8:00-8:30 Registration and welcome coffee (Entrance Hall, Building E)
8:30-8:45 Welcome Speeches (C001, Building C)
8:45-10:00 Keynote Speaker: Prof. Raman UPPAL (London EDHEC Business School) (C001, Building C) A Portfolio Perspective on the Multitude of Firm Characteristics
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10:00-10:20 Coffee Break (Ground floor, Building E)
10:20-11:50 Session 1 Asset Pricing Banking Corporate Governance Finance, Ethics, and Sustainability Information and Market efficiency Market Microstructure Quantitative Finance E015 E016 E101 E103 E106 C004 C006 C007 C008 Asset Pricing 1 Session Chair: Ilya Dergunov Exploring Fama-french Five-factor Model On Chinese A-share Stock Market Wenting Jiao, IGR-IAE, Université de Rennes 1; Jean-Jacques Lilti, IGR-IAE, Université de Rennes 1 Discussant: Ilya Dergunov Good Inflation, Bad Inflation, And The Pricing Of Real Assets Ilya Dergunov, Research Center SAFE; Christoph Meinerding, Goethe University Frankfurt; Christian Schlag, Goethe University Frankfurt Discussant: Rüdiger Weber Implied Volatility Duration And The Early Resolution Premium Christian Schlag, Goethe University Frankfurt; Julian Thimme, Goethe University Frankfurt; Rüdiger Weber, Goethe University Frankfurt Discussant: Wenting Jiao Banking 1 Session Chair: Christoph Memmel Is Trade Credit A Substitute For Relationship Lending Credit? Jérémie Bertrand, ISA Lille; Pierluigi Murro, LUMSA University Discussant: Elise Alfieri Why Do Banks Bear Interest Rate Risk? Christoph Memmel, Deutsche Bundesbank Discussant: Jérémie Bertrand On The Nature And The Financial Performance Of Bitcoin Elise Alfieri, CERAG; Radu Burlacu, CERAG; Geoffroy Enjolras, CERAG Discussant: Christoph Memmel Corporate finance 1 Session Chair: Robert Krainer Financial Contracting As Behavior Towards Risk: The Corporate Finance Of Business Cycles Robert Krainer, University of wisconsin-Madison Discussant: Christian Haddad The Emergence Of The Global Fintech Market: Economic And Technological Determinants Christian 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 Beuselinck Employment Protection And Payout Policy M. Farooq Ahmad, IÉSEG School of Management; Christof Beuselinck, IÉSEG School of Management; Helen Bollaert, Université Côte d'Azur – SKEMA Discussant: Robert Krainer Corporate gouvernance 1 Session Chair: Hubert de la Bruslerie Debt And Private Benefits Appropriation By A Controlling Shareholder: Introducing A Creditors’ Holdup Effect Hubert de la Bruslerie, University Paris Dauphine Discussant: Shan Zhao Internalizing Governance Externalities: The Role Of Institutional Cross-ownership Jie He, Terry College of Business, University of Georgia; Jiekun Huang, University of Illinois at Urbana-Champaign; Shan Zhao, Grenoble Ecole de Management Discussant: Simon Gueguen Shareholder Activism And The Timing Of Blockholder Disclosure Simon Gueguen, University of Paris-Dauphine Discussant: Hubert de la Bruslerie Finance Ethics and Sustainability 1 Session Chair: Jessica Fouilloux The Green Bond Premium Olivier David Zerbib, University of Lyon 1 - ISFA (Institut de Science Financière et d'Assurances) Discussant: Jessica Fouilloux The Impact Of Screening Strategies On The Performance Of Esg Indices Amélie Charles, Audencia; Olivier Darné, Université de Nantes, LEMNA; Jessica Fouilloux, Université Paris Sud Discussant: Amal Aouadi The Missing Link Between Csr Awards And Financial Performance: And The Winner Is... Amal Aouadi, Université d'Auvergne Discussant: Olivier David Zerbib Information and Market efficiency 1 Session Chair: Olivier Rousse Evidence On Size, Value, Operating Profitability And Investment In The French Market Marc Desban, Université Paris-Est Discussant: Nabil El Meslmani Informed Trading In Oil Futures Markets Olivier Rousse, Université Grenoble Alpes; Benoît Sévi, Université de Nantes Discussant: Marc Desban The Idiosyncratic Volatility Puzzle And Mergers And Acquisitions Activity Lorne Switzer, Concordia University; Nabil El Meslmani, Concordia University Discussant: Olivier Rousse Islamic Finance 1 Session Chair: Philippe Adair Basel Compliance And Islamic Bank Risk: Further Evidence Mohammad Bitar, John Molson School of Business, Concordia University; Sami Ben Naceur, International Monetary Fund; Rym Ayadi, HEC Montreal; Thomas Walker, John Molson school of Business Discussant: