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Conference Programme

Venue: Warwick Business School, Scarman Road Building

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Thursday 13 September 2012

8:30-8:50 Registration
8:50-9:00

Opening Remarks - Mark Taylor, Dean of Warwick Business School

9:00-9:45 Keynote Talk
Asger Lunde (Aarhus University)
"Econometric Analysis of Vast Covariance Matrices using Composite Realized Kernels"
9:45-10:00 Refreshment Break
10:00-11:30

Contributed Sessions 1:

Session A High Frequency Finance & Risk Management
Chair: Harald Lohre
Gregor Weiss (TU Dortmund) "Liquidity Commonality and Risk Management" (with Hendrick Supper, TU Dortmund) (PDF)
Discussant: Harald Lohre
Katarzyna Bien-Barkowska (National Bank of Poland and Institute of Econometrics, Warsaw School of Economics) "Capturing Order Book Dynamics in the interbank EUR/PLN Spot Market" (PDF)
Discussant: Gregor Weiss
Harald Lohre (Deka Investment GmbH) "Diversified Risk Parity Strategies for Equity Portfolio Selection" (with Ulrich Neugebauer, Deka Investment GmbH and Carsten Zimmer, Deka Investment GmbH) (PDF)
Discussant: Katarzyna Bien-Barkowska

 

Session B Transparency
Chair: Roman Kozhan
Arze Karam (Queen's University Belfast) "The Value of the Non-anonymity on the NASDAQ" (PDF)
Discussant: Vincent van Kervel
Vincent van Kervel (Tilburg University) "Liquidity: What You See Is What You Get?" (PDF)
Discussant: Arie Gozluklu
Arie Gozluklu (University of Warwick) "Pre-Trade Transparency and Informed Trading: An Experimental Approach to Hidden Liquidity" (PDF)
Discussant: Arze Karam

 

11:30-11:45 Refreshment Break
11:45-12:30 Keynote Talk
Marcelo Fernandes (Queen Mary, University of London)
"Testing for Jump Spillovers Without Testing for Jumps" (PDF)
12:30-13:45

Lunch

13:45-14:30 Keynote Talk
Neil Shephard (University of Oxford)
"Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-definite Estimators of the Covariation of Equity Prices" (link)
14:30-14:45 Refreshment Break
14:45-15:45

Contributed Sessions 2:

Session A Volatility & Jumps
Chair: Ingmar Nolte
Alessandro Palandri (University of Warwick) "Up and Down Volatilties and Their Dynamics" (with Matteo Sandri, University of Warwick) (PDF)
Discussant: Jan Novotný (City University London)
Jan Novotný (City University London) "The Identification of Price Jumps: Stock Market Indices During the Crisis" (with Jan Hanousek, Charles University and the Academy of Sciences and Evzen Kocenda, Charles University and the Academy of Sciences) (PDF)
Discussant: Qi Xu (University of Warwick)

 

Session B Informed Trading
Chair: Arie Gozluklu
Corey Garriott (Bank of Canada) "Front-running and post-trade transparency" (PDF)
Discussant: Sunny X Li
Sunny X Li (VU University Amsterdam) "Dynamic Inventory Control with Endogenous Information Acquisition"
Discussant: Corey Garriott

 

15:45-16:00 Refreshment Break
16:00-17:30

Contributed Sessions 3:

Session A High Frequency Finance
Chair: Thomas Dimpfl
Gabriel G Velo (University of Padova) "A Tick of Haven: Stylized Facts and Dynamic Modelling of Nano-frequency Data on Precious Metals" (with Massimiliano Caporin, University of Padova and Angelo Ranaldo, St Gallen University) (PDF)
Discussant: Thomas Dimpfl
Alvaro Cartea (University College London) "Buy Low Sell High: A High Frequency Trading Perspective" (with Sebastian Jaimungal, University of Toronto and Jason Ricci, University of Toronto) (PDF)
Discussant: Gabriel G Velo
Thomas Dimpfl (University of Tübingen) "Can Internet Search Queries Help to Predict Stock Market Volatility?" (with Stephan Jank, University of Tübingen and Centre for Financial Research) (PDF)
Discussant: Alvaro Cartea

