DSF/TI Research Seminars and Finance@VU seminar series
The DSF/TI research seminars are at the joint premises of the Duisenberg school of finance and the Tinbergen Institute. Academics from all over the world are invited to present their current research in all fields of Finance. The seminar takes place on Wednesdays from 12.45 to 2 pm in our main seminar room in the Symphony Building, Gustav Mahlerplein 117, 1st floor. Snacks are available from 12.15 pm. There is the opportunity of informal discussions with the speaker after the talk from 2 to 2.30 pm. The seminar is open to the public, anyone is welcome to attend.
The Finance@VU lunch seminar serie is organized by Jan Schnitzler. The seminars usually take place on Fridays from 12:15 to 13:15 in the VU main building (De Boelelaan 1105).
Academic year 2019/2020
| Date
| Presenter
| Title
|
| Sept. 6, 2019 | Tomislav Ladika, University of Amsterdam | Creating Intangible Capital |
| Oct. 4, 2019 | Thomas Post, University Maastricht | Eliciting heuristics in financial decision-making
|
| Oct. 11, 2019 | Xiao Xiao, Erasmus University | Implied Volatility Changes and Corporate Bond Returns |
| Oct. 15, 2019 | David Schumacher, McGill | The global menu of fonds |
| Oct. 25, 2019 | Ioanid Rosu, HEC Paris | Dynamic Adverse Selection and Liquidity |
| Nov. 15, 209 | Marshall Ma, Erasmus University | Trust in Art Markets |
| Nov. 22, 2019 | Dyaran Bansraj, Erasmus University | How Does Private Equity Ownership Affect Acquisition Performance? |
| Nov. 29, 2019 | Tarik Roukny, KU Leuven | Vertically Disintegrated Platforms |
| Dec. 6, 2019 | Anita Kopányi-Peuker, CPB | Experience Does not Eliminate Bubbles: Experimental Evidence |
| Dec.12, 2019 | Carola Mueller, Institute for Economic Research | Basel III capital requirements and heterogeneous banks |
| Dec. 13, 2019 | Konrad Raff, NHH Bergen | |
| Dec. 16, 2019 | Magdalena Rola Yanicka, University of Amsterdam | The Political Economy of Prudential Regulation |
| Dec. 20, 2019 | Filippo Massari, Bocconi University | The Wisdom of the Crowd in Dynamic Economies |
| Jan. 8, 2020 | Andreea Popescu, Tilburg school of Economics and Management | The macroeconomy and the cross-section of international equity index returns: a machine learning approach |
| Jan. 10, 2020 | Laura Capera, Tilburg University | The Effects of Usury Ceilings on Consumers Welfare: Evidence from the Microcredit Market in Colombia |
| Jan 13, 2020 | Stefan Voigt, Vienna Gradate School of Finance | Arbitrage, Liquidity and Price Informativeness |
| Jan 14, 2020 | Xuan Wang,University of Oxford | When Do Currency Unions Benefit From Default? |
| Jan 15, 2020 | Karolis Liaudinskas, Pompeu Fabra University | Loss of a Lending Relationship: Pain or Relief? |
| Jan. 17, 2020 | Quentin Vandeweyer, Financial Research Directorate of the European Central Bank | Treasury Debt and the Pricing of Short-Term Assets |
| Jan. 20, 2020 | Lorenzo Schoenleber, Frankfurt School of Finance & Management | Correlations, Value Factor Returns, and Growth Options |
| Jan. 22, 2020 | Emiel Jerphanion, Tilburg University | Student Loan Supply, Parental Saving & Portfolio Allocation |
| Jan. 24, 2020
| Stefano Lugo, Utrecht University
| The perils of removing rating-based regulation: Evidence from the US money market funds reform |
| Feb. 4, 2020 | Sri Kumar, Sri-Kumar Global Strategies
| The state of the global economy
|
| Feb. 11, 2020
| Artem Neklyudov, University of Lausanne
| Volume and intermediation in Corporate Bond Markets
|
| Feb. 14, 2020
| Dieter Wang, Vrije Universiteit Amsterdam
| Climate risks, the macroeconomy and the term-structure of sovereign bonds |
| Feb. 21, 2020 | Sebastian Vogel, EPFL and Swiss Finance Institute
| When to introduce electronic trading platforms in over-the-counter markets?