Philippe Adair Is 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 Strasbourg Discussant: Mohammad Bitar The 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 Créteil Discussant: Jamil Jaballah Market Microstructure 1 Session Chair: Michael Stein Information, Learning And High–frequency Trading In Electronic Call Auction Markets Panagiotis Anagnostidis, EUROFIDAI; Patrice Fontaine, EUROFIDAI; Christos Varsakelis, Université catholique de Louvain Discussant: Thomas Johann The Best In Town: A Comparative Analysis Of Low-frequency Liquidity Estimators Thomas Johann, University of Mannheim; Erik Theissen, University of Mannheim Discussant: Michael Stein The Value Of True Liquidity Robin Borcherding, University of Duisburg-Essen; Michael Stein, University of Duisburg-Essen Discussant: Panagiotis Anagnostidis Quantitative Finance 1 Session Chair: Juliusz Radwanski in partnership with: Institut Louis Bachelier
Estimating Discrete-time Gaussian Term Structure Models In Canonical Companion Form Juliusz Radwanski, HU Berlin Discussant: Benedikt Himbert Revisiting Methods For Assessing Parameter Estimation Error In Empirical Datasets Benedikt Himbert, WHU - Otto Beisheim School of Management; Julia Kapraun, WHU - Otto Beisheim School of Management Discussant: Juliusz Radwanski
11:50-13:30 Wine testing & Lunch (Centre de Vie)
13:30-15:00 Session 2 Banking Banking and Financial regulation Behavioral Finance Corporate Governance Financial Econometrics Information and Market efficiency International Finance Portfolio & Asset Management Quantitative Finance E016 E015 E102 E101 E103 E106 C004 C006 C007 C008 Banking 2 Session Chair: Christophe Godlewski Do Investors Pay Sufficient Attention To Banks’ Other Comprehensive Income? Romain Boulland, ESSEC; Gerald Lobo, University of Houston; Luc Paugam, HEC Paris Discussant: Eric Paget-Blanc Initial Conditions And The Private Debt Renegotiation Process Christophe Godlewski, UHA & EM Strasbourg (LaRGE) Discussant: Romain Boulland Technical Efficiency Of Banks In The Franc Zone Louisa Andriamasy, Université de Perpignan; Eric Paget-Blanc, Université d'Evry - Val d'Essonne Discussant: Christophe Godlewski Banking and Financial Regulation 1 Session Chair: Robert Krainer Coco Bonds And Risk: The Market View Henning Hesse, Goethe University Frankfurt Discussant: Antonio Bayeh Economic Stability Under Alternative Banking Systems: Theory And Policy Robert Krainer, University of Wisconsin-Madison Discussant: Henning Hesse The Risk-and-return Effects Of Us Banking Competition And Securitization Antonio Bayeh, University of Grenoble Alpes; Radu Burlacu, University of Grenoble Alpes Discussant: Robert Krainer Behavioral Finance 1 Session Chair: Erik Theissen All Is Not Lost That Is Delayed: Overconfidence And Investment Failure André 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 Economics Discussant: Jean-François Gajewski Appetite For Information In Mandatory Profiling Of Individual Investors Anthony Bellofatto, Université catholique Louvain; Marie-Hélène Broihanne, EM Strasbourg Discussant: Erik Theissen Emotional Responses To Financial Information Jean-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 Montréal Discussant: Marie-Hélène Broihanne Corporate finance 2 Session Chair: Jean-Gabriel Cousin "she Is Mine": Determinants And Value Eff Ects Of Early Announcements In Takeovers Nihat Aktas, WHU - Otto Beisheim School of Management; Guosong Xu, WHU - Otto Beisheim School of Management; Burcin Yurtoglu, WHU - Otto Beisheim School of Management Discussant: Yan Alperovych Improved Method For Detecting Acquirer Skills Eric de Bodt, FFBC-Université de Lille; Jean-Gabriel Cousin, FFBC-Université de Lille; Richard Roll, California Institute of Technology Discussant: Guosong Xu M&a Rumors: Why Sellers Hate Them Yan Alperovych, emlyon business school; Douglas Cumming, York University-Schulich School of Business; Alexander Groh, emlyon business school Discussant: Jean-Gabriel Cousin Corporate Gouvernance 2 Session Chair: Marie-Aude Laguna Are Dividends Detrimental To Corporate Social Performance? Mohamed Arouri, Université Clermont Auvergne; Sylvain Marsat, Université Clermont Auvergne; Guillaume Pijourlet, Université Clermont Auvergne Discussant: Faten Ben Slimane The Effect Of Board Quotas On Female Director Turnover Daniel Ferreira, LSE; Edith Ginglinger, Universite