16th Colloquium on Financial Markets
The 16th Colloquium on Financial Markets, organised by Prof. Dr. Alexander Kempf, took place at Sparkasse KölnBonn in Cologne on April 3rd 2017.
We want to take the opportunity to thank all those who presented papers, who joined the discussion and all other participants who contributed with their presentations and comments to the success of the Colloquium. In particular we would like to thank Sparkasse KölnBonn for its support and organization of the Colloquium.
Impressions of the Colloquium can be found here.
| 9.30 | Registration |
| 10.00 - 10.15 | Welcome |
| 10.15 - 10.55 | Saliency Theory and Stock Prices: Empirical Evidence Mathijs Cosemans (Rotterdam School of Management), Rik Frehen (Tilburg University) Discussant: Sebastian Müller (German Graduate School of Management and Law) |
| 10.55 - 11.35 | Implied Volatility Duration and the Early Resolution Premium Christian Schlag, Julian Thimme, Rüdiger Weber (Goethe-University Frankfurt) Discussant: Stephan Jank (Deutsche Bundesbank) |
| 11.35 - 12.00 | Coffee break |
| 12.00 - 12.40 | Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices Stephan Jank, Christoph Roling (Deutsche Bundesbank), Esad Smajlbegovic (Erasmus School of Economics) Discussant: Mathijs Cosemans (Rotterdam School of Management) |
| 12.40 - 13.50 | Lunch |
| 13.50 - 14.30 | Price and Liquidity Spillovers during Fire Sale Episodes Pekka Honkanen, Daniel Schmidt (HEC Paris) Discussant: Vikas Agarwal (Georgia State University) |
| 14.30 - 15.45 | Postersession |
| Idiosyncratic Volatility, its Expected Variation, and the Cross-Section of Stock Returns Nicole Branger, Hendrik Hülsbusch, T. Frederik Middelhoff (Finance Center Münster) | |
| Good Inflation, Bad Inflation, and the Pricing of Real Assets Ilya Dergunov, Christoph Meinerding, Christian Schlag (Goethe-University Frankfurt) | |
| Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults Jantje Sönksen (University of Tübingen) | |
| The Best in Town: A Comparative Analysis of Low-Frequency Liquidity Estimators Thomas Johann, Erik Theissen (University of Mannheim) | |
| Fake Alpha Marcel Müller, Tobias Rosenberger, Marliese Uhrig-Homburg (Karlsruhe Institute of Technology) | |
| Surprise in Short Interest Pavel Lesnevski (University of Mannheim), Esad Smajlbegovic (Erasmus School of Economics) | |
| 15.45 - 16.10 | Coffee break |
| 16.10 - 16.50 | … And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns Heiko Jacobs (University of Mannheim), Sebastian Müller (German Graduate School of Management and Law) Discussant: Julian Thimme (Goethe-University Frankfurt) |
| 16.50 - 17.30 | Do ETFs Increase the Commonality in Liquidity of Underlying Stocks? Vikas Agarwal (Georgia State University), Paul Hanouna, Rabih Moussawi (Villanova University), Christof Stahel (US Securities and Exchange Commission) Discussant: Daniel Schmidt (HEC Paris) |
| Afterwards | Farewell Cocktails |
