Center for Financial Frictions

FRIC/Finance Seminar with Dong Yan, Stockholm School of Economics

Credit Risk and the Life Cycle of Callable Bonds: Implications for Real Corporate Decisions

FRIC/Finance Seminar with Shohini Kundu, UCLA Anderson School of Management

The Geography of Bank Deposits and the Origins of Aggregate Fluctuations

FRIC/Finance Seminar with Ilya Strebulaev, Standford University

The Economic Impact of Venture Capital: Evidence from Public Companies

FRIC/Finance Seminar with Jason Donaldson, Washington University in St. Louis

Sovereign Bond Restructuring: Commitment vs. Flexibility

FRIC/Finance Seminar with Tobias Berg, Frankfurt School of Finance & Management

Leverage, Risk-Taking, and the Medium-Leverage Safety Trap

FRIC/Finance Seminar with Yue Yuan, London School of Economics

Competing With Security Design

FRIC/Finance Seminar with Simon Rother, University of Bonn

The Role of Social Networks in Bank Lending

FRIC/Finance Seminar with Paula Cocoma, INSEAD

Explaining the Realized Pre-Announcement Drift

FRIC/Finance Seminar with Federico Gavazzoni, INSEAD

Concealed Carry

FRIC/Finance Seminar with Adriano Rampini, Fuqua School of Business, Duke University

Collateral and Secured Debt

FRIC/Finance Seminar with Philip Bond, Foster School of Business, University of Washington

Silence is safest: information disclosure when the audience’s preferences are uncertain

FRIC/Finance Seminar with Sven Klingler, Norwegian Business School

Cash is not King, Evidence from the Commercial Paper Market

FRIC/Finance Seminar with Adi Sunderam, Harvard Business School

FRIC/Finance Seminar with Elisa Pazaj, Cass Business School

The Value-Momentum Correlation: An Investment Explanation

FRIC/Finance Seminar with Stefan Voigt, Vienna University of Economics and Business

Arbitrage, Liquidity and Price Informativeness

FRIC/Finance Seminar with Paul H. Beaumont, Université Paris-Dauphine

Building a Customer Base under Liquidity Constraints

FRIC/Finance Seminar with Yingjie Qi, Stockholm School of Economics

Big Broad Banks: How Does Cross-Selling Affect Lending?

FRIC/Finance Seminar with Lorenzo Bretscher, HEC Lausanne

Uncertainty trends

FRIC/Finance Brown Bag Seminar with Dominic Cucic, Danmarks Nationalbank

Regulating Liquidity Risk in Mutual Funds

FRIC/Finance Seminar with Christopher James, UF Warrington College of Business

Contracting Costs and Reputational Contracts

FRIC/Finance Seminar with Sebastian Doerr, University of Zurich

No Risk, No Growth: The Effects of Stress Testing on Entrepreneurship and Innovation

FRIC/Finance Seminar with Giorgio Ottonello, Vienna Graduate School of Finance

The Impact of Benchmarking in Fixed Income Funds

FRIC/Finance Seminar with Peter Zimmerman, Saïd Business School, University of Oxford

Blockchain structure and cryptocurrency prices

FRIC/Finance Seminar with Bjorn Eraker, Wisconsin School of Business, University of Wisconsin-Madison

The Price of Higher Order Catastrophe Insurance: The Case of VIX Options

FRIC research seminar with Jakub Hajda, HEC Lausanne and SFI 

Product Market Strategy and Corporate Policies

FRIC/Finance Seminar with Lorenzo Garlappi, University of British Columbia

The Term Structure of Credit Spreads with Dynamic Debt Issuance and Incomplete Information

FRIC/Finance Research Seminar with Torben Andersen, Northwestern University, Kellogg

Cross-Sectional Dispersion of Risk in Trading Time

FRIC/Finance Seminar with Lorena Keller, Northwestern University, Kellogg School of Management

Capital Controls and Risk Misallocation: Evidence from a Natural Experiment

FRIC/Finance Seminar with Peter Van Tassel, Federal Reserve Bank of New York

The Law of One Price in Equity Volatility Markets

FRIC/Finance Seminar with Martin Oehmke, London School of Economics 

A Theory of Socially Responsible Investment

FRIC/Finance Seminar with Anthony A. DeFusco, Kellogg School of Management, Northwestern University

No Job, No Money, No Refi: Frictions to Refinancing in a Recession

FRIC/Finance Seminar with Andrey Malenko, Boston College, Carroll School of Management

Asymmetric Information and Security Design under Knightian Uncertainty

FRIC Research Seminar with Per H. Hansen, Dept. of Management, Politics and Philosophy, Copenhagen Business School

Sensemaking and Financial Crises: Central Banks and the Austrian Twin Crisis of 1931

