PROGRAM - FRIC’19: Conference on Financial Frictions

 

Thursday, August 15, 2019 

 

08:15

-

09:00      

Registration and coffee

 

09:00

-

09:15

Welcome and opening remarks
David Lando and Lasse Heje Pedersen

 

SESSION ON UNCERTAINTY IN FINANCIAL MARKETS 

09:15

-

10:00

Keynote: Aggregate Information Dynamics
Gary Gorton, Yale School of Management
(joint with Guillermo Ordoñez, University of Pennsylvania)

Slides Gary Gorton

10:00

-

10:45

Liquidity, Volume, and Volatility

Pierre Collin-Dufresne, EPFL and SFI

(with Vincent Bogousslavsky, Boston College, Carroll School of Management)

Slides Pierre Collin-Dufresne 

 

Discussant: Itay Goldstein, University of Pennsylvania, Wharton School

Slides Itay Goldstein

  

10:45

-

11:15

Coffee break

 

11:15

-

12:00

Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
Ian Martin, London School of Economics
(with Can Gao, Imperial College)

Slides Ian Martin

 

Discussant: Paul Schneider, USI Lugano and SFI

Slides Paul Schneider 

 

12:00

-

13:15

Lunch

 

SESSION ON FRICTIONS IN FIXED INCOME MARKETS 

13:15

-

14:00

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

Hui Chen, MIT Sloan School of Management
(with Zhuo Chen, Tsinghua University; Zhiguo He, Chicago Booth; Jinyu Liu, University of International Business and Economics; and Rengming Xie, CITIC Securities)

 

Discussant: Konstantin Milbradt, Northwestern University, Kellogg School of Management

 

14:00

-

14:45

Post-FOMC Announcement Drift in U.S. Bond Markets

Hanno Lustig, Stanford Graduate School of Business
(with Jordan Brooks, AQR Capital Management, and Michael Katz, AQR Capital Management)

Slides Hanno Lustig

 

Discussant: Andrea Vedolin, Boston University, Questrom School of Business

Slides Andrea Vedolin

 

14:45

-

15:15

Coffee break

 

KEYNOTE ON EXCHANGE RATES AND ASSET PRICES 

15:15

-

16:00

Keynote: Exchange Rates and Asset Prices in a Global Demand System

Ralph Koijen, University of Chicago Booth School of Business

(with Motohiro Yogo, Princeton University)

Slides Ralph Koijen

 

16:00

-

17:00

Cocktail reception

 

 

Friday, 16 August, 2019

 

08:15

-

09:00

Registration and coffee

SESSION ON DEBT MARKET FINANCING

09:00

-

09:45

Keynote: The Credit Rating Industry: A Decade After the Global Financial Crisis
Richard Cantor, Moody’s Corporation
 

09:45

-

10:30

Financial Contracts and Interest Rates: Implications for Risk-Sharing and Monetary Policy Transmission
Michael Schwert
, University of Pennsylvania, Wharton School

(with Michael Roberts, Wharton School, University of Pennsylvania)

Slides Michael Schwert

 

Discussant: Daniel Streitz, Copenhagen Business School and DFI

Slides Daniel Streizt

10:30

-

11:00

Coffee break

 

11:00

-

11:45

Dealer Behavior and the Trading of Newly Issued Corporate Bonds
Edith Hotchkiss, Boston College, Carroll School of Management
(with Michael Goldstein, Babson College and Stanislava Nikolova, University of Nebraska–Lincoln)

Slides Edith Hotchkiss

Discussant: Stephen Schaefer, London Business School

Slides Stephen Schaefer

 

11:45

-

12:30

Keynote: Debt Ratchets and Welfare Destruction

Peter DeMarzo, Stanford Graduate School of Business
 

12:30

-

12:45

Closing remarks

David Lando and Lasse Heje Pedersen

12:45

-

14:00

Lunch (to stay or to go)

 

Copenhagen Business School (CBS) - Solbjerg Plads 3 - 2000 - Frederiksberg - +45 38153815 - conferences@cbs.dk