finance down under - university of melbourne

Building on the Best fromthe Cellars of FinanceMarch 7-9, 2013

FinanceDownUnder

The Department of Finance proudly presentsits 9th annual conference

Finance Down Under 2013Building on the Best from the Cellars of Finance

March 7-9, 2013Organised byDepartment of Finance Faculty of Business and EconomicsThe University of Melbourne

Finance Down Under 2013 Building on the Best from the Cellars of Finance 1

Welcome toFinance Down UnderThe Department of Finance in the Faculty of Business and Economics at the University of Melbourne welcomes everyone to its annual Finance Down Under (FDU) conference.

Submissions reached record levels in both quantity and quality. To accommodate the increase in paper quality, we have expanded the program over last year to 21 papers. These 21 papers from all areas in finance (Asset Pricing, Investments, and Corporate Finance) received high ratings by the 78 member Program Committee, and we have academics from leading universities in the U.S., Europe, Asia and Australia providing discussions on the accepted papers.

Our unique format includes a special symposium built around ‘vintage’ work in finance that has withstood the test of time and continued to inspire current research. This year, we have selected 3 papers for the special session in honor of Epstein and Zin’s classic paper ‘Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework’. In addition, our keynote speakers—Peter L. Bossaerts, John Y. Campbell, Larry G. Epstein, and Stanley Zin—will speak about the impact of Epstein and Zin’s paper and related topics.

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FINANCE DOWN UNDER 2013: Building on the Best from the Cellars of Finance

PROGRAMME SUMMARY

Thursday, March 7, 2013 (Federation Square) 6:00 pm – 8:00 pm

Wine Reception (The Edge Theatre) Conference Welcome: TBD, University of Melbourne Keynote Speech: Peter L. Bossaerts, California Institute of Technology

Friday, March 8, 2013 (Melbourne Law School: Woodward Centre, Level 10) 9:30 am – 10:00 am

Registration and Morning Coffee (Registration Desk) 10:00 am – 10:45 am

Keynote Speech: John Y. Campbell, Harvard University 10:45 am – 11:15 am

Coffee Break 11:15 am – 12:25 pm

Parallel Sessions I (Conference Rooms) 12:25 pm – 2:00 pm

Lunch (Dining Room) 2:00 pm – 3:10 pm

Parallel Sessions II (Conference Rooms) 3:10 pm – 3:40 pm

Afternoon Tea 3:40 pm – 4:50 pm

Parallel Sessions III (Conference Rooms) 6:00 pm – 8:00 pm

Wine Reception (ANZ Tower - Level 46, 55 Collins St.) VIC Speech: Representative from the State of Victoria Keynote Speech: Larry G. Epstein, Boston University

Saturday, March 9, 2013 (The Spot) 9:00 am – 9:30 am

Morning Coffee (Basement Theatre - Level B1) 9:30 am – 11:15 am

Special Session: Symposium (Basement Theatre - Level B1) 11:15 am – 12:45 pm

Lunch (Dean's Boardroom - Level 12) 12:45 pm – 10:00 pm

Wine Tour (Mornington Peninsula) Best Paper Award and Announcement: John Handley, University of Melbourne Keynote Speech: Stanley Zin, New York University

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PROGRAMME SUMMARY


















Remarks: Representative from the State of Victoria

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PROGRAMME SUMMARY



















Woodward Conference Room A

Woodward Conference Room B

Woodward Conference Room C

Parallel Sessions I

Ownership and Control: So Happy Together?

Quick Trades, Slow Stories

Time Shocks, Tech Shocks

March 8, 11:15 am – 12:25 pm

Shareholder Bargaining Power and Debt Overhang

Blocks in Multiple Firms

High Frequency Trading and Price Discovery

Continuation in Daily

Returns and Slow Diffusion of Information

Is Consumption Growth Merely a Sideshow in Asset

Pricing?

Risk Aversion Sensitive Real Business Cycles

Parallel Sessions II

Which to Choose, a Hard or Soft Option?

Credit Supply in the Small and Large

Tracking the Big Game

March 8, 2:00 pm – 3:10 pm

Estimating the Cost of

Equity: Why Do Simple Benchmarks Outperform

Factor Models?

Growth Option Exercise and Capital Structure

Expecting the Fed: Monetary Policy, Forecast Errors and

Credit Supply

In the Mood for a Loan: The Causal Effect of Sentiment

on Credit Origination

The Investment Behavior of State Pension Plans

Institutional Holding Periods

Parallel Sessions III

From Outsider Lips to Insider Ears?

Liquid Markets, Solid Investing

Educated Investing

March 8, 3:40 pm – 4:50 pm

The Real and Financial

Effects of Credit Ratings: Evidence from Moody's

Adjustments

Analysts and Corporate Liquidity Policy

Dealer Networks: Market Quality in Over-The-Counter

Markets

Speculation, Risk Premia and Expectations in the Yield

Curve

What a Difference a Ph.D. Makes: More than Three

Little Letters

How University Endowments Respond to Financial Market

Shocks: Evidence and Implications

Special Session: Symposium (Basement Theatre, The Spot)

March 9, 9:30 am – 11:15 am

Experiments on the Lucas Asset Pricing Model

Up Close It Feels Dangerous: Anxiety in the Face of Risk

Disagreement about Inflation and the Yield Curve


PROGRAMME DETAILS

FRIDAY, March 8, 2013, 11:15 am – 12:25 pm Ownership and Control: So Happy Together? – Woodward Conference Room A Session Chair: Jordan Neyland, University of Melbourne Shareholder Bargaining Power and Debt Overhang

Emmanuel Alanis, Texas A&M University Sudheer Chava, Georgia Institute of Technology

Blocks in Multiple Firms Massimo Massa, INSEAD Alminas Žaldokas, Hong Kong University of Science and Technology Discussants: Renée Adams, University of New South Wales Stefan Petry, University of Melbourne

Quick Trades, Slow Stories – Woodward Conference Room B Session Chair: Jonathan Dark, University of Melbourne

High Frequency Trading and Price Discovery Jonathan Brogaard, University of Washington Terrence Hendershott, University of California at Berkeley Ryan Riordan, University of Ontario Institute of Technology Continuation in Daily Returns and Slow Diffusion of Information Dermot Murphy, University of Illinois at Chicago Ramabhadran S. Thirumalai, Indian School of Business Discussants: Carole Comerton-Forde, University of Melbourne Thomas Ruf, University of New South Wales

Time Shocks, Tech Shocks – Woodward Conference Room C Session Chair: Neal Galpin, University of Melbourne

Is Consumption Growth Merely a Sideshow in Asset Pricing? Thomas A. Maurer, Washington University in St. Louis Risk Aversion Sensitive Real Business Cycles Zhanhui Chen, Nanyang Technological University Ilan Cooper, BI Norwegian Business School & Tel Aviv Paul Ehling, BI Norwegian Business School Costas Xiouros, BI Norwegian Business School & University of Cyprus Discussants: Philipp Illeditsch, University of Pennsylvania Qi Zeng, University of Melbourne

Pamela C. Moulton, Cornell University


FRIDAY, March 8, 2013, 2:00 pm – 3:10 pm Which to Choose, a Hard or Soft Option? – Woodward Conference Room A Session Chair: Carsten Murawski, University of Melbourne

Estimating the Cost of Equity: Why Do Simple Benchmarks Outperform Factor Models?

