AFFI International Conference 2017

Wednesday, 31 May 2017
(Entrance Hall, Building E)
(C001, Building C)
(C001, Building C)

A Portfolio Perspective on the Multitude of Firm Characteristics



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(Ground floor, Building E)
Session 1
Asset PricingBankingCorporate GovernanceFinance, Ethics, and SustainabilityInformation and Market efficiencyMarket MicrostructureQuantitative Finance
Session Chair: Ilya DergunovExploring Fama-french Five-factor Model On Chinese A-share Stock MarketWenting Jiao, IGR-IAE, Université de Rennes 1; Jean-Jacques Lilti, IGR-IAE, Université de Rennes 1Discussant: Ilya DergunovGood Inflation, Bad Inflation, And The Pricing Of Real AssetsIlya Dergunov, Research Center SAFE; Christoph Meinerding, Goethe University Frankfurt; Christian Schlag, Goethe University FrankfurtDiscussant: Rüdiger WeberImplied Volatility Duration And The Early Resolution PremiumChristian Schlag, Goethe University Frankfurt; Julian Thimme, Goethe University Frankfurt; Rüdiger Weber, Goethe University FrankfurtDiscussant: Wenting Jiao Session Chair: Christoph MemmelIs Trade Credit A Substitute For Relationship Lending Credit?Jérémie Bertrand, ISA Lille; Pierluigi Murro, LUMSA UniversityDiscussant: Elise AlfieriWhy Do Banks Bear Interest Rate Risk?Christoph Memmel, Deutsche BundesbankDiscussant: Jérémie BertrandOn The Nature And The Financial Performance Of BitcoinElise Alfieri, CERAG; Radu Burlacu, CERAG; Geoffroy Enjolras, CERAGDiscussant: Christoph Memmel Session Chair: Robert KrainerFinancial Contracting As Behavior Towards Risk: The Corporate Finance Of Business CyclesRobert Krainer, University of wisconsin-MadisonDiscussant: Christian HaddadThe Emergence Of The Global Fintech Market: Economic And Technological DeterminantsChristian Haddad, Univ. Lille, SKEMA Business School; Lars Hornuf, University of Trier; Max Planck Institute for Innovation and Competition; Ludwig Maximilian University of Munich - Center for Economic Studies (CES)Discussant: Christof BeuselinckEmployment Protection And Payout PolicyM. Farooq Ahmad, IÉSEG School of Management; Christof Beuselinck, IÉSEG School of Management; Helen Bollaert, Université Côte d'Azur – SKEMADiscussant: Robert Krainer Session Chair: Hubert de la BruslerieDebt And Private Benefits Appropriation By A Controlling Shareholder: Introducing A Creditors’ Holdup EffectHubert de la Bruslerie, University Paris DauphineDiscussant: Shan ZhaoInternalizing Governance Externalities: The Role Of Institutional Cross-ownershipJie He, Terry College of Business, University of Georgia; Jiekun Huang, University of Illinois at Urbana-Champaign; Shan Zhao, Grenoble Ecole de ManagementDiscussant: Simon GueguenShareholder Activism And The Timing Of Blockholder DisclosureSimon Gueguen, University of Paris-DauphineDiscussant: Hubert de la Bruslerie Session Chair: Jessica FouillouxThe Green Bond PremiumOlivier David Zerbib, University of Lyon 1 - ISFA (Institut de Science Financière et d'Assurances)Discussant: Jessica FouillouxThe Impact Of Screening Strategies On The Performance Of Esg IndicesAmélie Charles, Audencia; Olivier Darné, Université de Nantes, LEMNA; Jessica Fouilloux, Université Paris SudDiscussant: Amal AouadiThe Missing Link Between Csr Awards And Financial Performance: And The Winner Is...Amal Aouadi, Université d'AuvergneDiscussant: Olivier David Zerbib Session Chair: Olivier RousseEvidence On Size, Value, Operating Profitability And Investment In The French MarketMarc Desban, Université Paris-EstDiscussant: Nabil El MeslmaniInformed Trading In Oil Futures MarketsOlivier Rousse, Université Grenoble Alpes; Benoît Sévi, Université de NantesDiscussant: Marc DesbanThe Idiosyncratic Volatility Puzzle And Mergers And Acquisitions ActivityLorne Switzer, Concordia University; Nabil El Meslmani, Concordia UniversityDiscussant: Olivier Rousse Session Chair: Philippe AdairBasel Compliance And Islamic Bank Risk: Further EvidenceMohammad Bitar, John Molson School of Business, Concordia University; Sami Ben Naceur, International Monetary Fund; Rym Ayadi, HEC Montreal; Thomas Walker, John Molson school of BusinessDiscussant: Philippe AdairIs Being Islamic Worth It?Jamil Jaballah, Grenoble Ecole de Management; Jonathan Peillex, Léonard de Vinci Pôle Universitaire; Laurent Weill, EM Strasbourg Business School, University of StrasbourgDiscussant: Mohammad BitarThe Social And Financial Performance Of Microfinance Institutions In The Mena Region: Do Islamic Institutions Perform Better?Imène Berguiga, University of Sousse; Yosra BenSaid, University of Sfax; Philippe Adair, University Paris-Est CréteilDiscussant: Jamil Jaballah Session Chair: Michael SteinInformation, Learning And High–frequency Trading In Electronic Call Auction MarketsPanagiotis Anagnostidis, EUROFIDAI; Patrice Fontaine, EUROFIDAI; Christos Varsakelis, Université catholique de LouvainDiscussant: Thomas JohannThe Best In Town: A Comparative Analysis Of Low-frequency Liquidity EstimatorsThomas Johann, University of Mannheim; Erik Theissen, University of MannheimDiscussant: Michael SteinThe Value Of True LiquidityRobin Borcherding, University of Duisburg-Essen; Michael Stein, University of Duisburg-EssenDiscussant: Panagiotis Anagnostidis Session Chair: Juliusz Radwanski

