinlay, Andrew 22Madhavan, Ananth 31Mahmudi, Hamed 36Maksimovic, Vojislav 14, 26Malinova, Katya 31, 34Malkhozov, Aytek 15Malmendier, Ulrike 24Mann, William 26Manso, Gustavo 20Marques-Ibanez, David 25Marquez, Robert 24Massa, Massimo 37Matsa, David 32Matvos, Gregor 26Maug, Ernst 23McDonald, Robert 21McLean, R. David 18Mertens, Thomas 33Merton, Robert C. 15Michaely, Roni 32Michaux, Michael 30Milbourn, Todd 32Moench, Emanuel 25, 36Morse, Adair 19, 36Mueller, Philippe 15Muir, Tyler 15, 18

N

Nadauld, Taylor 13Nagel, Stefan 24Neklyudov, Artem 28Nguyen, Thien 36Norden, Lars 31Novy-Marx, Robert 18

O

O’Doherty, Michael 30Oehmke, Martin 16, 37Opp, Christian 13Opp, Marcus 35Ornthanalai, Chayawat 17Ostdiek, Barbara 24

P

Paligorova, Teodora 22Panageas, Stavros 36

Panier, Frédéric 29Papanikolaou, Dimitris 14, 23Paravisini, Daniel 22Park, Andreas 31Pastor, Lubos 15, 36Paye, Bradley 28Pennacchi, George 25Pérez-González, Francisco 29Persson, Petra 32Pettenuzzo, Davide 18Peyer, Urs 32Pfleiderer, Paul 29Phillips, Gordon 14Pierce, Joshua R. 20Piskorski, Tomasz 13, 29Polk, Christopher 18Pontiff, Jeffrey 18Prahbala, N. 32Prokopczuk, Marcel 24Pruitt, Seth 18, 37Purnanandam, Amiyatosh 19Putniņš, Tālis 28

Q

Qian, Jun 16Qiao, Xiao 37Quadrini, Vincenzo 14

R

Ragunathan, Vanitha 29Rajan, Uday 28Ramadorai, Tarun 27Rampini, Adriano 19, 26Rao, Raghu 14Ravid, Abraham 23Ravina, Enrichetta 17Ready, Mark 28Ready, Robert 21Reca, Blerina 30Rezende, Marcelo 35Richardson, Matthew 34Riddiough, Steven 30Riordan, Ryan 31Roussanov, Nikolai 15, 21, 30Routledge, Bryan 21

S

Sacchetto, Stefano 26Sambalaibat, Batchimeg 30

Page 55: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

54

Santos, João 22Sapriza, Horacio 25Saretto, Alessio 13Sarno, Lucio 30Saunders, Anthony 22Sautner, Zacharias 26Savin, N. Eugene 30Savor, Pavel 37Schmid, Lukas 15, 23, 36Schnabl, Philipp 25Schneider, Cédric 22Schoar, Antoinette 22Schoenherr, David 17Schornick, Astrid 30Schreger, Jesse 30Schroth, Enrique 25Schwarz, Krista 25Seasholes, Mark 31Seru, Amit 17, 23, 25, 31Severino, Felipe 22Shaliastovich, Ivan 27Shapiro, Joel 35Sias, Richard 30Sibley, Steven 33Siegel, Stephan 16Sim, Jae 19Simon, David 20Simsek, Alp 24Singleton, Kenneth 15Sizova, Natalia 25Skrzypacz, Andrzej 34Sockin, Michael 24Solomon, David 24Sosyura, Denis 16, 31Spatt, Chester 28Stathopoulos, Andreas 21Steffen, Sascha 22Stoffman, Noah 23Strobl, Günter 13Suarez, Gustavo 25Subrahmanyam, Avanidhar 28, 31Subramanian, Krishnamurty 16Sudheer, Chava 23Sunderam, Adi 17, 25Su, Xunhua 26

T

Taillard, Jérôme 14Tamoni, Andrea 36Taylor, Lucian 25

Taylor, Luke 26Telmer, Chris 30Tetlock, Paul 33Thakor, Anjan 22Tian, Xuan 16, 19, 29Timmermann, Allan 18, 24Tiwari, Ashish 30Tserlukevich, Yuri 14Tsesmelidakis, Zoe 15Tsoutsoura, Margarita 19Turtle, Harry 30Tuttle, Laura 24

U

Udell, Gregory 19

V

Valkanov, Rossen 18Van Nieuwerburgh, Stijn 18, 20Vasquez, Aurelio 14Vedolin, Andrea 15Veldkamp, Laura 33Venkataraman, Kumar 24, 28Venter, Gyuri 15Verardo, Michaela 37Veronesi, Pietro 15Vickery, James 13Vig, Vikrant 17Villanueva, Pablo 29Vissing-Jorgensen, Annette 15Viswanathan, S. 19

W

Wang, Neng 19Wang, Tracy Yue 23Wang, Yajun 34Wang, Yan 17Wang, Yihui 35Ward, Colin 21Weill, Pierre-Olivier 27Weisbach, Mike 23Welch, Ivo 22Wen, Quan 18Wermers, Russ 34Werner, Ingrid 17Wese, Chardin 24Westerfield, Mark 14, 24Weston, James 32Whaley, Robert 25

Page 56: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

55

Whited, Toni 19Williams, Jared 28Wilson, Mungo 37Wolfe, Brian 16Wright, Jonathan 27Wu, Jason 35Wu, Youchang 34

X

Xia, Han 29Xing, Yuhang 33Xiong, Wei 15, 24Xu, Yu 29

Y

Yang, Jun 29Yang, Liyan 33Yang, Ming 35Yankov, Vladimir 28Yaron, Amir 14, 36Yook, Youngsuk 14Yorulmazer, Tanju 16Yu, Xiaoyun 19 Yuan, Kathy 25

Z

Zaldokas, Alminas 22Zechner, Josef 34Zender, Jaime 31Zeng, Yao 35Zhang, Harold 19Zhang, Lei 37Zhang, Xiaoyan 33Zhao, Feng 19Zhou, Dexin 18Zhou, Xing 35Zhu, Haoxiang 20Zhu, John 13Zlate, Andrei 25Zur, Emanuel 23Zviadadze, Irina 27Zwiebel, Jeff 26

Page 57: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

56

2014 ANNUAL MEETINGS OF THE WESTERN FINANCE ASSOCIATION

JUNE 15-18, 2014PORTOLA HOTEL & SPA MARRIOTT MONTEREY

MONTEREY BAY, CALIFORNIA

Members and friends of the Western Finance Association are invited to submit papers to be considered for presentation at the 2014 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 tak-ing submissions on October 1, 2013. The deadline for submissions is midnight PST November 18, 2013. Papers will be reviewed anonymously by up to three members of the Program Committee, and authors will be notified of the Program Committee’s decisions by the end of March, 2014. Best Paper Awards (subject to change): The 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.

Kepos Award of $5,000 for the best paper on investments.

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.

2014 Program Chair:

Josef Zechner, Vienna University of Economics and Business

Page 58: WESTERN FINANCE ASSOCIATION · Tahoe Resort, Spa, & Casino, Incline Village, Nevada. On-site registration for the conference will be located in the Hyatt Regency Lake Tahoe Resort,

2013 Preliminary Program48th Annual Conference

of theWestern Finance Association

Hyatt Regency Lake Tahoe Resort, Spa & CasinoLake Tahoe, Nevada

June 17 - 20, 2013