FRIC/Finance Seminar with Tobias J. Moskowitz, Yale School of Management

Yield Curve Premia

FRIC/Finance Seminar with Jean-Edouard Colliard, HEC Paris

Financial Restructuring and Resolution of Banks

FRIC/Finance Seminar with Nils Friewald, Norwegian School of Economics

Over-the-Counter Market Frictions and Yield Spread Changes

11:00-12:15
SPs13

FRIC/Finance Seminar withSimas Kucinskas, Vrije Universiteit Amsterdam

The Importance of Being Prudent: Dividends, Signaling and Risk Shifting

FRIC/Finance Seminar with Wenqian Huang, Vrije Universiteit Amsterdam

Central Counterparty Capitalization and Misaligned Incentives

FRIC/Finance Seminar with Marti Subrahmanyam, New York University
 

Credit default swaps around the world: Investment and financing effects

FRIC Lunch Seminar with Co-Pierre Georg, University of Cape Town and Deutsche Bundesbank

Illiquidity Spirals in Coupled Over-the-Counter Markets

FRIC Lunch Seminar with Jens Christensen, Federal Reserve Bank of San Francisco

The TIPS Liquidity Premium

FRIC/Finance Seminar with Allen N. Berger, University of South Carolina

Economic Policy Uncertainty and Bank Liquidity Creation

Nobel Laureate Lecture with Robert Engle, New York University (Stern)

Organized by Videnskabernes Selskab
How much SRISK is too much?

Alexandre Corhay, University of British Columbia

Industry competition, credit spreads, and levered equity returns

Hoyong Choi, London School of Economics

Information in (and not in) Treasury Options

Toni Whited, Ross School of Business, University of Michigan

Labor and Capital Dynamics under Financing Frictions

Christopher Hennessy, London Business School

The Paradox of Policy-Relevant RCTs and Natural Experiments

Alireza Tahbaz-Salehi, Columbia University

Collateral Shortages and Intermediation Networks

12.00-12.45
Augustinus

Nina Boyarchenko, Federal Reserve Bank of New York

Market Confidence and Monetary Policy

11:00-12:15

SPs08

Marcin Kacperczyk, Imperial College London Business School

Chasing Private Information

Josef Zechner, Vienna University of Economics and Business

Debt Maturity and the Dynamics of Leverage

Alexander F. Wagner, University of Zurich

In no (un)certain terms: Managerial style in communicating earnings news

Dimitri Vayanos, London School of Economics

Financial Markets where Traders Neglect the Informational Content of Prices

Nikolai Roussanov, Wharton, University of Pennsylvania

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution

Boris Nikolov, University of Lausanne

Agency Conflicts Around the World

Tanju Yorulmazer, University of Amsterdam 

Watering a Lemon Tree: Heterogeneous Risk-Taking and Monetary Policy Transmission

Steven Ongena, University of Zurich

Changes in the Cost of Bank Equity and the Supply of Bank Credit

Marie Hoerova, European Central Bank

Optimal margins and equilibrium prices

11.00-12.00 SP D4.20

Gyuri Venter, Copenhagen Business School

Christian Julliard, London School of Economics

An Information-Theoretic Asset Pricing Model

Bernt Arne Odegaard, University of Stavanger

Bond Trading Costs, Some Norwegian Estimates

Benjamin Schoefer, Harvard University

The Financial Channel of Wage Rigidity

Julien Sauvagnat, Toulouse School of Economics

Input Specificity and the Propagation of Idiosyncratic Shocks in Production Networks

Alexander Eisele, University of Lugano

Behavioral Factors in Risk Arbitrage

Larissa Schäfer, Tilburg University

Relationship Lending and Loan Performance

Mariana Khapko, Stockholm School of Economics

Asset Pricing with Dynamically Inconsistent Agents

Paul Whelan, Imperial College

Model Disagreement and Real Bonds

Lukas Schmid, Fuqua School of Business, Duke University

Competition, Markups and Predictable Returns

Peter Cramton, University of Maryland

The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response

Suresh Sundaresan, Columbia Business School

Bank Liability Structure

Björn Imbierowicz, Goethe University Frankfurt

Does Lack of Financial Stability Impair the Transmission of Monetary Policy?

David Skeie, Mays Business School, Texas A&M University

Federal Reserve Tools for Managing Rates and Reserves

11.00-12.15
SPs13

Diana Bonfim, Banco de Portugal

Surviving the perfect storm: the role of the lender of last resort

Johan Hombert, HEC Paris

Can Innovation Help U.S. Manufacturing Firms Escape Import Competition from China?

9:30-11:15

SPs13

Stefano Giglio, Booth School of Business, University of Chicago

The price of variance risk

Ramona Westermann, Copenhagen Business School

Debt covenant renegotiation and investment

Christian Wagner, Copenhagen Business School

Low-Risk Anomalies

Juhani Linnainmaa, The University of Chicago Booth School of Business

The History of the Cross-Section of Stock Returns

Björn Hagströmer, Stockholm Business School

A Network Map of Information Percolation

Anastasiya Shamshur, Norwich Business School, University of East Anglia

The Market vs Book Leverage Ratio Dilemma: Leverage Smoothing and Business Cycles

Sascha Steffen, ESMT European School of Management and Technology

Do Central Bank Interventions Limit the Market Discipline from Short-Term Debt? 

