July, 7th
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9:30
PARARELL SESSIONS (I)
Asset Pricing (I) Room: U1.2. Session Chair: Gonzalo Rubio (CEU - Cardenal Herrera).
“Extending Fama-French factors to corporate bond markets”.
Presenting: Demir Bektic (Darmstadt University of Technology).
Discussant: Paolo Porchia (IE).
“Fifty ways to beat the market? A portfolio perspective on investment anomalies”.
Presenting: Alberto Martin-Utrera (Lancaster University).
Discussant: Maurizio Montone (Erasmus School of Economics).
“Fluency and stock returns”.
Presenting: Maurizio Montone (Erasmus School of Economics).
Discussant: Alberto Martin-Utrera (Lancaster University).
“The performance of pairs-trading portfolios”.
Presenting: Isabel Figuerola-Ferretti (ICADE).
Discussant: Demir Bektic (Darmstadt University of Technology).
Banking (I) Room: U0.1. Session Chair: Javier Suárez (CEMFI).
“The determinants of long-term debt issuance by European banks: evidence of two crises”.
Presenting: Adrian van Rixtel (Banco de España).
Discussant: Benoit d'Udekem (Université Libre de Bruxelles).
“Relationship banking and bankruptcy resolution in Spain: the impact of size”.
Presenting: María Victoria Ruiz-Mallorquí (Universidad de Las Palmas de Gran Canaria).
Discussant: Nuria Suárez (CUNEF).
“Rational dividend persistence in banking”.
Presenting: Benoit d'Udekem (Université Libre de Bruxelles).
Discussant: Adrian van Rixtel (Banco de España).
“ Bank lending after crises: international evidence on changes in bank market power”.
Presenting: Elena Cubillas Martín (CUNEF).
Discussant: María Victoria Ruiz-Mallorquí (Universidad de Las Palmas de Gran Canaria).
Corporate Finance (I) Room: U1.1. Session Chair: Susana Menéndez Requejo (Universidad de Oviedo).
“An anatomy of industry merger waves”.
Presenting: Daniele Bianchi (University of Warwick).
Discussant: Isabel Feito-Ruiz (Universidad de León).
“Net operating working capital and firm value: a cross-country analysis”.
Presenting: Sonia Baños Caballero (Universidad de Murcia).
Discussant: Yanlei Zhang (Universidad Carlos III de Madrid).
“Employment protection and takeovers”.
Presenting: Olivier Dessaint (University of Toronto).
Discussant: Carlo Chiarella (CUNEF).
“Do suppliers value socially responsible customers?”.
Presenting: Yanlei Zhang (Universidad Carlos III de Madrid).
Discussant: Sonia Baños Caballero (Universidad de Murcia).
Investment Room: U2.2. Session Chair: Pablo García Estévez (CUNEF).
“Hedging network structures and portfolio diversification”.
Presenting: Abalfazl Zareei (Universidad Carlos III de Madrid).
Discussant: Laura Andreu (Universidad de Zaragoza).
“Measuring the efficiency of large pharmaceutical companies: an industry analysis”.
Presenting: Fernando Gascón (Universidad de Oviedo).
Discussant: Hsiu-Lang Chen (University of Illinois at Chicago).
“Why do mutual funds hold ETFs? A study of the non-dark side of ETF investment”.
Presenting: Hsiu-Lang Chen (University of Illinois at Chicago).
Discussant: Abalfazl Zareei (Universidad Carlos III de Madrid).
“Risk shifting consequences depending on manager characteristics”.
Presenting: Laura Andreu (Universidad de Zaragoza).
Discussant: Fernando Gascón (Universidad de Oviedo).
Microstructure (I) Room: U2.1. Session Chair: Fernando Zapatero (University of Southern California).
“Superstition and investor behavior in the stock market”.
Presenting: Gabriele Lepori (Keele University).
Discussant: Luca Del Viva (ESADE).
“Lottery-type behavior in banking stocks”.
Presenting: Luca Del Viva (ESADE).
Discussant: Gabriele Lepori (Keele University).
“The role of market makers in the quality of SPX quotes”.
Presenting: Maria Teresa González Pérez (CUNEF).
Discussant: Julio A. Crego (CEMFI).
