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Student Research Workshop

Spring 2014


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

February  4             Alan Xiaochen Feng 
"Bank Competition: Risk Taking and Their Consequences: Evidence from the U.S. Mortgage and Labor Markets"

February 11            Olivier Darmouni 
"Policy Experimentation in Banking Crises"

February 18            Matt Baron  "The Causes and Consequences of Credit Expansion: Evidence from Stock Prices"

February 25            Zongbo Huang  "Haircut and Risk Sharing over the Cycle"

March 11                Alexander Rodnyansky  "Corporate Governance and the Real Effects of Corporate Cash Holdings"

March 25                Ying Jiang "Informed Trading and Firm's External Financing" 

April 1                     Carlos Campani, "Approximate Analytical Solutions for Consumption and Portfolio Decisions under Recursive Utility and Finite Horizon"

April  8                    Xiaoyang Sean Dong "Technological and Market Liquidity Spirals"

April 15                   Michael Sockin  (TBA)

April 22                   Peter Van Tassel  (TBA)

April 29                   Matthieu Gomez (TBA)

Fall 2013

September 17

September 24    Ji Huang - "Banking and Shadow Banking"

October 1          Joonas Haemaelaeinen - "Optimal Investment Portfolios with Predictable Return Signs"

October 8         

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 5     

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)

Spring 2013

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

February 12   
Francois Geerolf (Harvard University)
"House Prices Drive Current Accounts: Evidence from Property Tax Shocks"

February 26  
Haoshu Tian 
"The Effect of Temporary Short-Selling Ban".

March 26
Philip Yan
"Momentum Crash and Short Covering"

April 23
Jakub Kastl
"Liquidity Auctions, Fixed Rate Tenders, Bailouts & Systemic Risk in the EURO Zone" with
Nuno Cassola and Ali Hortacsu

May 7
Ji Huang
"Unregulated Financing I: Pro-Cyclical Implicit Guarantees"

May 14
Nemanja Antic
"Robust Contracts in Security Design"



Fall 2012

September 18
Matthew Barron
"The Trading Profits of High Frequency Traders," with Jonathan Brogaard and Andrei Kirilenko

September 25
Peter Van Tassel
"A High Frequency Test of the ICAPM"

October 2
Weicheng Lian
"A Quantitative Model of House Quantities and House Prices"

October 9
Michael Sockin
"Feedback Effects of Commodity Future Prices," with Wei Xiong

October 16
Wei Cui
"Delayed Capital Reallocation"

October 23
Ji Huang
"Unregulated Financing"

November 6
Jeong Ho (John) Kim
"Ambiguity Aversion and Risk Sharing"

November 13
Zhenyu Gao
"Home Investors and Housing Price Dynamics"

November 20
Hans Gersbach
"Delayed Capital Reallocation" Hans-Gersbach-paper

November 27
Maria Grith
"An Axiomatic and Data Driven View on the EPK Paradox"

December 4
Delwin Olivan
"Default and the Financial Sector"
Ji Huang
"Unregulated Financing II: Imperfect Risk Sharing"

December 11
Olivier Darmouni
"Optimal Intervention in a Market-Based Financial System"


Spring 2012

February 7
Michael Hasler
Topic: "Portfolio Choice and Costly Dynamic Information Acquisition"

February 21
Yi Li
Topic: "What Drives Persistence in Private Equity Fund Performance?"

March 6
Weicheng Lian
Topic: "Why Do Households Trade Risky Mortgages? A new perspective from risk sharing"

March 13
Vickey Liu
Topic: "Trade Credit in the Absence of Immediate Credit Constraint"

March 27

Rohit Lamba
Topic: Dynamic Market for Lemons

April 10

Zhenyu Gao
Topic: "Real Estate Investors and the Boom and Bust of the U.S. Housing Market"
Jose Azar
Topic: "
Common Shareholders and Interlocking Directorships: The Relation Between Two Corporate Networks"

April 17
Ji Huang
Topic: "Financial Intermediation and Off-Balance Sheet Financing"

April 24
Wei Cui
Topic: "Financial Friction and Selling Friction"
Kevin Webster
Topic: "A Belief Driven Order Book Model"

