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 Liping Lu. The seminars usually take place on Fridays from 12:15 to 13:15 in the VU main building (De Boelelaan 1105).

Fall 2017 

Sept. 18    

Jorge Cruz Lopez (Bank of Canada)

Sept. 29

Dennie van Dolder (VU)

The wisdom of the inner crowd in three large natural experiments

Oct. 13

Oct. 27 

Nov. 10        

Liping Lu (VU)

Banks as Corporate Monitors: Evidence from CEO Turnovers in China
Nov. 24

Michela Altieri (VU) 

The Apparent Diversification Discount 
Dec. 1

Dec. 8

Spring 2017

March 10      

Stefan T.M. Straetmans
(Maastricht University)

Disentangling economic recessions and depressions.
March 24

Iman van Lelyveld

Crowded trades, market clustering and price instability.
April 7Liping Lu
"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 2Peter Wierts
The mortgage credit cycle.
June 9

Norman Seeger

Option pricing of earnings announcement risks
June 16Paul Glasserman
(Columbia University)
June 23 Ambroise Descamps
(Queensland University of Technology, Australia)

Fall 2016

Sept. 23        
Simas Kuncinkas (VU)
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

Jan. 15Dan Li (Hong Kong University)Correlated high frequency trading.
Febr. 5Michael Ernst Rose (University of Cape Town)Mirror, Mirror, on the Wall, Who Is the Most Central of Them All?
Febr. 26Neeltje 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 18Konrad Raff (NHH)Board Diversity, Strategic Interaction, and Director Incentives
April 1Bernd Schwaab (ECBThe Bank-sovereign Nexus Across Borders
April 8  Peter Hoffmann (ECB)Mutual Funding
April 22Wiebke Eberhardt (Maastricht UniversityEngaging Pension Plan Participants:  Investment and Insurance Frames
May 13Ferenc Horvath (Tilburg University)Robust Pricing of Fixed Income Securities
May 27Luiz Fortes Felix (VU)TBA    
June 10Leonard Wolk (Colby College)TBA
June 17        Wenquian Huang (Vrije Universiteit Amsterdam)Central Counterparty Capitalization and Misaligned Incentives

 Fall 2015

18/09Dirk Schoenmaker/ Peter Wierts
Regulating the Financial Cycle: an integrated approach with a leverage ratio
25/09Kristian Stoere
(University of Nordland)
Sovereign Debt Crisis: Flight Home or Flight to Quality?
09/10Robert Vermeulen
Insurance Companies' Trading Behaviour during the European Sovereign Debt Crisis: Flight Home or Flight to Quality?
16/10Shiyan Huang
(Hong Kong University)
Sovereign Debt Crisis: Flight Home or Flight to Quality?
30/10Yasushi Hamao
(Uni of South California)
Sovereign Debt Crisis: Flight Home or Flight to Quality?
06/11Ashish Tiwari
(University of Iowa)
Hedge Fund Replication: A Model Combination Approach
13/11Sjoerd van Bekkum
(Erasmus University)
Does a Larger Menu Increase Appetite? Collateral Eligibility and Bank Risk-Taking
20/11        Arjen Siegmann
Market Inefficiencies in Broker Choice: Real-Estate Agents and Sales Performance
27/11Mark van Achter (RSM)Trading speed competition: Can the arms race go too far?
11/12Olivier de Jonghe
(Tilburg University)
Some borrowers are more equal than others: Bank funding shocks and credit reallocation


Spring 2015

06/03Talis Putnins (University of Technology, Sydney)Dark trading - different effects for different types
20/03Elizaveta Mirgorodskaya (VU Amsterdam)The "Tone Effect"of News on Investor Beliefs: An Experimental Approach
27/03Arjen Mulder (RSM Finance)Risk and return of conditional currency carry trades
17/04Rutger Jan Lange (VU Amsterdam)Modelling the interactions between volatility and returns
24/04B.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
29/05Chunmei (Melissa) Lin (Erasmus University)Inattention as a Limit to Arbitrage: Evidence from School Holidays
08/06*Sophie MoinasAsset pricing and risk–sharing in a complete market: An experimental investigation
12/06Patrick Tuijp (UVA)Pricing Effects of Time-Series Variation in Liquidity
19/06Albert Menkveld (VU Amsterdam)A Network Map of Information Percolation