“Speed competition and liquidity”.
Presenting: Julio A. Crego (CEMFI).
Discussant: Maria Teresa González Pérez (CUNEF).
July, 7th
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14:30
PARARELL SESSIONS (II)
Asset Pricing (II) Room: U1.2. Session Chair: Mikel Tapia (Universidad Carlos III de Madrid).
“Optimal portfolio allocation decisions based on a Copula-ADCC-GARCH approach”.
Presenting: María del Mar Miralles Quirós (Universidad de Extremadura).
Discussant: Carlos Castro (Universidad del Rosario).
“Synthetic portfolio for event studies: estimating the effects of volatility call auctions”.
Presenting: Carlos Castro (Universidad del Rosario).
Discussant: María del Mar Miralles Quirós (Universidad de Extremadura).
“The correlation risk premium term structure”.
Presenting: Gonçalo Faria (Católica Porto Business School and CEGE).
Discussant: Dan French (University of Missouri).
“Comovement, passive investing, and price informativeness”.
Presenting: Dan French (University of Missouri).
Discussant: Gonçalo Faria (Católica Porto Business School and CEGE).
Banking (II) Room: U0.1. Session Chair: Francisco González Rodríguez (Universidad de Oviedo).
“Equity versus bail-in debt in banking: an agency perspective”.
Presenting: Javier Suárez (CEMFI).
Discussant: Andrés Mesa Toro (Universidad de Navarra).
“Bank capital regulation with unregulated competitors”.
Presenting: David Martínez-Miera (Universidad Carlos III de Madrid).
Discussant: Tomasz Michalski (HEC Paris).
“Risk-based capital requirements for banks and international trade”.
Presenting: Tomasz Michalski (HEC Paris).
Discussant: David Martínez-Miera (Universidad Carlos III de Madrid).
“The puzzle of market discipline in credit unions”.
Presenting: Andrés Mesa Toro (Universidad de Navarra).
Discussant: Javier Suárez (CEMFI).
Corporate Finance (II) Room: U1.1. Session Chair: Josep A.Tribó (Universidad Carlos III de Madrid).
“The Q theory of investment: new evidence from a time-frequency analysis”.
Presenting: Fabio Verona (Bank of Finland).
Discussant: Olivier Dessaint (University of Toronto).
“Ripple effects of noise on corporate investment”.
Presenting: Olivier Dessaint (University of Toronto).
Discussant: Fabio Verona (Bank of Finland).
“'Unwrapping' your growth options within a portfolio of businesses in diversification option-based strategies: which factors influence the option strike?”.
Presenting: Pilar Velasco (Universidad de Alcalá de Henares).
Discussant: Elisabeth Megally (Swiss Finance Institute, University of Zurich).
Microstructure (II) Room: U2.1. Session Chair: Roberto Pascual (Universidad de las Islas Baleares).
“Cash flow timing skills of socially responsible mutual fund investors”.
Presenting: Fernando Muñoz Sánchez (Centro Universitario de la Defensa de Zaragoza).
Discussant: David Toscano (Universidad de Huelva).
“The surface of asset implied volatility”.
Presenting: Florina Silaghi (Universidad Autónoma de Barcelona).
Discussant: Fernando Muñoz Sánchez (Centro Universitario de la Defensa de Zaragoza).
“The implied equity duration discounting and forecasting parameters are industry specific”.
Presenting: David Toscano (Universidad de Huelva).
Discussant: Florina Silaghi (Universidad Autónoma de Barcelona).
Mutual Funds (I) Room: U2.2. Session Chair: María Antonia Tarrazón (Universidad Autónoma de Barcelona).
“The importance of equity pension funds on stock markets”.
Presenting: Mercedes Alda (Universidad de Zaragoza).
Discussant: Susana Álvarez (Universidad de Oviedo).
“Hedonic evaluation of SRI label of mutual funds with matching methodology”.
Presenting: Susana Álvarez (Universidad de Oviedo).
Discussant: Mercedes Alda (Universidad de Zaragoza).
“Is the active fund management industry concentrated enough?”.
Presenting: David Feldman (University of New South Wales).
Discussant: Maria Teresa González Pérez (CUNEF).