Paris-Dauphine; Marie-Aude Laguna, Universite Paris-Dauphine; Yasmine Skalli, Universite Paris-Dauphine Discussant: Guillaume Pijourlet The Impact Of Demutualization On Stock Exchanges’ Financial Performance: The Moderating Role Of Corporate Governance Practices Faten Ben Slimane, Université Paris Est Marne la Vallée; Laura Padilla Angulo, Loyola University Andalucía Discussant: Marie-Aude Laguna Financial Econometrics 1 Session Chair: Serge Darolles Direct Specification And Estimation Of Dynamic Conditional Betas Serge Darolles, Université Paris-Dauphine; Sébastien Laurent, Aix-Marseille University; Christian Francq, CREST, ENSAE, Université Paris-Saclay Discussant: Michael Stein Economic Networks To Predict Corporate Default Andreea Constantin, University of Lausanne Discussant: Serge Darolles Explaining The Correlation Changes Between The Risk-free Rate And Sovereign Yields Of Euro Area Countries Roberto De Santis, European Central Bank; Michael Stein, University of Duisburg-Essen Discussant: Andreea Constantin Information and Market efficiency 2 Session Chair: Marie Lambert in partnership with: CRCC Grenoble - Valence
Do Star Analysts Shine In Opaque Industries? Evidence From European Banking Benoit d'Udekem, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim Discussant: Marie Lambert Market Efficiency And Hedge Fund Trading Strategies Marie 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 Montréal Discussant: Benoit d'Udekem International Finance 1 Session Chair: Ouarda Merrouche in partnership with: Amundi
Countercyclical Foreign Currency Borrowing: Eurozone Firms In 2007-2009 Ouarda Merrouche, Université Paris-Nanterre Discussant: Paula Mirela Sandulescu Country Factors And The Investment Decisions Of Sovereign Wealth Funds Jeanne Amar, Aix Marseille University; Bertrand Candelon, Maastricht University; Christelle Lecourt, Aix Marseille University; Zhou Xun, Jiangxi University of Finance and Economics Discussant: Ouarda Merrouche Make Sdfs Great Again Paula Mirela Sandulescu, University of Lugano & Swiss Finance Institute; Fabio Trojani, University of Geneva & Swiss Finance Institute; Andrea Vedolin, London School of Economics Discussant: Jeanne Amar Portfolio & Asset Management 1 Session Chair: Imre Kondor Analytic Solution To Variance Optimization With No Short Selling Imre Kondor, London Mathematical Laboratory; Gabor Papp, Eötvös University, Budapest, Institute for Physics; Fabio Caccioli, University College London, Department of Computer Science Discussant: David Ardia Asset Pricing With Housing Booms And Disasters Messaoud Chibane, ESSEC Business School; Abraham Lioui, EDHEC Business School; Patrice Poncet, ESSEC Business School Discussant: Imre Kondor Beyond Risk-based Portfolios: Balancing Performance And Risk Contributions In Asset Allocation David Ardia, University of Neuchâtel; Kris Boudt, Vrije Universiteit Brussel; Giang Nguyen, Vrije Universiteit Brussel Discussant: Messaoud Chibane Quantitative Finance 2 Session Chair: François Quittard-Pinon Forecasting Yield-curve Distribution Under The Negative Interest Rate Policy Jae Yun Jun Kim, ECE Paris; Victor Lebreton, Quant Hedge; Yves Rakotondratsimba, ECE Paris Discussant: François Quittard-Pinon Information Shares In Stationary Time Series And Global Volatility Discovery Rainer Baule, FernUniversität in Hagen; Bart Frijns, Auckland University of Technology; Milena Tieves, FernUniversität in Hagen Discussant: Yves Rakotondratsimba Risk Control Of Variable Annuities With Ratchet François Quittard-Pinon, Lyon Ecole de Management Discussant: Milena Tieves
15:00-15:20 Coffee Break (Ground floor, Building E)
15:20-16:50 Session 3 Banking Banking and Financial regulation Corporate Governance Finance, Ethics, and Sustainability Financial Markets Information and Market efficiency Market Microstructure Portfolio & Asset Management E016 E015 E101 E103 E102 C006 E106 C004 C008 C007 Banking 3 Session Chair: Joël Petey Competition, Securitization, And Efficiency In U.s. Banks Antonio Bayeh, University of Grenoble Alpes; Radu Burlacu, University of Grenoble Alpes; Mohammad Bitar, Concordia University; Thomas Walker, Concordia University Discussant: Jean-Loup Soula Does Diversification Contribute To The Resiliency Of A Residential Loans Guarantee Scheme? Joël Petey, Strasbourg University & EM Strasbourg Business School; Michel Dietsch, Strasbourg University