 

Session B Multilateral Trading
Chair: Anthony Neuberger
Thomas Katzschner (University of Jena) "The Contribution of Multilateral Trading Facilities to Price Discovery" (with Robert Jung, University of Hohenheim) (PDF)
Discussant: David Brown
David Brown (University of Colorado at Boulder) "Dark Pool Exclusivity Matters" (with Leslie Boni, University of New Mexico and J Chris Leach, University of Colorado at Boulder) (PDF)
Discussant: Thomas Katzschner
Miriam Marra (University of Warwick) "Illiquidity Commonality Across Equity and Credit Markets" (PDF)
Discussant: Kees Bouwman

 

17:30-17:45 Refreshment Break
17:45-18:30 Keynote Talk
Nikolaus Hautsch (Humboldt-Universität zu Berlin)
"On The Dark Side of the Market: Identifying and Analyzing Hidden Order Placements" (PDF)
19:30 Dinner

 

Friday 14 September 2012

8:00-8:30 Registration
8:30-10:00

Contributed Sessions 4:

Session A Options & Volatility
Chair: Paul Schneider
Stylianos Perrakis (Concordia University) "Microstructure Noise and Price Discovery in Options Markets: Theory and Empirical Evidence (with Michal Czerwonko, McGill University, Nabil Khoury, University of Quebec in Montreal and Marko Savor, University of Quebec in Montreal) (PDF)
Discussant: Martin Wallmeier
Clemens Volkert (Westfälische Wilhelms-Universität Münster) "The Fine Structure of Variance: Consistent Pricing of VIX Derivatives" (with Nicole Branger, Westfälische Wilhelms-Universität Münster) (PDF)
Discussant: Stylianos Perrakis
Martin Wallmeier (University of Fribourg) "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility" (PDF)
Discussant: Clemens Volkert

 

Session B Order Choice in Order Driven Markets
Chair: Arie Gozluklu
Jerome Dugast (HEC Paris) "Limited Attention and News Arrival in Limit Order Markets" (PDF)
Discussant: Michael Moore
Richard Payne (City University Lonodon) "Market Order Flows, Limit Order Flows and Exchange Rate Dynamics" (with Roman Kozhan, University of Warwick and Michael Moore, Queens University Belfast) (PDF)
Discussant: Sarah Draus
Lars Norden (Stockholm University School of Business) "Components of the Bid-Ask Spread and Variance: A Unified Approach" (with Bjorn Hagstromer and Richard Henricsson, Stockholm University School of Business) (PDF)
Discussant: Jerome Dugast

 

Session C Boards
Chair: Grzegorz Trojanowski
Bang Dang Nguyen (University of Cambridge) "Sugar and Spice and Everything Nice: What Are Good Directors Made Of?" (with Quoc-Anh Do, Singapore Management University and P Raghavendra Rau, University of Cambridge) (PDF)
Discussant: Grzegorz Trojanowski
Linus Siming (Bocconi University) "Orders of Merit and CEO Compensation: Evidence form a Natural Experiment" (PDF)
Discussant: Bang Dang Nguyen

 

10:00-10:15 Refreshment Break
10:15-11:00 Keynote Talk
Thierry Foucault (HEC Paris)
"Learning from Peer Stock Prices and Corporate Investment" (PDF)
11:00-11:15 Refreshment Break
11:15-12:45

Contributed Sessions 5:

Session A Volatility
Chair: Tony Lawrance
Michalis Vasios (University of Warwick) "A Least Squares Regression Realised Covariation Estimation: A Comprehensive Simulation Study" (with Ingmar Nolte, Univeristy of Warwick and Valeri Voev, Aarhus University) (PDF)
Discussant: Tony Lawrance
Tony Lawrance (University of Warwick) "Exploratory Graphics for Financial Time Series Volatility" (PDF)
Discussant: Michalis Vasios

 