“Do mutual funds exploit information from options prices for equity investment?”.
Presenting: Hsiu-Lang Chen (University of Illinois at Chicago).
Discussant: David Feldman (University of New South Wales).
July 7th
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17:00
PARARELL SESSIONS (III)
Asset Pricing (III) Room: U1.2. Session Chair: Ángel León (Universidad de Alicante).
“Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility”.
Presenting: Simón Sosvilla-Ribero (Universidad Complutense de Madrid).
Discussant: Roman Kozhan (University of Warwick).
“The joint cross-sectional variation of equities and volatilities”.
Presenting: Gonzalo Rubio (CEU - Cardenal Herrera).
Discussant: Thomas Kim (University of California, Riverside).
“The term structure of implied volatility and volatility risk premia in the FX market”.
Presenting: Roman Kozhan (University of Warwick).
Discussant: Simón Sosvilla-Ribero (Universidad Complutense de Madrid).
“Who benefits from market makings?”.
Presenting: Thomas Kim (University of California, Riverside).
Discussant: Ángel León (Universidad de Alicante).
Banking (III) Room: U0.1. Session Chair: David Martínez-Miera (Universidad Carlos III de Madrid).
“Assessing spillover potential among banks and sovereigns in Europe using CDS”.
Presenting: Francisco Javier Población García (European Central Bank).
Discussant: Jaime Luque (University of Wisconsin).
“Access to financial services and bank restructuring: a spatial competition approach”.
Presenting: Alfredo Martín-Oliver (Universidad de las Islas Baleares).
Discussant: Carlos Salvador Muñoz (CUNEF).
“Effect of signals of bank ratings in stock returns before and during the financial crisis”.
Presenting: Carlos Salvador Muñoz (CUNEF).
Discussant: Alfredo Martín-Oliver (Universidad de las Islas Baleares).
“The sovereign crisis: credit crunch, flight-to-quality and flight-home by loan types and geographies”.
Presenting: Jaime Luque (University of Wisconsin).
Discussant: Francisco Javier Población García (European Central Bank).
Corporate Finance (III) Room: U1.1 . Session Chair: Pablo de Andrés (Universidad Autónoma de Madrid).
“Dynamic agency, CEO dismissals and CEO compensation: evidence from structural estimation”.
Presenting: Alvaro Remesal (CEMFI).
Discussant: Bartolomé Pascual-Fuster (Universidad de las Islas Baleares).
“Politicians inside the boardroom; is it a convenient burden?”.
Presenting: Bartolomé Pascual-Fuster (Universidad de las Islas Baleares).
Discussant: Milka Dimitrova (CUNEF).
“Making sense of shareholders’ say-on-pay vote”.
Presenting: Carlos Fernández Méndez (Universidad de Oviedo).
Discussant: Juan Antonio Rodríguez Sanz (Universidad de Valladolid).
“Delegation of board work to committees in Europe”.
Presenting: Juan Antonio Rodríguez Sanz (Universidad de Valladolid).
Discussant: Carlos Fernández Méndez (Universidad de Oviedo).
Corporate Finance (IV) Room: U2.2. Session Chair: Juan Pedro Gómez (IE).
“Liquidity provision: lessons from a natural experiment”.
Presenting: Vicente J. Bermejo (Universidad Carlos III de Madrid).
Discussant: Linus Siming (Bocconi University).
“Debt structure and credit ratings”.
Presenting: Linus Siming (Bocconi University).
Discussant: Vicente J. Bermejo (Universidad Carlos III de Madrid).
“The use of equity financing in debt renegotiation”.
Presenting: Florina Silaghi (Universidad Autónoma de Barcelona).
Discussant: José Antonio Clemente-Almendros (CEU-Cardenal Herrera).
“Debt conservatism and corporate taxes in Spanish listed firms”.
Presenting: José Antonio Clemente-Almendros (CEU-Cardenal Herrera).
Discussant: Juan Pedro Gómez (IE).
Microstructure (III) Room: U2.1. Session Chair: María Teresa González Pérez (CUNEF).
“Collateral reuse as a direct funding mechanism in repo markets”.
Presenting: George Issa (University of Sydney).