Nishad Kapadia, Rice University Bradley S. Paye, University of Georgia

Growth Option Exercise and Capital Structure Amiyatosh Purnanandam, University of Michigan

Uday Rajan, University of Michigan Discussants: Federico Nardari, University of Houston Bruce Grundy, University of Melbourne

Credit Supply in the Small and Large – Woodward Conference Room B Session Chair: Lyndon Moore, University of Melbourne Expecting the Fed: Monetary Policy, Forecast Errors and Credit Supply

Anna Cieslak, Northwestern University Pavol Povala, University of Lugano

In the Mood for a Loan: The Causal Effect of Sentiment on Credit Origination Sumit Agarwal, National University of Singapore Ran Duchin, University of Washington Denis Sosyura, University of Michigan Discussants: Thijs Van Der Heijden, University of Melbourne Zoran Ivković, Michigan State University

Tracking the Big Game – Woodward Conference Room C Session Chair: Ning Gong, University of Melbourne The Investment Behavior of State Pension Plans Jeffrey R. Brown, University of Illinois at Urbana-Champaign and NBER

Joshua Pollet, University of Illinois at Urbana-Champaign Scott J. Weisbenner, University of Illinois at Urbana-Champaign and NBER

Institutional Holding Periods Bidisha Chakrabarty, Saint Louis University

Pamela C. Moulton, Cornell University Charles Trzcinka, Indiana University Discussants: Juan Sotes-Paladino, University of Melbourne Luis Filipe Goncalves-Pinto, National University of Singapore


FRIDAY, March 8, 2013, 3:40 pm – 4:50 pm From Outsider Lips to Insider Ears? – Woodward Conference Room A Session Chair: Shumi Akhtar, Australian National University

The Real and Financial Effects of Credit Ratings: Evidence from Moody's Adjustments Darren J. Kisgen, Boston College

Analysts and Corporate Liquidity Policy Thomas W. Bates, Arizona State University Ching-Hung Chang, National Chung Hsing University Laura Lindsey, Arizona State University Discussants: Sturla Fjesme, University of Melbourne Paul Irvine, University of Georgia

Liquid Markets, Solid Investing – Woodward Conference Room B Session Chair: Bryan Lim, University of Melbourne

Dealer Networks: Market Quality in Over-The-Counter Markets Dan Li, Board of Governors of the Federal Reserve System Norman Schürhoff, University of Lausanne, Swiss Finance Institute, and CEPR

Speculation, Risk Premia and Expectations in the Yield Curve Francisco Barillas, Emory University Kristoffer Nimark, CREI and Universitat Pompeu Fabra Discussants: Jeff Harris, Syracuse University Paul Ehling, BI Norwegian Business School

Educated Investing – Woodward Conference Room C Session Chair: André Gygax, University of Melbourne

What a Difference a Ph.D. Makes: More than Three Little Letters Zoran Ivković, Michigan State University Ranadeb Chaudhuri, Michigan State University Joshua Pollet, University of Illinois at Urbana-Champaign Charles Trzcinka, Indiana University

How University Endowments Respond to Financial Market Shocks: Evidence and Implications Jeffrey R. Brown, University of Illinois at Urbana-Champaign and NBER Stephen G. Dimmock, Nanyang Technological University Jun-Koo Kang, Nanyang Technological University Scott J. Weisbenner, University of Illinois at Urbana-Champaign and NBER Discussants: Josh Shemesh, University of Melbourne Charles Trzcinka, Indiana University


SATURDAY, March 9, 2013, 9:30 am – 11:15 am Symposium – Basement Theatre (The Spot) Session Chair: John Handley, University of Melbourne

Experiments on the Lucas Asset Pricing Model Elena Asparouhova, University of Utah Peter Bossaerts, California Institute of Technology Nilanjan Roy, California Institute of Technology William Zame, University of California at Los Angeles

Up Close It Feels Dangerous: Anxiety in the Face of Risk Thomas M. Eisenbach, Federal Reserve Bank of New York Martin C. Schmalz, University of Michigan

Disagreement about Inflation and the Yield Curve Paul Ehling, BI Norwegian Business School Michael Gallmeyer, University of Virginia Christian Heyerdahl-Larsen, London Business School Philipp Illeditsch, University of Pennsylvania Discussants: Burton Hollifield, Carnegie Mellon University Roger M. Edelen, University of California, Davis Nicolae Gârleanu, University of California, Berkeley

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SHORT BIOGRAPHIES OF THE KEYNOTE SPEAKERS Peter L. Bossaerts

William D. Hacker Professor of Economics and Management and Professor of Finance, California Institute of Technology Professor Bossaerts has contributed extensively in the field of asset pricing, especially the burgeoning area of experimental finance. He says that the purpose of experimental finance is to provide a solid scientific foundation for finance, from the individual (through behavioral and neuro-scientific observation) to market-level phenomena (prices and allocations). Through this approach, he and his colleagues have succeeded in verifying the basics of asset pricing theory, while at the same time uncovering a startling puzzle: while prices quickly converge to the right configuration, allocations do not. In addition, their follow-up experiments demonstrated that while the theory explained only a tiny fraction of people’s choices, it explained the very fraction that correlated across people, and hence, the one determining pricing. He and his research team, Caltech Laboratory for Experimental Finance, have tremendously improved our understanding of the impact of cognitive biases onto prices and allocations. Professor Bossaerts received a Ph.D. at the University of California (Los Angeles) and served as Chair of the Division of the Humanities and Social Sciences, California Institute of Technology, from 2006-2007. He is currently a director of Ronald and Maxine Linde Institute of Economic and Management Sciences, California Institute of Technology, and an Honorary Professorial Fellow at the University of Melbourne.