in partnership with: Institut Louis Bachelier

Estimating Discrete-time Gaussian Term Structure Models In Canonical Companion FormJuliusz Radwanski, HU BerlinDiscussant: Benedikt HimbertRevisiting Methods For Assessing Parameter Estimation Error In Empirical DatasetsBenedikt Himbert, WHU - Otto Beisheim School of Management; Julia Kapraun, WHU - Otto Beisheim School of ManagementDiscussant: Juliusz Radwanski
(Centre de Vie)
Session 2
BankingBanking and Financial regulationBehavioral FinanceCorporate GovernanceFinancial EconometricsInformation and Market efficiencyInternational FinancePortfolio & Asset ManagementQuantitative Finance
Session Chair: Christophe GodlewskiDo Investors Pay Sufficient Attention To Banks’ Other Comprehensive Income?Romain Boulland, ESSEC; Gerald Lobo, University of Houston; Luc Paugam, HEC ParisDiscussant: Eric Paget-BlancInitial Conditions And The Private Debt Renegotiation ProcessChristophe Godlewski, UHA & EM Strasbourg (LaRGE)Discussant: Romain BoullandTechnical Efficiency Of Banks In The Franc ZoneLouisa Andriamasy, Université de Perpignan; Eric Paget-Blanc, Université d'Evry - Val d'EssonneDiscussant: Christophe Godlewski Session Chair: Robert KrainerCoco Bonds And Risk: The Market ViewHenning Hesse, Goethe University FrankfurtDiscussant: Antonio BayehEconomic Stability Under Alternative Banking Systems: Theory And PolicyRobert Krainer, University of Wisconsin-MadisonDiscussant: Henning HesseThe Risk-and-return Effects Of Us Banking Competition And SecuritizationAntonio Bayeh, University of Grenoble Alpes; Radu Burlacu, University of Grenoble AlpesDiscussant: Robert Krainer Session Chair: Erik TheissenAll Is Not Lost That Is Delayed: Overconfidence And Investment FailureAndré Betzer, BUW – Schumpeter School of Business and Economics; Inga van den Bongard, University of Mannheim; Erik Theissen, University of Mannheim; Christine Volkmann, BUW – Schumpeter School of Business and EconomicsDiscussant: Jean-François GajewskiAppetite For Information In Mandatory Profiling Of Individual InvestorsAnthony Bellofatto, Université catholique Louvain; Marie-Hélène Broihanne, EM StrasbourgDiscussant: Erik TheissenEmotional Responses To Financial InformationJean-François Gajewski, University Savoie Mont-Blanc; Réal Labelle, Stephen A. Jarislowsky Chair in governance, HEC Montréal; Li Li, Montpellier Business School; Pierre-Majorique Leger, HEC Montréal; Sylvain Senecal, HEC MontréalDiscussant: Marie-Hélène Broihanne Session Chair: Jean-Gabriel Cousin"she Is Mine": Determinants And Value Eff Ects Of Early Announcements In TakeoversNihat Aktas, WHU - Otto Beisheim School of Management; Guosong Xu, WHU - Otto Beisheim School of Management; Burcin Yurtoglu, WHU - Otto Beisheim School of ManagementDiscussant: Yan AlperovychImproved Method For Detecting Acquirer SkillsEric de Bodt, FFBC-Université de Lille; Jean-Gabriel Cousin, FFBC-Université de Lille; Richard Roll, California Institute of TechnologyDiscussant: Guosong XuM&a Rumors: Why Sellers Hate ThemYan Alperovych, emlyon business school; Douglas Cumming, York University-Schulich School of Business; Alexander Groh, emlyon business schoolDiscussant: Jean-Gabriel Cousin Session Chair: Marie-Aude LagunaAre Dividends Detrimental To Corporate Social Performance?Mohamed Arouri, Université Clermont Auvergne; Sylvain Marsat, Université Clermont Auvergne; Guillaume Pijourlet, Université Clermont AuvergneDiscussant: Faten Ben SlimaneThe Effect Of Board Quotas On Female Director TurnoverDaniel Ferreira, LSE; Edith Ginglinger, Universite Paris-Dauphine; Marie-Aude Laguna, Universite Paris-Dauphine; Yasmine Skalli, Universite Paris-DauphineDiscussant: Guillaume PijourletThe Impact Of Demutualization On Stock Exchanges’ Financial Performance: The Moderating Role Of Corporate Governance PracticesFaten Ben Slimane, Université Paris Est Marne la Vallée; Laura Padilla Angulo, Loyola University AndalucíaDiscussant: Marie-Aude Laguna Session Chair: Serge DarollesDirect Specification And Estimation Of Dynamic Conditional BetasSerge Darolles, Université Paris-Dauphine; Sébastien Laurent, Aix-Marseille University; Christian Francq, CREST, ENSAE, Université Paris-SaclayDiscussant: Michael SteinEconomic Networks To Predict Corporate DefaultAndreea Constantin, University of LausanneDiscussant: Serge DarollesExplaining The Correlation Changes Between The Risk-free Rate And Sovereign Yields Of Euro Area CountriesRoberto De Santis, European Central Bank; Michael Stein, University of Duisburg-EssenDiscussant: Andreea Constantin Session Chair: Marie Lambert