Session B High-Frequency Trading
Chair: Michael Moore
Peter Hoffmann "A Dynamic Limit Order Market with Fast and Slow Traders" (PDF)
Discussant: Richard Payne
Ian Marsh (City University London)"Computer-based Trading in the Cross-Section" (with Richard Payne and Torben Latza, City University London)(PDF)
Discussant: Peter Hoffmann
Sarah Draus (University of Naples Federico II) "Circuit Breakers and Market Runs" (with Mark Van Achter, Erasmus University) (PDF)
Discussant: Anthony Neuberger

 

Session C Ownership
Chair: Chendi Zhang
Edward Lee (University of Manchester) "Impact of Split Share Structure Reform in China on CEO Accountability to Corporate Fraud" (With Douglas Cumming, York University and Wenxuan Hou University of Durham) (PDF)
Discussant: Hannes Wagner
Hannes F Wagner (Bocconi University) "Does Family Control Matter? International Evidence from the 2009-2009 Financial Crisis" (with Karl V Lins, University of Utah and Paolo Volpin, London Business School) (PDF)
Discussant: Chendi Zhang

 

12:45-14:15

Lunch and Poster Session
Diama K Abulabn (Birzeit University Palestine) "Managing of Treasury in the Banking System Within a Multi Currency Economy" (with Nidal Rashid Sabri and Dima W Hanyia, Birzeit University Palestine) (PDF)
Panagiotis Couzoff (Lancaster University) "External Monitoring, Managerial Entrenchment and Corporate Cash Holdings" (with Shantanu Banerjee and Grzegorz Pawlina, Lancaster University) (PDF)
Cândida Ferreira (Technical University of Lisbon) "European Banking Efficiency: A Panel Cost Frontier Approach" (PDF)
Andrej Gill (Goethe University Frankfurt) "Basel III and CEO Compensation in Banks: A New Regulatory Approach After the Crisis" (with Christian Eufinger, Goethe University (PDF)
Olga Lebedeva (University of Mannheim) "Trading Aggressiveness and Its Implications for Market Efficiency" (PDF)
Vitor Leone (Nottingham Trent University) "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble" (with Otavia Ribeiro de Medeiros, Universidad de Brasilia) (PDF)
Vladimir Prelov (Russian Academy of Sciences) "Tick-by-Tick Analysis and the Return Efficiency Theory for Financial Markets" (PDF)
Thanos Verousis (Bangor University) "Liquidity and Trading Activity of Equity Options: Time Series and Hedging Cost Effects" (With Owain ap Gwilym, Bangor University) (PDF)
Gregor Weiss (TU Dortmund) "Systemic Risk and Bank Consolidation: International Evidence" (with Sascha Neumann and Denefa Bostandzic, Ruhr-Universität Bochum) (PDF)
Vladimir Yankov (Boston University and the Federal Reserve Bank of Boston) "In Search of a Risk-free Asset" (PDF)

14:15-15:00 Keynote Talk
Terrence Hendershott (University of California, Berkeley)
"High-Frequency Trading and Price Discovery" (link)
15:00-15:15 Refreshment Break
15:15-16:45

Contributed Sessions 6:

Session A Macro Liquidity
Chair: Vikas Raman
Kees E Bouwman (Erasmus University) "Aggregate Stock Market Illiquidity and Bond Risk Premia" (wth Elvira Sojli and Wing Wah Tham, Erasmuc University) (PDF)
Discussant: Gennaro Bernile (PDF)
Gennaro Bernile (University of Miami) "Local Business Cycles and Local Liquidity" (with George Korniotis and Alok Kumar, University of Miami, and Qin Wang, University of Michigan at Dearborn)
Discussant: Mathijs A. van Dijk
Mathijs A van Dijk (Erasmus University) "Commonality in Market Efficiency" (with Dominik M Rösch, Erasmus University and Avanidhar Subrahmanyam, UCLA Anderson School) (PDF)
Discussant: Vikas Raman

 