Discussant: Thomas Seiler (Stockholm School of Economics).
“Shackled high speed traders? Latency reduction and short sale bans”.
Presenting: Roberto Pascual (Universidad de las Islas Baleares).
Discussant: Fernando Zapatero (University of Southern California).
“Skewness seeking in a dynamic portfolio choice experiment”.
Presenting: Fernando Zapatero (University of Southern California).
Discussant: Roberto Pascual (Universidad de las Islas Baleares).
“Measuring Knightian uncertainty and risk with textual analysis: an examination of cash holdings and derivatives use”.
Presenting: Thomas Seiler (Stockholm School of Economics).
Discussant: George Issa (University of Sydney).
July 8th
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8:30
PARARELL SESSIONS (IV)
Asset Pricing (IV) Room: U1.2. Session Chair: Javier Ruiz Rincón (CEU - Cardenal Herrera).
“Participation in equity markets and the strength of weak ties”.
Presenting: Roberto E. Wessels (University of Groningen).
Discussant: Santiago Forte (ESADE).
“Lead-lag patterns in the Spanish and other European equity markets”.
Presenting: María Isabel Cambón (CNMV).
Discussant: Jorge Uribe Gil (Universidad de Barcelona).
“Stock market uncertainty and its macroeconomic effects”.
Presenting: Jorge Uribe Gil (Universidad de Barcelona).
Discussant: María Isabel Cambón (CNMV).
“Implied asset volatility in Credit Default Swap premia”.
Presenting: Santiago Forte (ESADE).
Discussant: Roberto E. Wessels (University of Groningen).
Banking (IV) Room: U0.1. Session Chair: Alfredo Martín-Oliver (Universidad de las Islas Baleares).
“The drivers of European banks' US dollar debt issuance: opportunistic funding in times of crisis?”.
Presenting: Luna Azahara Romo González (Banco de España).
Discussant: Antonio Rubia (Universidad de Alicante).
“The leverage ratio, risk-taking and bank stability”.
Presenting: Jonathan Smith (University of Cambridge).
Discussant: Sergio Vicente (Universidad Carlos III de Madrid).
“On small and large shocks in small and large banks: a (size-dependent) analysis of systemic contagion”.
Presenting: Antonio Rubia (Universidad de Alicante).
Discussant: Luna Azahara Romo González (Banco de España).
“Contractual incompleteness, procyclical leverage, and the distortion of financial intermediaries’ incentives”.
Presenting: Elisabeth Megally (Swiss Finance Institute and University of Zurich ).
Discussant: Elena Cubillas (CUNEF).
Corporate Finance (V) Room: U1.1. Session Chair: Pedro Martínez Solano (Universidad de Murcia).
“Real earnings management and information asymmetry in the equity market”.
Presenting: David Abad Díaz (Universidad de Alicante).
Discussant: Francisco Villanueva Pliego (ICADE).
“Why do privatized firms pay higher dividends?”.
Presenting: Abhinav Goyal (University of Liverpool).
Discussant: Víctor González Méndez (Universidad de Oviedo).
“The impact of the format of the financial statements on the disposition effect”.
Presenting: Francisco Villanueva Pliego (ICADE).
Discussant: Abhinav Goyal (University of Liverpool).
Derivatives Room: U2.2. Session Chair: Javier Gil-Bazo (Universidad Pompeu Fabra).
“Trading and information in futures markets”.
Presenting: Guillermo Llorente (Universidad Autónoma de Madrid).
Discussant: Manuel Moreno (Universidad de Castilla-La Mancha).
“Estimation of jump diffusion processes for pricing commodity futures options”.
Presenting: Ziba Habibi Lashkary (Universidad de Valladolid).
Discussant: Isabel Figuerola-Ferretti (ICADE).
“Long-term swings and seasonality in energy markets”.
Presenting: Manuel Moreno (Universidad de Castilla-La Mancha).
Discussant: Guillermo Llorente (Universidad Autónoma de Madrid).
Microstructure (IV) Room: U2.1. Session Chair: Enrique Sentana (CEMFI).
“Asymmetric Information and the distribution of trading volume”.
Presenting: Jos van Bommel (University of Luxembourg).
Discussant: Carlos Forner (Universidad de Alicante).
