Paris December Finance Meeting 2025 | EUROFIDAI-ESSEC Paris December Finance Meeting

Date:

Thursday, 18 December, 2025 - 08:00 to 20:00 Paris time

Venue:

Pullman Paris Montparnasse Hotel - PARIS, FRANCE

Presentation

The EUROFIDAI-ESSEC Paris December Finance Meeting will hold its 23rd edition in-person in downtown Paris (Pullman Paris Montparnasse Hotel) on December 18, 2025.

The conference is organized by EUROFIDAI (European Financial Data Institute) and the ESSEC Business School and jointly sponsored by Amundi / PLADIFES / CDC Institute for Economic Research / SIX / Clipway.

All researchers are invited to present in English their latest research in all areas of finance. Job market papers are welcomed and integrated in normal sessions. They will be highlighted in the program.

In recent years, the conference has become very selective with one in six submitted papers accepted. The EUROFIDAI-ESSEC Paris December Finance Meeting is ranked 2nd in Europe and 8th in the World among large conferences based on papers published in the Top3 Finance and Top5 Economics journals « Ranking Finance Conferences: An Update by W. Hou, E. Smajlbegovic and D. Urban (Erasmus University Rotterdam) - February, 2025 ».

Prizes will be awarded for the Best Conference Paper and the Best Job Market Paper.

Timeline

Submissions opening: March 31, 2025
Submissions deadline: June 1, 2025
Notice of acceptance: early July, 2025
Registration deadline for accepted authors: July 20, 2025
Online Program: October, 2025
Registration deadline for other participants: December 5, 2025

Statistics

Map In 2024, the submissions were received from 31 different countries:

The U.S (82), The U.K. (45), France (41), Germany (35), Canada (27), China (26), Switzerland (20), the Netherlands (18), Australia (13), Denmark (11), Italy (11), Austria (7), Singapore (7), Finland (6), Hong-Kong (6), South Korea (6), Sweden (5), Norway (4), Belgium (3), Luxembourg (3), Spain (3), Ireland (2), Taiwan (2), Portugal (1), Greece (1), Israel (1), Lebanon (1), Colombia (1), Liechtenstein (1), New Zealand (1), Peru (1)

Our sponsors

Submissions opening: March 31, 2025
Submissions deadline: June 1, 2025

The EUROFIDAI-ESSEC Paris December Finance Meeting will hold its 23rd edition in-person in downtown Paris (Pullman Paris Montparnasse Hotel) on December 18, 2025.

The conference is organized by EUROFIDAI (European Financial Data Institute) and the ESSEC Business School and jointly sponsored by Amundi / PLADIFES / SIX/ CDC Institute for Economic Research / Clipway / CERESSEC.

Prizes will be awarded for the Best Conference Paper and the Best Job Market Paper.

Submission process

Submissions open on March, 31st

Only on-line submissions will be considered for the 2024 Paris December Finance Meeting. Before filling the application form, authors should read the following instructions.

Prepare 2 files in pdf format:

An anonymous version of the paper (the complete paper without the name(s) of the author(s), the acknowledgements and any indication of author’s affiliation)
A complete version of the paper including the following information: title, name(s) of the author(s), abstract, keywords, email address for each author, complete address(es)
The abstract to be filled with the submission form should not exceed 150 words.

Keywords

To complete their submission, authors are asked to classify their paper using 3 keywords (all fields of finance).

Submission fees

The submission fee for each paper is 50€ and non-refundable. Submitting authors will receive a receipt following completion of the submission process.

Authors

Due to the high number of submissions, one author can submit multiple papers (joint or single-authored) but cannot have more than one paper accepted.

Paper diffusion

Accepted papers will be posted on the Financial Economic Network (SSRN) and the website of the conference.

Co-Presidents of the Scientific committee

Jocelyn Martel - ESSEC Business School
Elise Gourier - ESSEC Business School

2025 Scientific committee

Yacine Ait-Sahalia - Princeton University
Nihat Aktas - WHU Otto Beisheim School of Management
Patrick Augustin - McGill University
Laurent Bach - ESSEC Business School
Antoine Baena - Banque de France
Romain Boulland - ESSEC Business School
Marie-Hélène Broihanne - Université de Strasbourg
Catherine Casamatta - TSE & IAE, Université de Toulouse 1 Capitole,
Georgy Chabakauri - London School of Economics
Jean-Edouard Colliard - HEC Paris
Pierre Collin-Dufresne - EPFL
Ian Cooper - London Business School
Ettore Croci - Universita Cattolica del Sacro Cuore
Serge Darolles - University Paris-Dauphine
Matt Darst - Board of Governors of the Federal Reserve
Laurence Daures - ESSEC Business School
Eric de Bodt - Norwegian School of Economics
François Degeorge - University of Lugano
Catherine D'Hondt - UC Louvain
Alberta Di Giuli - ESCP Europe
Philippe Dupuy - EM Grenoble
Matthias Efing - HEC Paris
Ruediger Fahlenbrach - EPFL & SFI
Félix Fattinger - WU Vienna University of Economic and Business
Patrice Fontaine - EUROFIDAI - CNRS
Andras Fulop - ESSEC Business School
Jean-François Gajewski - IAE Lyon
Roland Gillet - University Paris I Panthéon-Sorbonne
Edith Ginglinger- Université Paris-Dauphine
Elise Gourier - ESSEC Business School
Peter Gruber - Università della Svizzera Italiana
Alex Guembel - Toulouse School of Economics
Georges Hübner - HEC Liège
Julien Hugonnier - EPFL
Heiko Jacobs - University of Duisburg-Essen
Sonia Jimenez - Grenoble INP
Alexandros Kostakis - University of Liverpool
Dmitry Kuvshinov - Universitat Pompeu Fabra
Jongsub Lee - Seoul National University
Junye Li - Fudan University
Abraham Lioui - EDHEC
Elisa Luciano - Collegio Carlo Alberto
Victor Lyonnet - Ohio State University
Yannick Malevergne - Université de Paris 1 Panthéon-Sorbonne
Roberto Marfé - Collegio Carlo Alberto
Jocelyn Martel - ESSEC Business School
Maxime Merli - Université de Strasbourg
Sophie Moinas - Toulouse School of Economics
Lorenzo Naranjo - Washington University in Saint-Louis
Lars Norden - EBAPE/FVG
Clemens Otto - Singapore Management University
Loriana Pelizzon - Goethe University
Fabricio Perez - Wilfrid Laurier University
Christophe Pérignon - HEC Paris
Joël Petey - Université de Strasbourg
Ludovic Phalippou - Oxford University
Alberto Plazzi - University of Lugano & SFI
Sébastien Pouget - Toulouse School of Economics
Vesa Pursiainen - University of St. Gallen
Sofia Ramos - ESSEC Business Schooll
Jean-Paul Renne - HEC Lausanne
Michel Robe - Robins School of Business, University of Richmond
Tristan Roger - ICN
Jeroen Rombouts - ESSEC Business School
Guillaume Roussellet - McGill University
Julien Sauvagnat - Bocconi University
Olivier Scaillet - University of Geneva & SFI
Mark Seasholes - Arizona University
Paolo Sodini - Stockholm School of Economics
Christophe Spaenjers - University of Colorado Boulder
Peter Tankov - ENSAE Paris
Roméo Tédongap - ESSEC Business School
Erik Theissen - University of Mannheim
Boris Vallée - Harvard Business School
Philip Valta - University of Bern
Guillaume Vuillemey - HEC Paris
Rafal Wojakowski - Surrey Business School
Alminas Zaldokas - NUS
Olivier-David Zerbib - ENSAE Paris
Marius Zoican - University of Toronto

SUBMISSIONS ARE CLOSED!

Timeline

Submissions opening: March 31, 2025
Submissions deadline: June 1, 2025
Notice of acceptance: early July, 2025
Registration deadline for accepted authors: July 20, 2025
Online Program: October, 2025
Registration deadline for other participants: December 5, 2025

List of sessions
List of authors

Show all sessions

December 18, 2025 - Parallel sessions

08:00 - 09:00

09:00 - 10:30

Asset Pricing I ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Presiding : Abraham Lioui (EDHEC)

Anomaly Persistence and Nonstandard Errors

Authors : Pérignon Christophe (HEC Paris) ; Coqueret Guillaume (EM Lyon)

Presenter : Christophe Pérignon (HEC Paris)

This article presents a framework for robust inference that accounts for the many methodological choices involved in testing asset pricing anomalies. We demonstrate that running multiple paths on the same original dataset inherently results in high correlation across outcomes, which significantly alters inference. In contrast, path-specific resampling greatly reduces outcome correlations and tightens the confidence interval of the estimated average effect. Jointly accounting for across-path and within-path variability allows the variance of the average effect to be decomposed into a standard error, a nonstandard error, and a correlation term. In our empirical analysis, we find that 29 anomalies can be classified as persistent, as their 95\% confidence intervals for average returns exclude zero. Our results also indicate that for most anomalies, nonstandard errors dwarf standard errors and are the primary determinants of the width of confidence intervals for multi-path average effects.

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A Battle of Wills: The Joint Impact of Sentiment and Benchmarking on Volatility and Mispricing

Authors : Goncalves-Pinto Luis (University of New South Wales) ; Sotes-Paladino Juan (Universidad de Los Andes) ; Roche Herve (Universidad de Los Andes)

Presenter : Juan Sotes-Paladino (Universidad de Los Andes)

Standard models predict a positive relationship between investor sentiment and volatility, yet the empirical evidence suggests otherwise. We reconcile this discrepancy in a model with retail sentiment and institutional benchmarking. The interaction of these features reshapes how fundamental risk translates into return volatility, creating an asymmetric relationship with sentiment. It also explains why institutions can reduce mispricing under heightened sentiment. Using exogenous variation in institutions' benchmarking intensity, we provide causal evidence on the predicted impact of institutions on volatility for different sentiment levels. We also offer evidence on the predicted effect of sentiment and institutions on mispricing.

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What Explains Momentum When It Really Works?

Authors : Barroso Pedro (Universidade Católica Portuguesa) ; Wang Haoxu (Sustainable and Green Finance Institute, National University of Singapore)

Presenter : Pedro Barroso (Universidade Católica Portuguesa)

Puzzlingly, the literature has shown that behavioral factors capturing mispricing, the neoclassical-inspired investment q-factors, and momentum in factors can all subsume individual stock momentum. But tests subsuming momentum are unconditional while the bulk of its profits are predictable using its own lagged volatility. We compare asset pricing models conditionally, when the strategy really works, and find the unconditional fit misleading. Models fit well most times but not when profits are produced. Strikingly, momentum’s conditionality cannot be attributable to either q-factors or factor momentum. Yet, both earnings announcement returns and analyst forecast errors show strong conditionality consistent with an underreaction channel.

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09:00 - 10:30

Mortgages ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Presiding : Joël Petey (Universite de Strasbourg)

A Public-Private Partnership? Central Bank Funding and Credit Supply

Authors : Elliott David (Bank of England) ; Chavaz Matthieu (Bank for International Settlements) ; Monroe Win (Bank for International Settlements)

Presenter : David Elliott (Bank of England)

We exploit the surprise announcement of a central bank funding scheme to test how public liquidity provision affects credit market outcomes. Contrary to the notion that public liquidity is primarily a substitute for private liquidity, banks that are more exposed to stress in private wholesale funding markets use less central bank funding. We rationalise this pattern by establishing an “equilibrium channel” of public liquidity. The mere availability of central bank funding reduces the cost of private wholesale funding. This stimulates lending by banks exposed to wholesale funding, regardless of whether they actually use the central bank funding. Using a shock to the design of the scheme, we show that the “strings attached” to central bank funding help to explain why it is an imperfect substitute for private funding.

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The Value of Mortgage Choice: Payment Structure and Contract Length

Authors : Boutros Michael (University of Toronto) ; Clara Nuno (Duke University) ; Kartashova Katya

Presenter : Clara Nuno (Duke University)

We study how households choose between three mortgage contracts with different payment structures: fixed-rate fixed-payment, variable-rate variable-payment, and a hybrid variable-rate fixed-payment mortgage where interest rate changes affect principal repayment rather than payment size. This hybrid contract, which is offered in only a few countries around the world, gives households additional flexibility to insure against payment risk while exposing them to the risk of larger future mortgage balances. We model these mortgage types simultaneously and show that welfare is substantially improved when all three contracts are available for households to choose from. Our calibrated model matches mortgage choice patterns in Canada, where all these options are offered with short terms. We demonstrate that restricting contract choice or mandating long terms, as in the U.S. system, can lead to substantial welfare losses by limiting risk management strategies and increasing mortgage pricing ex-ante.

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Loan Officers, Same-Sex Couple Mortgages and Non-discrimination Law

Authors : Tao Tian (University College Dublin) ; Muckley Cal (University College Dublin)

Presenter : Tian Tao (University College Dublin)

We examine the effect of non-discrimination law (NDL) on loan officers' decisions for LGBTQ+ applications in the home mortgage market. We find that NDL widens the denial gap between same-sex and different-sex couple applications. This increased denial gap cannot be explained by a backlash in opinions against NDL. It can be attributed, however, to loan officers' inexperience of soft information on the creditworthiness of same-sex couples, e.g., the commitment in their relationships vis-à-vis servicing the loan, compared to different-sex couples. This imbalance in the utilization of soft information serves as a key determinant explaining both the pre- and post-NDL denial gaps. In further analysis, we show that experienced loan officers attenuate the post-NDL denial gap. Our findings imply a new non-discrimination training mandate for loan officers.