http://hss.caltech.edu/people/pbs/profile

John Y. Campbell

Morton L. and Carole S. Olshan Professor of Economics, Harvard University Professor Campbell has published over 80 articles on various aspects of finance and macro-economics, including fixed-income securities, equity valuation, and portfolio choice. In addition to publishing extensively, he served as President of the American Finance Association in 2005 and as President of the International Atlantic Economic Society in 2009. He is a Research Associate and former Director of the Program in Asset Pricing at the National Bureau of Economic Research, a Fellow of the Econometric Society and the American Academy of Arts and Sciences, a Corresponding Fellow of the British Academy, an Honorary Fellow of Corpus Christi College, Oxford, and a recipient of honorary doctorates from the University of Maastricht and the University of Paris Dauphine. He is also a founding partner of Arrowstreet Capital, LP, a Boston-based quantitative asset management firm. At Harvard, Professor Campbell served as Chair of the Department of Economics from 2009-2012. He received a BA from Oxford, England, and a Ph.D. from Yale. He spent the next ten years teaching at Princeton, moving to Harvard in 1994. http://scholar.harvard.edu/campbell/biocv

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John Y. Campbell


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John Y. Campbell



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Larry G. Epstein

Professor of Economics, Boston University Professor Epstein, along with his co-author Professor Zin, was awarded the prestigious Frisch Medal in 1994 for their research on modelling non-expected utility preferences in a rational decision framework. The so-called "Epstein-Zin Utility Function" has since gained wide acceptance as a basic tool of dynamic decision models, and now forms the cornerstone for structural economic models that incorporate psychological/behavioral aspects of decision making under uncertainty. He has extensively published in the fields of Decision Theory and Asset Pricing. Professor Epstein received a B.Sc. from the University of Manitoba, a M.A at Hebrew University, and a Ph.D. from the University of British Columbia. He has served as an associate editor for Econometrica, Journal of Economic Theory, and Journal of Risk and Uncertainty. He has been a Fellow of the Econometric Society since 1989. http://people.bu.edu/lepstein/index.html

Stanley Zin

William R. Berkley Professor of Economics and Business, New York University Professor Zin's research interests lie at the intersection of decision theory, dynamic asset valuation, macroeconomics and econometrics. He received the prestigious Frisch Medal for his work on the "Epstein-Zin Utility Function". His work with co-author Bryan Routledge on "disappointment aversion" and its implications for asset-market behavior was awarded the Goldman Sachs Asset Management prize for the best paper on investments at the 2004 Western Finance Association. Professor Zin also serves as a research associate at the National Bureau of Economic Research, a leading economics think tank based in Cambridge, Massachusetts, and as a consultant for the Federal Reserve Bank of Cleveland. Professor Zin received a B.A. in Economics from the University of Windsor in Ontario, an M.A. in Economics from Wayne State University in Detroit, and a Ph.D. in Economics from the University of Toronto. Prior to joining NYU Stern, Professor Zin was the Richard M. Cyert and Morris H. DeGroot Professor of Economics and Statistics at the David A. Tepper School of Business at Carnegie Mellon University where he had been a faculty member since 1988. http://www.stern.nyu.edu/faculty/bio/stanley-zin

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Larry G. Epstein

Professor of Economics, Boston University Professor Epstein, along with his co-author Professor Zin, was awarded the prestigious Frisch Medal in 1994 for their research on modelling non-expected utility preferences in a rational decision framework. The so-called "Epstein-Zin Utility Function" has since gained wide acceptance as a basic tool of dynamic decision models, and now forms the cornerstone for structural economic models that incorporate psychological/behavioral aspects of decision making under uncertainty. He has extensively published in the fields of Decision Theory and Asset Pricing. Professor Epstein received a B.Sc. from the University of Manitoba, a M.A at Hebrew University, and a Ph.D. from the University of British Columbia. He has served as an associate editor for Econometrica, Journal of Economic Theory, and Journal of Risk and Uncertainty. He has been a Fellow of the Econometric Society since 1989. http://people.bu.edu/lepstein/index.html

Stanley Zin

William R. Berkley Professor of Economics and Business, New York University Professor Zin's research interests lie at the intersection of decision theory, dynamic asset valuation, macroeconomics and econometrics. He received the prestigious Frisch Medal for his work on the "Epstein-Zin Utility Function". His work with co-author Bryan Routledge on "disappointment aversion" and its implications for asset-market behavior was awarded the Goldman Sachs Asset Management prize for the best paper on investments at the 2004 Western Finance Association. Professor Zin also serves as a research associate at the National Bureau of Economic Research, a leading economics think tank based in Cambridge, Massachusetts, and as a consultant for the Federal Reserve Bank of Cleveland. Professor Zin received a B.A. in Economics from the University of Windsor in Ontario, an M.A. in Economics from Wayne State University in Detroit, and a Ph.D. in Economics from the University of Toronto. Prior to joining NYU Stern, Professor Zin was the Richard M. Cyert and Morris H. DeGroot Professor of Economics and Statistics at the David A. Tepper School of Business at Carnegie Mellon University where he had been a faculty member since 1988. http://www.stern.nyu.edu/faculty/bio/stanley-zin


ABSTRACTS

Ownership and Control: So Happy Together? Shareholder Bargaining Power and Debt Overhang Emmanuel Alanis and Sudheer Chava We analyze how shareholder bargaining power in financial distress impacts the underinvestment problem caused by debt overhang. We construct a more precise measure of debt overhang correction using a hazard model for bankruptcy that dynamically generates firm-level default probabilities. In contrast, prior studies use coarse credit ratings to indirectly infer the default probabilities. Our debt overhang correction measure subsumes the credit rating-based measure used in the prior studies when both could be estimated and has a 30% larger negative impact on investment in the sample where only our overhang correction measure could be estimated. We show that the underinvestment problem due to debt overhang is mitigated when shareholders enjoy bargaining power against debt holders and consequently there is a potential for shareholder recovery in financial distress. Our results are robust to common problems in investment regressions such as measurement error in our proxy for investment opportunities. Blocks in Multiple Firms Massimo Massa and Alminas Žaldokas We study the credit market implications of coownership: multiple firms sharing a common blockholder. We claim that the financial conditions of these firms signal the market about the controlling owner’s ability to run the other firms. In a 2001-2008 sample of public US corporations, we show that coownership creates indirect financial links between coowned firms. An increase in the credit risk of peer firms raises the focal firm’s credit risk. Moreover, the relationship between peers becomes weaker (stronger) when the coowner loses (gains) control. Coownership also has implications for the firm’s borrowing costs and its sensitivity to marketwide shocks. Quick Trades, Slow Stories High Frequency Trading and Price Discovery Jonathan Brogaard, Terrence Hendershott, and Ryan Riordan We examine the role of high-frequency traders (HFT) in price discovery and price efficiency. Overall HFT facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors on average days and the highest volatility days. This is done through their marketable orders. In contrast, HFT liquidity-supplying non-marketable orders are adversely selected in terms of the permanent and transitory components as these trades are in the direction opposite to permanent price changes and in the same direction as transitory pricing errors. HFT predicts price changes in the overall market over short horizons measured in seconds. HFT is correlated with public information, such as macro news announcements, market-wide price movements, and limit order book imbalances.