Discussant: Antonio Bayeh Technical Efficiency In Bank Liquidity Creation Jean-Loup Soula, University of Strasbourg; Iftekhar Hasan, Gabelli School of Business, Fordham University Discussant: Joël Petey Banking and Financial Regulation 2 Session Chair: Olivier Le Courtois Structural Pricing Of Cocos And Deposit Insurance With Regime Switching And Jumps Olivier Le Courtois, EM Lyon Business School; Xiaoshan Su, Beihang University Discussant: Fabian Woebbeking Systemic Risk And Capital Adequacy Fabian Woebbeking, Goethe University Frankfurt Discussant: Viet Dung Tran On The Riskiness Of Banks: A Two-sided Story Of Functional Diversification Viet Dung Tran, Univ Grenoble Alpes Discussant: Olivier Le Courtois Corporate finance 3 Session Chair: Anh Ngoc Lai Controlling Information Asymmetry Precision To Extract Private Benefits Anh Ngoc Lai, University of Rennes 1; Patrick Navatte, University of Rennes 1; Jean-Laurent Viviani, University of Rennes 1 Discussant: Jean-Yves Filbien International Trade And The Propagation Of Merger Waves M. Farooq Ahmad, IÉSEG School of Management; Eric de Bodt, Université Lille 2; Jarrad Harford, University of Washington Discussant: Anh Ngoc Lai Media Coverage And The Decision To Withdraw An Ipo Jean-Yves Filbien, University of Lille; Diego Amaya, Wilfried Laurier University; Maher Kooli, ESG UQAM Discussant: M. Farooq Ahmad Corporate Gouvernance 3 Session Chair: Lynnette Purda Do Bondholders Value Senior Loan Lender Control Rights? Bo Li, Tsinghua University; Lynnette Purda, Queen's University; Wei Wang, Queen's University Discussant: Xiqian Zhang Do Cooperatives Cope Better? Survival Analysis Of French Agricultural Cooperatives Justine 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 Purda Do Sovereign Wealth Funds (really) Destroy Firm Value? Xiqian Zhang, Institute of Financial Analysis, University of Neuchâtel Discussant: Justine Valette Finance Ethics and Sustainability 2 Session Chair: Rey Dang Does Board Gender Diversity Influence Firm Financial Performance? Evidence From French Smes Rey 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 Management Discussant: Jingwen Ge Measures For Sustainable Investment Decision Making - A Triple Bottom Line Approach Maite Cubas-Díaz, University of the Basque Country (UPV/EHU); Miguel Ángel Martínez Sedano, University of the Basque Country (UPV/EHU) Discussant: Rey Dang The Influence Of Culture On The Cross-country Gender Disparities In The European Financial Analysts Industry Jingwen Ge, CERAG Discussant: Maite Cubas-Díaz Financial Markets 1 Session Chair: Andreas Rathgeber Financialization Of Commodity Markets – Evidence From European Certificates Markets Herbert 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 Management Discussant: Angela Armakolla The European Ccp Ecosystem Angela Armakolla, Université Paris 1 Panthéon-Sorbonne & Labex Refi; Benedetta Bianchi, Trinity College Discussant: Andreas Rathgeber Financial Regulation and Systemic Risks Session Chair: Christophe Perignon Special Session: ACPR Chair «Regulation and Systemic Risks»
Covered Bonds, Asset Encumbrance And Bank Risk: Evidence From The European Banking Industry Emilia Garcia-Appendini, University of St. Gallen, School of Finance; Stefano Gatti, Bocconi University, Department of Finance; Giacomo Nocera, Audencia Business School, Institute of Finance Discussant: Stefano Zedda Pitfalls In Systemic-risk Scoring Sylvain Benoit, Dauphine; Christophe Hurlin; Christophe Perignon, HEC Paris Discussant: Giacomo Nocera Analysis Of Banks’ Systemic Risk Contribution And Contagion Determinants Trough The Leave-one-out Approach Stefano Zedda, University of Cagliari; Giuseppina Cannas, European Commission Discussant: Christophe Perignon Information and Market efficiency 3 Session Chair: Jörg Prokop in partnership with: CNCC