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09:00 - 10:30

Market Microstructure I ( 12/18/2025 at 09:00 to 12/19/2025 at 10:30 )

Presiding : Sabrina Buti (Paris XI-Dauphine)

Hiding in Plain Sight: Preferred Habitat Effects in Short-Term Rates

Authors : Mattille Edouard (University of St. Gallen)

Presenter : Edouard Mattille (University of St. Gallen)

This paper uncovers that 30% of trading in Eurozone interbank liquidity markets is driven by banks' usage of repo to meet their settlement obligations in bond markets, suggesting widespread leveraging and short-selling activity. I exploit a regulatory reform shortening the settlement cycle of fixed income markets to identify agents routinely using repo to source cash and securities in time for settlement. I demonstrate that the shock exacerbated deviations from expectations hypothesis in the treated tenor, implying that these agents' behavior distorts the rate crucial for monetary policy transmission. This paper thus identifies a preferred habitat effect at the core of interbank funding markets, a notable finding given the ultra-short-term nature of this segment.

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Institutional Ownership Concentration and Informational Efficiency

Authors : Xiong Yan (University of Hong Kong) ; Yang Liyan (University of Toronto) ; Zheng Zexin (Hong Kong University of Science and Technology)

Presenter : Zexin Zheng (Hong Kong University of Science and Technology)

We study how the concentration of ownership among active institutional investors influences the informational efficiency in the financial market, in terms of forecasting price efficiency (FPE) and revelatory price efficiency (RPE). We find that an increase in ownership concentration, whether at the market level or the firm level, has a negative impact on both FPE and RPE. When ownership becomes more concentrated, active investors reallocate their attention across different assets and trade more cautiously, resulting in a reduced injection of information into asset prices and a subsequent decrease in the investment efficiency. To establish causality, we utilize a setting involving mergers between active investors, and our results remain consistent across international contexts.

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Optimal Automated Market Maker

Authors : Zhou Zhengge (Warwick Business School)

Presenter : Zhengge Zhou (Warwick Business School)

The Walrasian auctioneer in standard economics achieves efficient asset allocation but remains a theoretical abstraction. In the context of blockchain-based financial exchanges, we show that an optimal automated-market-making trading algorithm can serve as a practical implementation of the Walrasian auctioneer. Specifically, this design minimises trading costs for liquidity demanders and takes as a (liquidity-weighted) mean over the demand schedules submitted by liquidity providers. Using a mechanism design approach, we show that this optimal design arises in equilibrium when the exchange is collectively governed by all liquidity providers in a decentralised manner.

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09:00 - 10:30

Product Market Relationships ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Presiding : Julien Sauvagnat (Bocconi University)

It's not easy being green

Authors : Kim Daniel (University of Waterloo) ; Brogaard Jonathan (University of Utah) ; Gerasimova Nataliya (BI Norwegian Business School) ; Kim Daniel (University of Waterloo) ; Rohrer Maximilian (Norwegian School of Economics)

Presenter : Nataliya Gerasimova (BI Norwegian Business School)

This paper examines the green cost premium paid by customers and its underlying economic drivers. Using a large panel of nearly identical US federal procurement contracts -- some green, some not -- we estimate a premium of 25-38\%. Accounting for potential biases using a Bartik instrument and a natural experiment reveals an even higher premium, reaching up to 188\%. The green premium varies significantly across agencies and product types, driven in part by environmental characteristics and institutional experience. Much of the added cost reflects upfront investments to meet sustainability standards, along with regulatory complexity and supply chain frictions, rather than differences in contract size, quality, or competition. These findings suggest that a successful green transition depends not only on investors’ willingness to pay, as emphasized in prior literature, but also on customers’ readiness to bear higher costs for sustainable goods.

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The Carbon Cost of Competitive Pressure

Authors : Xiang Yue (Durham University) ; Pursiainen Vesa (University of St.Gallen and Swiss Finance Institute) ; Sun Hanwen (University of St.Gallen and Swiss Finance Institute)

Presenter : Vesa Pursiainen (University of St.Gallen and Swiss Finance Institute)

Higher exposure to competition -- measured by product fluidity -- is associated with higher carbon emission intensity, via both higher absolute emissions and lower revenues. This result is robust to using instrumental variables to obtain exogenous variation in fluidity and holds when using only reported emission data, excluding estimated emissions. Higher emissions in the short-term are not followed by medium-term improvements, suggesting that competition does not pressure companies to become greener. The relationship between competition and carbon emissions is stronger in areas less concerned about climate change and areas with weaker social norms, as well as for less profitable firms.

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The Private Value of Open-Source Innovation

Authors : Emery Logan (Erasmus University Rotterdam) ; Lim Chan (University at Buffalo) ; Ye Shiwei (University at Buffalo)

Presenter : Chan Lim (University at Buffalo)

We investigate open-source innovation by public firms and the private value it generates for these firms. Unlike patents, which grant inventors exclusive rights to their inventions, open-source innovations can be used by anyone. Nevertheless, using an extensive dataset of public-firm activity on GitHub, we find that firms with open-source projects represent 68% of the U.S. stock market across 86% of industries. We estimate the private value of all projects in our sample to be nearly $25 billion, with the average project generating $842,000. We find that projects with fully permissive licenses are generally less valuable and firms facing higher competition tend to generate less private value from their projects. We also find that the degree to which a project complements commercial products is not a primary driver of private value. Finally, open-source value is associated with a firm’s substantial growth in terms of sales, profits, employment, and patenting, yet it also induces creative destruction. These results contribute to our understanding of the private value generated by innovation in the absence of legal excludability.

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09:00 - 10:30

Capital Structure ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Presiding : Guillaume Vuillemey (HEC Paris)

Signals in the Noise: Global Valuation Effects of Dividends and Buybacks

Authors : Schneider Constantin (University of Münster)

Presenter : Constantin Schneider (University of Münster)

I study valuation effects of corporate payout policy using global firm-level data from 1992–2024. Contrary to the Dividend Irrelevance Theory, dividend-paying firms outside North America trade at a 17.3% asset and 8.0% equity premium, with strong effects in Europe and the Middle East (with premia exceeding 20%), but negative in South America. In North America, premia reach 8.9% (assets) and 16.2% (equity), rising in crises and signaling resilience. North American repurchasing firms enjoy premia of 8.4% for assets and 15.9% for equity, while effects elsewhere are less consistent, depending on scale rather than incidence. Dividends cut through market noise as valuation signals, while repurchases often do not. Payout policy remains a key driver of global firm valuation.

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Real Effects of Bernanke–Kuttner: The Risk Channel of Monetary Policy on Corporate Investment

Authors : Ren Zhou (Vienna Graduate School of Finance)

Presenter : Zhou Ren (Vienna Graduate School of Finance)

The literature has extensively documented that monetary-policy announcements affect risk premia and risk perception in financial markets; however, little is known about how these effects shape real activity. Using daily aggregate risk shocks identified from equity-market returns and Treasury-yield changes, we provide causal evidence that an increase in risk perception stemming from FOMC announcement days curtails subsequent tangible capital investment by firms. In contrast to prior studies showing that financial constraints dampen investment responses to interest-rate shocks, we find that financial constraints instead magnify investment responses through the risk channel and propagate to financial variables. Consistent with a flight-to-quality mechanism that raises external financing costs for constrained firms, FOMC-day risk-perception changes cause these firms to: (1) reduce investment more sharply; (2) decelerate net borrowing; (3) accumulate larger cash buffers; and (4) experience the most severe investment reductions when their debt is short-term—that is, when rollover risk is highest. At the aggregate level, the investment response to risk-perception changes is state-dependent, strengthening with the share of high-rollover-risk firms; nevertheless, the unconditional aggregate effect remains muted because such firms hold relatively small tangible-capital stocks and therefore contribute little to the aggregate investment response.

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Shale Debt Structure and Pollution Control

Authors : Jiang Binghan (Paris Dauphine University)

Presenter : Binghan Jiang (Paris Dauphine University)

This paper analyzes how firms in the shale oil industry adjusted their production in response to green policy shocks, particularly after the Paris Agreement.We find that firms with high levels of short-term debt experienced significant refinancing challenges, reflected in reduced bond issuance, decreased bank new money injection, and higher cost of debt. By creating a novel index that measures toxic chemical usage at the well-level, combined with firm-level financial data, we demonstrate that high short-term debt ratio firms notably reduced their use of toxic chemicals following the policy change. Heterogeneity analyses reveal that financially healthier firms, firms with higher capital expenditure intensity, and those with more concentrated supplier bases exhibited greater pollution reductions. Changes in institutional ownership, particularly declines by banks and investment managers, further strengthened firms’ environmental adjustments.

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09:00 - 10:30

Hedge Funds / Mutual Funds ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Presiding : Shema Mitani (Skema)

Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha

Authors : DeMiguel Victor (London Business School) ; DeMiguel Victor (London Business School) ; Martin-Utrera Alberto (London Business School) ; Uppal Raman (EDHEC and CEPR)

Presenter : Victor DeMiguel (London Business School)

Mutual fund performance is traditionally evaluated using alpha, which measures the utility gain of an unconstrained investor who has access to the fund in addition to the benchmark factors. We prove that the utility gain of shortsale-constrained investors is instead measured by achievable alpha, estimated using only those factors with strictly positive weight in the shortsale-constrained benchmark-factor portfolio. Empirically, active-fund management is less valuable for constrained investors: while 62.54% of funds have positive traditional gross alpha, only 37.27% have positive achievable gross alpha for a benchmark containing eight Vanguard funds. Finally, achievable alphas significantly predict fund flows, particularly during market turmoil.

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Value Creation in the Hedge Fund Industry

Authors : Ardia David (HEC Montréal) ; Barras Laurent (University of Luxembourg)

Presenter : Laurent Barras (University of Luxembourg)

We develop an approach to jointly study four dimensions of hedge fund value creation--its drivers, split, dynamics, and optimality. This approach captures the large fund heterogeneity and controls for hedge fund complexities. We find that most funds add value via their unique skills but face strong scalability constraints--a feature that prevents them from systematically dominating mutual funds. Hedge fund investors slowly improve their fund capital allocation over time, which suggests an impactful but noisy learning process. Despite these efforts, they extract a modest fraction of the total value. These findings fit reasonably well with an equilibrium model featuring funds with heterogeneous skill and scalability and investors with limited bargaining power.

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Will AI Replace or Enhance Human Intelligence in Investment Management?

Authors : Kim Hugh (Wilfrid Laurier University) ; Nanda Vikram (The University of Texas at Dallas)

Presenter : Hugh Kim (Wilfrid Laurier University)

Using unique data from LinkedIn profiles, we measure the adoption of AI technologies by mutual fund managers. Compared to low-AI funds, high-AI funds generate superior returns and incur lower expenses. AI outperformance is particularly strong among discretionary funds, which rely on human judgment, as opposed to quantitative funds. The greater the AI adoption, the more pronounced the time-varying skill of fund managers across different market conditions. The stock-picking abilities of high-AI funds improve with the availability of big data, such as satellite imagery of parking lots. The local availability of AI skills is a key determinant of cross-sectional variation in mutual fund AI investment. Our findings are robust to using geographic variation in AI supply as an instrument for AI utilization by mutual funds.

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10:30 - 11:00

11:00 - 12:30

Asset Pricing II ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Presiding : Mariano max Croce (BOCCONI Univ. (PI 03628350153))

Green Intermediary Asset Pricing

Authors : Sauzet Maxime (Boston University)

Presenter : Maxime Sauzet (Boston University)

Can environmentally-minded investors impact the cost of capital of green firms even when they invest through financial intermediaries? To answer this and related questions, I build an equilibrium intermediary asset pricing model with three investors, two risky assets, and a riskless bond. Specifically, two heterogeneous retail investors invest via a financial intermediary who decides on the portfolio allocation that she offers between a green and a brown equity. Both retail investors and the financial intermediary can tilt towards the green asset, beyond pure financial considerations. Perhaps surprisingly, the green retail investor can have significant impact on the pricing of green assets, even when she invests via an intermediary who does not tilt: a sizable green premium --that is, a lower cost of capital-- can emerge on the equity of the green firm. This good news comes with important qualifications, however: the green retail investor has to take large leveraged positions in the portfolio offered by the intermediary, her strategy must be inherently state-dependent, and economic conditions or the specification of preferences can overturn or limit the result. When the financial intermediary decides (or is made) to tilt instead, the impact on the green premium is substantially larger, although it is largest when preference are aligned with retail investors. I also study what happens when the green retail investor does not know the weights in the portfolio offered by the intermediary, the potential impact of greenwashing, and the effect of portfolio constraints. Taken together, these findings highlight the central role that financial intermediaries can play in channeling financing (or not) towards the green transition.

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Revealed Preference for Green Stocks: An Asset Demand Approach

Authors : Mora Aaron (University of South Carolina)

Presenter : Aaron Mora (University of South Carolina)

This paper combines a portfolio construction problem with demand estimation techniques to estimate US institutional investors’ demand for green stocks. Our innovative model allows for heterogeneous investor portfolios due to varying emphasis on non-financial characteristics as well as different returns beliefs. A novel estimation approach employs a mixed logit demand specification providing realistic substitution patterns across assets. Results show that US institutional investors on average favor green stocks, a preference that varies with time and investor size. A counterfactual policy banning pension funds from green investing, results in capital gains for brown stocks and losses for green stocks.

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Labor shortage, Hiring and Stock Returns

Authors : Liu Xinyu (INSEAD)

Presenter : Xinyu Liu (INSEAD)

In this paper, I find labor hiring constraint matters for stock return, and is essential to explain the negative hiring-return relation, both in the cross section and in time series. To proxy for labor hiring constraint, I construct a firm-year level measure of labor shortage using textual analysis of firms' SEC fillings. Via portfolio sorting and predictive regression, I show that labor shortage predicts low stock return, and the negative relationship between firm's hiring rate and its future return is only significant for firms that discuss labor shortage in their filings. These patterns are consistent with predictions from a neoclassical framework with hiring adjustment cost. In addition, I document relations between labor shortage and firms' policy and operation dynamics.