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ABSTRACTS

Ownership and Control: So Happy Together? Shareholder Bargaining Power and Debt Overhang Emmanuel Alanis and Sudheer Chava We analyze how shareholder bargaining power in financial distress impacts the underinvestment problem caused by debt overhang. We construct a more precise measure of debt overhang correction using a hazard model for bankruptcy that dynamically generates firm-level default probabilities. In contrast, prior studies use coarse credit ratings to indirectly infer the default probabilities. Our debt overhang correction measure subsumes the credit rating-based measure used in the prior studies when both could be estimated and has a 30% larger negative impact on investment in the sample where only our overhang correction measure could be estimated. We show that the underinvestment problem due to debt overhang is mitigated when shareholders enjoy bargaining power against debt holders and consequently there is a potential for shareholder recovery in financial distress. Our results are robust to common problems in investment regressions such as measurement error in our proxy for investment opportunities. Blocks in Multiple Firms Massimo Massa and Alminas Žaldokas We study the credit market implications of coownership: multiple firms sharing a common blockholder. We claim that the financial conditions of these firms signal the market about the controlling owner’s ability to run the other firms. In a 2001-2008 sample of public US corporations, we show that coownership creates indirect financial links between coowned firms. An increase in the credit risk of peer firms raises the focal firm’s credit risk. Moreover, the relationship between peers becomes weaker (stronger) when the coowner loses (gains) control. Coownership also has implications for the firm’s borrowing costs and its sensitivity to marketwide shocks. Quick Trades, Slow Stories High Frequency Trading and Price Discovery Jonathan Brogaard, Terrence Hendershott, and Ryan Riordan We examine the role of high-frequency traders (HFT) in price discovery and price efficiency. Overall HFT facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors on average days and the highest volatility days. This is done through their marketable orders. In contrast, HFT liquidity-supplying non-marketable orders are adversely selected in terms of the permanent and transitory components as these trades are in the direction opposite to permanent price changes and in the same direction as transitory pricing errors. HFT predicts price changes in the overall market over short horizons measured in seconds. HFT is correlated with public information, such as macro news announcements, market-wide price movements, and limit order book imbalances.


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Continuation in Daily Returns and Slow Diffusion of Information Dermot Murphy, Ramabhadran S. Thirumalai We provide an explanation for the continuation of stock returns at 24-hour intervals, which is most significant at the open of a trading day, documented in Heston, Korajczyk, and Sadka (2010). We use an unique dataset with trader identity for stocks traded on the National Stock Exchange of India. When a collection of fundamental traders trade at the open of a day, a different set of fundamental traders are more likely to trade in the same direction on the next day. That generates this pattern, which is consistent with slow diffusion of information across traders. Time Shocks, Tech Shocks Is Consumption Growth Merely a Sideshow in Asset Pricing? Thomas A. Maurer Shocks to the agent’s subjective time discounting of future utility cause stochastic changes in his consumption-to-wealth ratio. In general equilibrium, asset prices crucially depend on the current consumption-to-wealth ratio. Time discounting also affects the agent’s value function and - given he has recursive preferences - his marginal utility. Independent of the consumption growth process, shocks to time discounting imply a covariation between asset returns and the marginal utility process, and the equity premium is non-zero. My model can generate both a reasonably low level and volatility in the risk-free real interest rate and a high stock price volatility and equity premium, even in absence of consumption growth shocks. If time discounting follows a process with mean-reversion, then the real interest rate follows a mean-reverting stochastic process and realized stock returns are negatively auto-correlated (at long horizons). The market price of risk, equity premium, and the conditional volatilities in the stock price and real interest rate follow stationary Markov diffusion processes. The price-earnings ratio has power to predict future stock market excess returns, and reveals much information about various unobservable key quantities in asset pricing. Risk Aversion Sensitive Real Business Cycles Zhanhui Chen, Ilan Cooper, Paul Ehling, and Costas Xiouros We build a risk aversion sensitive RBC model through endogenous state-contingent technology choices. Therefore, risk aversion links asset prices to macroeconomic quantities. With plausible parameter values, the risk averse agent optimally chooses countercyclical and amplified technology shocks to smooth consumption. Such an amplification mechanism creates more volatile output, investment, and equity returns. In equilibrium, we find a high price of risk and a sizable unlevered equity premium. Various preference specifications, including CRRA, recursive preferences, and external habit, reasonably match moments of asset prices and business cycle statistics once we allow for state-contingent technology choices.


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Which to Choose, a Hard or Soft Option? Estimating the Cost of Equity: Why Do Simple Benchmarks Outperform Factor Models? Nishad Kapadia and Bradley S. Paye This paper compares the performance of estimates of the cost of equity based on leading factor models to two simple alternatives: the historical asset mean and the historical market mean. We derive analytical expressions for mean squared errors (MSEs) for these estimators and calibrate our formulas for the CAPM and Fama-French three factor models using data for firms and industries. We show that, even if there is no mispricing and the true factor loadings are known, the market mean outperforms model-based alternatives for a surprising fraction of rms. Our formulas show how mispricing that is negatively correlated with firm and industry market betas further improves the performance of the market mean relative to model-based approaches. Empirical results confirm this form of misspecification for both the CAPM and Fama-French models. Consistent with our analytical and calibration results, we find that the market mean outperforms model-based alternatives out-of-sample. Growth Option Exercise and Capital Structure Amiyatosh Purnanandam and Uday Rajan We document that firms decrease their leverage when they convert growth options into tangible assets. This is contrary to the predictions of both a standard tradeoff model and pecking order theory. As suggested by recent work on signaling and growth options, the act of growth option exercise can decrease information asymmetry about the firm and thus reduce the relative cost of issuing information-sensitive securities such as equity. Therefore, all else equal, growth option exercise should result in a decline in leverage. Empirically, we show that leverage is negatively correlated with capital expenditure, our proxy for growth option conversion. To establish causality, we consider shocks to the public information environment of firms when brokerage houses merge and redundant analysts are red. These shocks strengthen the importance of the signal inherent in the conversion of growth options by affected firms. As predicted, the sensitivity of leverage to capital expenditure increases for affected firms. Overall, our work implies that it is important to consider endogenous changes in the information sensitivity of a firm's assets to understand its leverage and financing choices. Credit Supply in the Small and Large Expecting the Fed: Monetary Policy, Forecast Errors and Credit Supply Anna Cieslak and Pavol Povala We study how the private sector forms expectations about the future short rate. We start from the surprising observation that after the creation of the Fed but not before, distant lags of the slope predict future short rate changes, even when the current slope does not. The short rate features inertia in the short run and mean reversion at the business cycle frequency: Agents’ expectations fail to fully accommodate the latter. These frictions in expectations drive the wedge between the time series dynamics of the short rate and the cross section of yields, having implications for the measurement of bond risk premia and for the transmission of monetary policy to the real economy. Rather than irrationality, our results are suggestive of information rigidities influencing the way expectations are formed. Federal Reserve staff and the private sector face similar constraints. In the post-Volcker period, forecast errors about