Asymmetric Information And The Distribution Of Trading Volume Matthijs Lof, Aalto University; Jos van Bommel, Luxembourg School of Finance Discussant: Jörg Prokop Short-horizon Market Efficiency, Order Imbalance, And Speculative Trading: Evidence From The Chinese Stock Market Yingyi Hu, Southwestern University of Finance and Economics Discussant: Jos van Bommel Transnational Spillover Effects Of Sovereign Rating Signals On Bank Stock Returns: Evidence From The Euro Area Haoshen Hu, University of Oldenburg; Jörg Prokop, University of Oldenburg; Hans-Michael Trautwein, University of Oldenburg Discussant: Yingyi Hu Market Microstructure 2 Session Chair: Yves Rannou A Tale Of One Exchange And Two Order Books: Effects Of Fragmentation In The Absence Of Competition Alejandro 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 SAFE Discussant: Yves Rannou Managing Excess Volatility: Design And Effectiveness Of Circuit Breakers Benjamin Clapham, Goethe University Frankfurt; Peter Gomber, Goethe University Frankfurt; Martin Haferkoren, Goethe University Frankfurt; Sven Panz, Goethe University Frankfurt Discussant: Satchit Sagade Risk Aversion, Order Placement Strategies And Price Formation In A Dynamic Limit Order Book: The Perspective Of European Carbon Markets Yves Rannou, Groupe ESC Clermont Discussant: Benjamin Clapham Portfolio & Asset Management 2 Session Chair: Sébastien Valeyre Momentum Pricing And Trading, And Economic Uncertainty Regimes Jorge M. Uribe, University of Barcelona Discussant: Sébastien Valeyre Performance Decomposition And Diversification Properties Of Smart Beta Strategies Boris Fays, HEC Management School – University of Liège; Marie Lambert, HEC Management School – University of Liège; Nicolas Papageorgiou, HEC Montréal Discussant: Jorge M. Uribe The Beta Neutral Model With Leverage Effect And Mean Reversion Sébastien Valeyre, John Locke Invst/ Universite de Paris XIII, Sorbonne Paris Cite, Discussant: Boris Fays
17:00-18:00 Shuttle Bus to Chateau de Grignan
18:15-19:30 Visit of the Château de Grignan
19:45-22:45 Cocktail and Gala Dinner (Domaine les Méjonnes)
8:30-9:00 Registration and welcome coffee (Entrance Hall, Building E)
9:00-10:30 Session 4 Banking Banking and Financial regulation Behavioral Finance Corporate Governance Insurance International Finance Portfolio & Asset Management Quantitative Finance E015 E016 E101 E103 E106 C004 C006 C007 C008 Banking 4 Session Chair: Laurent Weill Banks And Regional Economic Activity Valeriya Dinger, University of Osnabrueck; Erik Theissen, University of Mannheim Discussant: Laurent Weill The Determinants Of Loan Acceptance: A Case Study Of French Farms Geoffroy Enjolras, CERAG, Université Grenoble-Alpes; Philippe Madiès, CERAG, Université Grenoble-Alpes Discussant: Erik Theissen Trust In Banks Zuzana Fungacova, Bank of Finland; Iftekhar Hasan, Fordham University; Laurent Weill, EM Strasbourg Business School Discussant: Geoffroy Enjolras Banking and Financial Regulation 3 Session Chair: Sylvain Carré Disclosures, Rollover Risk, And Debt Runs Sylvain Carré, Ecole Polytechnique Fédérale de Lausanne Discussant: Eric Thorez Pre-adoption Of Ifrs 9 To Account For Carbon Derivatives: Methodology And Impact Assessment Yves Rannou, Groupe ESC Clermont; Pascal Barneto, IAE Bordeaux; Nadine Ricci-Xella, Aix-Marseille Université Discussant: Sylvain Carré Cds And The Forecasting Of Bank Default Eric Thorez, Paris Dauphine University - PSL Discussant: Yves Rannou Behavioral Finance 2 Session Chair: Nicolas Aubert Influence Of Political Climate On Portfolio Composition: Evidence From Regional Banks Marina Mukhamadieva, Goethe University Frankfurt Discussant: Riccardo Calcagno The Socioeconomic Determinants Of Company-based Savings Plans Risk Exposure Yacine Bekrar, Toulon Univ; Nicolas Aubert, Aix Marseille University & Inseec BS Discussant: Marina Mukhamadieva To Trust Is Good, But To Control Is Better: How Investors Discipline Financial Advisors' Activity Riccardo Calcagno, EM Lyon Business School; Maela Giofré, Università di Torino; Cesira Urzi-Brancati, Collegio Carlo Alberto Discussant: Nicolas Aubert Corporate finance 4 Session Chair: Gaël Leboeuf Convertible Bonds Call Policy Of Western European Companies Olivier Yvon Adoukonou, Université de Rennes 1; Florence André-Le Pogamp, Université de Rennes 1; Jean-Laurent Viviani, Université de Rennes 1 Discussant: Gaël Leboeuf Short-term Investors, Monitoring Blockholders, And Long-term Corporate Investment Simon Gloßner, Catholic University Eichstätt-Ingolstadt Discussant: Olivier Yvon Adoukonou The Narcissism Of Crowdfunding Entrepreneurs Helen Bollaert, SKEMA Business School - Université Côte d'Azur; Armin Schwienbacher, SKEMA Business School - Université Côte d'Azur; Gaël Leboeuf, SKEMA Business School - Université de Lille Discussant: Simon Gloßner Corporate Gouvernance 4 Session Chair: Dusan Isakov Founding Family Ownership, Stock Market Performance