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11:00 - 12:30

Banking / Financial Intermediation I ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Presiding : Christophe Pérignon (HEC Paris)

Banking Relationships and Loan Pricing Disconnect

Authors : Beraldi Francesco (Duke University, Fuqua School of Business) ; Beraldi Francesco

Presenter : Francesco Beraldi (Duke University, Fuqua School of Business)

Using administrative data from Mexico's credit registry, I provide stark evidence for an insurance view of relationship lending. When firms repeatedly borrow from the same bank, the pass-through of their default risk to loan rates is nearly zero, and past risk assessments persistently influence credit terms. In contrast, switching to a new bank results in full risk pass-through, consistent with competitive market predictions. I rationalize this evidence in a model where banks compete for borrowers by offering optimal long-term contracts. Switching costs sustain commitment to banking relationships, enabling insurance. At the macro level, by strengthening relationships, switching costs enhance capital allocation but weaken monetary policy transmission.

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Payout Restrictions and Bank Risk-Shifting

Authors : Fringuellotti Fulvia (Federal Reserve Bank of New York) ; Kroen Thomas (International Monetary Fund)

Presenter : Fulvia Fringuellotti (Federal Reserve Bank of New York)

This paper studies the effects of regulatory payout restrictions on bank risk-shifting. Using policies imposed during the Covid-crisis on US banks as a natural experiment and a high frequency differences-in-differences approach, we show that, when payouts are restricted, banks’ equity prices fall while their debt values appreciate. Moreover, banks that are ex-ante more exposed to the payout restrictions decrease risk-taking in lending relative to less exposed banks. Consistent with a risk-shifting channel, these effects revert once restrictions are lifted. These results indicate that payout and risk-taking choices are complementary and that regulatory payout restrictions endogenously affect bank risk-shifting.

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How to model bank competition: the case for Cournot

Authors : Lattanzio Chiara (University College London)

Presenter : Chiara Lattanzio (University College London)

When firms choose their capacity and then compete a la Bertrand, the market equilibrium can correspond to the Cournot outcome (Kreps and Scheinkman, 1983). In the banking sector, a bank's lending capacity is determined by its capital structure due to regulatory capital requirements. This paper establishes the conditions under which the Bertrand-Cournot equivalence extends to banks. I treat capital as an imperfect capacity commitment, allowing banks to distribute dividends and raise additional capital at a short-term premium during the competition stage. I show that if the loan market is not severely affected by some types of frictions and the short-term premium is sufficiently large, the Cournot outcome is the unique equilibrium of the game. Such micro-foundations for Cournot competition in the loan market open new perspectives to the modelling of an elaborate, yet tractable, banking sectorin macroeconomic models.

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11:00 - 12:30

Climate / Corporate Governance ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Presiding : Catherine Casamatta (TSE & Universite Toulouse Capitole (TSM) )

Green Moral Hazard: Estimating the Financial and Non-financial Impacts of CEO Incentives

Authors : Jung Kyle Jaehoon (NYU Stern School of Business)

Presenter : Jaehoon Jung (NYU Stern School of Business)

I develop a novel structural model for analyzing the financial and non-financial implications of CEO compensation contracts that include incentives tied to non-financial performance. By applying this model to green incentives, I find that they motivate CEOs to reduce carbon emission intensity by 1.8% per year but at a financial cost of 1.3% of firm value annually. As green performance is an imperfect signal of CEOs’ actions toward green outcomes, a “green moral hazard” arises: the principal should offer CEOs a premium for the risk added by green incentives. I estimate that this green moral hazard is substantial, accounting for $1.72 million of the total moral hazard cost of $2.05 million. These results suggest that green incentives pose an important economic trade-off: while green incentives can lead to meaningful environmental improvements, they impose substantial costs on the firm.

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Short-Termis Carbon Emissions

Authors : Maeckle Kai (Mannheim University)

Presenter : Kai Maeckle (Mannheim University)

Carbon abatement investments are inherently long-term in nature. Therefore, short-term profit pressure may distort these investments. Consistent with this idea, firms that just meet analysts' short-term profit targets have about 4.3 to 4.99 percentage points higher growth in carbon emissions than firms that just miss. I estimate a quantitative model in which managers choose carbon emissions subject to optimal short-term incentives. Removing short-term incentives reduces firms' profits by 0.43% and carbon emissions by 2.19%. In aggregate, short-termist carbon emissions are as large as total U.S. aviation emissions in 2022. My estimates suggest that short-termism is welfare-reducing via the carbon emissions channel.

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The Demand, Supply, and Market Responses of Corporate ESG Actions: Evidence from a Nationwide Experiment in China

Authors : Xiahou Qinrui (University of Hong Kong) ; He Guojun (University of Hong Kong)

Presenter : Guojun He (University of Hong Kong)

In a nationwide field experiment involving all Chinese listed companies, we created demand for ESG actions by randomly conveying ESG rating concerns to company management teams via public online platforms. We find that many companies actively addressed these concerns by supplying detailed ESG strategies and actions. High-productivity and low-transparency companies were more likely to respond to such a demand for action. Moreover, companies that received ESG concerns improved their ESG performance over time and published more ESG reports after the experiment. In the long run, stock market responded positively to E and S inquiries while negatively to G inquiries. This divergence can be attributed to investors interpreting E and S inquiries as positive signals and G inquiries as negative signals, as demonstrated through their platform interactions. Overall, the results show that companies’ ESG actions are mainly value-driven, rather than values-driven. Corporate ESG actions can be rationalized by a simple signaling model, where companies utilize costly ESG actions (similar to advertisements) to signal their quality under information asymmetry.

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11:00 - 12:30

Household Finance I ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Presiding : Boris Vallee (Harvard Business School)

Social Interaction Intensity and Investor Behavior

Authors : Levi Yaron (University of Southern California) ; Hirshleifer David (University of Southern California) ; Gelman Michael (University of Southern California) ; Reiter-Gavish Liron (Netanya Academic College)

Presenter : Yaron Levi (University of Southern California)

We document a causal effect of social interactions on investor behavior using the number of local soccer games as a measure of social interaction intensity. Social transmission is identifiable in buy but not sell trades. Social Interaction Intensity (SII) increases the sensitivity of buying to past buys, particularly in riskier stocks. This sensitivity is an increasing and convex function of past returns, with higher SII further amplifying the effect. Social interactions cause an extremity shift wherein existing shareholders increase their positions, especially within demographically homogeneous communities. Higher social interaction intensity increases the sensitivity of individual investors' trading volume and portfolio riskiness to past trades. At the market level, SII increases the sensitivity of stock trading volume and retail ownership percentage to past buys.

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Information Partitioning, Learning, and Beliefs

Authors : Mertes Lukas (University of Mannheim) ; Kieren Pascal (Heidelberg University) ; Weber Martin (Heidelberg University)

Presenter : Lukas Mertes (University of Mannheim)

We experimentally study how information partitioning affects learning and beliefs. Holding the informational content constant, we show that observing small pieces of information at higher frequency (narrow brackets) causes beliefs to become overly sensitive to recent signals compared to observing larger pieces of information at lower frequency (broad brackets). As a result, partitioning information in narrow or broad brackets causally affects judgements. Observing information in narrow brackets leads to less accurate beliefs and to worse recall than observing information in broad brackets. As mechanism, we provide direct evidence that partitioning information into narrower brackets shifts attention from the macro-level to the micro-level, which leads people to overweight recent signals when forming beliefs.

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The Consumption Response to Protectionism

Authors : Shan Hongyu (China Europe International Business School) ; Lin Chen (University of Hong Kong) ; Tian Da (University of Hong Kong)

Presenter : Hongyu Shan (China Europe International Business School)

Despite policy aims to support income and employment, we show that U.S. households in counties more exposed to protective tariffs spend less over time. Spending declines coincide with falling wages and persist after accounting for exposure to pass-through and retaliatory tariffs. Reductions in both quantities and prices point to a demand-driven contraction. Effects are stronger when tariffs target capital rather than consumption goods, and are concentrated among working-class Americans, who subsequently cut discretionary spending. We underscore the vertical integration of U.S. and Chinese firms within tariff-targeted industries. Protectionism does not benefit domestic labor market and may risk local household welfare.

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11:00 - 12:30

Market Efficiency ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Presiding : Jérôme Dugast (ESSEC)

Early Price Discovery in IPOs

Authors : Pezier Emmanuel (Said Business School, University of Oxford) ; Divakaruni Anantha (University of Bergen) ; Jones Howard (University of Bergen)

Presenter : Emmanuel Pezier (Said Business School, University of Oxford)

We study how investor feedback before bookbuilding influences IPO pricing and allocations. Using a novel dataset of investor-underwriter meetings and new airline route launches that reduce travel times as an exogenous source of variation facilitating these interactions, we find that precise, optimistic feedback narrows the price range and drives the offer price upward. Investors providing pre-bookbuilding feedback are more likely to bid and secure larger, more profitable allocations, supporting information revelation theories. Our findings shed light on the historically opaque role of early investor engagement in shaping IPO outcomes, with implications for capital markets design and regulation.

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Social Media Noise and Stock Manipulation

Authors : Tran Vu (University of Reading) ; Cumming Douglas (FLORIDA ATLANTIC UNIVERSITY) ; Tran Vu (FLORIDA ATLANTIC UNIVERSITY)

Presenter : Vu Tran (University of Reading)

This paper models stock manipulations where investors interact via social network communications. We propose a novel noise index in social media platforms. The model predicts that high volumes of social media noise significant increase probability of success, profitability for manipulators as well as heighten trading volume of manipulated stocks. In addition, manipulation profitability increases with respect to the number of followers in social media posts mentioned the manipulated stock. Empirical investigations, based on over 3,800 U.S. small-cap stocks during January 2010 to 2018 December, confirm the theoretical predictions and hypotheses. Our paper demonstrates an urgent need for monitoring social media platforms in safeguarding financial market efficiency.

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Flow-Driven Corporate Finance: A Supply-Demand Approach

Authors : Zhang Hulai (Tilburg University and ESCP)

Presenter : Hulai Zhang (Tilburg University and ESCP)

This paper develops a supply-demand framework to quantify and decompose the effects of investor demand on corporate financing and investment. The framework extends demand-based asset pricing models by incoporating endogenous corporate decisions. Using Gabaix and Koijen (2024)'s granular instrumental variable approach, I estimate the model parameters and find that a $1 investor flow results in $0.012 in share issuance within the first quarter and a cumulative $0.24 over two years. Similarly, a 1% investor flow increases firm investment by 0.19% over two years. The results show significant asymmetry: firms respond more strongly to inflows than outflows. Counterfactual analysis reveals that investor preferences substantially dampen firms' investment responses to flows. The framework also provides a novel tool to evaluate the role of firms in stabilizing the stock market.

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11:00 - 12:30

FinTech and Cryptocurrencies ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Presiding : Luciano Somoza (ESSEC)

Platform Credit, Advertising, and Customer Capital

Authors : Efing Matthias (HEC Paris) ; Huang Yi (BIS) ; Han Ruobing (BIS) ; Sun Qi (Shanghai Univerisity of Finance and Economics) ; Xu Daniel Yi (Duke University, NBER, and CEPR)

Presenter : Matthias Efing (HEC Paris)

Advertising plays a particularly crucial role in online marketplaces, where thousands of merchants offer similar products and compete for visibility and consumer attention. This study theoretically and empirically demonstrates that merchants on e-commerce platforms often engage in “underadvertising” due to financial constraints. By leveraging quasi-random variation in merchants’ access to credit from a major platform lender, we establish that alleviating financial constraints leads to substantial increases in advertising expenditures, enhanced shop visibility among customers, and ultimately, accelerated sales growth. Notably, high-quality merchants with top customer ratings are especially likely to utilize platform credit to invest in advertising.

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Macro-Financial Impact of Stablecoin's Demand for Treasuries

Authors : Kim Sang Rae (Kyung Hee University)

Presenter : Sang Rae Kim (Kyung Hee University)

This paper studies how the expansion of reserve-backed stablecoins affects Treasury markets and credit intermediation. Using high-frequency data from the Ethereum blockchain matched to intraday Treasury-linked asset prices, I show that large Tether issuance events are followed by statistically significant increases in Treasury prices. To interpret these effects, I develop a quantitative macro-finance model with capital-constrained banks and stablecoin issuers who hold Treasuries as reserves. The model replicates the empirical findings and reveals nonlinear amplification as the sector grows. I use the framework to evaluate policy scenarios and highlight how crypto-sector expansion can reshape Treasury demand and financial stability.

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The Green Value of BigTech Credit

Authors : Su Dan (Cheung Kong Graduate School of Business)

Presenter : Dan Su (Cheung Kong Graduate School of Business)

This study identifies an incentive-compatible mechanism to foster individual environmental engagement. Utilizing a dataset comprising 100,000 randomly selected users of Ant Forest—a prominent personal carbon accounting platform embedded within Alipay, China’s leading BigTech super-app—we provide causal evidence that individuals strategically engage in eco-friendly behaviors to enhance their credit limits, particularly when approaching borrowing constraints. These behaviors not only illustrate the green nudging effect of BigTech but also generate value for the platform by leveraging individual green actions as soft information, thereby improving the efficiency of credit allocation. Using a structural model, we estimate an annual green value of 427.52 million US dollars generated by linking personal carbon accounting with BigTech credit. We also show that the incentive-based mechanism surpasses green mandates and subsidies in improving consumer welfare and overall societal welfare. Our findings highlight the role of an incentive-aligned approach, such as integrating personal carbon accounts into credit reporting frameworks, in addressing environmental challenges.

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12:30 - 14:00

14:00 - 16:00

Asset Pricing III ( 12/18/2025 at 14:00 to 12/18/2025 at 16:00 )

Presiding : Paul Karehnke (ESCP)

How do Households Suppress the Price of Tail Risk?