|
| March 2, 2020
| Alexey Ivashchenko, University of Lausanne
| Corporate bond price reversals
|
| March 20, 2020
| Rex Wang Renije, Vrije Universiteit Amsterdam
| How do options add value? Evidence from the convertible bond market
|
| March 27, 2020 | Yakov Ben Haim, Israel Institue of Technology
| tba
|
| April 3, 2020
| Martijn Boons, Nova School of Business and Economics
| New and old characteristic-sorted portfolios: Implications for Asset Pricing
|
| April 20,2020
| Abhiroop Mukherjee, the Honkong University of Science and Technology
| tba
|
| April 24, 2020 | Albert Menkveld, Vrije Universiteit Amsterdam
| How to succeed in academia
|
| May 15, 2020 | Ally Zhang, Lancaster University
| tba
|
Spring/Summer 2019
| Date
| Presenter
| Title
|
| February 7, 2019
| Lionel Page, UTS Sidney
| How much information is incorporated in financial asset prices? Experimental evidence.
|
| February 22, 2019
| Albert Menkveld, Vrije Universiteit Amsterdam
| How to succeed in academia.
|
| March 1, 2019
| Svetlana Borovkova, Vrije Universiteit Amsterdam
| Damages estimation in the largest EU cartel case.
|
| March 8, 2019
| Toni Ahnert, Bank of Canada
| Rollover risk, bank borrowing and fragility.
|
| March 15, 2019
| Alex Horenstein, University of Miami
| The unintended impact of academic research on asset returns: The CAPM Alpha.
|
| March 22, 2019
| Egle Karmazien, Rijksuniversiteit Groningen
| Short selling equity ETF's and its effect on stock market liquidity.
|
| April, 26, 2019
| Elias Rantapuska, Aalto University
| TBA
|
| Tuesday, June 4, 2019
| Sean Foley, The University of Sydney Business School
| TBA
|
| June 14, 2019
| Matthijs Lof, Aalto University
| TBA
|
| June 21, 2019
| Sebastian Gehricke, University of Otago
| TBA
|
| June 28, 2019
| Sanjiv Das, Santa Clara University
| TBA
|
Fall/Winter 2018
| Date
| Presenter
| Title
|
| October 26
| Bo Hu, Vrije Universiteit Amsterdam
| Why do larger firms pay executives more for performance? Performance-based versus labor market incentives
|
| November 2
| Aleks Andonov, Uni versity of Amsterdam
| The return expectations of institutional investors.
|
| November 9
| Rex Wang, Erasmus University
| Noise from other industries: overgeneralization and analyst beliefs
|
| November 16
| Peter Wierts, Vrije Universiteit Amsterdam
| TBA
|
| November 23
| Sergiy Ladokhin, Vrije Universiteit Amsterdam
| TBA |
| December 3 (Monday!)
| Toni Ahnert, Bank of Canada
| TBA |
2018
| Date
| Presenter
| Title
|
| January 26
| Matteo Millone (VU) | Collateral Damage? - Decreasing House Prices and Entrepreneurial Landing |
| February 9 | Sarah Draus (RSM) | TBA |
| March 23 | Peiran Jiao (Maastricht University) | TBA |
| April 20
| Liping Lu (VU)
| Does lending relationship mitigate the transmission of liquidity shocks? Evidence from a liquidity crunch in China
|
| May 18
| Boyd Buis (VU)
| Expected Issuance Fees and Market Liquidity |
| May 24
| Bernd Schwaab (ECB)
| Risk endogeneity at the lender-/investor-of-last-resort
|
| May 25
| Johannes Breckenfelder (ECB)
| TBA
|
| June 1
| Gaiyan Zhang (University of Missouri-St. Louis)
| Creditor control rights and global corporate CDS informativeness
|
| June 11 | Qian Sun (Fudan university) | TBA |
| June 22 | Michael Jetter (University of Western Australia) | TBA |
| June 29 | Matthijs Lof (Aalto University) | TBA |
Fall 2017
| Date
| Presenter
| Title
|
| Sept. 18
| Jorge Cruz Lopez (Bank of Canada) | Netting Relationships and Operational Disruptions in Payment Systems |
| Sept. 29 | Dennie van Dolder (VU) | The wisdom of the inner crowd in three large natural experiments |
| Oct. 13 | ||
| Oct. 27 | Yalin Gündüz (Deutsche Bundesbank) | Mitigating Counterparty Risk |
| Nov. 17 | Dieter Wang (VU) | Fire-sale channels, portfolio overlap networks and the credit spread puzzle |
| Nov. 24 | Michela Altieri (VU)
| The Apparent Diversification Discount
|
| Dec. 1 | ||
| Dec. 8 | ||
Spring 2017
| Date
| Presenter
| Title
|
| March 10
| Stefan T.M. Straetmans
(Maastricht University) | Disentangling economic recessions and depressions. |
| March 24 | Iman van Lelyveld
(VU) | Crowded trades, market clustering and price instability. |
| April 7 | Liping Lu
(VU) | "Know Thy Competitor, Know Thyself?"