And Agency Problems Dusan Isakov, Université de Fribourg; Nicolas Eugster, Université de Fribourg Discussant: Thu Ha Tran Investing In The Rich Of This World: Family Investment Holdings And Their Performance Philippe 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 Switzerland Discussant: Dusan Isakov Reducing Agency Conflict Between Bank Stakeholders: The Role Of Independent-but-related Directors Thierno 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 Economiques Discussant: Jean-Philippe Weisskopf Insurance 1 Session Chair: Dima Tawil Long-term Care Models And Dependence Probability Tables By Acuity Level: New Empirical Evidence From Switzerland Michel Fuino, University of Lausanne; Joël Wagner, University of Lausanne Discussant: Dima Tawil Optimal Asset-liability Management Of Issuers Of Variable Annuities With Guarantees Olivier Le Courtois, EM Lyon Business School; Krzysztof Ostaszewski, Illinois State University; Li Shen, EM Lyon Business School Discussant: Michel Fuino Risk-adjusted Performance Of Portfolio Insurance And Investors’ Preferences Dima Tawil, ESC rennes Discussant: Li Shen International Finance 2 Session Chair: Filippo De Marco in partnership with: Finance Journal
Beyond Home Bias: Heterogeneity In Foreign Holdings And Information Sets Rosen Valchev, Boston College; Filippo De Marco, Bocconi University; Marco Macchiavelli, Federal Reserve, Board of Governors Discussant: Alvaro Pedraza Do Foreign Investors Under-perform? An Empirical Decomposition Into Style And Flows Alvaro Pedraza, World Bank Group; Fredy Pulga, Universidad de la Sabana; Jose Vasquez, World Bank Discussant: Filippo De Marco The Impact Of Ucits Iv Directive On European Mutual Funds Performance Veasna Khim, CEREFIGE University of Lorraine; Hery Razafitombo, CEREFIGE University of Lorraine Discussant: Gilles Sanfilippo Portfolio & Asset Management 3 Session Chair: Carole Bernard in partnership with: bankers, markets & investors
Beta Dispersion And Market Timing Laura-Chloé Kuntz, University of Goettingen Discussant: Carole Bernard Foreign-promoted Mutual Funds In The Continental European Market Linh Tran Dieu, Lyon Catholic University-ESDES Business School of Ucly Discussant: Laura-Chloé Kuntz Optimal Portfolio Choice With Benchmarks Carole Bernard, Grenoble Ecole de Management; Rob De Staelen, Ghent University; Steven Vanduffel, Vrije Universiteit Brussel Discussant: Linh Tran Dieu Quantitative Finance 3 Session Chair: Souleymane Laminou Abdou Bond Sensitivities When The Interest Rates Are Near The Zero Lower Bound Célia Bayet, ECE Paris; Jean-Marc Le Caillec, Telecom Brest; Yves Rakotondratsimba, ECE Paris Discussant: Souleymane Laminou Abdou Can 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 Balears Discussant: Célia Bayet Stop Ou Encore: On The Contingent Corporate Decisions To Invest And Disinvest Souleymane Laminou Abdou, University of Rennes 1; Franck Moraux, University of Rennes 1 Discussant: Maria Magdalena Vich Llompart
10:30-11:00 Coffee Break (Ground floor, Building E)
11:00-12:15 Keynote Speaker: Prof. Yacine Aït-Sahalia (Princeton University) (C001, Building C) High Frequency Trading: Implications for Liquidity
12:15-14:00 Wine testing & Lunch (Centre de Vie)
14:00-15:30 Session 5 Asset Pricing Banking and Financial regulation Corporate Governance Derivatives Finance, Ethics, and Sustainability Information and Market efficiency Risk Management E015 E016 E101 E103 E106 C004 C006 C007 C008 Asset Pricing 2 Session Chair: Jean-Laurent Viviani Growth Options And The Cross-section Of Residual Variances Andreea Mitrache, Toulouse Business School Discussant: Jean-Laurent Viviani International Portfolio Diversification And Macroeconomic Fluctuations When Preferences Are Time-varying Giuliano Curatola, Goethe University Frankfurt and SAFE; Ilya Dergunov, Goethe University Frankfurt and SAFE Discussant: Andreea Mitrache The Components Of Illiquidity Premium: An Unobserved Components Approach Malick Fall, Prolept; Jean-Laurent Viviani, Université de Rennes 1 Discussant: Ilya Dergunov Banking and Financial Regulation 4 Session Chair: Adalbert Winkler in partnership with: AMF