Session B Flash Crash
Chair: Roman Kozhan
Martin Haferkorn (Goethe-University Frankfurt) "Single Stock Circuit Breakers - Issues in Fragmented Markets" (with Peter Gomber, Marco Lutat and Kai Zimmermann, Goethe-University Frankfurt) (PDF)
Discussant: Ian Marsh
Bart Zhou Yueshen (VU University Amsterdam) "Too Many Middlemen? Impaired Learning from Trades" (with Albert J Menkveld, VU University Amsterdam) (link)
Dicussant: Giovanni Cespa
Giovanni Cespa (City University London) "Illiquidity Contagion and Liquidity Crashes" (with Thierry Foucault, HEC Paris) (PDF)
Discussant: Bart Zhou Yueshen

 

Session C Bankruptcy
Chair: Navin Chopra (Northwestern University)
Mascia Bedendo (Bocconi University) "In- and Out-of-Court Debt Restructuring in the Presence of Credit Default Swaps" (with Lara Cathcart and Lina El-Jahel, Imperial College Business School) (PDF)
Discussant: Shantanu Banerjee
Emanuele Tarantino (University of Bologna and TILEC) "The Causal Effect of Bankruptcy Law on the Cost of Finance" (with Giacomo Rodano, Bank of Italy and Nicolas Serrano-Velarde, University of Oxford) (PDF)
Discussant: Mascia Bedendo
Shantanu Banerjee (Lancaster University) "Understanding the Investment Behaviour of Distressed Firms" (with Oksana Pryshchepa, Lancaster University and Kevin Aretz, University of Manchester) (PDF)
Discussant: Navin Chopra

 

16:45-17:00 Refreshment Break
17:00-18:30

Contributed Sessions 7:

Session A Market Frictions & Liquidity
Chair: Roman Kozhan
Johannes A Skjeltorp (Norges Bank) "Identifying Cross-sided Liquidity Externalities" (with Wing Wah Tham, Erasmus University and Elvira Sojli, Erasmus University and Duisenberg School of Finance) (PDF)
Discussant: Lars Norden
Dale Rosenthal (University of Illinois at Chicago) "Transaction Taxes in a Price Maker/Taker Market" (with Nordia Thomas, University of Wisconsin - La Crosse) (PDF)
Discussant: Johannes Skjeltorp
Aditya Kaul (University of Alberta) "Order Characteristics, Uncertainty and Price Formation in the Foreign Exchange Market" (with Blake Phillips, University of Waterloo and Stephen Sapp, University of Western Ontario) (PDF)
Discussant: Martin Haferkorn

 

Session B Corporate Finance 1
Chair: Albert Banal-Estanol
Sigitas Karpavicius (Flinders University) "Dividends: Relevance, Rigidity and Signaling" (PDF)
Discussant: Vito Gala
Daniel Ludwig Urban (Technische Universität München) "The Value of Financial Flexibility and Payout Policy" (with Marc Steffen Rapp, Philipps-Universität marburg and Thomas Schmid, Technische Universität München) (PDF)
Discussant: Sigitas Karpavicius
Vito Gala (London Business School) "Beyond the Q: Estimating Invesment Without Asset Prices" (with Joao Gomes, University of Pennsylvania) (PDF)
Discussant: Daniel Ludwig Urban

 

19:30 Dinner

 

Saturday 15 September 2012

8:00-8:30 Registration
8:30-10:00

Contributed Sessions 8:

Session A M&A and Hedge Funds
Chair: Tereza Tykvova
Stefan Rostek (University of Tuebingen) "The Valuation of M&A Targets by Relative Indifference Prices" (with Carolin Mauch, University of Tuebingen) (PDF)
Discussant: Petri Jylha
François Derrien (HEC Paris) "The Perverse Effects of Investment Bank Rankings: Evidence from M&A League Tables" (with Olivier Dessaint, HEC Paris) (PDF)
Discussant: Stefan Rostek
Petri Jylha (Aalto University) "Do Hedge Funds Supply or Demand Immediacy?" (with Kalle Rinne and Matti Suomin, Aalto University) (PDF)
Discussant: Francois Derrien