“Technology diffusion and currency carry trades”.
Presenting: Ilias Filippou (Warwick Business School).
Discussant: Mikel Tapia (Universidad Carlos III de Madrid).
“Liquidity and the size of trades around credit event news”.
Presenting: Antonio Diaz (Universidad de Castilla-La Mancha).
Discussant: Jos van Bommel (University of Luxembourg).
“Fragmentation vs. consolidation in Spanish Stock Exchange. A note”.
Presenting: Mikel Tapia (Universidad Carlos III de Madrid).
Discussant: Ilias Filippou (Warwick Business School).
July 8th
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11:00
PARARELL SESSIONS (V)
Asset pricing (V) Room: U1.2. Session Chair: Antonio Moreno (Universidad de Navarra).
“Basis-momentum in the futures curve and volatility risk”.
Presenting: Melissa Porras Prado (Nova School of Business and Economics).
Discussant: Antonio Moreno (Universidad de Navarra).
“Explaining permanent and transitory components of interbank basis swaps: the role of credit and liquidity risk”.
Presenting: Nuria Petit Montserrat (Universidad Complutense de Madrid).
Discussant: Antonio Vaello Sebastia (Universidad de las Islas Baleares).
“Extracting risk-neutral densities from option prices”.
Presenting: Antonio Vaello Sebastia (Universidad de las Islas Baleares).
Discussant: Nuria Petit Monserrat (Universidad Complutense de Madrid).
Banking (V) Room: U0.1. Session Chair: Víctor González Méndez (Universidad de Oviedo).
“A new approach to the analysis of monetary policy transmission through bank capital”.
Presenting: María Cantero Sáiz (Universidad de Cantabria).
Discussant: Marcos González Fernández (Universidad de León).
“What drives sovereign debt maturity in European countries?”.
Presenting: Marcos González Fernández (Universidad de León).
Discussant: María Cantero Sáiz (Universidad de Cantabria).
“Revenue diversification and asset quality of Eurozone banks”.
Presenting: Laura Baselga Pascual (Deusto Business School).
Discussant: Jonathan Smith (University of Cambridge).
Corporate Finance (VI) Room: U1.1. Session Chair: Rafel Crespí (Universidad de las Islas Baleares).
“How much are credit ratings really worth?”.
Presenting: Eric Duca (CUNEF).
Discussant: Josep A. Tribó (Universidad Carlos III de Madrid).
“CEO entrenchment at network level”.
Presenting: Josep A. Tribó (Universidad Carlos III de Madrid).
Discussant: Daniele Bianchi (University of Warwick).
“What determines debt structure in emerging markets: transaction costs or public monitoring?”.
Presenting: Abhinav Goyal (University of Liverpool).
Discussant: Eric Duca (CUNEF).
Corporate Finance (VII) Room: U2.2. Session Chair: Gabriel de la Fuente (Universidad de Valladolid).
“The incentives of creditors to monitor via debt specialization: the impact of CEO compensation”.
Presenting: Paula Castro Castro (Universidad de León).
Discussant: Juana Aledo Martínez (Universidad Carlos III de Madrid).
“Bankruptcy prediction of listed companies using narratives”.
Presenting: María del Mar Camacho Miñano (CUNEF).
Discussant: Paula Castro Castro (Universidad de León).
“The effects of information differences among investors on the role of earnings quality in facilitating corporate investment”.
Presenting: Juana Aledo Martínez (Universidad Carlos III de Madrid).
Discussant: David Abad Díaz (Universidad de Alicante).
July 8th
-
15:00
PARARELL SESSIONS (VI)
Asset pricing (VI) Room: U1.2. Session Chair: Santiago Forte (ESADE).
“The first cut is the deepest: stock market re-entry decision and hot stove effect”.
Presenting: Arie Gozluklu (University of Warwick).
Discussant: Rodrigo Ferreras (Santalucía).
“A global feasible market factor for covariance estimation along with dynamic asset allocation”.
Presenting: Tolgahan Yilmaz (Ashmore Asset Management).
Discussant: Genaro Sucarrat (BI Norwegian Business School).
“Measuring changes in market efficiency after corporate credit announcements. The case of Spain”.
