Student Research Workshop
Meetings are held on Tuesdays, from 12:30 p.m. to 1:30 p.m., in the BCF Library. Lunch is served at 12:20 p.m.
Program slots are filled on a first-come, first-served basis. If you would like to present in the spring term 2013, please e-mail to Olivier Darmouni
September 24 Ji Huang - "Banking and Shadow Banking"
October 1 Joonas Haemaelaeinen - "Optimal Investment Portfolios with Predictable Return Signs"
October 15 Philip Yan - "Short Covering in Momentum Crashes"
October 22 Vicky Liu - "Trade Credit and Firm Level Risk Sharing"
October 29 Fall recess - no workshop
November 12 Zhenyu Gao - "Housing Boom and Bust with Elastic Supplies"
November 19 Philip Yan - Crowded Trades, Short Covering, and Momentum Crashes"
November 26 Michael Sockin - "Optimal Capital Structure and Security Valuation with Stochastic
December 3 Gabriele La Spada - "Fund Tournaments with Heterogeneous Costs of Default"
December 10 Felix Matthys - "Yield Curve and Equilibrium Exchange Rate under Uncertainty about
Government and Monetary Policy" (with Markus Leippold)
This is a workshop for students writing dissertations in Finance. Economics students with carrel space in the BCF are required to attend and are expected to present regularly. The workshop is a vehicle for presentation of work in progress. One session may consist of multiple presentations.
The workshop is held roughly once every two weeks, with allowances for academic breaks
Francois Geerolf (Harvard University)
"House Prices Drive Current Accounts: Evidence from Property Tax Shocks"
"The Effect of Temporary Short-Selling Ban".
"Momentum Crash and Short Covering"
"Liquidity Auctions, Fixed Rate Tenders, Bailouts & Systemic Risk in the EURO Zone" with
Nuno Cassola and Ali Hortacsu
"Unregulated Financing I: Pro-Cyclical Implicit Guarantees"
"Robust Contracts in Security Design"
"The Trading Profits of High Frequency Traders," with Jonathan Brogaard and Andrei Kirilenko
Peter Van Tassel
"A High Frequency Test of the ICAPM"
"A Quantitative Model of House Quantities and House Prices"
"Feedback Effects of Commodity Future Prices," with Wei Xiong
"Delayed Capital Reallocation"
Jeong Ho (John) Kim
"Ambiguity Aversion and Risk Sharing"
"Home Investors and Housing Price Dynamics"
"Delayed Capital Reallocation" Hans-Gersbach-paper
"An Axiomatic and Data Driven View on the EPK Paradox"
"Default and the Financial Sector"
"Unregulated Financing II: Imperfect Risk Sharing"
"Optimal Intervention in a Market-Based Financial System"
Topic: "Portfolio Choice and Costly Dynamic Information Acquisition"
Topic: "What Drives Persistence in Private Equity Fund Performance?"
Topic: "Why Do Households Trade Risky Mortgages? A new perspective from risk sharing"
Topic: "Trade Credit in the Absence of Immediate Credit Constraint"
Topic: Dynamic Market for Lemons
Topic: "Real Estate Investors and the Boom and Bust of the U.S. Housing Market"
Common Shareholders and Interlocking Directorships: The Relation Between Two Corporate Networks"
Topic: "Financial Intermediation and Off-Balance Sheet Financing"
Topic: "Financial Friction and Selling Friction"
Topic: "A Belief Driven Order Book Model"
Topic: "Between Data Cleaning and Inference: Pre-averaging and Other Robust Estimates of the Efficient Price" (with Lan Zhang)
Dong Beom Choi
Topic: "Contagious Bank Runs: Which bank to be recapitalized?
Topic: "A Continuous-time Model of Career Concerns and Human Capital Accumulation"
Jean-Noel Barrot, HEC Paris
"Investor Horizon and Limits of Arbitrage: Evidence from private equity funds"
Sergey Zhuk (Special time: 12:20-1:30)
Topic: Job Market Talk: TBA
Martin Schmalz (Special time: 12:20-1:30)
Topic: Job Market Paper Talk: "Financing Human and Organizational Capital: Evidence from unionization elections"
Ming Yang (Special time: 12:20-1:30)
Topic: "Optimality of Securitized Debt with Endogenous and Flexible Information Acquisition"
Topic: "The Cost of Capital for Alternative Investments"
Topic: "The Role of Reputation on PE Fund Size and Performance"
Topic: "Changes in the Opportunity Cost of Cash: A Soluton to the Corporate Cash Hoarding Puzzle" (with Jean-Francois Kagy)
Topic: "Endogenous Fund Flows and Managerial Tournament Behavior under High Watermark Contracts" (with Filippos Papakonstantinou)
Topic:: "Welfare Economics with Heterogeneous Beliefs."
Topic: "A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and VIX Option Prices"
Topic: "Can Contracting Prevent Traders from Neglecting Risks?"
Topic: On the Optimal Response to Asset Price Levels and Fluctuations" with Diogo Guillen
Topic: "Information Asymmetry, Volitility and Market Impact"
Topic: "Housing Investors in the Boom and Bust Cycle" with Wenli Li
Topic: "Bank Deregulation and Political Contribution" with Cheng Chen
Alan Krueger, "Build America Bonds"
Hyun Soo Choi, "The Role of Lending Law (Anti-predatory Lending) on the Recent Housing Crisis"
Andrew Robinson, "Procyclical Liquidity and Credit Spreads"
Martin Schmalz and Sergey Zuk, "Learning about covariance, and Applications"
Jose Azar, "Diversification, Shareholder Value Minimization, and Competition: A Trilemma?"
Dirk Paulsen, "Financial Friction in a General Equilibrium Macro Model"
Xing Hiu (Jun Pan and Jiang Wang), "Noise as Information for Liquidity"
Weicheng Lian, "An Amplification Mechanism in the Housing Market"
Sergey Zhuk, "Rational Bubbles, Speculative Bubbles and Endogenous Learning"
Jean-Francois Kagy, "Corporate Cash Hoarding: Revisiting the Procyclicality Argument Against the Basel Rules"
Dong Beom Choi
Martin Schmalz and Sergey Zuk, "Learning about Market Risk, CEO Turnover, the Active Funds Puzzle, and Momentum"
Jia Li, "Testing for jumps: A delta-hedgin perspective"
Weicheng Lian, "Housing Cyles or Housing Bubbles"
Xing Hu, "Rollover Risk and Credit Spreads in the Financial Crisis of 2008
Dong Boem Choi, "Risk Sharing, Credit Crunch and Financial Fragility"
"Feedback between Asset Price and Panic Run"
Sergey Zhuk, "Endogenous Learning and Rational Bubbles"
Ming Yang, "Optimal Contracts in Providing Liquidity with Endogenous Information Acquisition"
Ana Babus, "Strategic Relationships in Over-the-counter Markets"
Thomas Eisenbach and Martin Schmalz, "Anxiety in the Face of Risk"
Hyun Soo Choi (with Harrison Hong and José Scheinkman), “Home Improvements"