 

Session B Corporate Finance 2
Chair: Elizabeth Whalley
Andrew Carverhill (University of Hong Kong) "An Empirical Study of corporate Liquidity Dynamics, with Conditioning on Earnings" (PDF)
Discussant: Elizabeth Whalley
Mathijs A van Dijk (Erasmus University) "Do Firms Issue More Equity when Markets are More Liquid?" (with René M Stulz, Ohio State University and Dimitrios Vagias, Erasmus University) (PDF)
Discussant: Andrew Caverhill
Albert Banal-Estañol (Universitat Pompeu Fabra and City University London) "The Simple Economics of Capital Structure, Corporate Structure and Project Selection" (with Marco Ottaviani, Northwestern University) (PDF)
Discussant: Mathijs van Dijk

 

10:00-10:15 Refreshment Break
10:15-11:00 Keynote Talk
Rui Albuquerque (Boston University)
"Corporate Social Responsibility and Asset Pricing in Industry Equilibrium" (PDF)
11:00-11:15 Refreshment Break
11:15-12:45

Contributed Sessions 9:

Session A Banking 1
Chair: Bo Larsson
Tianxi Wang (University of Essex) "Put Your Money Where Your Mouth Is: An Equilibrium Model Relating Bank Scale to Bank Quality" (PDF)
Discussant: Lei Mao
Stefano Puddu (University of Lausanne and Université de Neuchatel) "TAF Effect on Liquidity Risk Exposures" (with Andreas Wälchli, University of Lausanne and Study Center Gerzensee) (PDF)
Discussant: Tianxi Wang

 

Session B IPOs
Chair: Maia Gejadze
M Martin Boyer (HEC Montreal) "Insurer Information, Insiders and Initial Public Offering" (PDF)
Discussant: Hugh Colaco
Grzegorz Pawlina (Lancaster University Mananagement School) "Leaders and Followers in Hot IPO Markets" (with Shantanu Banerjee, Lancaster University Management School and Ismail Ufuk Güçbilmez, University of Edinburgh Business School) (PDF)
Discussant: Martin Boyer
Hugh M J Colaco (Aston University) "Do Firms that go Public Quickly Perform Better?" (with Shantaram P Hegde, University of Connecticut) (PDF)
Dicussant: Grzegorz Pawlina

 

12:45-14:15

Lunch

14:15-15:00 Keynote Talk
Ulrich Hege (HEC Paris)
"Blockholders and Leverage: When Debt Leads to Higher Dividends" (PDF)
15:00-15:15 Refreshment Break
15:15-16:45

Contributed Sessions 10:

Session A Banking 2
Chair: Tianxi Wang
Bo Larsson (Stockholm University) "Banking on Regulations?" (with Hans Wijkander, Stockholm University) (PDF)
Dicussant: Stefano Puddu
Enrique Schroth (University of Amsterdam) "Dynamic Debt Runs and Financial Fragility: Evidence from the 2007 ABCP Crisis" (with Gustavo Suarez, Federal Reserve Board and Lucian A Taylor, University of Pennsylvania) (PDF)
Discussant: Bo Larsson

 

Session B PE & VC
Chair: Jana Fidrmuc
Maia Gejadze (Université catholique de Louvain) "Private Equity Fundraising, Fund Performance and Firm Specialization" (with Pierre Giot, University of Namur, CeReFiM and CORE, and Armin Schwienbacher, Univ. Lille Nord de France) (PDF)
Discussant: Tereza Tykvova
Andrej Gill (Goethe-University Frankfurt) "Going Public - Going Private. The Case of VC-backed Firms" (with Uwe Walz, Goethe-University Frankfurt and Center for Financial Studies) (PDF)
Discussant: Jana Fidrmuc
Tereza Tykvová (Universität Hohenheim) "Does Syndication with Local Venture Capitalists Moderate the Effects of Geographical and Institutional Distances and Experience?" (with Andrea Schertler) (PDF)
Discussant: Andrej Gill

 

19:30 Dinner