Banks Provisioning Behavior And Procyclicality: An Empirical Analysis Of European Banks Ferdaous Bahri, Institut Supérieur de Gestion, Université de Sousse; Taher Hamza, Institut des Hautes Etudes Commerciale, Université de Carthage Discussant: Adalbert Winkler Effect Of Business Cycle And Economic Liberalization On European Banking Performance Faten Ben Bouheni, ISC PARIS BUSINESS SCHOOL Discussant: Ferdaous Bahri More Inclusive, More Stable? The Financial Inclusion - Stability Nexus In The Global Financial Crisis Tania Lopez, Frankfurt School of Finance and Management GgmbH; Adalbert Winkler, Frankfurt School of Finance and Management GgmbH Discussant: Faten Ben Bouheni Corporate finance 5 Session Chair: Philippe Dupuy Target's Country Leadership Style And Bidders’ Takeover Decisions Ibtissem Rouine, University Lille 2 Discussant: Philippe Dupuy Why So Much Cash In European Firms? An Empirical Study 1986-2015 Michel Albouy, Grenoble Ecole de Management; Christophe Bonnet, Grenoble Ecole de Management; Philippe Dupuy, Grenoble Ecole de Management; Safwan Mchawrab, Grenoble Ecole de Management Discussant: Ibtissem Rouine Corporate Gouvernance 5 Session Chair: Laurent Vilanova Approaches Of Relationship Lending In Cooperative And Investor Owned Thrifts: Case Of The Thrifts In The Us Sandra Challita, Université de Montpellier; Patrick Sentis, Université de Montpellier; Philippe Aurier, Université de Montpellier Discussant: Aitzaz Ahsan Alias Sarang Authority, Overconfidence, And Motivation Laurent Vilanova, Université Lyon 2 - Coactis Discussant: Sandra Challita Board Of Director’s Composition And Corporate Cash Holdings: Evidence From French Listed Companies Aitzaz Ahsan Alias Sarang, IAE Aix en Provence; Nicolas Aubert, CERGAM, Aix Marseille University & Inseec Business School; Xavier Hollandts, Kedge Business School Discussant: Laurent Vilanova Dervivatives 1 Session Chair: Delphine Lautier Information Flows Across The Futures Term Structure: Evidence From Crude Oil Prices Delphine Lautier, University Paris-Dauphine; Franck Raynaud, University of Lausanne; Michel Robe, American University, Washington DC Discussant: Hendrik Hülsbusch Markets' Notion On Implied Volatility Risks: Insights From Model-free Vix Futures Pricing Hendrik Hülsbusch, Finance Center Muenster; Alexander Kraftschik, Finance Center Muenster Discussant: Delphine Lautier Finance Ethics and Sustainability 3 Session Chair: Jakob Koegst Empirical Evidence On Environmental Performance And Operating Costs Jakob Koegst, University of Muenster; Nadja Guenster, University of Muenster Discussant: Liviu Andronic Environmental, Social And Governance Proposals And Shareholder Activism Jiaying Wei, ESSEC Business School Discussant: Jakob Koegst Shareholder Engagement And Corporate Behavior Liviu Andronic, University of Toulouse Capitole Discussant: Jiaying Wei Information and Market efficiency 4 Session Chair: Houdou Basse Mama Investor Relations' Quality And Mispricing Houdou Basse Mama, ESCP Europe; Rachidi Kotchoni, Economix-CNRS, Université Paris Nanterre Discussant: Matthieu Picault Words Are Not All Created Equal: A New Measure Of The Ecb Communication Matthieu Picault, IESEG School of Management; Thomas Renault, Université Paris I - Sorbonne & IESEG Discussant: Houdou Basse Mama Islamic Finance 2 Session Chair: Kaouther Toumi Bank Capital Adequacy And Liquidity Management: Conventional Vs Islamic Bank Kalai Fedi, Lille University Discussant: Kaouther Toumi Economic Development And Islamic Bank Capital Decisions: Evidence From The Law And Finance Literature Mohammad Bitar, John Molson School of Business Discussant: Kalai Fedi The 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 3 Discussant: Mohammad Bitar Risk Management 1 Session Chair: Sébastien Lleo A Tale Of Two Indexes: Predicting Equity Market Downturns In China Sébastien Lleo, NEOMA Business School; William Ziemba, University of British Columbia Discussant: Abderrahim Ben Jazia Introducing Global Term Structure Into A Risk Parity Framework: Application To Sovereign Bonds Lauren Stagnol, Amundi - EconomiX (Université Paris X) Discussant: Sébastien Lleo On Dynamic Minimum Revenue Guarantees In Public Private Partnerships With Flexible Durations Abderrahim Ben Jazia, Aix-Marseille University, CERGAM Discussant: Lauren Stagnol
15:30-16:00 Coffee Break (Ground floor, Building E)