Authors : Celerier Claire (University of Toronto- Rotman School of Management) ; Vallee Boris (Harvard Business School) ; Calvet Laurent (Harvard Business School)

Presenter : Claire Celerier (University of Toronto- Rotman School of Management)

We examine how households dampen volatility prices through their demand for Short Put Products (SPPs), a globally popular structured product that offers high headline rates in exchange for selling a put option. Using a comprehensive dataset covering all index-linked SPP issuances worldwide since market inception and a structural model, we show that SPP issuance volumes rise when the volatility of the underlying asset is high, as higher volatility allows to offer higher headline rates. In turn, increased SPP issuance drives down the prices of deeply out-of-the-money put options, suppressing the corresponding volatility risk premium.

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The Risk-Return Puzzle: Backward- versus Forward-Looking Expected Returns

Authors : Delikouras Stefanos (University of Miami) ; Linn Matthew

Presenter : Stefanos Delikouras (University of Miami)

The positive relation between risk and expected return is central to financial theory. Empirically, the literature has shown this relationship to be very weak. Using option-based risk-neutral densities and estimated stochastic discount factors, we find that the linear and positive risk-return relation holds in expectation. This result is robust to the choice of discount factor (e.g., non-monotonic, VIX-dependent) used to estimate physical densities. Next, we examine the reason for the negative risk-return relationship in the data. We conclude that the risk-return trade-off holds true in expectation but breaks down empirically due to realized returns being poor proxies of expected returns.

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The Impact of Active Managers on the Pricing of Underlying Assets in ETFs

Authors : Zhao Ziwei (University of Lausanne and Swiss Finance Institute) ; Trzcinka Charles (Indiana University)

Presenter : Ziwei Zhao (University of Lausanne and Swiss Finance Institute)

We investigate the impact of active managers on the information efficiency of the underlying assets in passive ETF portfolios. Specifically, we explore how the increasing popularity of ETFs prompts active mutual fund managers to execute informed trades that generate alpha. Using trade-level data, we test whether trades by skilled active managers more accurately predict future abnormal stock returns as ETF ownership in these stocks rises. By leveraging the annual reclassification of stocks from the Russell 1000 to the Russell 2000 as an exogenous variation, we find that high-performing mutual funds can mitigate the pricing inefficiency typically associated with ETFs.

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Presidential Cycles in PEAD

Authors : Wang Liyao (Hong Kong Baptist University) ; Da Zhi (University of Notre Dame) ; Zeng Ming (University of Gothenburg)

Presenter : Ming Zeng (University of Gothenburg)

Post-earnings announcement drift (PEAD) displays presidential cycles: it earns 4.1% per year during Democratic presidencies but its profitability increases significantly to 14.9% during Republican presidencies. Survey-based evidence also indicates substantial underreaction to earnings news when the US president is Republican. The stronger underreaction likely arises from exposure to tax policy uncertainty. Consistently, we find that investor reactions to earnings announcements are much weaker for firms with greater exposure to tax policy uncertainty, particularly during Republican presidencies. This explanation accounts for the observed presidential cycles in PEAD, whereas existing explanations for PEAD cannot. The cycles are more pronounced among non-microcap firms.

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14:00 - 16:00

Banking / Financial Intermediation II ( 12/18/2025 at 14:00 to 12/18/2025 at 16:00 )

Presiding : Matthias Efing (HEC Paris)

Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios

Authors : Vickery James (Federal Reserve Bank of Philadelphia) ; Fuster Andreas ; Paligovora Teodora

Presenter : James Vickery (Federal Reserve Bank of Philadelphia)

We use bond-level data to study how US banks manage risk in their securities portfolios, focusing on the period of rapidly-rising interest rates in 2022-23, and examine the role of financial and regulatory frictions in shaping bank behavior. Interest rate risk in bank portfolios increased markedly as rates rose, with significant cross-bank heterogeneity depending on ex ante holdings of bonds with embedded options. In response, exposed banks shortened the duration of bond purchases but did not actively sell risky securities or expand “qualified” hedging activity; securities also played a limited role in banks’ responses to deposit outflows. We identify two frictions that can help explain this inertia. First, we find that banks are highly averse to selling underwater bonds at a discount to book value—e.g., banks were 8-9 times more likely to trade bonds with unrealized gains than unrealized losses in 2022-23. This “strategic” trading is more pronounced for banks that do not recognize unrealized losses in regulatory capital and banks facing stock market pressure. Second, frictions in establishing qualified accounting hedges limited hedging activity depending on bond type and accounting classification. Banks did, however, reduce the interest-rate sensitivity of regulatory capital by classifying the riskiest bonds as held-to-maturity.

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Bad Bank, Bad Luck? Evidence from 1 Million Firm-Bank Relationships

Authors : Schindler Yannick (London School of Economics) ; Lambert Peter (London School of Economics)

Presenter : Yannick Schindler (London School of Economics)

This paper examines how bank failures impact firm performance using 36 million loan records from 1.8 million US firms, primarily SMEs. Using 179 bank failures (1990-2023) and difference-in-differences estimation, we find severe, persistent effects despite regulatory safeguards designed to minimize disruption through forced acquisitions. Firms with failed bank relationships are 44.3% more likely to fail within five years, while survivors show 25% lower employment growth versus those with healthy banks. Effects persist over 10 years across crisis and non-crisis periods, hitting smallest firms hardest. Two natural experiments support our findings. Our results suggest bank failures substantially impact the real economy, potentially requiring reassessment of bank failure regulation.

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China Walls

Authors : Lee Tomy (Central European University) ; Nathan Daniel (Bank of Israel; Hong Kong Polytechnic University) ; Wang Chaojun (Bank of Israel; Hong Kong Polytechnic University)

Presenter : Tomy Lee (Central European University)

Regulators manage conflicts of interest within banking conglomerates by enforcing China Walls---internal information barriers around dealers. To evaluate if the China Walls are effectively enforced, we map information sharing between dealers and funds using the universe of Israeli Shekel foreign exchange trades. Our design compares trading activities of affiliates against entirely unrelated firms around exceptionally large trades to detect information sharing. We document islands of informational autarky between dealers and their affiliate funds surrounded by a sea of information sharing. (i) A dealer never trades nor shares information with its affiliated funds. (ii) Dealers consistently share information with their client funds, including on days when they do not trade with each other. (iii) Affiliated funds, which are free to share information with each other, intensely do so among themselves. From a back-of-the-envelope calculation, establishing China Walls between affiliated funds would eliminate $16.1 billion in trades, comprising 37% of their trades on the event dates. Our results hold during crisis and noncrisis periods, and across granular cells of firm and asset characteristics. We reveal remarkable regulatory capacity to control information flows.

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Bank Specialization and Credit Relationships in Small-Business Lending

Authors : Cabossioras Yannis (Federal Reserve Board of Governors) ; Tielens Joris (National Bank of Belgium)

Presenter : Yannis Cabossioras (Federal Reserve Board of Governors)

We study the dynamics of credit relationships between small businesses and specialized banks and analyze the real effects of specialization on this important yet understudied segment of the credit market. Using micro-level data on the universe of corporate credit in Belgium, we show that banks leverage their industry specialization to build and retain relationships with small businesses. In the relationship-building phase, banks charge lower rates in their industries of specialization. In the relationship-retaining phase, lenders subsequently raise rates faster in specialized industries, until they charge similar rates regardless of their level of specialization. Small businesses benefit from bank specialization in the long run through better real outcomes.

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14:00 - 16:00

Climate Finance ( 12/18/2025 at 14:00 to 12/18/2025 at 16:00 )

Presiding : O. david Zerbib (ENSAE Paris)

Green Coins

Authors : Croce Mariano Max (Bocconi University) ; N Guinez ; Inzunza-Mendez A ; Nguyen T ; Tebaldi C

Presenter : Mariano Max Croce (Bocconi University)

We propose a novel macrofinance model for the EU area comprising climate damages, an Emission Trading System, and credit markets with (1) a bias for ‘net-zero’ brown firms, and (2) opaque voluntary carbon credit markets. Our model suggests that the implied allocation is far from the first-best. Relevant welfare gains can be obtained in a setting in which a Green Coin Central Bank (GCCB) runs a transparent blockchain in which coins are mined after a decentralized verification of private offsets, and the GCCB manages green coin prices through open market operations.

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Do carbon markets undermine private climate initiatives?

Authors : Klausmann Johannes (UVA Darden School of Business) ; Akey Pat (INSEAD/University of Toronto) ; Appel Ian (INSEAD/University of Toronto) ; Bellon Aymeric (UNC Chapel Hill)

Presenter : Johannes Klausmann (UVA Darden School of Business)

We study commitments to reduce emissions by firms subject to the European Union Emission Trading System (EU ETS), the world's largest cap-and-trade program. Commitments are associated with a drop in the number of carbon allowances surrendered, consistent with firms taking actions to reduce their emissions. However, firms subsequently increase their sales of allowances on the secondary market, transferring the right to pollute to others and potentially leaving aggregate emissions unchanged. They do not reduce emissions outside the EU or invest in green technologies. Despite this, firms benefit from commitments via higher ESG scores. Our findings underscore the importance of considering the interaction between carbon markets and private climate initiatives.

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Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure

Authors : Jung Hyeyoon (Federal Reserve Bank of New York) ; Engle Robert (New York University) ; Shan Ge (New York University) ; Xuran Zeng (New York University)

Presenter : Hyeyoon Jung (Federal Reserve Bank of New York)

We construct a novel physical risk factor using a portfolio of REITs, long on those with properties highly exposed to climate risk and short on those with less exposure. Combined with a transition risk factor, we assess U.S. insurers’ climate risk through operations and $13 trillion in asset holdings. We measure insurers’ climate risk ex- posure by estimating their stock return sensitivity (climate beta) to the physical and transition risk factors. We find that insurers operating in riskier regions tend to have higher physical climate betas, while those holding more brown assets are associated with higher transition climate betas. Using these betas, we calculate capital short- falls under climate stress scenarios, offering insights into insurers’ resilience to climate risks.

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Decipher Market Responses to Climate TRACE Emission Data Release

Authors : Kadach Igor (IESE) ; Koo Minjae (Korea University) ; Martin Xiumin (Korea University) ; Zhao Meiling (Chinese University of Hong Kong)

Presenter : Igor Kadach (IESE)

We examine market reactions to the global release of facility-level carbon emissions data by Climate TRACE. Firms experience a significant negative stock return (-0.9% to -2.8%), especially when prior emissions were underreported. Underreporting is more likely when carbon metrics are tied to executive pay and institutional ownership is high, and less likely with stronger environmental enforcement. The negative market response reflects both reduced expected cash flows and increased risk. While existing disclosure rules temper this effect, strong institutions and enforcement amplify it. Our findings highlight firms’ strategic reporting of pollution and the value of third-party data in market pricing.

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14:00 - 16:00

Corporate Finance ( 12/18/2025 at 14:00 to 12/18/2025 at 16:00 )

Presiding : Tamara Nefadova (ESCP)

What are the costs of weakening shareholder primacy? Evidence from a U.S. quasi-natural experiment

Authors : Stulz Rene (The Ohio State University)

Presenter : Rene Stulz (The Ohio State University)

We study the consequences of weakening shareholder primacy using Nevada Senate Bill 203 as a quasi-natural experiment. A difference-in-differences analysis shows that, instead of improving their governance in response to the Bill to reassure capital providers, affected firms experience a governance deterioration. As a result, the law’s adoption causes a drop in the valuation of firms incorporated in Nevada. These firms decrease the performance sensitivity of CEO pay, make more but worse acquisitions, and reduce the efficiency of their capital expenditures and R&D. Reducing shareholder primacy does not improve how stakeholders are treated, as ESG performance worsens.

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EXIM’s Exit: Industrial Policy, Export Credit Agencies, and Capital Allocation

Authors : Matray Adrien (Federal Reserve Bank of Atlanta) ; Muller Karsten (NUS) ; Xu Chenzi (NUS) ; Kabir Poorya (NUS)

Presenter : Adrien Matray (Federal Reserve Bank of Atlanta)

We study the role of Export Credit Agencies—the predominant tool of industrial policy—on exports and firm investment by using the effective shutdown of the Export-Import Bank of the United States (EXIM) from 2015–2019 as a natural experiment. We document sizable real effects of the shutdown: a $1 reduction in EXIM trade financing reduces exports by approximately $4.50. EXIM-dependent firms experience a contraction in total revenues, investment, and employment. EXIM’s shutdown has the largest effects for exporters facing financing frictions and selling to markets with high contractual frictions, indicating that capital was allocated to markets that are plausibly under-supplied by private financial institutions. Consistent with these findings that EXIM addresses market gaps, we find that capital misallocation increased during the shutdown as firms with a higher ex-ante marginal revenue product of capital contracted more. These results provide a framework for the conditions under which Export Credit Agencies can boost exports and firm growth, and can act as a tool of industrial policy without increasing resource misallocation.

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Judged by the Company You Acquire

Authors : Gong Minrui (University of Mannheim)

Presenter : Minrui Gong (University of Mannheim)

Acquirers' target choice can systematically reveal their technological gaps. I measure this gap as the similarity between the target's technology and the technological frontier of the acquirer's industry. Acquirers with larger gaps experience more negative market revaluations, as reflected in more negative announcement returns. This effect is present when the target is public, but not when it is private. These findings offer a new explanation for the observed disparity in acquirer returns between public and private targets: private targets are less transparent and therefore less likely to reveal the acquirer's technological gaps, unlike their public counterparts.

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Where to Hire? CEO-Governor Political Alignment and Internal Labor Allocation

Authors : Zeng Linghang (Babson College) ; Wang Wanyi (Babson College)

Presenter : Linghang Zeng (Babson College)

This paper studies how political alignment between a firm’s CEO and a state’s governor affects the firm’s internal labor allocation. We find that firms increase employment in states where the CEO is politically aligned with the governor. This effect remains robust when we exploit close gubernatorial elections as a source of plausibly exogenous variation in political alignment. The effect is stronger for firms with more politically polarized CEOs and in more recent years, consistent with rising political polarization. Further analysis suggests that the observed employment shifts are driven by CEO optimism about local policies and economic conditions, rather than by personal political preferences. However, we find that such politically motivated labor expansion is associated with lower stock returns in the following year. Overall, these findings indicate that political alignment with state governors shapes firms’ internal labor allocation decisions, though it may come at the expense of shareholder value.