First evidence from banks in emerging Europe. |
| May 12 | Falk Brauning
(Federal Reserve Bank of Boston) | Monetary policy and global banking. |
| June 2 | Peter Wierts
(VU/DNB) | The mortgage credit cycle. |
| June 9 | Norman Seeger
(VU) | Option pricing of earnings announcement risks
|
| June 16 | Paul Glasserman
(Columbia University) | TBA |
| June 23 | Ambroise Descamps
(Queensland University of Technology, Australia) | TBA
|
Fall 2016
| Date | Presenter | Title | |
| Sept. 23
|
| Dividends, Signaling and Risk Shifting
| |
| Oct. 14
| Peter Swan (University of new South Wales ) | Other people's money: The trading performance of Households Investors vs. Delegated Money Managers | |
| Oct. 28
| Vadym Volosovych (Erasmus University)
| Social capital, attitude towards globalization, and financial markets participation: The case of Mexico
| |
| Nov. 11
| Erik Vogt (Erasmus University) | Intraday Market Making with Overnight Inventory Costs. | |
| Nov. 25
| Gunseli Tumer Alkan (VU)
| CDS and Credit: Testing the Small Bang Theory of the Financial Universe with Micro Data | |
| Dec. 2
| Svetlana Borovkova (VU)
| Systemic risk, media sentiment and banking networks.
|
Spring 2016
| Date | Presenter | Title |
| Jan. 15 | Dan Li (Hong Kong University) | Correlated high frequency trading. |
| Febr. 5 | Michael Ernst Rose (University of Cape Town) | Mirror, Mirror, on the Wall, Who Is the Most Central of Them All? |
| Febr. 26 | Neeltje van Horen (DNB) | The Invisible Hand of the Government: Moral Suasion during the European Sovereign Debt Crisis |
| March 11 | Emiliano Pagnotta (Imperial College London ) | Chasing Private Information |
| March 18 | Konrad Raff (NHH) | Board Diversity, Strategic Interaction, and Director Incentives |
| April 1 | Bernd Schwaab (ECB | The Bank-sovereign Nexus Across Borders |
| April 8 | Peter Hoffmann (ECB) | Mutual Funding |
| April 22 | Wiebke Eberhardt (Maastricht University | Engaging Pension Plan Participants: Investment and Insurance Frames |
| May 13 | Ferenc Horvath (Tilburg University) | Robust Pricing of Fixed Income Securities |
| May 27 | Luiz Fortes Felix (VU) | TBA |
| June 10 | Leonard Wolk (Colby College) | TBA |
| June 17 | Wenquian Huang (Vrije Universiteit Amsterdam) | Central Counterparty Capitalization and Misaligned Incentives |
Fall 2015
| Date | Presenter | Title |
| 18/09 | Dirk Schoenmaker/ Peter Wierts
(VU) | Regulating the Financial Cycle: an integrated approach with a leverage ratio |
| 25/09 | Kristian Stoere
(University of Nordland) | Sovereign Debt Crisis: Flight Home or Flight to Quality? |
| 09/10 | Robert Vermeulen
(DNB) | Insurance Companies' Trading Behaviour during the European Sovereign Debt Crisis: Flight Home or Flight to Quality? |
| 16/10 | Shiyan Huang
(Hong Kong University) | Sovereign Debt Crisis: Flight Home or Flight to Quality? |
| 30/10 | Yasushi Hamao
(Uni of South California) | Sovereign Debt Crisis: Flight Home or Flight to Quality? |
| 06/11 | Ashish Tiwari
(University of Iowa) | Hedge Fund Replication: A Model Combination Approach |
| 13/11 | Sjoerd van Bekkum