in partnership with: CRCC Grenoble - Valence

Do Star Analysts Shine In Opaque Industries? Evidence From European BankingBenoit d'Udekem, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile BernheimDiscussant: Marie LambertMarket Efficiency And Hedge Fund Trading StrategiesMarie Lambert, HEC Liège, ULg; Federico Platania, ôle Universitaire Léonard de Vinci. Ecole de Management Léonard De Vinci (EMLV) - Ecole supérieure d’ingénieurs Léonard De Vinci (ESILV); Nicolas Papageorgiou, HEC MontréalDiscussant: Benoit d'Udekem
Session Chair: Ouarda Merrouche

in partnership with: Amundi

Countercyclical Foreign Currency Borrowing: Eurozone Firms In 2007-2009Ouarda Merrouche, Université Paris-NanterreDiscussant: Paula Mirela SandulescuCountry Factors And The Investment Decisions Of Sovereign Wealth FundsJeanne Amar, Aix Marseille University; Bertrand Candelon, Maastricht University; Christelle Lecourt, Aix Marseille University; Zhou Xun, Jiangxi University of Finance and EconomicsDiscussant: Ouarda MerroucheMake Sdfs Great AgainPaula Mirela Sandulescu, University of Lugano & Swiss Finance Institute; Fabio Trojani, University of Geneva & Swiss Finance Institute; Andrea Vedolin, London School of EconomicsDiscussant: Jeanne Amar
Session Chair: Imre KondorAnalytic Solution To Variance Optimization With No Short SellingImre Kondor, London Mathematical Laboratory; Gabor Papp, Eötvös University, Budapest, Institute for Physics; Fabio Caccioli, University College London, Department of Computer ScienceDiscussant: David ArdiaAsset Pricing With Housing Booms And DisastersMessaoud Chibane, ESSEC Business School; Abraham Lioui, EDHEC Business School; Patrice Poncet, ESSEC Business SchoolDiscussant: Imre KondorBeyond Risk-based Portfolios: Balancing Performance And Risk Contributions In Asset AllocationDavid Ardia, University of Neuchâtel; Kris Boudt, Vrije Universiteit Brussel; Giang Nguyen, Vrije Universiteit BrusselDiscussant: Messaoud Chibane Session Chair: François Quittard-PinonForecasting Yield-curve Distribution Under The Negative Interest Rate PolicyJae Yun Jun Kim, ECE Paris; Victor Lebreton, Quant Hedge; Yves Rakotondratsimba, ECE ParisDiscussant: François Quittard-PinonInformation Shares In Stationary Time Series And Global Volatility DiscoveryRainer Baule, FernUniversität in Hagen; Bart Frijns, Auckland University of Technology; Milena Tieves, FernUniversität in HagenDiscussant: Yves RakotondratsimbaRisk Control Of Variable Annuities With RatchetFrançois Quittard-Pinon, Lyon Ecole de ManagementDiscussant: Milena Tieves
(Ground floor, Building E)
Session 3
BankingBanking and Financial regulationCorporate GovernanceFinance, Ethics, and SustainabilityFinancial MarketsInformation and Market efficiencyMarket MicrostructurePortfolio & Asset Management
Session Chair: Joël PeteyCompetition, Securitization, And Efficiency In U.s. BanksAntonio Bayeh, University of Grenoble Alpes; Radu Burlacu, University of Grenoble Alpes; Mohammad Bitar, Concordia University; Thomas Walker, Concordia UniversityDiscussant: Jean-Loup SoulaDoes Diversification Contribute To The Resiliency Of A Residential Loans Guarantee Scheme?Joël Petey, Strasbourg University & EM Strasbourg Business School; Michel Dietsch, Strasbourg UniversityDiscussant: Antonio BayehTechnical Efficiency In Bank Liquidity CreationJean-Loup Soula, University of Strasbourg; Iftekhar Hasan, Gabelli School of Business, Fordham UniversityDiscussant: Joël Petey Session Chair: Olivier Le CourtoisStructural Pricing Of Cocos And Deposit Insurance With Regime Switching And JumpsOlivier Le Courtois, EM Lyon Business School; Xiaoshan Su, Beihang UniversityDiscussant: Fabian WoebbekingSystemic Risk And Capital AdequacyFabian Woebbeking, Goethe University FrankfurtDiscussant: Viet Dung TranOn The Riskiness Of Banks: A Two-sided Story Of Functional DiversificationViet Dung Tran, Univ Grenoble AlpesDiscussant: Olivier Le Courtois Session Chair: Anh Ngoc LaiControlling Information Asymmetry Precision To Extract Private BenefitsAnh Ngoc Lai, University of Rennes 1; Patrick Navatte, University of Rennes 1; Jean-Laurent Viviani, University of Rennes 1Discussant: Jean-Yves FilbienInternational Trade And The Propagation Of Merger WavesM. Farooq Ahmad, IÉSEG School of Management; Eric de Bodt, Université Lille 2; Jarrad Harford, University of WashingtonDiscussant: Anh Ngoc LaiMedia Coverage And The Decision To Withdraw An IpoJean-Yves Filbien, University of Lille; Diego Amaya, Wilfried Laurier University; Maher Kooli, ESG UQAMDiscussant: M. Farooq Ahmad Session Chair: Lynnette PurdaDo Bondholders Value Senior Loan Lender Control Rights?Bo Li, Tsinghua University; Lynnette Purda, Queen's University; Wei Wang, Queen's UniversityDiscussant: Xiqian ZhangDo Cooperatives Cope Better? Survival Analysis Of French Agricultural CooperativesJustine Valette, University of Montpellier – Montpellier Research in Management; Paul Amadieu, University of Montpellier – Montpellier Research in Management; Patrick Sentis, University of Montpellier and Montpellier Business School – Montpellier Research in Management.Discussant: Lynnette PurdaDo Sovereign Wealth Funds (really) Destroy Firm Value?Xiqian Zhang, Institute of Financial Analysis, University of NeuchâtelDiscussant: Justine Valette Session Chair: Rey DangDoes Board Gender Diversity Influence Firm Financial Performance? Evidence From French SmesRey Dang A., ICN Business School, Nancy-Metz - CEREFIGE; Christine Naschberger, Audencia Business School; L’Hocine Houanti, La Rochelle Business School; Nhu Tuyên Lê, Grenoble École de ManagementDiscussant: Jingwen GeMeasures For Sustainable Investment Decision Making - A Triple Bottom Line ApproachMaite Cubas-Díaz, University of the Basque Country (UPV/EHU); Miguel Ángel Martínez Sedano, University of the Basque Country (UPV/EHU)Discussant: Rey DangThe Influence Of Culture On The Cross-country Gender Disparities In The European Financial Analysts IndustryJingwen Ge, CERAGDiscussant: Maite Cubas-Díaz Session Chair: Andreas RathgeberFinancialization Of Commodity Markets – Evidence From European Certificates MarketsHerbert Mayer, University of Augsburg - Materials Resource Management; Andreas Rathgeber, University of Augsburg - Materials Resource Management; Markus Ulze, University of Augsburg - Materials Resource Management; Markus Wanner, University of Augsburg - Materials Resource ManagementDiscussant: Angela ArmakollaThe European Ccp EcosystemAngela Armakolla, Université Paris 1 Panthéon-Sorbonne & Labex Refi; Benedetta Bianchi, Trinity CollegeDiscussant: Andreas Rathgeber Session Chair: Christophe Perignon