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14:00 - 16:00

Market Microstructure II ( 12/18/2025 at 14:00 to 12/18/2025 at 16:00 )

Presiding : Sophie Moinas (Toulouse School of Economics)

RFQ Dominance and Lit Trading in European ETFs: Peaceful Coexistence?

Authors : Marta Thomas (Wilfrid Laurier University) ; Dugast Jérôme (Université Paris Dauphine) ; Riva Fabrice (Université Paris Dauphine)

Presenter : Thomas Marta (Wilfrid Laurier University)

We study the role of Request-for-Quote (RFQ) trading in European ETF markets, where RFQs account for most trading volume. Using granular trade-level data, we compare RFQs to lit market executions through a spread decomposition framework. RFQs involve higher effective spreads but consistently exhibit lower price impact. While lit trades have greater price impact that also increases with trade imbalance, RFQs decouple execution costs from prevailing order flow. We document a strong association between RFQ activity and ETF primary market flows, consistent with RFQs triggering creations and redemptions. RFQs offer institutional investors a mechanism to manage costs and limit information leakage.

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Data-Driven Measures of High-Frequency Trading

Authors : Rzayev Khaladdin (University of Edinburgh and Koc University) ; Ibikunle Gbenga (The University of Edinburgh) ; Moews Ben (The University of Edinburgh) ; Muravyev Dmitriy (University of Illinois at Urbana-Champaign)

Presenter : Khaladdin Rzayev (University of Edinburgh and Koc University)

High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We train machine learning models to predict HFT activity observed in a proprietary dataset using concurrent public intraday data. Once trained on the dataset, these models generate HFT measures for the entire U.S. stock universe from 2010 to 2023. Our measures outperform conventional proxies, which struggle to capture HFT’s time dynamics. We further validate them using shocks to HFT activity, including latency arbitrage, exchange speed bumps, and data feed upgrades. Finally, our measures reveal how HFT affects fundamental information acquisition. Liquidity-supplying HFTs improve price discovery around earnings announcements while liquidity-demanding strategies impede it.

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Can preferred clearing reduce post-trade costs?

Authors : Alizadeh Bazrafshan Behnoud (University of Calgary) ; Alizadeh Bazrafshan Behnoud (University of Calgary) ; Zoican Marius (University of Calgary)

Presenter : Behnoud Alizadeh Bazrafshan (University of Calgary)

Preferred clearing mechanisms can yield lower equilibrium fees than full clearinghouse interoperability. We develop a simple model with two CCPs --- a leader and a follower --- and heterogeneous traders who choose a CCP and pay clearing fees. Under preferred clearing, trades settle on the follower CCP only when both counterparties are affiliated; otherwise, the leader CCP clears the trade. In equilibrium, strong network effects discipline competition and reduce fees, especially when high-frequency trading is prevalent. Incumbent CCPs opt for a preferred clearing system unless the share of high-frequency traders is sufficiently high, in which case they allow full interoperability with competitors.

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Pricing Variance in a Model with Fire Sales

Authors : Menkveld Albert (Vrije Universiteit Amsterdam)

Presenter : Albert Menkveld (Vrije Universiteit Amsterdam)

A Grossman-Stiglitz type model is proposed to solve two variance premium/VIX puzzles: Why do investors pay to hold realized variance risk, instead of earn a premium? And, why do they pay more in post-crisis months? The model consists of three periods. Agents are identical initially, then become heterogenous due to nontraded risk shocks and trade to hedge, and finally consume payoffs. The equilibrium provides a novel perspective on the time series of VIX, S&P500 returns, and SPY trading. The long time series, 1993 through 2024, includes several crises. These crises share a common pattern, which the model can generate endogenously.

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14:00 - 16:00

Fixed Income ( 12/18/2025 at 14:00 to 12/18/2025 at 16:00 )

Presiding : Jean-paul Renne (HEC Lausanne)

From Bonds to Dividend Strips: Decomposing the Equity Premia Term Structure

Authors : Goncalves Andrei (The Ohio State University) ; Andrews Spencer (Office of Financial Research)

Presenter : Andrei Goncalves (The Ohio State University)

We construct a Stochastic Discount Factor that jointly prices nominal and real bonds as well as various equity portfolios from 1972 to 2022. Combining it with yield dynamics across these markets, we estimate term structures of risk premia for real bonds, nominal bonds, and equities. We then decompose equity risk premia into term, inflation, and cash flow risk premia components—where cash flow risk premia denote expected returns of dividend strips in excess of maturity-matched nominal bond strips. Term and inflation risk premia rise with maturity, while cash flow risk premia are hump-shaped and relatively low at long maturities. Moreover, short-maturity equity risk premia variation over time is mainly driven by cash flow risk premia, whereas long-maturity equity risk premia variation is dominated by term and inflation risk premia. These findings imply that credible explanations for the equity excess volatility puzzle must operate through bond risk premia dynamics.

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The Debt Ceiling's Disruptive Impact: Evidence from Many Markets

Authors : Cassidy William (Washington University in St. Louis) ; Mirani Shreye (Washington University in St. Louis)

Presenter : William Cassidy (Washington University in St. Louis)

We show that the debt ceiling significantly impacts the duration of government liabilities through an unintended interaction of the Treasury’s issuance rules and the debt ceiling constraint. During debt ceiling episodes, the Treasury system- atically allows more bills to mature than it issues. In recent years, this force has induced fluctuations in bill supply greater than one percent of GDP. Exploiting this, we devise an instrument for the supply of bills and show that the debt ceiling has distorted convenience premia and the price of short-term investment-grade corporate credit. We attribute the Treasury’s implicit decision to lengthen the duration of its liabilities as a response to an intermediation constraint.

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Breaking the Tension: Almost Affine Term Structure Models with Stochastic Volatility

Authors : Le Anh (Penn State University) ; Joslin Scott (University of Southern California, Marshall School of Business) ; Le Anh (University of Southern California, Marshall School of Business)

Presenter : Anh Le (Penn State University)

While affine term structure models offer a tractable framework for modeling interest rates, they struggle to jointly fit the cross-section of bond yields and the time-series of yield moments. We propose a new class of no-arbitrage models with stochastic volatility that relaxes the rigid structure of traditional affine frameworks. By modeling volatility as an almost affine process, we retain tractability and near-linear bond pricing while gaining flexibility to better match both conditional means and volatilities. Our models outperform standard affine models across key metrics. Notably, while affine models attribute up to 80% of term premium variation to volatility, our models assign no more than 20% to that channel.

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Integrating Credit and Equity Markets: A Novel Benefit of Convertible Bonds

Authors : Renjie Rex Wang (Vrije Universiteit (VU) Amsterdam) ; Ivashchenko Alexey (Vrije Universiteit (VU) Amsterdam)

Presenter : Alexey Ivashchenko (Vrije Universiteit (VU) Amsterdam)

We show empirically that convertible bonds act as a bridging mechanism, facilitating the integration between a firm’s credit and equity markets. We find that the issuance of new convertibles significantly improves cross-market integration, whereas the scheduled maturity of non-callable convertibles increases segmentation again. These patterns cannot be explained by changes in default risk or other observable firm characteristics. Consistent with the idea that convertibles attract investors seeking exposure to both markets, we show that convertible bond investors are more likely to simultaneously hold other securities from the same issuing firm. This suggests an increased presence of cross-market arbitrageurs and supports the limits-to-arbitrage explanation for the observed segmentation between credit and equity markets.

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16:00 - 16:30

16:30 - 18:00

Asset Pricing IV ( 12/18/2025 at 16:30 to 12/18/2025 at 18:00 )

Presiding : Irina Zviadadze (HEC Paris)

Optimal Liquidity and Asset Bubbles

Authors : Prieto Rodolfo (INSEAD) ; Detemple Jerome (Boston University) ; Kitapbayev Yerkin (Boston University)

Presenter : Rodolfo Prieto (INSEAD)

This paper examines how the interplay between arbitrageurs, stockholders and liquidity providers fuels bubble creation in a dynamic financial market with endogenous entry. Credit lines contribute to the formation of bubbles and amplify the impact of shocks, negatively impacting existing stockholders, but allow arbitrageurs to enter the market at low cost, thereby rehabilitating the risk concentration channel of limited participation models. Optimal liquidity balances arbitrage benefits and costs; however, we demonstrate that excessive liquidity can destabilize markets. This is particularly relevant in the current financial landscape, where the rise of cryptocurrencies poses unique regulatory challenges.

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Stochastic Discount Factors with Cross-Asset Spillovers

Authors : He Xin (University of Science and Technology of China) ; Avramov Doron (Reichman University (IDC), Herzliya, Israel)

Presenter : Xin He (University of Science and Technology of China)

This paper develops a structured asset-pricing framework for estimating the stochastic discount factor (SDF) by aggregating firm-level signals while accounting for informational linkages across assets. The method identifies which characteristics are most relevant for pricing and uncovers the directional flow of predictive influence among firms. Empirically, the resulting SDF delivers strong out-of-sample performance across asset universes and market regimes. Moreover, large, low-turnover firms emerge as central nodes in the information network. The framework provides a transparent and economically grounded view of the informational structure embedded in return dynamics.

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Financial Intermediaries and Demand for Duration

Authors : Zanotti Marco (Swiss Finance Institute, USI Lugano) ; Plazzi Alberto (Swiss Finance Institute, USI Lugano) ; Tamoni Andrea

Presenter : Alberto Plazzi (Swiss Finance Institute, USI Lugano)

Stocks with long-term cash flows earn lower expected returns, as they hedge against fluctuations in investment opportunities. We study the role of financial intermediaries in shaping this duration premium. Intermediaries’ demand for equity duration varies systematically across time and institutions as a function of their risk-bearing capacity. Institutions reduce their demand for long-duration claims and increase their exposure to reinvestment risk when aggregate capital ratios are low. Better-capitalized institutions tilt their portfolios more strongly toward long-duration stocks relative to constrained peers. Counterfactual analysis shows that the resulting changes in expected returns are economically meaningful, accounting for a substantial portion of the observed duration premium.

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16:30 - 18:00

Household Finance II ( 12/18/2025 at 16:30 to 12/18/2025 at 18:00 )

Presiding : Laurent Bach (ESSEC Business School)

The Response of Debtors to Rate Changes

Authors : Schnorpfeil Philip (Goethe University Frankfurt) ; Fuster Andreas (EPFL) ; Gianinazzi Virginia (EPFL) ; Hackethal Andreas (Goethe University Frankfurt) ; Weber Michael (University of Chicago)

Presenter : Philip Schnorpfeil (Goethe University Frankfurt)

How borrowers respond to future changes in the interest rate on their debt is of crucial importance for the transmission of monetary policy and for financial stability. Combining data from a large bank, a letter RCT, and an online survey, we study this question in the context of the German mortgage market, where borrowers since 2022 have faced high interest rates when their rate fixation period ends. We find that borrowers take various actions to reduce the impact of higher rates on interest payments. Survey responses indicate high awareness of the evolution of interest rates and corroborate a strong propensity to prepare for the rate reset, which we show experimentally is sensitive to the size of the rate increase and to the distance from reset. Our letter intervention does not affect rate beliefs, consistent with high ex-ante knowledge, but increases awareness of available options and the desire to prepare. Ongoing tracking will reveal whether this awareness translates into actual behavior.

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Green Neighbors, Greener Neighborhoods: Peer Effects in Green Home Investments

Authors : Huang Christine Zhuowei (The University of Texas at Dallas)

Presenter : Christine Zhuowei Huang (The University of Texas at Dallas)

Utilizing a nearest-neighbor research design, I find that households exposed to green neighbors within 0.1 miles are 1.6 times more likely to make their homes green within a year than unexposed households. The exposure also increases the likelihood of multi-property owners certifying their faraway secondary properties green, emphasizing that information from neighbors, not neighborhood characteristics alone, drives the effect. While financial benefits including green home prices, electricity savings, and regulatory incentives strengthen peer effects, pro-environmental preferences do not. An information-cost-based discrete choice model explains the findings and suggests that incorporating peer effect metrics in subsidies may accelerate green home investments.

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Constrained Borrowing and Living Standard: Optimal Consumption/Savings and Investment Policies

Authors : Park Seyoung (University of Nottingham) ; Kim Chanwool (Kenneth C. Griffin Department of Economics, University of Chicago) ; Shin Yong Hyun (Kenneth C. Griffin Department of Economics, University of Chicago)

Presenter : Seyoung Park (University of Nottingham)

We study the optimal dynamic consumption and portfolio decisions of utility-maximizing agents who wish to maintain a living standard. These agents exhibit decreasing relative risk aversion as their living standard increases. Our findings reveal that the requirement to uphold a minimum living standard allows borrowing-constrained agents to endogenously determine a wealth threshold, which we refer to as subsistence wealth. Below this threshold, agents optimally choose to consume nothing. However, once their wealth surpasses the subsistence level, they significantly increase their consumption. This behavior aligns more closely with empirical estimates of marginal propensities to consume. Moreover, the presence of subsistence wealth lowers agents' effective risk aversion, favoring riskier portfolios.

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16:30 - 18:00

Machine Learning ( 12/18/2025 at 16:30 to 12/18/2025 at 18:00 )

Presiding : Peter Gruber (Universite della Svizerra Italiana)

Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning

Authors : Psaradellis Ioannis (University of Edinburgh) ; Filippou Ilias (Florida State University) ; Psaradellis Ioannis (Florida State University) ; Rapach David E. (Federal Reserve Bank of Atlanta) ; Zografopoulos Lazaros (University of St Andrews)

Presenter : David E. Rapach (Federal Reserve Bank of Atlanta)

We study the critical issue of handling missing entries in hedge fund data. We intro- duce a deep learning approach, the BRITS, for recovering data for fund returns and 23 fund predictors. We compare its performance with popular imputation methods, such as the cross-sectional mean and singular value thresholding. BRITS’ ability to capture information from past and future values in time series and the whole cross-section of observations yields the highest imputation fidelity in our simulations. The recovered information improves predictions of nonlinear and linear methods. At the same time, it helps to select top-performing funds that earn significant out-of-sample annual alphas of 13.4% net of all costs.