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monetary policy comove strongly with errors about unemployment, and less so inflation. Flows in and out of money markets support these broad patterns. In the Mood for a Loan: The Causal Effect of Sentiment on Credit Origination Sumit Agarwal, Ran Duchin, and Denis Sosyura We study how loan officers’ mood affects their decisions on mortgage applications. Motivated by psychological evidence, we use three mood proxies: (1) outcomes of key sporting events such as the Super Bowl, (2) outcomes of the American Idol competition, and (3) days around major holidays. Our identification exploits the variation in daily loan approvals in each county, while observing the volume and quality of reviewed applications. Positive sentiment events are associated with a 4.5% higher loan approval rate in affected counties, and negative sentiment events have the opposite effect of a smaller magnitude. The effect is stronger for marginal quality applications, where loan officers have more discretion. The extra loans approved on high-sentiment days experience higher defaults. Overall, our evidence suggests that mood fluctuations affect decisions of financial experts and generate long-lasting real effects. Tracking the Big Game The Investment Behavior of State Pension Plans Jeffrey R. Brown, Joshua Pollet, and Scott J. Weisbenner This paper provides evidence on the investment behavior of 20 state pension plans that actively manage their own equity portfolios. We find that while these states tend to hold a diversified portfolio that approximates the overall market, they nonetheless substantially over-weight the holdings of stocks of companies that are headquartered in-state. The extent of this over-weighting of within-state stocks by state pension plans is three times larger than that of other institutional investors. We explore three possible reasons for this in-state bias, including familiarity bias, information-based investing, and non-financial/political considerations. State boundaries are important for predicting state pension plan holdings - while there is a significant preference for instate stocks, there is no similar tilt toward holding stocks from neighboring stocks. We find evidence that states are able to generate excess returns through their in-state investment activities, particularly among smaller stocks in the primary industry in the state. However, we also find evidence that is at least suggestive of political influence playing a role in the stock selection process. State pension plans are more likely to hold a within-state firm in its portfolio if the county where the firm is located gave a high fraction of its campaign contributions in the last election to the current governor. Institutional Holding Periods Bidisha Chakrabarty, Pamela C. Moulton, and Charles Trzcinka Using a proprietary database of institutional money manager and pension fund transactions, we find wide dispersion in trade holding periods. For example, all of the institutional funds execute roundtrip trades lasting over a year, and 96% of them also execute trades lasting less than one month. In aggregate over seven percent of volume occurs in trades that are held for less than one month, although short-duration trades have negative returns on average. Our empirical results show mixed support for the idea that institutions make trade holding period decisions based on portfolio optimization, some evidence of persistent information or trading skill in short-duration trades, and no evidence that short-duration institutional trades are driven

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We find wide dispersion in trade holding periods for institutional money managers and pension funds, using a large database of fund-level transactions. All of the institutional funds execute round-trip trades lasting over a year; 96% of them also execute trades lasting less than one month, although short-duration trades have negative returns on average. We find only limited evidence that institutions choose trade holding periods based on portfolio optimization and no evidence that short-duration institutional trades are driven by the disposition effect. Our results are consistent


by the disposition effect or overconfidence. Our results are consistent with the agency problem that arises when clients cannot distinguish when a manager is “actively doing nothing” versus “simply doing nothing.” From Outsider Lips to Insider Ears? The Real and Financial Effects of Credit Ratings: Evidence from Moody's Adjustments Darren J. Kisgen Moody’s adjusts a firm’s reported leverage across several dimensions to determine credit ratings. I find that changes to these adjustments affect firm capital structure and investment decisions, especially for firms near the investment grade boundary and with bond covenants containing ratings triggers. Further, in 2006, Moody’s made several changes to its adjustment methodologies. I find that changes to adjustments made in 2006 affect capital structure and investment decisions in 2007. Firms most affected by these methodology changes in 2006 also alter their financing and investment behavior as predicted. These results show that rating agencies have the power to affect firm financing and real decisions. Analysts and Corporate Liquidity Policy Thomas W. Bates, Ching-Hung Chang, and Laura Lindsey This paper examines how equity analysts' roles as information intermediaries and monitors affect corporate liquidity policy and its associated value of cash, providing new evidence that analysts have a direct impact on corporate liquidity policy. Greater analyst coverage (1) reduces information asymmetry between a firm and outside shareholders and (2) enhances the monitoring process. Consistent with these arguments, analyst coverage increases the value of cash, thereby allowing firms to hold more cash. The cash-to-assets ratio increases by 5.2 percentage points when moving from the bottom analyst-coverage decile to the top decile. The marginal value of $1 of corporate cash holdings is $0.93 for the bottom analyst-coverage decile and $1.83 for the top decile. The positive effects remain robust after a battery of endogeneity checks. We also perform tests employing a unique dataset that consists of public and private firms, as well as a dataset that consists of public firms that have gone private. A public firm with analyst coverage can hold approximately 8% more cash than its private counterpart. These findings constitute new evidence on the real effects of analyst coverage. Liquid Markets, Solid Investing Dealer Networks: Market Quality in Over-The-Counter Markets Dan Li and Norman Schürhoff We study liquidity provision and asset price formation in over-the-counter markets. The MSRB Transaction Reporting System audit trail shows that the dealership network in municipal bonds exhibits a hierarchical core-periphery structure with around 20-30 highly interconnected dealers at its core and several hundred peripheral dealer firms. Market quality varies significantly across dealers depending on their centrality within the trading network. Central dealers charge larger trading costs to investors and face lower loss probabilities than peripheral dealers. Yet, more investor orders flow through central dealers. Central dealers provide more liquidity than peripheral dealers, leading central dealers to hold larger and more volatile inventories, keep bonds longer, and intermediate fewer pre-arranged trades. 15