Pietro Veronesi, University of Chicago Booth School of Business 

Option-Based Credit Spreads

Batchimeg Sambalaibat, Price College of Business, University of Oklahoma

Endogenous Specialization and Dealer Networks

Philipp Schuster, Karlsruhe Institute of Technology

A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market Liquidity

Tobias Berg, Bonn University

Tim Eisert, Goethe University Frankfurt and New York University

Interbank network and bank bailouts: Insurance mechanism for non-insured creditors?

Anatoli Segura, CEMFI

Why did sponsor banks rescue their SIVs? A reputational model of rescues

Katya Malinova, University of Toronto

Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality

Andreas Park, University of Toronto

Do retail traders suffer from high-frequency traders?

Aytek Malkhozov,  McGill University 

Variance Risk Premium Dynamics in Equity and Option Markets (joint with FRIC)

D4.20

12.00-12.45

Scott Richardson, London Business School

Asset Volatility

11.00-12.15

SP213

Angelo Ranaldo, University of St. Gallen

The Euro Interbank Repo Market

11.00-12.15

SPs03

Arvind Krishnamurthy, Kellogg School of Management, Northwestern University

A Macroeconomic Framework for Quantifying Systemic Risk

11.00-12.15

SPs13 (Velux Aud)

Gyuri Venter, Copenhagen Business School

Multiple equilibria in the Grossman-Stiglitz model

CANCELLED: Nicola Gennaioli, Università Bocconi

Finance and the Preservation of Wealth 

11.00-12.15

SP112

John Campbell, Harvard University

Monetary Policy Drivers of Bond and Equity Risks

14.45-16.00

SPs03

Eckard Platen. University of Technology, Sydney

A Benchmark Approach to Quantitative Finance

William Fuchs, Haas School of Business, UC Berkeley

Government Interventions in a Dynamic Market with Adverse Selection

Anders Trolle, EPFL and Swiss Finance Institute

Linear-Rational Term Structure Models

12-12.45

Augustinus

Jens Christensen, Federal Reserve Bank of San Francisco

A Probability-Based Stress Test of Federal Reserve Assets and Income

12-12.45

Augustinus

Robert Merton, MIT Sloan

Addressing the Global Challenge of Funding Retirement. The Reverse Mortgage: Core Issues of Design Structure, Marketing, Funding and Valuation

12-12.45

SPs03

Laura Veldkamp, Stern School of Business, New York University

Hui Chen, MIT Sloan

Demand for Crash Insurance, Intermediary Constraints, and Stock Return Predictability

Carole Comerton-Forde, University of Melbourne

Dark Trading and Price Discovery

Petri Jylha, Imperial College London

Margin Constraints and the Security Market Line

David Thesmar, HEC Paris

Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence From France 

Konstantin Milbradt, MIT 

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle

Jens Christensen, Federal Reserve Bank of San Francisco 

Estimating Shadow-Rate Term Structure Models with Near-Zero Yields

12.00-13.00

Augustinus Fonden Senate Meeting Room

Anders Trolle, Ecole Polytechnique Fédérale de Lausanne

Liquidity risk in credit default swap markets

12.00-13.00

Augustinus Fonden Senate Meeting Room

Mads Vestergaard Jensen, FRIC, CBS

Early Option Exercise: Never Say Never

12.00-12.45

Augustinus Fonden Senate Meeting Room (D4)

Peter Norman Sørensen, Center for Financial Frictions and Copenhagen University

Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal

Jennie Bai, Georgetown University

Measuring Liquidity Mismatch in the Banking Sector

Or Shachar, Federal Reserve Bank of New York

Did Liquidity Providers Become Liquidity Seekers?

Péter Kondor, Central European University

Liquidity Risk and the Dynamics of Arbitrage Capital (abstract)

Peter Feldhütter, London Business School

The Credit Spread Puzzle - Myth or Reality?

Remy Praz, Swiss Finance Institute at EPFL

Equilibrium Asset Pricing in the Presence of both Liquid and Illiquid Markets

Dirk Hackbarth, College of Business, University of Illinois

Granularity of Corporate Debt: Theory and Tests

Ralph Koijen, Booth School of Business, University of Chicago

The Cost of Financial Frictions for Life Insurers

Jaewon Choi, College of Business, University of Illinois

On the fundamental relation between equity returns and interest rates

Hongjun Yan, Yale School of Management

Collateral-Motivated Financial Innovation

Zhiguo He, Booth School of Business, University of Chicago

Endogenous Liquidity and Defaultable Bonds

Haoxiang Zhu, MIT Sloan School of Management

Ex Post Equilibria in Double Auctions of Divisible Assets