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Machine Learning Mutual Fund Flows

Authors : Fausch Jürg (Lucerne University of Applied Sciences & Arts) ; Frigg Moreno (Lucerne University of Applied Sciences & Arts) ; Ruenzi Stefan (Lucerne University of Applied Sciences & Arts) ; Weigert Florian (University of Neuchâtel)

Presenter : Jürg Fausch (Lucerne University of Applied Sciences & Arts)

Using machine learning (ML) methods, we examine the out-of-sample predictability of mutual fund flows and study their economic implications. Our findings show that advanced, nonlinear ML models significantly outperform linear methods. Applying interpretable ML, we identify past flows and the Morningstar rating as the most important predictors. We also uncover important nonlinear relationships and economically meaningful interactions in fund flow prediction. Our analysis reveals that predicted flows can be employed ex-ante to distinguish between high- and low-performing funds. Finally, we find that funds with the largest improvements in ML-based flow forecasts underperform, highlighting ML’s potential to enhance liquidity management.

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AI as Decision-Maker: Risk Preferences of LLMs

Authors : Yun Hayong (Michigan State University) ; Ouyang Shumiao (University of Oxford) ; Zheng Xingjian (University of Oxford)

Presenter : Hayong Yun (Michigan State University)

Large Language Models (LLMs) exhibit surprisingly diverse risk preferences when acting as AI decision makers, a crucial characteristic whose origins remain poorly understood despite their expanding economic roles. We analyze 50 LLMs using behavioral tasks, finding stable but diverse risk profiles. Alignment tuning for harmlessness, helpfulness, and honesty significantly increases risk aversion, causally increasing risk aversion confirmed via comparative difference analysis: a ten percent ethics increase cuts risk appetite two to eight percent. This induced caution persists against prompts and affects economic forecasts. Alignment enhances safety but may also suppress valuable risk taking, revealing a tradeoff risking suboptimal economic outcomes.

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16:30 - 18:00

Private Equity / Entrepreneurial Finance ( 12/18/2025 at 16:30 to 12/18/2025 at 18:00 )

Presiding : Jessica Jeffers (HEC Paris)

Learning via the Band of Brothers: Evidence from Entrepreneurial Spillover

Authors : Chang Yen-Cheng (National Taiwan University) ; Chi Chun-Che (Academia Sinica) ; Hung Chih-Ching (Academia Sinica) ; Tseng Kevin (Chinese University of Hong Kong)

Presenter : Yen-Cheng Chang (National Taiwan University)

We study whether and how entrepreneurial exposure to weak social ties—peers’ entrepreneurial parents—shapes entrepreneurial entry and performance for young adults. Our empirical setting exploits entrepreneurial exposure variation across randomly assigned peer groups during compulsory military service. We find that raising the share of peers’ entrepreneurial parents by one standard deviation increases individuals’ propensity to become entrepreneurs by 20 percent. The effect is stronger in smaller groups, where interaction is easier, and among individuals who would otherwise lack entrepreneurial connections. We show that the effect is primarily driven by successful peers’ parents and comprises a significant within-industry component, suggesting a knowledge spillover channel. Consistent with this notion, peers’ successful parents also lead to better performance in post-service entrepreneurship.

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Asset Sorting in Private Equity

Authors : Gatchev Vladimir (University of Central Florida) ; Ivanov Vladimir (University of Central Florida) ; Pirinsky Christo (University of Central Florida)

Presenter : Christo Pirinsky (University of Central Florida)

The compensation of the general partners in a typical private equity firm is linked to the performance of the individual funds in the firm rather than its aggregate performance. We argue this compensation structure provides incentives for the general partners to arrange assets across funds in a manner that increases fees collected from investors. We refer to this practice as asset sorting and explore its prevalence in the VC industry. Using a sample of VC investments between 1980 and 2022, we find significant evidence for asset sorting in the industry. The effect is economically significant, yet notably smaller for firms with greater legal exposure. We also find that asset sorting is not related to investment performance and intensifies in cold markets.

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Inventor Performance Pressure and Strategic Innovation Management

Authors : Shu Tao (Chinese University of Hong Kong) ; Huang Xiangqian (Chinese University of Hong Kong) ; Tian Xuan (Chinese University of Hong Kong)

Presenter : Tao Shu (Chinese University of Hong Kong)

We investigate whether corporate inventors, incentivized by annual performance appraisals, engage in opportunistic innovation management by filing an excessive number of low-quality patents during fiscal year-end (FYE) months. For US public firms, we find a 43% surge in patent filings during FYE months compared to other months–a pattern that persists across time, firm sizes, industries, technologies, and even internationally. Patents associated with such innovation management exhibit significantly lower quality. Furthermore, innovation management is more pronounced among inventors who are trailing in patent filings earlier in the year, less experienced, or have weaker track records. While such behavior initially reduces inventor turnover, it increases inventor turnover in later years, reflecting a tradeoff between short-term performance gains and long-term reputational costs from diminished patent quality. Finally, innovation management leads to lower future firm performance and stock returns. Our findings highlight that opportunistic innovation management contributes to the excessive filing of low-quality patents, a significant issue in the innovation system.

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16:30 - 18:00

Options ( 12/18/2025 at 16:30 to 12/18/2025 at 18:00 )

Presiding : Roberto Reno (ESSEC)

Risk Premia with Intertemporal Hedging

Authors : Gourier Elise (ESSEC Business School) ; Chabi-Yo Fousseni (University of Massachusetts-Amherst) ; Langlois Hugues (University of Massachusetts-Amherst)

Presenter : Elise Gourier (ESSEC Business School)

The equity and variance risk premia at a given horizon T1 depend on the risks of future intertemporal shifts in the economic environment, beyond T1. We derive novel estimates of these risk premia, which account for intertemporal hedging and embed information on the term structure of market return moments. We compute them using options and find that intertemporal hedging drives up to 70% of the equity risk premium and half of the variance risk premium. In particular, intertemporal hedging increases the equity risk premium in times of market expansion, characterized by long investors' horizons. Our estimates improve the out-of-sample R2 of market return prediction by a factor of up to 2.

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Options on Drugs: Industry Exposure and Option Anomalies

Authors : Käfer Niclas (University of St.Gallen)

Presenter : Niclas Käfer (University of St.Gallen)

On average, writing options on pharmaceutical stocks yields higher returns than writing options on stocks in any other industry. The exposure to options on pharmaceuticals helps explain the persistent returns of delta-hedged option strategies, such as sorting options based on corporate cash holdings. Pharmaceutical stocks exhibit high growth potential and unique lottery features related to drug trials and development, leading to increased demand for their option contracts. Furthermore, the biotechnology bubble of the early 2000s inhibits common option risk factors from fully capturing the returns of pharmaceutical options.

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Be on Your Guard: Options Markets and Safety-Related Small Maturity Phenomena

Authors : Hansen Jorge (Aarhus University) ; Bakshi Gurdip (Temple University) ; Crosby John (Temple University) ; Gao Xiaohui (Temple University)

Presenter : Jorge Hansen (Aarhus University)

To analyze small maturity phenomena related to safety in markets, we develop a model to explain observable patterns: a positive correlation between the returns of out-of-the-money (OTM) Treasury bond futures calls and S&P 500 stock puts, lack of correlation between the returns of OTM bond puts and stock calls, and a decrease in the VVIX/VIX ratio during times of market stress. The estimated model is based on a theory of bivariate jump distributions for the bond’s upside (downside) and the stock’s downside (upside) supported by two stochastic jump intensities and is validated empirically by small maturity findings that encompass 15 variables.

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16:30 - 18:00

Currency and Exchange Rates ( 12/18/2025 at 16:30 to 12/18/2025 at 18:00 )

Presiding : Pedro Barroso (Universidade Católica Portuguesa)

The Implications of CIP Deviations for International Capital Flows

Authors : Vandeweyer Quentin (University of Chicago) ; Kubitza Christian (ECB) ; Jean-David Sigaux (ECB)

Presenter : Quentin Vandeweyer (University of Chicago)

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors’ holdings of USD bonds decrease following a widening in the USD-EUR cross-currency basis (CCB). This effect is driven by investors with larger FX rollover risk and hedging mandates, and it is robust to instrumenting the CCB. These shifts in bond demand significantly affect bond prices. Our findings shed light on a new determinant of international capital flows with important consequences for financial stability.

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Deviations of Covered Interest Parity, Dollar Funding Pressure, and Currency Risk Premia

Authors : Wang Yirong (University of Bristol)

Presenter : Yirong Wang (University of Bristol)

This paper examines the relationship between dollar hedge funding pressure and the cross-section of currency risk premium. Motivated by the currency hedging channel proposed by Liao & Zhang (2025), I use the deviations of Covered Interest Rate Parity (CIP) as a measure of imbalances between excessive dollar hedging demand and constrained funding supply with financial intermediation costs. Using G10 currency data, I show that currencies with less negative or positive basis values offer significantly higher excess returns as compensation for holding currencies with higher dollar funding risk. A tradable trading strategy that longs in currencies with high basis and shorts currencies with low basis, referred to as the "global cross-currency basis" factor, delivers economically large and statistically significant returns and explains a large variation in cross-sectional variation in currency returns, particularly during the postcrisis period. This basis factor also subsumes information embedded in nominal interest rate (carry trade) and global imbalances in trade and capital flows in postcrisis period.

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Demand Driven Risk Premia in FX and Bond Markets

Authors : Krohn Ingomar (Bank of Canada) ; Andreas Uthemann (Bank of Canada) ; Vala Rishi (Bank of Canada) ; Yang Jun (Bank of Canada)

Presenter : Andreas Uthemann (Bank of Canada)

We use high-frequency price changes around U.S. Treasury auctions to identify shifts in demand for U.S. safe assets and analyze their effects on foreign exchange and bond markets. A positive demand shock for U.S. Treasuries leads, on average, to a 2-basis-point depreciation of the U.S. dollar against a portfolio of G9 currencies, with the price impact increasing with the maturity of the issued security. Countries with highly correlated short-term interest rates to the U.S. experience weaker currency appreciation but stronger bond yield co-movement with U.S. Treasuries, compared to countries with lower short-rate correlations. These findings provide robust support for segmented markets models, where global arbitrageurs act as marginal investors in both foreign exchange and bond markets, and highlight the critical role of risk premia in driving the co-movement of exchange rates and bond yields.