by the disposition effect or overconfidence. Our results are consistent with the agency problem that arises when clients cannot distinguish when a manager is “actively doing nothing” versus “simply doing nothing.” From Outsider Lips to Insider Ears? The Real and Financial Effects of Credit Ratings: Evidence from Moody's Adjustments Darren J. Kisgen Moody’s adjusts a firm’s reported leverage across several dimensions to determine credit ratings. I find that changes to these adjustments affect firm capital structure and investment decisions, especially for firms near the investment grade boundary and with bond covenants containing ratings triggers. Further, in 2006, Moody’s made several changes to its adjustment methodologies. I find that changes to adjustments made in 2006 affect capital structure and investment decisions in 2007. Firms most affected by these methodology changes in 2006 also alter their financing and investment behavior as predicted. These results show that rating agencies have the power to affect firm financing and real decisions. Analysts and Corporate Liquidity Policy Thomas W. Bates, Ching-Hung Chang, and Laura Lindsey This paper examines how equity analysts' roles as information intermediaries and monitors affect corporate liquidity policy and its associated value of cash, providing new evidence that analysts have a direct impact on corporate liquidity policy. Greater analyst coverage (1) reduces information asymmetry between a firm and outside shareholders and (2) enhances the monitoring process. Consistent with these arguments, analyst coverage increases the value of cash, thereby allowing firms to hold more cash. The cash-to-assets ratio increases by 5.2 percentage points when moving from the bottom analyst-coverage decile to the top decile. The marginal value of $1 of corporate cash holdings is $0.93 for the bottom analyst-coverage decile and $1.83 for the top decile. The positive effects remain robust after a battery of endogeneity checks. We also perform tests employing a unique dataset that consists of public and private firms, as well as a dataset that consists of public firms that have gone private. A public firm with analyst coverage can hold approximately 8% more cash than its private counterpart. These findings constitute new evidence on the real effects of analyst coverage. Liquid Markets, Solid Investing Dealer Networks: Market Quality in Over-The-Counter Markets Dan Li and Norman Schürhoff We study liquidity provision and asset price formation in over-the-counter markets. The MSRB Transaction Reporting System audit trail shows that the dealership network in municipal bonds exhibits a hierarchical core-periphery structure with around 20-30 highly interconnected dealers at its core and several hundred peripheral dealer firms. Market quality varies significantly across dealers depending on their centrality within the trading network. Central dealers charge larger trading costs to investors and face lower loss probabilities than peripheral dealers. Yet, more investor orders flow through central dealers. Central dealers provide more liquidity than peripheral dealers, leading central dealers to hold larger and more volatile inventories, keep bonds longer, and intermediate fewer pre-arranged trades. 15

by the disposition effect or overconfidence. Our results are consistent with the agency problem that arises when clients cannot distinguish when a manager is “actively doing nothing” versus “simply doing nothing.” From Outsider Lips to Insider Ears? The Real and Financial Effects of Credit Ratings: Evidence from Moody's Adjustments Darren J. Kisgen Moody’s adjusts a firm’s reported leverage across several dimensions to determine credit ratings. I find that changes to these adjustments affect firm capital structure and investment decisions, especially for firms near the investment grade boundary and with bond covenants containing ratings triggers. Further, in 2006, Moody’s made several changes to its adjustment methodologies. I find that changes to adjustments made in 2006 affect capital structure and investment decisions in 2007. Firms most affected by these methodology changes in 2006 also alter their financing and investment behavior as predicted. These results show that rating agencies have the power to affect firm financing and real decisions. Analysts and Corporate Liquidity Policy Thomas W. Bates, Ching-Hung Chang, and Laura Lindsey This paper examines how equity analysts' roles as information intermediaries and monitors affect corporate liquidity policy and its associated value of cash, providing new evidence that analysts have a direct impact on corporate liquidity policy. Greater analyst coverage (1) reduces information asymmetry between a firm and outside shareholders and (2) enhances the monitoring process. Consistent with these arguments, analyst coverage increases the value of cash, thereby allowing firms to hold more cash. The cash-to-assets ratio increases by 5.2 percentage points when moving from the bottom analyst-coverage decile to the top decile. The marginal value of $1 of corporate cash holdings is $0.93 for the bottom analyst-coverage decile and $1.83 for the top decile. The positive effects remain robust after a battery of endogeneity checks. We also perform tests employing a unique dataset that consists of public and private firms, as well as a dataset that consists of public firms that have gone private. A public firm with analyst coverage can hold approximately 8% more cash than its private counterpart. These findings constitute new evidence on the real effects of analyst coverage. Liquid Markets, Solid Investing Dealer Networks: Market Quality in Over-The-Counter Markets Dan Li and Norman Schürhoff We study liquidity provision and asset price formation in over-the-counter markets. The MSRB Transaction Reporting System audit trail shows that the dealership network in municipal bonds exhibits a hierarchical core-periphery structure with around 20-30 highly interconnected dealers at its core and several hundred peripheral dealer firms. Market quality varies significantly across dealers depending on their centrality within the trading network. Central dealers charge larger trading costs to investors and face lower loss probabilities than peripheral dealers. Yet, more investor orders flow through central dealers. Central dealers provide more liquidity than peripheral dealers, leading central dealers to hold larger and more volatile inventories, keep bonds longer, and intermediate fewer pre-arranged trades.

with the agency problem that arises when clients cannot distinguish when a manager is “actively doing nothing” versus “simply doing nothing” as well as managers having overconfidence in their own short-term trading ability.


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Informational efficiency also increases with centrality, mitigating adverse selection risk. Dealers experience significant illiquidity spillover from connected dealers, leading central dealers to hold larger and more volatile inventories on average and to keep bonds longer than peripheral dealers. Centrality thereby improves dealers' negotiating position with investors. This explains why competition is fiercer at the periphery than the core of the decentralized market. These results demonstrate the trade-offs investors face when trading in over-the-counter markets, which may guide financial market design. Speculation, Risk Premia and Expectations in the Yield Curve Francisco Barillas and Kristoffer Nimark An affine asset pricing model in which traders have rational but heterogeneous expectations about future asset prices is developed. We use the framework to analyze the term structure of interest rates and to perform a novel three-way decomposition of bond yields into (i) average expectations about short rates (ii) common risk premia and (iii) a speculative component due to heterogeneous expectations about the resale value of a bond. The speculative term is orthogonal to public information in real time and therefore statistically distinct from common risk premia. Empirically we find that the speculative component is quantitatively important accounting for up to a percentage point of yields, even in the low yield environment of the last decade. Furthermore, allowing for a speculative component in bond yields results in estimates of historical risk premia that are more volatile than suggested by standard Affine Gaussian term structure models which our framework nests. Educated Investing What a Difference a Ph.D. Makes: More than Three Little Letters Zoran Ivković, Ranadeb Chaudhuri, Joshua Pollet, and Charles Trzcinka Several hundred individuals who hold a Ph.D. in finance, economics, or a variety of others fields work for institutional money management companies. The performance of investment products managed by firms employing individuals with a Ph.D. (Ph.D. products) is superior to the performance of non-Ph.D. products matched by objective, size, and past performance for several performance metrics: one-year returns, alphas, information ratios, and Sharpe ratios. Fees for Ph.D. products are lower than those non-Ph.D. products. Investment flows to Ph.D. products substantially exceed the flows to the matched non-Ph.D. products. The number of publications in leading finance and economics journals, the number of these publications generated by the firm’s most prolific Ph.D., and a Ph.D. recipient serving in a key role for the firm accentuate many of these differences. How University Endowments Respond to Financial Market Shocks: Evidence and Implications Jeffrey R. Brown, Stephen G. Dimmock, Jun-Koo Kang, and Scott J. Weisbenner Endowment payouts have become an increasingly important component of universities’ revenues in recent decades. We test two leading theories of endowment payouts: (1) universities smooth endowment payouts, or (2) universities use endowments as self-insurance against financial shocks. In contrast to both theories, endowments actively reduce payouts relative to their stated payout policies following negative, but not positive, shocks. This asymmetric behavior is consistent with “endowment hoarding,” especially among endowments