Special Session:  ACPR Chair «Regulation and Systemic Risks»

Covered Bonds, Asset Encumbrance And Bank Risk: Evidence From The European Banking IndustryEmilia Garcia-Appendini, University of St. Gallen, School of Finance; Stefano Gatti, Bocconi University, Department of Finance; Giacomo Nocera, Audencia Business School, Institute of FinanceDiscussant: Stefano ZeddaPitfalls In Systemic-risk ScoringSylvain Benoit, Dauphine; Christophe Hurlin; Christophe Perignon, HEC ParisDiscussant: Giacomo NoceraAnalysis Of Banks’ Systemic Risk Contribution And Contagion Determinants Trough The Leave-one-out ApproachStefano Zedda, University of Cagliari; Giuseppina Cannas, European CommissionDiscussant: Christophe Perignon
Session Chair: Jörg Prokop

in partnership with: CNCC

Asymmetric Information And The Distribution Of Trading VolumeMatthijs Lof, Aalto University; Jos van Bommel, Luxembourg School of FinanceDiscussant: Jörg ProkopShort-horizon Market Efficiency, Order Imbalance, And Speculative Trading: Evidence From The Chinese Stock MarketYingyi Hu, Southwestern University of Finance and EconomicsDiscussant: Jos van BommelTransnational Spillover Effects Of Sovereign Rating Signals On Bank Stock Returns: Evidence From The Euro AreaHaoshen Hu, University of Oldenburg; Jörg Prokop, University of Oldenburg; Hans-Michael Trautwein, University of OldenburgDiscussant: Yingyi Hu
Session Chair: Yves RannouA Tale Of One Exchange And Two Order Books: Effects Of Fragmentation In The Absence Of CompetitionAlejandro Bernales, University of Chile; Italo Riarte, University of Chile; Satchit Sagade, Goethe University Frankfurt and Research Center SAFE; Marcela Valenzuela, University of Chile; Christian Westheide, University of Mannheim and Research Center SAFEDiscussant: Yves RannouManaging Excess Volatility: Design And Effectiveness Of Circuit BreakersBenjamin Clapham, Goethe University Frankfurt; Peter Gomber, Goethe University Frankfurt; Martin Haferkoren, Goethe University Frankfurt; Sven Panz, Goethe University FrankfurtDiscussant: Satchit SagadeRisk Aversion, Order Placement Strategies And Price Formation In A Dynamic Limit Order Book: The Perspective Of European Carbon MarketsYves Rannou, Groupe ESC ClermontDiscussant: Benjamin Clapham Session Chair: Sébastien ValeyreMomentum Pricing And Trading, And Economic Uncertainty RegimesJorge M. Uribe, University of BarcelonaDiscussant: Sébastien ValeyrePerformance Decomposition And Diversification Properties Of Smart Beta StrategiesBoris Fays, HEC Management School – University of Liège; Marie Lambert, HEC Management School – University of Liège; Nicolas Papageorgiou, HEC MontréalDiscussant: Jorge M. UribeThe Beta Neutral Model With Leverage Effect And Mean ReversionSébastien Valeyre, John Locke Invst/ Universite de Paris XIII, Sorbonne Paris Cite,Discussant: Boris Fays
Thursday, 1 June 2017
(Entrance Hall, Building E)
Session 4
BankingBanking and Financial regulationBehavioral FinanceCorporate GovernanceInsuranceInternational FinancePortfolio & Asset ManagementQuantitative Finance
Session Chair: Laurent WeillBanks And Regional Economic ActivityValeriya Dinger, University of Osnabrueck; Erik Theissen, University of MannheimDiscussant: Laurent WeillThe Determinants Of Loan Acceptance: A Case Study Of French FarmsGeoffroy Enjolras, CERAG, Université Grenoble-Alpes; Philippe Madiès, CERAG, Université Grenoble-AlpesDiscussant: Erik TheissenTrust In BanksZuzana Fungacova, Bank of Finland; Iftekhar Hasan, Fordham University; Laurent Weill, EM Strasbourg Business SchoolDiscussant: Geoffroy Enjolras Session Chair: Sylvain CarréDisclosures, Rollover Risk, And Debt RunsSylvain Carré, Ecole Polytechnique Fédérale de LausanneDiscussant: Eric ThorezPre-adoption Of Ifrs 9 To Account For Carbon Derivatives: Methodology And Impact AssessmentYves Rannou, Groupe ESC Clermont; Pascal Barneto, IAE Bordeaux; Nadine Ricci-Xella, Aix-Marseille UniversitéDiscussant: Sylvain CarréCds And The Forecasting Of Bank DefaultEric Thorez, Paris Dauphine University - PSLDiscussant: Yves Rannou Session Chair: Nicolas AubertInfluence Of Political Climate On Portfolio Composition: Evidence From Regional BanksMarina Mukhamadieva, Goethe University FrankfurtDiscussant: Riccardo CalcagnoThe Socioeconomic Determinants Of Company-based Savings Plans Risk ExposureYacine Bekrar, Toulon Univ; Nicolas Aubert, Aix Marseille University & Inseec BSDiscussant: Marina MukhamadievaTo Trust Is Good, But To Control Is Better: How Investors Discipline Financial Advisors' ActivityRiccardo Calcagno, EM Lyon Business School; Maela Giofré, Università di Torino; Cesira Urzi-Brancati, Collegio Carlo AlbertoDiscussant: Nicolas Aubert Session Chair: Gaël LeboeufConvertible Bonds Call Policy Of Western European CompaniesOlivier Yvon Adoukonou, Université de Rennes 1; Florence André-Le Pogamp, Université de Rennes 1; Jean-Laurent Viviani, Université de Rennes 1Discussant: Gaël LeboeufShort-term Investors, Monitoring Blockholders, And Long-term Corporate InvestmentSimon Gloßner, Catholic University Eichstätt-IngolstadtDiscussant: Olivier Yvon AdoukonouThe Narcissism Of Crowdfunding EntrepreneursHelen Bollaert, SKEMA Business School - Université Côte d'Azur; Armin Schwienbacher, SKEMA Business School - Université Côte d'Azur; Gaël Leboeuf, SKEMA Business School - Université de LilleDiscussant: Simon Gloßner Session Chair: Dusan IsakovFounding Family Ownership, Stock Market Performance And Agency ProblemsDusan Isakov, Université de Fribourg; Nicolas Eugster, Université de FribourgDiscussant: Thu Ha TranInvesting In The Rich Of This World: Family Investment Holdings And Their PerformancePhilippe Masset, Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland; Jean-Philippe Weisskopf, Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western SwitzerlandDiscussant: Dusan IsakovReducing Agency Conflict Between Bank Stakeholders: The Role Of Independent-but-related DirectorsThierno Amadou Barry, Laboratoire d'Analyse et de Prospective Economiques; Laetitia Lepetit, Laboratoire d'Analyse et de Prospective Economiques; Frank Strobel, Department of Economics-University of Birmingham; Thu Ha Tran, Laboratoire d'Analyse et de Prospective EconomiquesDiscussant: Jean-Philippe Weisskopf Session Chair: Dima TawilLong-term Care Models And Dependence Probability Tables By Acuity Level: New Empirical Evidence From SwitzerlandMichel Fuino, University of Lausanne; Joël Wagner, University of LausanneDiscussant: Dima TawilOptimal Asset-liability Management Of Issuers Of Variable Annuities With GuaranteesOlivier Le Courtois, EM Lyon Business School; Krzysztof Ostaszewski, Illinois State University; Li Shen, EM Lyon Business SchoolDiscussant: Michel FuinoRisk-adjusted Performance Of Portfolio Insurance And Investors’ PreferencesDima Tawil, ESC rennesDiscussant: Li Shen Session Chair: Filippo De Marco

in partnership with: Finance Journal

Beyond Home Bias: Heterogeneity In Foreign Holdings And Information SetsRosen Valchev, Boston College; Filippo De Marco, Bocconi University; Marco Macchiavelli, Federal Reserve, Board of GovernorsDiscussant: Alvaro PedrazaDo Foreign Investors Under-perform? An Empirical Decomposition Into Style And FlowsAlvaro Pedraza, World Bank Group; Fredy Pulga, Universidad de la Sabana; Jose Vasquez, World BankDiscussant: Filippo De MarcoThe Impact Of Ucits Iv Directive On European Mutual Funds PerformanceVeasna Khim, CEREFIGE University of Lorraine; Hery Razafitombo, CEREFIGE University of LorraineDiscussant: Gilles Sanfilippo
Session Chair: Carole Bernard