Presenting: Rodrigo Ferreras (Santalucía).
Discussant: Arie Gozluklu (University of Warwick).
“Models of financial return with time-varying zero probability”.
Presenting: Genaro Sucarrat (BI Norwegian Business School).
Discussant: Tolgahan Yilmaz (Ashmore Asset Management).
Corporate Finance (VIII) Room: U1.1. Session Chair: Francisco Sogorb-Mira (CEU - Cardenal Herrera).
“The bright side of stock repurchases”.
Presenting: Silvina Rubio (Universidad Carlos III de Madrid).
Discussant: Pedro J. Garcia Teruel (Universidad de Murcia).
“Uncovering dividend growth predictability: new evidence from the post-WWII period”.
Presenting: Pedro Angel García Ares (University of Exeter).
Discussant: Victor Hugo Braz Bezerra (Universidad de Salamanca).
“The functional convergence as a substitute for dividends and debt: evidence from Brazil”.
Presenting: Victor Hugo Braz Bezerra (Universidad de Salamanca).
Discussant: Pedro Angel García Ares (University of Exeter).
“Trade credit policy and family control”.
Presenting: Pedro Martínez-Solano (Universidad de Murcia).
Discussant: Silvina Rubio (Universidad Carlos III de Madrid).
Corporate finance (IX) Room: U2.2. Session Chair: Fernando Gascón (Universidad de Oviedo).
“Anatomy of risk premium in UK natural gas futures”.
Presenting: Beatriz Martínez (Universidad de Valencia).
Discussant: Gracia Rubio Martín (UCM).
“Valuation multiples in European equity markets: the problem of size premium”.
Presenting: Gracia Rubio Martín (Universidad Complutense de Madrid).
Discussant: Susana Menéndez Requejo (Universidad de Oviedo).
“The effect of quarterly earnings guidance on real earnings management”.
Presenting: Facundo Mercado (Universidad Carlos III de Madrid).
Discussant: María del Mar Camacho Miñano (CUNEF).
“Audit report disclosures as a value added tool for bankruptcy prediction: empirical evidence”.
Presenting: Nora Muñoz-Izquierdo (CUNEF).
Discussant: Facundo Mercado (Universidad Carlos III de Madrid ).
Microstructure (V) Room: U2.1. Session Chair: Antonio Diaz (Universidad de Castilla-La Mancha).
“Do institutional investors influence firm social performance?”.
Presenting: Antonio Vázquez López (Universidad Carlos III de Madrid).
Discussant: Luis Vicente (Universidad de Zaragoza).
“One-sided performance measures under Gram-Charlier distributions”.
Presenting: Angel León (Universidad de Alicante).
Discussant: Lidija Lovreta ( Universidad Autónoma de Barcelona).
“Structural breaks in the long-run equilibrium between the stock and CDS market”.
Presenting: Lidija Lovreta ( Universidad Autónoma de Barcelona).
Discussant: Julio Carmona (Universidad de Alicante).
“The performance of Euro government bond mutual funds: evidence from security-level holdings”.
Presenting: Luis Vicente (Universidad de Zaragoza).
Discussant: Antonio Vázquez López (Universidad Carlos III de Madrid).
Mutual Funds (II) Room: U0.1. Session Chair: Carmen Ansotegui (ESADE).
“Why is investors’ mutual fund market allocation far from the optimum?”.
Presenting: Ricardo Laborda Herrero (Centro Universitario de la Defensa de Zaragoza).
Discussant: Melissa Porras Prado (Nova School of Business and Economics).
“Stellar portfolios and investors' attention to fund-affiliated stocks”.
Presenting: Rafael Zambrana (Nova School of Business and Economics).
Discussant: Maia Gejadze (IESEG School of Management).
“How active is your fund manager in reality? Comparison of the level of activeness in publicly vs non-publicly reported holdings”.
Presenting: Carlos Forner (Universidad de Alicante).
Discussant: Rafael Zambrana (Nova School of Business and Economics).
“Internal syndication of venture capital investments”.
Presenting: Maia Gejadze (IESEG School of Management).
Discussant: Ricardo Laborda Herrero (Centro Universitario de la Defensa de Zaragoza).