BI-SHoF Conference 2018

BI-SHOF 4th ANNUAL CONFERENCE IN ASSET PRICING AND
FINANCIAL ECONOMETRICS

PRELIMINARY PROGRAM
Organizers: Paul Ehling, Riccardo Sabbatucci and Irina Zviadadze

 

Each paper has 45 minutes, which are divided as follows

  • 30 min for the presentation
  • 10 min for the discussion
  • 5 min for the presenter to respond to the discussant and take questions from the audience. Presenters and discussants are kindly asked to upload their slides on the computer before the start of their session.

The 2019 BI-SHoF conference will be hosted by BI in Oslo.

Practical information
When: Monday, 04 June 2018 08:30 – Tuesday, 05 June 2018 14:00
Place: Swedish House of Finance
Contact: Elisabeth Kempe (elisabeth.kempe@hhs.se)

Getting to SHoF and the hotel from Stockholm airport (Arlanda):

The fastest and best way to reach the city of Stockholm from Arlanda Airport is going with the Arlanda Express train. The train departs every 15 minutes. Travel time to the Central Station, “Stockholm City”, is 20 minutes.

You can also go by airport coaches, “Flygbussarna”. Departures are more or less continuously but at least every 10 minutes. Travel time is 40 minutes to the Central Station.

Taxi is also an alternative. Taxi companies charge different flat rates for rides from the airport. “Taxi Stockholm” (not “Taxi i Stockholm”), “Taxi Transfer”, “Taxi Kurir”, and “Taxi020” are reliable companies. Travel time is approximately 35-40 minutes. Taxi availability at the airport is good so preliminary reservation is not required. Traffic jams to/from the airport are unusual.

Conference hotel: Hotel Birger Jarl, Tulegatan 8, 113 53 Stockholm
Phone: (+46) 8 674 1800

Conference Dinner: Gondolen Stadsgården 6, 104 65 Stockholm
Phone: (+46) 8 641 7090
How to get there: TBD

June 4th Dinner (by invitation) at Gondolen

BI-SHoF Conference 2018 - Program

MONDAY, June 4th

08:30-09:00 Registration and welcome address at SHoF

09:00-10:30 Session 1 – Chair: Tatyana Marchuk (BI)

09:00-09:45 Payments, Credit and Asset Prices
Authors and Presenter (*): *Monika Piazzesi (Stanford) and Martin Schneider (Stanford)
Discussant: Lukas Schmid (Duke)

09:45-10:30 Do Banks Have an Edge?
Authors and Presenter (*): *Juliane Begenau (Stanford) and Erik Stafford (HBS)
Discussant: Adrien d’Avernas (SSE)

10:30-11:00 Coffee break

11:00-12:30 Session 2 – Chair: Magnus Dahlquist (SSE)

11:00-11:45 Is the Term Structure of Equity Risk Premia Upward Sloping?
Authors and Presenter (*): *Ravi Bansal (Duke), Shane Miller (Duke) and Amir Yaron (Wharton)
Discussant: Oliver Boguth (ASU)

11:45-12:30 Fearing the Fed: How Wall Street Reads Main Streets
Authors and Presenter (*): Tzuo-Hann Law (BC), Dongho Song (BC) and *Amir Yaron
(Wharton)
Discussant: David Lucca (NY FED)

12:30-14:00 Lunch

14:00-15:30 Session 3 – Chair: Adrien d’Avernas (SSE)

14:00-14:45 Financial Fragility with SAM?
Authors and Presenter (*): *Daniel L. Greenwald (MIT), Tim Landvoigt (Wharton), Stijn Van
Nieuwerburgh (NYU)
Discussant: Kurt Mitman (IIES)

14:45-15:30 The Financial Intermediation Premium in the Cross Section of Stock Returns
Authors and Presenter (*): *Tatyana Marchuk
Discussant: Andrea Tamoni (LSE)

15:30-16:00 Coffee break

16:00-17:30 Session 4 – Chair: Riccardo Sabbatucci (SSE)

16:00-16:45 The Time Value of Information
Authors and Presenter (*): *Stan Zin (NYU)
Discussant: Georgy Chabakauri (LSE)

16:45-17:30 Discount Rates and Employment Fluctuations
Authors and Presenter (*): *Jaroslav Borovička (NYU) and Katarina Borovičková (NYU)
Discussant: Edouard Schaal (CREI & UPF)

18:30 – Dinner
Departure from SHoF. For those going on their own, please be at the restaurant Gondolen
before 19:00.

 

TUESDAY, June 5th

08:45-09:00 Coffee

09:00-10:30 Session 5 – Chair: Irina Zviadadze (SSE)

09:00-09:45 High-frequency Cash Flow Dynamics
Authors and Presenter (*): Davide Pettenuzzo (Brandeis), Riccardo Sabbatucci (SSE) and
*Allan Timmermann (UCSD)
Discussant: Christopher Polk (LSE)

09:45-10:30 A Tug of War: Overnight Versus Intraday Expected Returns
Authors and Presenter (*): Dong Lou (LSE), *Christopher Polk (LSE), and Spyros Skouras
(Athens UEB)
Discussant: Riccardo Sabbatucci (SSE)

10:30-11:00 Coffee break

11:00-12:30 Session 6 – Chair: Paul Ehling (BI)

11:00-11:45 The Dark Side of Circuit Breakers
Authors and Presenter (*): *Hui Chen (MIT), Anton Petukhov (MIT) and Jiang Wang (MIT)
Discussant: Katrin Tinn (Imperial)

11:45-12:30 TBD
Authors and Presenter (*): *Nour Meddahi (TSE)
Discussant: TBD

12:30-14:00 Lunch

 

BI-SHoF Conference 2018 - Conference venue

Swedish House of Finance, Drottninggatan 98, Stockholm, Sweden

BI-SHoF Conference 2018 - Discussants and Presenters

Ravi Bansal (Duke Fuqua)

Juliane Begenau (HBS)

Oliver Boguth (Arizona State University)

Jaroslav Borovička (NYU)

Georgy Chabakauri (LSE)

Hui Chen (MIT Sloan)

Adrien D’Avernas (SSE)

Daniel Greenwald (MIT Sloan)

David Lucca (NY Fed)

Tatyana Marchuk (BI Oslo)

Nour Meddahi (TSE)

Kurt Mitman (IIES)

Monika Piazzesi (Stanford)

Christopher Polk (LSE)

Riccardo Sabbatucci (SSE)

Edouard Schaal (CREI)

Lukas Schmid (Duke Fuqua)

Andrea Tamoni (LSE)

Katrin Tinn (Imperial)

Allan Timmermann (UCSD)

Amir Yaron (Wharton)

Stanley Zin (NYU Stern)