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18:00 - 19:30

Akey Pat (INSEAD/University of Toronto)
- Do carbon markets undermine private climate initiatives? , Climate Finance
Alizadeh Bazrafshan Behnoud (University of Calgary)
- Can preferred clearing reduce post-trade costs? , Market Microstructure II
Andreas Uthemann (Bank of Canada)
- Demand Driven Risk Premia in FX and Bond Markets , Currency and Exchange Rates
Andrews Spencer (Office of Financial Research)
- From Bonds to Dividend Strips: Decomposing the Equity Premia Term Structure , Fixed Income
Appel Ian (INSEAD/University of Toronto)
- Do carbon markets undermine private climate initiatives? , Climate Finance
Ardia David (HEC Montréal)
- Value Creation in the Hedge Fund Industry , Hedge Funds / Mutual Funds
Avramov Doron (Reichman University (IDC), Herzliya, Israel)
- Stochastic Discount Factors with Cross-Asset Spillovers , Asset Pricing IV
Bakshi Gurdip (Temple University)
- Be on Your Guard: Options Markets and Safety-Related Small Maturity Phenomena , Options
Barras Laurent (University of Luxembourg)
- Value Creation in the Hedge Fund Industry , Hedge Funds / Mutual Funds
Barroso Pedro (Universidade Católica Portuguesa)
- What Explains Momentum When It Really Works? , Asset Pricing I
Bellon Aymeric (UNC Chapel Hill)
- Do carbon markets undermine private climate initiatives? , Climate Finance
Beraldi Francesco
- Banking Relationships and Loan Pricing Disconnect , Banking / Financial Intermediation I
Beraldi Francesco (Duke University, Fuqua School of Business)
- Banking Relationships and Loan Pricing Disconnect , Banking / Financial Intermediation I
Boutros Michael (University of Toronto)
- The Value of Mortgage Choice: Payment Structure and Contract Length , Mortgages
Brogaard Jonathan (University of Utah)
- It's not easy being green , Product Market Relationships
Cabossioras Yannis (Federal Reserve Board of Governors)
- Bank Specialization and Credit Relationships in Small-Business Lending , Banking / Financial Intermediation II
Calvet Laurent (Harvard Business School)
- How do Households Suppress the Price of Tail Risk? , Asset Pricing III
Cassidy William (Washington University in St. Louis)
- The Debt Ceiling's Disruptive Impact: Evidence from Many Markets , Fixed Income
Celerier Claire (University of Toronto- Rotman School of Management)
- How do Households Suppress the Price of Tail Risk? , Asset Pricing III
Chabi-Yo Fousseni (University of Massachusetts-Amherst)
- Risk Premia with Intertemporal Hedging , Options
Chang Yen-Cheng (National Taiwan University)
- Learning via the Band of Brothers: Evidence from Entrepreneurial Spillover , Private Equity / Entrepreneurial Finance
Chavaz Matthieu (Bank for International Settlements)
- A Public-Private Partnership? Central Bank Funding and Credit Supply , Mortgages
Chi Chun-Che (Academia Sinica)
- Learning via the Band of Brothers: Evidence from Entrepreneurial Spillover , Private Equity / Entrepreneurial Finance
Clara Nuno (Duke University)
- The Value of Mortgage Choice: Payment Structure and Contract Length , Mortgages
Coqueret Guillaume (EM Lyon)
- Anomaly Persistence and Nonstandard Errors , Asset Pricing I
Croce Mariano Max (Bocconi University)
- Green Coins , Climate Finance
Crosby John (Temple University)
- Be on Your Guard: Options Markets and Safety-Related Small Maturity Phenomena , Options
Cumming Douglas (FLORIDA ATLANTIC UNIVERSITY)
- Social Media Noise and Stock Manipulation , Market Efficiency
Da Zhi (University of Notre Dame)
- Presidential Cycles in PEAD , Asset Pricing III
DeMiguel Victor (London Business School)
- Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha , Hedge Funds / Mutual Funds
Delikouras Stefanos (University of Miami)
- The Risk-Return Puzzle: Backward- versus Forward-Looking Expected Returns , Asset Pricing III
Detemple Jerome (Boston University)
- Optimal Liquidity and Asset Bubbles , Asset Pricing IV
Divakaruni Anantha (University of Bergen)
- Early Price Discovery in IPOs , Market Efficiency
Dugast Jérôme (Université Paris Dauphine)
- RFQ Dominance and Lit Trading in European ETFs: Peaceful Coexistence? , Market Microstructure II
Efing Matthias (HEC Paris)
- Platform Credit, Advertising, and Customer Capital , FinTech and Cryptocurrencies
Elliott David (Bank of England)
- A Public-Private Partnership? Central Bank Funding and Credit Supply , Mortgages
Emery Logan (Erasmus University Rotterdam)
- The Private Value of Open-Source Innovation , Product Market Relationships
Engle Robert (New York University)
- Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure , Climate Finance
Fausch Jürg (Lucerne University of Applied Sciences & Arts)
- Machine Learning Mutual Fund Flows , Machine Learning
Filippou Ilias (Florida State University)
- Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning , Machine Learning
Frigg Moreno (Lucerne University of Applied Sciences & Arts)
- Machine Learning Mutual Fund Flows , Machine Learning
Fringuellotti Fulvia (Federal Reserve Bank of New York)
- Payout Restrictions and Bank Risk-Shifting , Banking / Financial Intermediation I
Fuster Andreas
- Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios , Banking / Financial Intermediation II
Fuster Andreas (EPFL)
- The Response of Debtors to Rate Changes , Household Finance II
Gao Xiaohui (Temple University)
- Be on Your Guard: Options Markets and Safety-Related Small Maturity Phenomena , Options
Gatchev Vladimir (University of Central Florida)
- Asset Sorting in Private Equity , Private Equity / Entrepreneurial Finance
Gelman Michael (University of Southern California)
- Social Interaction Intensity and Investor Behavior , Household Finance I
Gerasimova Nataliya (BI Norwegian Business School)
- It's not easy being green , Product Market Relationships
Gianinazzi Virginia (EPFL)
- The Response of Debtors to Rate Changes , Household Finance II
Goncalves Andrei (The Ohio State University)
- From Bonds to Dividend Strips: Decomposing the Equity Premia Term Structure , Fixed Income
Goncalves-Pinto Luis (University of New South Wales)
- A Battle of Wills: The Joint Impact of Sentiment and Benchmarking on Volatility and Mispricing , Asset Pricing I
Gong Minrui (University of Mannheim)
- Judged by the Company You Acquire , Corporate Finance
Gourier Elise (ESSEC Business School)
- Risk Premia with Intertemporal Hedging , Options
Hackethal Andreas (Goethe University Frankfurt)
- The Response of Debtors to Rate Changes , Household Finance II
Han Ruobing (BIS)
- Platform Credit, Advertising, and Customer Capital , FinTech and Cryptocurrencies
Hansen Jorge (Aarhus University)
- Be on Your Guard: Options Markets and Safety-Related Small Maturity Phenomena , Options
He Guojun (University of Hong Kong)
- The Demand, Supply, and Market Responses of Corporate ESG Actions: Evidence from a Nationwide Experiment in China , Climate / Corporate Governance
He Xin (University of Science and Technology of China)
- Stochastic Discount Factors with Cross-Asset Spillovers , Asset Pricing IV
Hirshleifer David (University of Southern California)
- Social Interaction Intensity and Investor Behavior , Household Finance I
Hong Kong Polytechnic University)
- China Walls , Banking / Financial Intermediation II
Huang Christine Zhuowei (The University of Texas at Dallas)
- Green Neighbors, Greener Neighborhoods: Peer Effects in Green Home Investments , Household Finance II
Huang Xiangqian (Chinese University of Hong Kong)
- Inventor Performance Pressure and Strategic Innovation Management , Private Equity / Entrepreneurial Finance
Huang Yi (BIS)
- Platform Credit, Advertising, and Customer Capital , FinTech and Cryptocurrencies
Hung Chih-Ching (Academia Sinica)
- Learning via the Band of Brothers: Evidence from Entrepreneurial Spillover , Private Equity / Entrepreneurial Finance
Ibikunle Gbenga (The University of Edinburgh)
- Data-Driven Measures of High-Frequency Trading , Market Microstructure II
Inzunza-Mendez A
- Green Coins , Climate Finance
Ivanov Vladimir (University of Central Florida)
- Asset Sorting in Private Equity , Private Equity / Entrepreneurial Finance
Ivashchenko Alexey (Vrije Universiteit (VU) Amsterdam)
- Integrating Credit and Equity Markets: A Novel Benefit of Convertible Bonds , Fixed Income
Jean-David Sigaux (ECB)
- The Implications of CIP Deviations for International Capital Flows , Currency and Exchange Rates
Jiang Binghan (Paris Dauphine University)
- Shale Debt Structure and Pollution Control , Capital Structure
Jones Howard (University of Bergen)
- Early Price Discovery in IPOs , Market Efficiency
Joslin Scott (University of Southern California, Marshall School of Business)
- Breaking the Tension: Almost Affine Term Structure Models with Stochastic Volatility , Fixed Income
Jung Hyeyoon (Federal Reserve Bank of New York)
- Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure , Climate Finance
Jung Kyle Jaehoon (NYU Stern School of Business)
- Green Moral Hazard: Estimating the Financial and Non-financial Impacts of CEO Incentives , Climate / Corporate Governance
Kabir Poorya (NUS)
- EXIM’s Exit: Industrial Policy, Export Credit Agencies, and Capital Allocation , Corporate Finance
Kadach Igor (IESE)
- Decipher Market Responses to Climate TRACE Emission Data Release , Climate Finance
Kartashova Katya
- The Value of Mortgage Choice: Payment Structure and Contract Length , Mortgages
Kieren Pascal (Heidelberg University)
- Information Partitioning, Learning, and Beliefs , Household Finance I
Kim Chanwool (Kenneth C. Griffin Department of Economics, University of Chicago)
- Constrained Borrowing and Living Standard: Optimal Consumption/Savings and Investment Policies , Household Finance II
Kim Daniel (University of Waterloo)
- It's not easy being green , Product Market Relationships
Kim Hugh (Wilfrid Laurier University)
- Will AI Replace or Enhance Human Intelligence in Investment Management? , Hedge Funds / Mutual Funds
Kim Sang Rae (Kyung Hee University)
- Macro-Financial Impact of Stablecoin's Demand for Treasuries , FinTech and Cryptocurrencies
Kitapbayev Yerkin (Boston University)
- Optimal Liquidity and Asset Bubbles , Asset Pricing IV
Klausmann Johannes (UVA Darden School of Business)
- Do carbon markets undermine private climate initiatives? , Climate Finance
Koo Minjae (Korea University)
- Decipher Market Responses to Climate TRACE Emission Data Release , Climate Finance
Kroen Thomas (International Monetary Fund)
- Payout Restrictions and Bank Risk-Shifting , Banking / Financial Intermediation I
Krohn Ingomar (Bank of Canada)
- Demand Driven Risk Premia in FX and Bond Markets , Currency and Exchange Rates
Kubitza Christian (ECB)
- The Implications of CIP Deviations for International Capital Flows , Currency and Exchange Rates
Käfer Niclas (University of St.Gallen)
- Options on Drugs: Industry Exposure and Option Anomalies , Options
Lambert Peter (London School of Economics)
- Bad Bank, Bad Luck? Evidence from 1 Million Firm-Bank Relationships , Banking / Financial Intermediation II
Langlois Hugues (University of Massachusetts-Amherst)
- Risk Premia with Intertemporal Hedging , Options
Lattanzio Chiara (University College London)
- How to model bank competition: the case for Cournot , Banking / Financial Intermediation I
Le Anh (Penn State University)
- Breaking the Tension: Almost Affine Term Structure Models with Stochastic Volatility , Fixed Income
Le Anh (University of Southern California, Marshall School of Business)
- Breaking the Tension: Almost Affine Term Structure Models with Stochastic Volatility , Fixed Income
Lee Tomy (Central European University)
- China Walls , Banking / Financial Intermediation II
Levi Yaron (University of Southern California)
- Social Interaction Intensity and Investor Behavior , Household Finance I
Lim Chan (University at Buffalo)
- The Private Value of Open-Source Innovation , Product Market Relationships
Lin Chen (University of Hong Kong)
- The Consumption Response to Protectionism , Household Finance I
Linn Matthew
- The Risk-Return Puzzle: Backward- versus Forward-Looking Expected Returns , Asset Pricing III
Liu Xinyu (INSEAD)
- Labor shortage, Hiring and Stock Returns , Asset Pricing II
Maeckle Kai (Mannheim University)
- Short-Termis Carbon Emissions , Climate / Corporate Governance
Marta Thomas (Wilfrid Laurier University)
- RFQ Dominance and Lit Trading in European ETFs: Peaceful Coexistence? , Market Microstructure II
Martin Xiumin (Korea University)
- Decipher Market Responses to Climate TRACE Emission Data Release , Climate Finance
Martin-Utrera Alberto (London Business School)
- Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha , Hedge Funds / Mutual Funds
Matray Adrien (Federal Reserve Bank of Atlanta)
- EXIM’s Exit: Industrial Policy, Export Credit Agencies, and Capital Allocation , Corporate Finance
Mattille Edouard (University of St. Gallen)
- Hiding in Plain Sight: Preferred Habitat Effects in Short-Term Rates , Market Microstructure I
Menkveld Albert (Vrije Universiteit Amsterdam)
- Pricing Variance in a Model with Fire Sales , Market Microstructure II
Mertes Lukas (University of Mannheim)
- Information Partitioning, Learning, and Beliefs , Household Finance I
Mirani Shreye (Washington University in St. Louis)
- The Debt Ceiling's Disruptive Impact: Evidence from Many Markets , Fixed Income
Moews Ben (The University of Edinburgh)
- Data-Driven Measures of High-Frequency Trading , Market Microstructure II
Monroe Win (Bank for International Settlements)
- A Public-Private Partnership? Central Bank Funding and Credit Supply , Mortgages
Mora Aaron (University of South Carolina)
- Revealed Preference for Green Stocks: An Asset Demand Approach , Asset Pricing II
Muckley Cal (University College Dublin)
- Loan Officers, Same-Sex Couple Mortgages and Non-discrimination Law , Mortgages
Muller Karsten (NUS)
- EXIM’s Exit: Industrial Policy, Export Credit Agencies, and Capital Allocation , Corporate Finance
Muravyev Dmitriy (University of Illinois at Urbana-Champaign)
- Data-Driven Measures of High-Frequency Trading , Market Microstructure II
N Guinez
- Green Coins , Climate Finance
Nanda Vikram (The University of Texas at Dallas)
- Will AI Replace or Enhance Human Intelligence in Investment Management? , Hedge Funds / Mutual Funds
Nathan Daniel (Bank of Israel
- China Walls , Banking / Financial Intermediation II
Nguyen T
- Green Coins , Climate Finance
Ouyang Shumiao (University of Oxford)
- AI as Decision-Maker: Risk Preferences of LLMs , Machine Learning
Paligovora Teodora
- Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios , Banking / Financial Intermediation II
Park Seyoung (University of Nottingham)
- Constrained Borrowing and Living Standard: Optimal Consumption/Savings and Investment Policies , Household Finance II
Pezier Emmanuel (Said Business School, University of Oxford)
- Early Price Discovery in IPOs , Market Efficiency
Pirinsky Christo (University of Central Florida)
- Asset Sorting in Private Equity , Private Equity / Entrepreneurial Finance
Plazzi Alberto (Swiss Finance Institute, USI Lugano)
- Financial Intermediaries and Demand for Duration , Asset Pricing IV
Prieto Rodolfo (INSEAD)
- Optimal Liquidity and Asset Bubbles , Asset Pricing IV
Psaradellis Ioannis (Florida State University)
- Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning , Machine Learning
Psaradellis Ioannis (University of Edinburgh)
- Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning , Machine Learning
Pursiainen Vesa (University of St.Gallen and Swiss Finance Institute)
- The Carbon Cost of Competitive Pressure , Product Market Relationships
Pérignon Christophe (HEC Paris)
- Anomaly Persistence and Nonstandard Errors , Asset Pricing I
Rapach David E. (Federal Reserve Bank of Atlanta)
- Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning , Machine Learning
Reiter-Gavish Liron (Netanya Academic College)
- Social Interaction Intensity and Investor Behavior , Household Finance I
Ren Zhou (Vienna Graduate School of Finance)
- Real Effects of Bernanke–Kuttner: The Risk Channel of Monetary Policy on Corporate Investment , Capital Structure
Renjie Rex Wang (Vrije Universiteit (VU) Amsterdam)
- Integrating Credit and Equity Markets: A Novel Benefit of Convertible Bonds , Fixed Income
Riva Fabrice (Université Paris Dauphine)
- RFQ Dominance and Lit Trading in European ETFs: Peaceful Coexistence? , Market Microstructure II
Roche Herve (Universidad de Los Andes)
- A Battle of Wills: The Joint Impact of Sentiment and Benchmarking on Volatility and Mispricing , Asset Pricing I
Rohrer Maximilian (Norwegian School of Economics)
- It's not easy being green , Product Market Relationships
Ruenzi Stefan (Lucerne University of Applied Sciences & Arts)
- Machine Learning Mutual Fund Flows , Machine Learning
Rzayev Khaladdin (University of Edinburgh and Koc University)
- Data-Driven Measures of High-Frequency Trading , Market Microstructure II
Sauzet Maxime (Boston University)
- Green Intermediary Asset Pricing , Asset Pricing II
Schindler Yannick (London School of Economics)
- Bad Bank, Bad Luck? Evidence from 1 Million Firm-Bank Relationships , Banking / Financial Intermediation II
Schneider Constantin (University of Münster)
- Signals in the Noise: Global Valuation Effects of Dividends and Buybacks , Capital Structure
Schnorpfeil Philip (Goethe University Frankfurt)
- The Response of Debtors to Rate Changes , Household Finance II
Shan Ge (New York University)
- Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure , Climate Finance
Shan Hongyu (China Europe International Business School)
- The Consumption Response to Protectionism , Household Finance I
Shin Yong Hyun (Kenneth C. Griffin Department of Economics, University of Chicago)
- Constrained Borrowing and Living Standard: Optimal Consumption/Savings and Investment Policies , Household Finance II
Shu Tao (Chinese University of Hong Kong)
- Inventor Performance Pressure and Strategic Innovation Management , Private Equity / Entrepreneurial Finance
Sotes-Paladino Juan (Universidad de Los Andes)
- A Battle of Wills: The Joint Impact of Sentiment and Benchmarking on Volatility and Mispricing , Asset Pricing I
Stulz Rene (The Ohio State University)
- What are the costs of weakening shareholder primacy? Evidence from a U.S. quasi-natural experiment , Corporate Finance
Su Dan (Cheung Kong Graduate School of Business)
- The Green Value of BigTech Credit , FinTech and Cryptocurrencies
Sun Hanwen (University of St.Gallen and Swiss Finance Institute)
- The Carbon Cost of Competitive Pressure , Product Market Relationships
Sun Qi (Shanghai Univerisity of Finance and Economics)
- Platform Credit, Advertising, and Customer Capital , FinTech and Cryptocurrencies
Tamoni Andrea
- Financial Intermediaries and Demand for Duration , Asset Pricing IV
Tao Tian (University College Dublin)
- Loan Officers, Same-Sex Couple Mortgages and Non-discrimination Law , Mortgages
Tebaldi C
- Green Coins , Climate Finance
Tian Da (University of Hong Kong)
- The Consumption Response to Protectionism , Household Finance I
Tian Xuan (Chinese University of Hong Kong)
- Inventor Performance Pressure and Strategic Innovation Management , Private Equity / Entrepreneurial Finance
Tielens Joris (National Bank of Belgium)
- Bank Specialization and Credit Relationships in Small-Business Lending , Banking / Financial Intermediation II
Tran Vu (FLORIDA ATLANTIC UNIVERSITY)
- Social Media Noise and Stock Manipulation , Market Efficiency
Tran Vu (University of Reading)
- Social Media Noise and Stock Manipulation , Market Efficiency
Trzcinka Charles (Indiana University)
- The Impact of Active Managers on the Pricing of Underlying Assets in ETFs , Asset Pricing III
Tseng Kevin (Chinese University of Hong Kong)
- Learning via the Band of Brothers: Evidence from Entrepreneurial Spillover , Private Equity / Entrepreneurial Finance
Uppal Raman (EDHEC and CEPR)
- Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha , Hedge Funds / Mutual Funds
Vala Rishi (Bank of Canada)
- Demand Driven Risk Premia in FX and Bond Markets , Currency and Exchange Rates
Vallee Boris (Harvard Business School)
- How do Households Suppress the Price of Tail Risk? , Asset Pricing III
Vandeweyer Quentin (University of Chicago)
- The Implications of CIP Deviations for International Capital Flows , Currency and Exchange Rates
Vickery James (Federal Reserve Bank of Philadelphia)
- Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios , Banking / Financial Intermediation II
Wang Chaojun (Bank of Israel
- China Walls , Banking / Financial Intermediation II
Wang Haoxu (Sustainable and Green Finance Institute, National University of Singapore)
- What Explains Momentum When It Really Works? , Asset Pricing I
Wang Liyao (Hong Kong Baptist University)
- Presidential Cycles in PEAD , Asset Pricing III
Wang Wanyi (Babson College)
- Where to Hire? CEO-Governor Political Alignment and Internal Labor Allocation , Corporate Finance
Wang Yirong (University of Bristol)
- Deviations of Covered Interest Parity, Dollar Funding Pressure, and Currency Risk Premia , Currency and Exchange Rates
Weber Martin (Heidelberg University)
- Information Partitioning, Learning, and Beliefs , Household Finance I
Weber Michael (University of Chicago)
- The Response of Debtors to Rate Changes , Household Finance II
Weigert Florian (University of Neuchâtel)
- Machine Learning Mutual Fund Flows , Machine Learning
Xiahou Qinrui (University of Hong Kong)
- The Demand, Supply, and Market Responses of Corporate ESG Actions: Evidence from a Nationwide Experiment in China , Climate / Corporate Governance
Xiang Yue (Durham University)
- The Carbon Cost of Competitive Pressure , Product Market Relationships
Xiong Yan (University of Hong Kong)
- Institutional Ownership Concentration and Informational Efficiency , Market Microstructure I
Xu Chenzi (NUS)
- EXIM’s Exit: Industrial Policy, Export Credit Agencies, and Capital Allocation , Corporate Finance
Xu Daniel Yi (Duke University, NBER, and CEPR)
- Platform Credit, Advertising, and Customer Capital , FinTech and Cryptocurrencies
Xuran Zeng (New York University)
- Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure , Climate Finance
Yang Jun (Bank of Canada)
- Demand Driven Risk Premia in FX and Bond Markets , Currency and Exchange Rates
Yang Liyan (University of Toronto)
- Institutional Ownership Concentration and Informational Efficiency , Market Microstructure I
Ye Shiwei (University at Buffalo)
- The Private Value of Open-Source Innovation , Product Market Relationships
Yun Hayong (Michigan State University)
- AI as Decision-Maker: Risk Preferences of LLMs , Machine Learning
Zanotti Marco (Swiss Finance Institute, USI Lugano)
- Financial Intermediaries and Demand for Duration , Asset Pricing IV
Zeng Linghang (Babson College)
- Where to Hire? CEO-Governor Political Alignment and Internal Labor Allocation , Corporate Finance
Zeng Ming (University of Gothenburg)
- Presidential Cycles in PEAD , Asset Pricing III
Zhang Hulai (Tilburg University and ESCP)
- Flow-Driven Corporate Finance: A Supply-Demand Approach , Market Efficiency
Zhao Meiling (Chinese University of Hong Kong)
- Decipher Market Responses to Climate TRACE Emission Data Release , Climate Finance
Zhao Ziwei (University of Lausanne and Swiss Finance Institute)
- The Impact of Active Managers on the Pricing of Underlying Assets in ETFs , Asset Pricing III
Zheng Xingjian (University of Oxford)
- AI as Decision-Maker: Risk Preferences of LLMs , Machine Learning
Zheng Zexin (Hong Kong University of Science and Technology)
- Institutional Ownership Concentration and Informational Efficiency , Market Microstructure I
Zhou Zhengge (Warwick Business School)
- Optimal Automated Market Maker , Market Microstructure I
Zografopoulos Lazaros (University of St Andrews)
- Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning , Machine Learning
Zoican Marius (University of Calgary)
- Can preferred clearing reduce post-trade costs? , Market Microstructure II