in partnership with: bankers, markets & investors

Beta Dispersion And Market TimingLaura-Chloé Kuntz, University of GoettingenDiscussant: Carole BernardForeign-promoted Mutual Funds In The Continental European MarketLinh Tran Dieu, Lyon Catholic University-ESDES Business School of UclyDiscussant: Laura-Chloé KuntzOptimal Portfolio Choice With BenchmarksCarole Bernard, Grenoble Ecole de Management; Rob De Staelen, Ghent University; Steven Vanduffel, Vrije Universiteit BrusselDiscussant: Linh Tran Dieu
Session Chair: Souleymane Laminou AbdouBond Sensitivities When The Interest Rates Are Near The Zero Lower BoundCélia Bayet, ECE Paris; Jean-Marc Le Caillec, Telecom Brest; Yves Rakotondratsimba, ECE ParisDiscussant: Souleymane Laminou AbdouCan We Really Discard Forecasting Ability Of Option Implied Risk Neutral Distributions?Antoni Vaello Sebastià, Universitat de les Illes Balears; Maria Magdalena Vich Llompart, Universitat de les Illes BalearsDiscussant: Célia BayetStop Ou Encore: On The Contingent Corporate Decisions To Invest And DisinvestSouleymane Laminou Abdou, University of Rennes 1; Franck Moraux, University of Rennes 1Discussant: Maria Magdalena Vich Llompart
(Ground floor, Building E)
(C001, Building C)

High Frequency Trading: Implications for Liquidity

(Centre de Vie)
Session 5
Asset PricingBanking and Financial regulationCorporate GovernanceDerivativesFinance, Ethics, and SustainabilityInformation and Market efficiencyRisk Management
Session Chair: Jean-Laurent VivianiGrowth Options And The Cross-section Of Residual VariancesAndreea Mitrache, Toulouse Business SchoolDiscussant: Jean-Laurent VivianiInternational Portfolio Diversification And Macroeconomic Fluctuations When Preferences Are Time-varyingGiuliano Curatola, Goethe University Frankfurt and SAFE; Ilya Dergunov, Goethe University Frankfurt and SAFEDiscussant: Andreea MitracheThe Components Of Illiquidity Premium: An Unobserved Components ApproachMalick Fall, Prolept; Jean-Laurent Viviani, Université de Rennes 1Discussant: Ilya Dergunov Session Chair: Adalbert Winkler