16:00-17:30 Session 6 Banking and Financial regulation Behavioral Finance Derivatives Portfolio & Asset Management Systemic risks E016 E015 E101 E106 E103 C004 C007 C008 Banking and Financial Regulation 5 Session Chair: Marion Dupire Risk Governance Of Financial Institutions In The Eu Marion Dupire, Univ. Lille; Regine Slagmulder, Vlerick Business School Discussant: Samira Hellou The Impact Of Regulatory Requirements On The Banking Flows To Emerging Countries Samira Hellou, Economix, Université Paris Ouest Nanterre; Michel Boutillier, Economix, Université Paris Ouest Nanterre Discussant: Marion Dupire Behavioral Finance 3 Session Chair: Patrick Roger Intraday Online Investor Sentiment And Return Patterns In The U.s. Stock Market Thomas Renault, IESEG School of Management, Université Paris 1 Panthéon-Sorbonne Discussant: Ivana Vitanova Investor Sentiment And Stock Return Predictability: The Power Of Ignorance Catherine D'Hondt, Louvain School of Management, Catholic University of Louvain; Patrick Roger, EM Strasbourg Business School, University of Strasbourg Discussant: Thomas Renault Nurturing Ceo Overcon Fidence: The Dynamics Of Corporate Governance, Managerial Beliefs And Fi Rm Performance Ivana Vitanova, Université Lyon 2 Discussant: Catherine D'Hondt Corporate finance 6 Session Chair: Naciye Sekerci Bidder Excess Control, Private Benefits And Acquisition Premium: Evidence From France Mohamed-Firas Thraya, IDRAC BUSINESS SCHOOL; Taher Hamza, VALLOREM Lab, Université d’Orléans, France Discussant: Felix von Meyerinck Large Investors’ Portfolio Composition And Firm Value Naciye Sekerci, Utrecht University School of Economics; Abraham (Avri) Ravid, Yeshiva University Discussant: Mohamed-Firas Thraya Peer Pressure In Corporate Earnings Management Constantin Charles, University of St. Gallen; Markus Schmid, University of St. Gallen; Felix von Meyerinck, University of St. Gallen Discussant: Naciye Sekerci Derivatives 2 Session Chair: Martin Wallmeier Real Options Valuation And Stress Test Analysis Federico Platania, Leonard de Vinci Pole Universitaire; Marie Lambert, University of Liege; Manuel Moreno, Universidad de Castilla la Mancha Discussant: Martin Wallmeier Skewness Premium And Index Option Returns Martin Wallmeier, University of Fribourg Discussant: Federico Platania Financial Markets & International Finance 1 Session Chair: Omar Meharzi Pricing Kernels In International Markets: An Agnostic Study Tamara Nunes, University of Lausanne Discussant: Omar Meharzi Idiosyncratic Volatility, Its Expected Variation, And The Cross-section Of Stock Returns Nicole Branger, Finance Center Muenster, University of Muenster; Hendrik Hülsbusch, Finance Center Muenster, University of Muenster; Frederik Middelhoff, Finance Center Muenster, University of Muenster Discussant: Tamara Nunes Information Asymmetry And Herding: New Insights From The Us And Chinese Stock Markets Omar Meharzi, University Grenoble Alpes; Ijaz Ali, University Grenoble Alpes Discussant: Frederik Middelhoff Portfolio & Asset Management 4 Session Chair: Charles-Olivier Amédée-Manesme On The Effectiveness And Usefulness Of The Portfolio Insurance Strategies For Reits Charles-Olivier Amédée-Manesme, Université Laval; Philippe Bertrand, CERGAM, IAE Aix-en-Provence and Kedge Business School; Jean-Luc Prigent, THEMA, Université de Cergy-Pontoise Discussant: Alain Guéniche Reaching Medium Risk Exposure Through Non-fixed Income Etfs Christophe Dispas, Skema business school; Amaury Goguel, Skema business school; Thomas Lanzi, Skema business school; Hugo Pascail, Université Côte d’Azur, SKEMA, CNRS, GREDEG Discussant: Charles-Olivier Amédée-Manesme Testing The Conditional Capm With The Optimal Informed Investors' Portfolio Alain Guéniche, CERAG; Radu Burlacu, CERAG; Sonia Jimenez-Garcès, CERAG Discussant: Hugo Pascail Private Equity & Corporate Finance 1 Session Chair: Florian Fuchs Do Publicly Listed Private Equity Firms Make Bad Deals? Maurice McCourt, ESSEC Busines School Discussant: Florian Fuchs The First Time In Private Equity: A Closer Look On Management Teams Florian Fuchs, University of St.Gallen Discussant: Maurice McCourt Systemic Risk 1 Session Chair: Adalbert Winkler Central Bank In A Contagion Model Maroua Riabi, Paris Dauphine University Discussant: Adalbert Winkler Drivers Of Solvencs Risk - Are Microfinance Institutions Different? Adalbert Winkler, Frankfurt School of Finance & Management; Markus Schulte, Frankfurt School of Finance & Management Discussant: Maroua Riabi
17:30-18:30 Farewell Cocktail - Conference Awards (Centre de Vie)
18:30-19:30 General Assembly of AFFI (E001)