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with values close to the benchmark value at the start of the university president’s tenure. We also document the effect of negative endowment shocks on university operations, including personnel cuts. Special Session: Symposium Experiments on the Lucas Asset Pricing Model Elena Asparouhova, Peter Bossaerts, Nilanjan Roy, and William Zame This paper reports on experimental tests of the Lucas asset pricing model with heterogeneous agents and time-varying endowment streams. In order to emulate key features of the model (perishability of consumption, stationarity, infinite horizon), a novel experimental design was required. The experimental evidence provides broad support for cross-sectional and intertemporal pricing restrictions. However, asset prices are significantly more volatile than fundamentals and returns are less predictable than theory suggests. Despite this, allocations are nearly Pareto optimal. The paper argues that this is the result of participants expectations about future prices, which are at odds with the predictions of the Lucas model but are nonetheless almost self-fulfilling. These findings suggest that excessive volatility of prices may not be indicative of welfare losses. Up Close It Feels Dangerous: Anxiety in the Face of Risk Thomas M. Eisenbach and Martin C. Schmalz We model an anxious agent as one who is more risk averse for imminent than for distant risk. Such preferences can lead to dynamic inconsistencies with respect to risk trade-offs. We derive implications for financial markets such as a term structure of risk premia, as well as overtrading and price anomalies around announcement dates, which are found empirically. We show that strategies to cope with anxiety can explain costly delegation of investment decisions. Finally, we model how an anxiety-prone agent may endogenously become overconfident and take excessive risks. Disagreement about Inflation and the Yield Curve Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen, and Philipp Illeditsch We study how differences in beliefs about expected inflation impact real and nominal yield curves in a frictionless economy. Inflation disagreement induces a spillover effect to the real side of the economy with a strong impact on the real yield curve. When investors have a coefficient of relative risk aversion greater than one, real average yields across all maturities rise as disagreement increases. Real yield volatilities also rise with disagreement. Using the feature that nominal bond prices can be computed from weighted-averages of quadratic Gaussian yield curves, increased inflation disagreement drives nominal yields and nominal yield volatilities higher at all maturities. Empirical support for these predictions is provided.

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MAP & TRANSPORTATION Melbourne Transportation: From the Melbourne airport to the hotels in the city, it takes 20-30 minutes, which might vary depending on the traffic. You can either take a taxi (fare: $40-50) or SkyBus (fare: $17 for one way/$28 for return). On arrival at Southern Cross Station in the city, SkyBus provides a complimentary hotel transfer service, subject to availability (please visit www.skybus.com.au for details and online ticket purchase). For your transportation needs within the city area, we highly recommend the public transit system in Melbourne. The "Myki" pass allows travel on trams, busses, and trains. The Public transit is effective and as safe as can be reasonably expected. Langham Hotel 1 Southgate Ave, Southbank Quay West Suites 26 Southgate Ave, Southbank (1) Thursday Welcome Reception

The Edge Theatre, Federation Square Flinders St.

Suggested Transportation: From the Langham or Quay West, walk East along the river about 200 meters until you arrive at St. Kilda Rd. Walk North on St. Kilda Rd. until you cross the river, and cross St. Kilda Rd. to arrive at Federation Square. The Edge is located on the East side of Federation Square.

(2) Friday Conference Sessions

University House at the Woodward (Level 10) The Melbourne Law School Pelham St.

Suggested Transportation: From the Langham or Quay West, walk North along the footbridge (not St. Kilda Rd.), and cross the river. Once across the river, turn right, and enter the underground walkway about 20 meters East of the bridge. Continue on the walkway until you pass under the train station and arrive at the intersection of Flinders St. and Elizabeth St. You will see the tram stop 1 "Flinders St". Take tram number 19 or 59 to stop 9 "Haymarket" (do not take number 57). Head East on Pelham St. about 200 meters to arrive at the Melbourne Law School at the intersection of Barry St. and Pelham. The conference is on the 10th floor.

(3) Friday Reception

ANZ Tower (Level 46), 55 Collins St. Suggested Transportation: From the Melbourne Law School, head East on Pelham St. until it dead-ends at about 200 meters. Cross Lincoln Square and arrive at the tram stop 3 "Lincoln Square" on Swanston St. Take any Southbound tram to stop 11 "City Square" on Collins St. From here you may either walk 400 meters East to 55 Collins (the ANZ building) or take an Eastbound tram on Collins St. to tram stop 7 "101 Collins". PhD student ambassadors will guide conference members from the law school to the reception. A limited number of taxis will be available if any conference

18

MAP & TRANSPORTATION Melbourne Transportation: From the Melbourne airport to the hotels in the city, it takes 20-30 minutes, which might vary depending on the traffic. You can either take a taxi (fare: $40-50) or SkyBus (fare: $17 for one way/$28 for return). On arrival at Southern Cross Station in the city, SkyBus provides a complimentary hotel transfer service, subject to availability (please visit www.skybus.com.au for details and online ticket purchase). For your transportation needs within the city area, we highly recommend the public transit system in Melbourne. The "Myki" pass allows travel on trams, busses, and trains. The Public transit is effective and as safe as can be reasonably expected. Langham Hotel 1 Southgate Ave, Southbank Quay West Suites 26 Southgate Ave, Southbank (1) Thursday Welcome Reception

The Edge Theatre, Federation Square Flinders St.

Suggested Transportation: From the Langham or Quay West, walk East along the river about 200 meters until you arrive at St. Kilda Rd. Walk North on St. Kilda Rd. until you cross the river, and cross St. Kilda Rd. to arrive at Federation Square. The Edge is located on the East side of Federation Square.

(2) Friday Conference Sessions

University House at the Woodward (Level 10) The Melbourne Law School Pelham St.