in partnership with: AMF

Banks Provisioning Behavior And Procyclicality: An Empirical Analysis Of European BanksFerdaous Bahri, Institut Supérieur de Gestion, Université de Sousse; Taher Hamza, Institut des Hautes Etudes Commerciale, Université de CarthageDiscussant: Adalbert WinklerEffect Of Business Cycle And Economic Liberalization On European Banking PerformanceFaten Ben Bouheni, ISC PARIS BUSINESS SCHOOLDiscussant: Ferdaous BahriMore Inclusive, More Stable? The Financial Inclusion - Stability Nexus In The Global Financial CrisisTania Lopez, Frankfurt School of Finance and Management GgmbH; Adalbert Winkler, Frankfurt School of Finance and Management GgmbHDiscussant: Faten Ben Bouheni
Session Chair: Philippe DupuyTarget's Country Leadership Style And Bidders’ Takeover DecisionsIbtissem Rouine, University Lille 2Discussant: Philippe DupuyWhy So Much Cash In European Firms? An Empirical Study 1986-2015Michel Albouy, Grenoble Ecole de Management; Christophe Bonnet, Grenoble Ecole de Management; Philippe Dupuy, Grenoble Ecole de Management; Safwan Mchawrab, Grenoble Ecole de ManagementDiscussant: Ibtissem Rouine Session Chair: Laurent VilanovaApproaches Of Relationship Lending In Cooperative And Investor Owned Thrifts: Case Of The Thrifts In The UsSandra Challita, Université de Montpellier; Patrick Sentis, Université de Montpellier; Philippe Aurier, Université de MontpellierDiscussant: Aitzaz Ahsan Alias SarangAuthority, Overconfidence, And MotivationLaurent Vilanova, Université Lyon 2 - CoactisDiscussant: Sandra ChallitaBoard Of Director’s Composition And Corporate Cash Holdings: Evidence From French Listed CompaniesAitzaz Ahsan Alias Sarang, IAE Aix en Provence; Nicolas Aubert, CERGAM, Aix Marseille University & Inseec Business School; Xavier Hollandts, Kedge Business SchoolDiscussant: Laurent Vilanova Session Chair: Delphine LautierInformation Flows Across The Futures Term Structure: Evidence From Crude Oil PricesDelphine Lautier, University Paris-Dauphine; Franck Raynaud, University of Lausanne; Michel Robe, American University, Washington DCDiscussant: Hendrik HülsbuschMarkets' Notion On Implied Volatility Risks: Insights From Model-free Vix Futures PricingHendrik Hülsbusch, Finance Center Muenster; Alexander Kraftschik, Finance Center MuensterDiscussant: Delphine Lautier Session Chair: Jakob KoegstEmpirical Evidence On Environmental Performance And Operating CostsJakob Koegst, University of Muenster; Nadja Guenster, University of MuensterDiscussant: Liviu AndronicEnvironmental, Social And Governance Proposals And Shareholder ActivismJiaying Wei, ESSEC Business SchoolDiscussant: Jakob KoegstShareholder Engagement And Corporate BehaviorLiviu Andronic, University of Toulouse CapitoleDiscussant: Jiaying Wei Session Chair: Houdou Basse MamaInvestor Relations' Quality And MispricingHoudou Basse Mama, ESCP Europe; Rachidi Kotchoni, Economix-CNRS, Université Paris NanterreDiscussant: Matthieu PicaultWords Are Not All Created Equal: A New Measure Of The Ecb CommunicationMatthieu Picault, IESEG School of Management; Thomas Renault, Université Paris I - Sorbonne & IESEGDiscussant: Houdou Basse Mama Session Chair: Kaouther ToumiBank Capital Adequacy And Liquidity Management: Conventional Vs Islamic BankKalai Fedi, Lille UniversityDiscussant: Kaouther ToumiEconomic Development And Islamic Bank Capital Decisions: Evidence From The Law And Finance LiteratureMohammad Bitar, John Molson School of BusinessDiscussant: Kalai FediThe Determinants Of Bank Profitability, Do Islamic Ethics Perspective Matter? A Comprehensive Study On Islamic Banks Vs. Conventional.Kaouther Toumi, University of Toulouse 3; Rana El Bahsh, German Jordanian University; Serge Agbodjo, University of Toulouse 3Discussant: Mohammad Bitar Session Chair: Sébastien LleoA Tale Of Two Indexes: Predicting Equity Market Downturns In ChinaSébastien Lleo, NEOMA Business School; William Ziemba, University of British ColumbiaDiscussant: Abderrahim Ben JaziaIntroducing Global Term Structure Into A Risk Parity Framework: Application To Sovereign BondsLauren Stagnol, Amundi - EconomiX (Université Paris X)Discussant: Sébastien LleoOn Dynamic Minimum Revenue Guarantees In Public Private Partnerships With Flexible DurationsAbderrahim Ben Jazia, Aix-Marseille University, CERGAMDiscussant: Lauren Stagnol
(Ground floor, Building E)
Session 6
Banking and Financial regulationBehavioral FinanceDerivativesPortfolio & Asset ManagementSystemic risks
Session Chair: Marion DupireRisk Governance Of Financial Institutions In The EuMarion Dupire, Univ. Lille; Regine Slagmulder, Vlerick Business SchoolDiscussant: Samira HellouThe Impact Of Regulatory Requirements On The Banking Flows To Emerging CountriesSamira Hellou, Economix, Université Paris Ouest Nanterre; Michel Boutillier, Economix, Université Paris Ouest NanterreDiscussant: Marion Dupire Session Chair: Patrick RogerIntraday Online Investor Sentiment And Return Patterns In The U.s. Stock MarketThomas Renault, IESEG School of Management, Université Paris 1 Panthéon-SorbonneDiscussant: Ivana VitanovaInvestor Sentiment And Stock Return Predictability: The Power Of IgnoranceCatherine D'Hondt, Louvain School of Management, Catholic University of Louvain; Patrick Roger, EM Strasbourg Business School, University of StrasbourgDiscussant: Thomas RenaultNurturing Ceo Overcon Fidence: The Dynamics Of Corporate Governance, Managerial Beliefs And Fi Rm PerformanceIvana Vitanova, Université Lyon 2Discussant: Catherine D'Hondt Session Chair: Naciye SekerciBidder Excess Control, Private Benefits And Acquisition Premium: Evidence From FranceMohamed-Firas Thraya, IDRAC BUSINESS SCHOOL; Taher Hamza, VALLOREM Lab, Université d’Orléans, FranceDiscussant: Felix von MeyerinckLarge Investors’ Portfolio Composition And Firm ValueNaciye Sekerci, Utrecht University School of Economics; Abraham (Avri) Ravid, Yeshiva UniversityDiscussant: Mohamed-Firas ThrayaPeer Pressure In Corporate Earnings ManagementConstantin