May 15
Per Mykland
Topic:  "Between Data Cleaning and Inference: Pre-averaging and Other Robust Estimates of the Efficient Price" (with Lan Zhang)

Fall 2011

September 27
Dong Beom Choi
Topic: "Contagious Bank Runs: Which bank to be recapitalized?
Gonzalo Cisternas
Topic: "A Continuous-time Model of Career Concerns and Human Capital Accumulation"

October 4
Jean-Noel Barrot, HEC Paris
"Investor Horizon and Limits of Arbitrage: Evidence from private equity funds"

October 11
Sergey Zhuk (Special time: 12:20-1:30)
Topic: Job Market Talk: TBA

October 18
Martin Schmalz (Special time: 12:20-1:30)
Topic: Job Market Paper Talk: "Financing Human and Organizational Capital: Evidence from unionization elections"

October 25
Ming Yang (Special time: 12:20-1:30)
Topic: "Optimality of Securitized Debt with Endogenous and Flexible Information Acquisition"

November 8
Jakub Jurek
Topic: "The Cost of Capital for Alternative Investments"

November 15
Yi Li
Topic: "The Role of Reputation on PE Fund Size and Performance"
 Jose Azar
Topic: "Changes in the Opportunity Cost of Cash: A Soluton to the Corporate Cash Hoarding Puzzle" (with Jean-Francois Kagy)

November 22
Constantinos Kalfarentzos
Topic: "Endogenous Fund Flows and Managerial Tournament Behavior under High Watermark Contracts" (with Filippos Papakonstantinou) 
John Kim
Topic:: "Welfare Economics with Heterogeneous Beliefs."

November 29
Dacheng Xiu
Topic: "A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and VIX Option Prices"
Olivier Darmouni
Topic:  "Can Contracting Prevent Traders from Neglecting Risks?"

December 6
Wei Cui
Topic: On the Optimal Response to Asset Price Levels and Fluctuations" with Diogo Guillen
Michael Li
Topic:  "Information Asymmetry, Volitility and Market Impact"

December 13
Zhenyu Gao"
Topic:  "Housing Investors in the Boom and Bust Cycle" with Wenli Li
Liang Dai
Topic:  "Bank Deregulation and Political Contribution" with Cheng Chen

Spring 2011

February 8
Alan Krueger, "Build America Bonds"

March 8
Hyun Soo Choi, "The Role of Lending Law (Anti-predatory Lending) on the Recent Housing Crisis"
Andrew Robinson, "Procyclical Liquidity and Credit Spreads"

March 22
Martin Schmalz and Sergey Zuk, "Learning about covariance, and Applications"
Jose Azar, "Diversification, Shareholder Value Minimization, and Competition: A Trilemma?"

March 29
Dirk Paulsen, "Financial Friction in a General Equilibrium Macro Model"

April 5
Xing Hiu (Jun Pan and Jiang Wang), "Noise as Information for Liquidity"
Weicheng Lian, "An Amplification Mechanism in the Housing Market"

April 19
Sergey Zhuk, "Rational Bubbles, Speculative Bubbles and Endogenous Learning"
Jean-Francois Kagy, "Corporate Cash Hoarding: Revisiting the Procyclicality Argument Against the Basel Rules"

April 26
Martin Schmalz
Zhenyua Gao

May 3
Dong Beom Choi
Wei Cui

Fall 2010

September 28
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"

October 19
Weicheng Lian, "Housing Cyles or Housing Bubbles"
Xing Hu, "Rollover Risk and Credit Spreads in the Financial Crisis of 2008

October 26
Dong Boem Choi, "Risk Sharing, Credit Crunch and Financial Fragility"
"Feedback between Asset Price and Panic Run"

November 16
Sergey Zhuk, "Endogenous Learning and Rational Bubbles"
Ming Yang, "Optimal Contracts in Providing Liquidity with Endogenous Information Acquisition"

November 23
Ana Babus, "Strategic Relationships in Over-the-counter Markets"

December 7
Thomas Eisenbach and Martin Schmalz, "Anxiety in the Face of Risk"
Hyun Soo Choi (with Harrison Hong and José Scheinkman), “Home Improvements"