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Thursday, September 20, 2007 |
7:30 – 8:00 |
-- Registration and Continental Breakfast -- |
8:00 |
Opening Remarks |
8:00 - 9:00 |
FDIC-JFSR Guest Address: Liquidity Risk: An Overview Francis A. Longstaff, Allstate Professor of Insurance and Finance, Anderson School of Management, UCLA
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9:00 - 10:30 |
Asset Prices and Liquidity Session Chair and Discussant: Mark Loewenstein, University of Maryland
Intermediated Asset Prices Zhiguo He, Northwestern University Arvind Krishnamurthy, Northwestern University
Market Liquidity, Asset Prices, and Welfare Jennifer Huang, McCombs School of Business, University of Texas at Austin Jiang Wang, MIT Sloan School of Management
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10:30 - 11:00 |
-- Coffee Break -- |
11:00 - 12:30 |
Equity Markets Session Chair and Discussant: Richard Evans, Darden School of Business, University of Virginia
Presentation 474K
Payoff Complementarities and Financial Fragility: Evidence from Mutual Fund Outflows 387k Qi Chen, Fuqua School of Business, Duke University Itay Goldstein, Wharton School, University of Pennsylvania Wei Jiang, Graduate School of Business, Columbia University
Convertible Bond Arbitrage, Liquidity Externalities and Stock Prices 566k Heather Tookes, Yale School of Management Darwin Choi, Yale School of Management Mila Getmansky, University of Massachusetts at Amherst
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12:30 - 1:30 |
-- Lunch -- |
1:30 - 3:00 |
Panel Session: Current Issues TBA |
3:00 - 3:30 |
-- Coffee Break -- |
3:30 - 5:45 |
Liquidity Issues Session Chair and Discussant: George Pennacchi, College of Business, University of Illinois
Liquidity Effects in Options Markets: Premium or Discount? 1.34M Prachi Deuskar, College of Business, University of Illinois at Urbana-Champaign Anurag Gupta, Weatherhead School of Management, Case Western Reserve University Marti G. Subrahmanyam, Stern School of Business, New York University
Presentation
Run Lengths and Liquidity Sanjiv R. Das, Santa Clara University Paul Hanouna, Villanova University
Are Extreme Negative Liquidity Shocks in the US Equity and Treasury Notes Markets Contagious? Kuan-Hui Lee, Rutgers Business School Christof W. Stahel, School of Management, George Mason University
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5:45 - 7:15 |
-- Reception --
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Friday, September 21, 2007 |
8:00 – 8:30 |
-- Continental Breakfast -- |
8:30 – 10:00 |
Issues in Bank Liquidity
Session Chair and Discussant: Craig Furfine, Northwestern University
Presentation 1.32M
Bank Liquidity Creation Allen N. Berger, Federal Reserve Board Christa H.S. Bouwman, Weatherhead School of Management, Case Western Reserve University
Precautionary Reserves and the Interbank Market Adam Ashcraft, Federal Reserve Bank of New York Jamie McAndrews, Federal Reserve Bank of New York David Skeie, Federal Reserve Bank of New York
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10:00 - 10:30 |
-- Coffee Break -- |
10:30 - 12:45 |
Issues in Bank Lending Session Chair and Discussant: Bob DeYoung, University of Kansas
The Effect of Banking Relationships on the Future of Financially Distressed Firms Claire M. Rosenfeld, Carlson School of Management, University of Minnesota
Presentation 1.68M
Rules versus Discretion in Loan Rate Setting 410K Geraldo Cerqueiro, Department of Finance, CentER - Tilburg University Hans Degryse, Department of Finance, CentER - Tilburg University Steven Ongena, Department of Finance, CentER - Tilburg University
Presentation 255K
The Impact of Information Asymmetry on Debt Pricing and Maturity Regina Wittenberg-Moerman, Wharton School, University of Pennsylvania
-- Adjournment and/or Light Lunch --
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