Spring 2014  

21/03Liping Lu (VU)Market Reactions to Lending by Non-financial Firms: Evidence from Entrusted Loans in China
28/03Elvira Sojli (RSM Erasmus)TBD
04/04Maren Schmeck (Uni Koeln)TBD
11/04Buhui Qui (RSM Erasmus)TBD
25/04Svein-Arne Persson (NHH)TBD
02/05Falk Brauning (VU)TBD
16/05Frank de Jong (Tilburg)TBD
23/05Maurizio Montone (ESE Eramus)TBD
06/06Mike Mao (ESE Erasmus)TBD
13/06Daniel Metzger (SSE)TBD
27/06Chunmei Lin (ESE Erasmus)TBD


Fall 2013

27/09Albert Menkveld
Systemic Liquidation Risk: Centralized Clearing, Margins, and the Default Fund
04/10Marius Zoican
Banking Unions: The Efficiency versus Market Discipline Tradeoff
11/10Chen Zhou
The cross-section of tail risks in stock returns
18/10Svetlana Borovkova
Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach
25/10Mike Lipkin
Turbulence, monetization and universality in financial markets
01/11Joop Huij
Is the Value Premium Really a Compensation for Distress Risk?
15/11Peter Hoffmann
Sand in the Chips? Evidence on Taxing Transactions in Modern Markets
29/11Sophie Moinas
Liquidity Supply across Multiple Trading Venues
20/12Bart Z. Yueshen
Queuing Uncertainty

Spring 2013
08/03Karim Abadir
Lies, Damned Lies, and Statistics? Examples From Finance and Economics
15/03Elena Carletti
Deposits and Bank Capital Structure
22/03Neeltje van Horen
The Impact of Sovereign Debt Exposure on Bank Lending: Evidence from the European Debt Crisis
12/04Tomislav Ladika
Do Firms Replenish Executives' Incentives After Equity Sales?
19/04Linus Siming
Orders of Merit and CEO Compensation: Evidence from a Natual Experiment
26/04M. Fabiana Penas
Personal Bankruptcy Law and Small Business Innovation
03/05Luiz Felix
The 2011 European Short Sale Ban on Financial Stocks: Cure or Curse?
17/05Baran Siyahhan
Leverage and Information Asymmetry in Product Markets: The Impact on Firm Survival and Security Returns
24/05Sebastian Gryglewicz
Dynamic Agency and Real Options
31/05Konrad Raff
Corporate Governance and Industry Dynamics
07/06Katya Malinova
(University of Toronto)
Do Retail Traders Suffer from High Frequency Traders?
21/06Elizaveta Mirgorodskaya
News Media, Framing and Investor Behavior
28/06Avraham Tabbach
(Tel Aviv University)
Executive Stock Options: The Effects of Manipulation on Risk Taking
05/07Herbert Rijken
Stock Valuation and Implied Discount Rates

Fall 2012
14/09Xiaoyu Shen
Two Term Structures of Volatility
12/10Marius A. Zoican
Routing Heterogeneity in Fragmented Markets
19/10Jose Penalva
(Universidad Carlos III)
Market Quality in the Presence of Ultra Fast Trading
26/10Lieven Baele
(Tilburg University)
Flights to Safety
02/11Marcin Zamojski
Hedge Fund Innovation
16/11Ronald van Dijk & Gerben de Zwart
Quantitative Equity Research in pension fund investing: an illustration of using cross-industry news sentiment


Spring 2012
09/03Nabil Tahani
(York University)
Exotic Geometric Average Options Pricing under Stochastic Volatility
23/03Albert Lee Chun
(Copenhagen Business School)
A Forward-looking Model of the Term Structure of Interest Rates
20/04Alberto Manconi
Do Corporate Bondholders Affect Credit Risk? Evidence from a Natural Experiment
27/04Frode Brevik
Depression fears: Asset Prices with Ambiguity Averse Investors
04/05Patrick Verwijmeren
Dividend-protected Convertible Bonds and the Disappearance of Call Delay
25/05Mark van Achter
Circuit Breakers and Market Runs
01/06Elisabeth van Laere
(National University of Singapore)
Why do banks disappear: a forward intensity model for distressed exits
08/06Stefan Hirth
Beyond Duopoly: The Credit Ratings Game Revisited
22/06Dirk Schoenmaker/Arjen Siegmann
Can European Bank-bailouts work?
29/06Kasper Roszbach
(Riksbank/Groningen University)
Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment
06/07Bastiaan Verhoef
(Royal Bank of Scotland)
Aggregating Credit and Market Risk: The Impact of Model Specification