(Erasmus University) | Does a Larger Menu Increase Appetite? Collateral Eligibility and Bank Risk-Taking |
| 20/11 | Arjen Siegmann
(VU) | Market Inefficiencies in Broker Choice: Real-Estate Agents and Sales Performance |
| 27/11 | Mark van Achter (RSM) | Trading speed competition: Can the arms race go too far? |
| 11/12 | Olivier de Jonghe
(Tilburg University) | Some borrowers are more equal than others: Bank funding shocks and credit reallocation |
Spring 2015
| Date | Presenter | Title |
| 06/03 | Talis Putnins (University of Technology, Sydney) | Dark trading - different effects for different types |
| 20/03 | Elizaveta Mirgorodskaya (VU Amsterdam) | The "Tone Effect"of News on Investor Beliefs: An Experimental Approach |
| 27/03 | Arjen Mulder (RSM Finance) | Risk and return of conditional currency carry trades |
| 17/04 | Rutger Jan Lange (VU Amsterdam) | Modelling the interactions between volatility and returns |
| 24/04 | B.F. Heidergott (VU Amsterdam) | Wisdom of crowds |
| 08/05 | Remco Zwinkels (VU Amsterdam) | Investor Sentiment and Employment |
| 18/05* | Martin Strieborny (Lund University) | Suppliers, Investors, and Equity Market Liberalizations |
| 29/05 | Chunmei (Melissa) Lin (Erasmus University) | Inattention as a Limit to Arbitrage: Evidence from School Holidays |
| 08/06* | Sophie Moinas | Asset pricing and risk–sharing in a complete market: An experimental investigation |
| 12/06 | Patrick Tuijp (UVA) | Pricing Effects of Time-Series Variation in Liquidity |
| 19/06 | Albert Menkveld (VU Amsterdam) | A Network Map of Information Percolation |
*Monday!
Spring 2014
| Date | Presenter | Title |
| 21/03 | Liping Lu (VU) | Market Reactions to Lending by Non-financial Firms: Evidence from Entrusted Loans in China |
| 28/03 | Elvira Sojli (RSM Erasmus) | TBD |
| 04/04 | Maren Schmeck (Uni Koeln) | TBD |
| 11/04 | Buhui Qui (RSM Erasmus) | TBD |
| 25/04 | Svein-Arne Persson (NHH) | TBD |
| 02/05 | Falk Brauning (VU) | TBD |
| 16/05 | Frank de Jong (Tilburg) | TBD |
| 23/05 | Maurizio Montone (ESE Eramus) | TBD |
| 06/06 | Mike Mao (ESE Erasmus) | TBD |
| 13/06 | Daniel Metzger (SSE) | TBD |
| 27/06 | Chunmei Lin (ESE Erasmus) | TBD |
Fall 2013
| Date | Presenter | Title |
| 27/09 | Albert Menkveld
(VU) | Systemic Liquidation Risk: Centralized Clearing, Margins, and the Default Fund |
| 04/10 | Marius Zoican
(VU) | Banking Unions: The Efficiency versus Market Discipline Tradeoff |
| 11/10 | Chen Zhou
(DNB) | The cross-section of tail risks in stock returns |
| 18/10 | Svetlana Borovkova
(VU) | Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach |
| 25/10 | Mike Lipkin
(Columbia) | Turbulence, monetization and universality in financial markets |
| 01/11 | Joop Huij
(Rotterdam) | Is the Value Premium Really a Compensation for Distress Risk? |
| 15/11 | Peter Hoffmann
(ECB) | Sand in the Chips? Evidence on Taxing Transactions in Modern Markets |
| 29/11 | Sophie Moinas
(Toulouse) | Liquidity Supply across Multiple Trading Venues |
| 20/12 | Bart Z. Yueshen
(VU) | Queuing Uncertainty |
Spring 2013
| Date | Presenter | Title |
| 08/03 | Karim Abadir
(Imperial) | Lies, Damned Lies, and Statistics? Examples From Finance and Economics |