Suggested Transportation: From the Langham or Quay West, walk North along the footbridge (not St. Kilda Rd.), and cross the river. Once across the river, turn right, and enter the underground walkway about 20 meters East of the bridge. Continue on the walkway until you pass under the train station and arrive at the intersection of Flinders St. and Elizabeth St. You will see the tram stop 1 "Flinders St". Take tram number 19 or 59 to stop 9 "Haymarket" (do not take number 57). Head East on Pelham St. about 200 meters to arrive at the Melbourne Law School at the intersection of Barry St. and Pelham. The conference is on the 10th floor.

(3) Friday Reception

ANZ Tower (Level 46), 55 Collins St. Suggested Transportation: From the Melbourne Law School, head East on Pelham St. until it dead-ends at about 200 meters. Cross Lincoln Square and arrive at the tram stop 3 "Lincoln Square" on Swanston St. Take any Southbound tram to stop 11 "City Square" on Collins St. From here you may either walk 400 meters East to 55 Collins (the ANZ building) or take an Eastbound tram on Collins St. to tram stop 7 "101 Collins". PhD student ambassadors will guide conference members from the law school to the reception. A limited number of taxis will be available if any conference

Melbourne Transportation:


19

participant has trouble walking. Please inform the conference committee members or a PhD student ambassador if you require a taxi or alternative transportation.

(4) Saturday Conference Special Session

The University of Melbourne Basement Theatre (Level B1), The Spot Building Corner of Berkeley St. & Pelham St.

Suggested Transportation: From the Langham or Quay West, walk North along the footbridge (not St. Kilda Rd.), and cross the river. Once across the river, turn right, and enter the underground walkway about 20 meters East of the bridge. Continue on the walkway until you pass under the train station and arrive at the intersection of Flinders St. and Elizabeth St. Across Flinders St., you will see the tram stop 1 "Flinders St". Take tram number 19 or 59 North to stop 9 "Haymarket" (do not take number 57). Head East on Pelham St. about 100 meters. You will recognize "The Spot" by its unique spotted window tint. The Saturday session will be held in the basement.

Stop 9 Haymarket

Stop 3 Lincoln Square

Stop 1 Flinders St

Stop 2 Collins St

Stop 7 101 Collins St

Stop 11 City Square

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participant has trouble walking. Please inform the conference committee members or a PhD student ambassador if you require a taxi or alternative transportation.

(4) Saturday Conference Special Session

The University of Melbourne Basement Theatre (Level B1), The Spot Building Corner of Berkeley St. & Pelham St.

Suggested Transportation: From the Langham or Quay West, walk North along the footbridge (not St. Kilda Rd.), and cross the river. Once across the river, turn right, and enter the underground walkway about 20 meters East of the bridge. Continue on the walkway until you pass under the train station and arrive at the intersection of Flinders St. and Elizabeth St. Across Flinders St., you will see the tram stop 1 "Flinders St". Take tram number 19 or 59 North to stop 9 "Haymarket" (do not take number 57). Head East on Pelham St. about 100 meters. You will recognize "The Spot" by its unique spotted window tint. The Saturday session will be held in the basement.

Stop 9 Haymarket

Stop 3 Lincoln Square

Stop 1 Flinders St

Stop 2 Collins St

Stop 7 101 Collins St

Stop 11 City Square


PROGRAMME COMMITTEE

Renée Adams University of New South Wales

Ro Gutierrez University of Oregon

Emilio Osambela Carnegie Mellon University

Anup Agrawal University of Alabama

Christopher Hennessy London Business School

Christopher Parsons University of California, San Diego

Thomas Bates Arizona State University

Christian Heyerdahl-Larsen London Business School

Bradley Paye University of Georgia

Utpal Bhattacharya Indiana University

Edith Hotchkiss Boston College

Gordon Phillips University of Southern California

Audra Boone Texas A&M University

Zoran Ivković Michigan State University

Jeffrey Pontiff Boston College

Peter L. Bossaerts California Institute of Technology

Kris Jacobs University of Houston

Uday Rajan University of Michigan

Stephen Brown New York University

Ravi Jagannathan Northwestern University

Krishna Ramaswamy University of Pennsylvania

Francesca Carrieri McGill University

Shane Johnson Texas A&M University

Adam V. Reed UNC Chapel Hill

David A. Chapman Boston College

Jennifer Juergens Drexel University

Harley E. (Chip) Ryan Jr. Georgia State University

Sudheer Chava Georgia Institute of Technology

Marcin Kacperczyk New York University

Michael Schill University of Virginia

Peter Christoffersen University of Toronto

Robert A. Korajczyk Northwestern University

Norman Schürhoff Université de Lausanne

Susan Christoffersen University of Toronto

Laura Lindsey Arizona State University

Mark Seasholes HKUST

Lauren H. Cohen Harvard Business School

Hong Liu Washington University St Louis

Clemens Sialm The University of Texas at Austin

Francesca Cornelli London Business School

Dmitry Livdan University of California, Berkeley

David C. Smith University of Virginia

Stephen G. Dimmock Nanyang Technological University

Richard Lowery The University of Texas at Austin

Tom Smith University of Queensland

Robert Dittmar University of Michigan

Michelle Lowry The Pennsylvania State University

Denis Sosyura University of Michigan

Ran Duchin University of Washington

Deborah Lucas Massachusetts Institute of Technology

Ajay Subramanian Georgia State University

Andrew Ellul Indiana University

Christian T. Lundblad UNC Chapel Hill

Melvyn Teo Singapore Management University

Eliezer Fich Drexel University

Anthony W. Lynch New York University

Heather Tookes Yale University

Mark J. Flannery University of Florida

Craig MacKinlay University of Pennsylvania

Charles Trzcinka Indiana University

Michael Gallmeyer University of Virginia

Ernst Maug University of Mannheim

Garry Twite The University of Texas at Austin

Ron Giammarino University of British Colombia

Robert L. McDonald Northwestern University

Ralph Walkling Drexel University

Ning Gong University of Melbourne

Todd T. Milbourn Washington University St Louis

Russ Wermers University of Maryland

Todd A. Gormley University of Pennsylvania

Tobias J. Moskowitz University of Chicago

Toni M. Whited University of Rochester

Vidhan Goyal HKUST

David Musto University of Pennsylvania

David Yermack New York University

Bruce Grundy University of Melbourne

Kjell G. Nyborg University of Zürich

Guofu Zhou Washington University St Louis


Notes

CONTACT

Conference AdministratorMs AnnMaree MurrayDepartment of FinanceFaculty of Business and EconomicsThe University of MelbourneParkville, VIC 3010, AUSTRALIAT: +61 3 8344 3538 | F: +61 3 8344 [email protected] www.finance.unimelb.edu.au

Organising Committee: Neal Galpin, Hae Won (Henny) Jung,Spencer Martin and Jordan Neyland

finance down under - university of melbourne

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