Charles, University of St. Gallen; Markus Schmid, University of St. Gallen; Felix von Meyerinck, University of St. GallenDiscussant: Naciye Sekerci Session Chair: Martin WallmeierReal Options Valuation And Stress Test AnalysisFederico Platania, Leonard de Vinci Pole Universitaire; Marie Lambert, University of Liege; Manuel Moreno, Universidad de Castilla la ManchaDiscussant: Martin WallmeierSkewness Premium And Index Option ReturnsMartin Wallmeier, University of FribourgDiscussant: Federico Platania Session Chair: Omar MeharziPricing Kernels In International Markets: An Agnostic StudyTamara Nunes, University of LausanneDiscussant: Omar MeharziIdiosyncratic Volatility, Its Expected Variation, And The Cross-section Of Stock ReturnsNicole Branger, Finance Center Muenster, University of Muenster; Hendrik Hülsbusch, Finance Center Muenster, University of Muenster; Frederik Middelhoff, Finance Center Muenster, University of MuensterDiscussant: Tamara NunesInformation Asymmetry And Herding: New Insights From The Us And Chinese Stock MarketsOmar Meharzi, University Grenoble Alpes; Ijaz Ali, University Grenoble AlpesDiscussant: Frederik Middelhoff Session Chair: Charles-Olivier Amédée-ManesmeOn The Effectiveness And Usefulness Of The Portfolio Insurance Strategies For ReitsCharles-Olivier Amédée-Manesme, Université Laval; Philippe Bertrand, CERGAM, IAE Aix-en-Provence and Kedge Business School; Jean-Luc Prigent, THEMA, Université de Cergy-PontoiseDiscussant: Alain GuénicheReaching Medium Risk Exposure Through Non-fixed Income EtfsChristophe Dispas, Skema business school; Amaury Goguel, Skema business school; Thomas Lanzi, Skema business school; Hugo Pascail, Université Côte d’Azur, SKEMA, CNRS, GREDEGDiscussant: Charles-Olivier Amédée-ManesmeTesting The Conditional Capm With The Optimal Informed Investors' PortfolioAlain Guéniche, CERAG; Radu Burlacu, CERAG; Sonia Jimenez-Garcès, CERAGDiscussant: Hugo Pascail Session Chair: Florian FuchsDo Publicly Listed Private Equity Firms Make Bad Deals?Maurice McCourt, ESSEC Busines SchoolDiscussant: Florian FuchsThe First Time In Private Equity: A Closer Look On Management TeamsFlorian Fuchs, University of St.GallenDiscussant: Maurice McCourt Session Chair: Adalbert WinklerCentral Bank In A Contagion ModelMaroua Riabi, Paris Dauphine UniversityDiscussant: Adalbert WinklerDrivers Of Solvencs Risk - Are Microfinance Institutions Different?Adalbert Winkler, Frankfurt School of Finance & Management; Markus Schulte, Frankfurt School of Finance & ManagementDiscussant: Maroua Riabi
(Centre de Vie)
Friday, 2 June 2017
(Entrance Hall, Building E)
BankingBanking and Financial regulationBanking and Financial regulationDerivatives
Session Chair: Patrice FontaineDo Pan-african Banks Have The Best Of Both Worlds?Alexandra Zins, LaRGE, University of Strasbourg; Laurent Weill, LaRGE, University of StrasbourgDiscussant: Patrice FontaineHow Do Political Connections And Corruption Shape The Banking Pool Structure In Emerging Markets?Hong Van Vu, University Lille 2Discussant: Georges Hubner Session Chair: Hervé AlexandreCorrelation Between The 2014 Eu-wide Stress Test And Market Based Measures Of Systemic RiskSonia Dissem, Université de Lille_Skema Business SchoolDiscussant: Joël PeteyShadow Banking System: A Complement To Other Regular Financial Systems? Evidence From International DataZeinab Said, University Grenoble AlpesDiscussant: Hervé Alexandre Session Chair: Philippe DesbrièresSegmentation Of The Lbo Market Based On Projects' Risk And Return CharacteristicsThomas Bonesire, HEC Liège - University of LiègeDiscussant: Philippe DesbrièresLiberating Leadership Style & Short-run Success Of American Takeovers.Ibtissem Rouine, Université Lille 2; Pascal Grandin, Université Lille 2Discussant: Laurent Vilanova Session Chair: Franck MorauxLead-lag Relationship Between Spot And Futures Stock Indexes: Intraday Data And Regime Switching ModelsNuria Alemany, Universitat Jaume I; Vicent Aragó, Universitat Jaume I; Enrique Salvador, Universitat Jaume IDiscussant: Ollivier TaramascoMultivariate Dependence Between Stock And Commodity Markets, A Vine ApproachManel Soury, Aix Marseille School of economicsDiscussant: Franck Moraux
(Ground floor, Building E)
BankingPortfolio & Asset Management
Session Chair: Geoffroy EnjolrasInstitutional Framework And Banking Efficiency In Sub-saharan Africa: Evidence From Cemac And Uemoa CountriesArnaud Tamini, LaRGE Research Center (University of Strasbourg)Discussant: Herve AlexandreIs Bank Profitability That Good? Evidence On The Link Between Bank Profitability And GrowthPaul-Olivier Klein, University of Strasbourg; Laurent Weill, University of StrasbourgDiscussant: Geoffroy Enjolras Session Chair: Laurent VilanovaSecond Round Financing For Start-ups With Convertible Notes Under Asymmetric Information: A Real Options ApproachYasuharu Imai, IAE de Caen, University of Caen NormandyDiscussant: Laurent VilanovaCorporate Governance And Ethics Within Financial Institutions – Coping With A Major Fault Line Of The Current Economy.elisabeth franco-gressieux, HEC Montréal; Bernard Sinclair-Desgagné, HEC MontréalDiscussant: Sonia Jimenez-Garcès Session Chair: Philippe BertrandLiterature Review And Research Gaps: The Role Of Private Information On Global Factors For Mutual Funds Holdings And PerformanceBarbara Abou Tanos, Université Grenoble Alpes - Cerag LaboratoryDiscussant: Philippe BertrandDo Networks Of Blockholders Have An Impact On Mergers And Acquisitions?Kishore Ravi Narayanan, SKEMA Business school and Lille 2 UniversityDiscussant: Philippe Desbrières Session Chair: Patrick RogerA Model Of Price Impact And Market Maker LatencyJakub Rojcek, University of Zurich and Swiss Finance InstituteDiscussant: Patrice FontaineCommon Ownership Network And Mutual Fund PerformanceShema Mitali, Warwick Business School - University of WarwickDiscussant: Patrick Roger
(Centre de Vie)


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