| 15/03 | Elena Carletti
(EUI) | Deposits and Bank Capital Structure |
| 22/03 | Neeltje van Horen
(DNB) | The Impact of Sovereign Debt Exposure on Bank Lending: Evidence from the European Debt Crisis |
| 12/04 | Tomislav Ladika
(UvA) | Do Firms Replenish Executives' Incentives After Equity Sales? |
| 19/04 | Linus Siming
(Bocconi) | Orders of Merit and CEO Compensation: Evidence from a Natual Experiment |
| 26/04 | M. Fabiana Penas
(UvT) | Personal Bankruptcy Law and Small Business Innovation |
| 03/05 | Luiz Felix
(VU) | The 2011 European Short Sale Ban on Financial Stocks: Cure or Curse? |
| 17/05 | Baran Siyahhan
(Aarhus) | Leverage and Information Asymmetry in Product Markets: The Impact on Firm Survival and Security Returns |
| 24/05 | Sebastian Gryglewicz
(Rotterdam) | Dynamic Agency and Real Options |
| 31/05 | Konrad Raff
(VU) | Corporate Governance and Industry Dynamics |
| 07/06 | Katya Malinova
(University of Toronto) | Do Retail Traders Suffer from High Frequency Traders? |
| 21/06 | Elizaveta Mirgorodskaya
(VU) | News Media, Framing and Investor Behavior |
| 28/06 | Avraham Tabbach
(Tel Aviv University) | Executive Stock Options: The Effects of Manipulation on Risk Taking |
| 05/07 | Herbert Rijken
(VU) | Stock Valuation and Implied Discount Rates |
Fall 2012
| Date | Presenter | Title |
| 14/09 | Xiaoyu Shen
(VU) | Two Term Structures of Volatility |
| 12/10 | Marius A. Zoican
(VU) | Routing Heterogeneity in Fragmented Markets |
| 19/10 | Jose Penalva
(Universidad Carlos III) | Market Quality in the Presence of Ultra Fast Trading |
| 26/10 | Lieven Baele
(Tilburg University) | Flights to Safety |
| 02/11 | Marcin Zamojski
(VU) | Hedge Fund Innovation |
| 16/11 | Ronald van Dijk & Gerben de Zwart
(APG) | Quantitative Equity Research in pension fund investing: an illustration of using cross-industry news sentiment |
Spring 2012
| Date | Presenter | Title |
| 09/03 | Nabil Tahani
(York University) | Exotic Geometric Average Options Pricing under Stochastic Volatility |
| 23/03 | Albert Lee Chun
(Copenhagen Business School) | A Forward-looking Model of the Term Structure of Interest Rates |
| 20/04 | Alberto Manconi
(Tilburg) | Do Corporate Bondholders Affect Credit Risk? Evidence from a Natural Experiment |
| 27/04 | Frode Brevik
(VU) | Depression fears: Asset Prices with Ambiguity Averse Investors |
| 04/05 | Patrick Verwijmeren
(VU) | Dividend-protected Convertible Bonds and the Disappearance of Call Delay |
| 25/05 | Mark van Achter
(RSM) | Circuit Breakers and Market Runs |
| 01/06 | Elisabeth van Laere
(National University of Singapore) | Why do banks disappear: a forward intensity model for distressed exits |
| 08/06 | Stefan Hirth
(Aarhus) | Beyond Duopoly: The Credit Ratings Game Revisited |
| 22/06 | Dirk Schoenmaker/Arjen Siegmann
(VU) | Can European Bank-bailouts work? |
| 29/06 | Kasper Roszbach
(Riksbank/Groningen University) | Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment |
| 06/07 | Bastiaan Verhoef
(Royal Bank of Scotland) | Aggregating Credit and Market Risk: The Impact of Model Specification |