To provide job market candidates with more visibility, Job Market papers (at the time of the submission) will be highlighted in the conference program and for the purpose of the conference's communications (emailing and LinkedIn).

Although job market papers will be inserted in normal sessions, they will be considered for a separate prize, the Best Job Market Paper Award.

If you do not wish your paper to be considered as a job market paper, do not check the "Job Market Paper" box in the submission form. Your paper will also not be considered for the Best Job market Paper Award.

Every year, we reward the Best Conference Paper and the Best Job Market Paper.

Find below all awarded papers.

2024

Best Paper Conference meeting:

Ulrich HEGE (Toulouse School of Economics), Kai LI (Peking University) and Yifei ZHANG (Peking University), for the paper entitled "Climate Innovation and Carbon Emissions: Evidence from Supply Chain Networks"

Best Job Market Paper meeting:

Alessio OZANNE (Toulouse School of Economics), for the paper entitled “Black Box Credit Scoring and Data Sharing”

2023

Best Paper Conference meeting:

"Andras FULOP (ESSEC), Junye LI (Fudan University) and Mo WANG (ESSEC), for the paper entitled "Option Mispricing and Alpha Portfolios"

Best Job Market Paper meeting:

Antoine BAENA (Banque de France and Paris Dauphine University PSL, France), for the paper entitled "Do capital requirements really reduce the riskiness of banks"

2022

Victor LYONNET (Ohio State University) & Lea STERN (University of Washington) for the paper entitled "Venture Capital (Mis)Allocation in the Age of AI"

2021

Dmitry KUVSHINOV (University of Pompeu Fabra) for the paper entitled "The Co Movement Puzzle"

2020

Olivier David ZERBIB (Tilburg University (CentER) and ISFA) for the paper entitled "A Sustainable Capital Asset Pricing Model (S CAPM): Evidence from Green Investing and Sin Stock Exclusion"

2019

Matthias EFING (HEC Paris), Harald HAU (University of Geneva & Swiss Finance Institute), Patrick KAMPKOTTER (University of Tübingen) and Jean-Charles ROCHET (University of Geneva & Swiss Finance Institute) for the paper entitled "Bank Bonus Pay as a Risk Sharing Contract"

2018

Ye LI & Chen WANG for the paper entitled "Rediscover Predictibility: Information from the Relative Prices of Long-Term and Short-Term Dividends"

2017

Thorsten MARTIN & Clemens A. OTTO for the paper entitled "The Effect of Hold-Up Problems on Corporate Investment: Evidence from Import Tariff Reductions"

2016

Matthew DARST & Ehraz REFAYET for the paper entitled "Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default"

2015

Roberto MARFE for the paper entitled "Labor Rigidity and the Dynamics of the Value Premium"

2014

Taylor BEGLEY for the paper entitled "The Real Costs of Corporate Credit Ratings"
Shiyang HUANG for the paper entitled "The Effect of Options on Information Acquisition and Asset Pricing"

2013

Clemens OTTO & Paolo VOLPIN for the paper entitled "Marking to Market and Inefficient Investment Decisions"
Matthias EFING & Harald HAU for the paper entitled "Structured Debt Ratings: Evidence on Conflicts of Interest"
Bart YUESHEN for the paper entitled "Queuing Uncertainty"

Registration fees are 275€.

Please fill the registration form and pay the registration fees to complete your registration to the meeting.

Location

PULLMAN PARIS MONTPARNASSE HOTEL

19 rue Commandant René Mouchotte, 75014 Paris

Access

Special rate for participants

After your registration, if you want to get a special rate at the PULLMAN PARIS MONTPARNASSE hotel (275€ / night, including breakfast) please contact the organizing committee: conference[at]paris-december.eu.

Deadline November 17, 2025 - Within the limit of available rooms

Access

Public transportation:

Subway | Gaité (300m - 0.18 miles ) - line 13
Subway | Montparnasse Bienvenüe (200m - 0.12 miles) - line 4, 6, 12, 13
Bus | Montparnasse Bienvenüe (500m - 0.31 miles) - line 28, 39, 58, 91, 92, 94, 95, 96
Train Station | Montparnasse train station (200m - 0.12 miles)

From Roissy airport:

Public transportation | RER B and metro lines 4 or 6 (stop at Montparnasse-Bienvenüe)

From Orly airport:

Public transportation | OrlyBus to Denfert-Rochereau and metro line 6 (stop at Montparnasse-Bienvenüe)

By car:

Follow GPS coordinates or address, public parking : 22 rue Vercingétorix 75014 paris

Presentation

Timeline

Statistics

Our sponsors

Submission process

Keywords

Submission fees

Authors

Paper diffusion

Co-Presidents of the Scientific committee

2025 Scientific committee

Timeline

08:00 - 09:00

WELCOME & REGISTRATION

09:00 - 10:30

Asset Pricing I

Asset Pricing I ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Anomaly Persistence and Nonstandard Errors

A Battle of Wills: The Joint Impact of Sentiment and Benchmarking on Volatility and Mispricing

What Explains Momentum When It Really Works?

09:00 - 10:30

Mortgages

Mortgages ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

A Public-Private Partnership? Central Bank Funding and Credit Supply

The Value of Mortgage Choice: Payment Structure and Contract Length

Loan Officers, Same-Sex Couple Mortgages and Non-discrimination Law

09:00 - 10:30

Market Microstructure I

Market Microstructure I ( 12/18/2025 at 09:00 to 12/19/2025 at 10:30 )

Hiding in Plain Sight: Preferred Habitat Effects in Short-Term Rates

Institutional Ownership Concentration and Informational Efficiency

Optimal Automated Market Maker

09:00 - 10:30

Product Market Relationships

Product Market Relationships ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

It's not easy being green

The Carbon Cost of Competitive Pressure

The Private Value of Open-Source Innovation

09:00 - 10:30

Capital Structure

Capital Structure ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Signals in the Noise: Global Valuation Effects of Dividends and Buybacks

Real Effects of Bernanke–Kuttner: The Risk Channel of Monetary Policy on Corporate Investment

Shale Debt Structure and Pollution Control

09:00 - 10:30

Hedge Funds / Mutual Funds

Hedge Funds / Mutual Funds ( 12/18/2025 at 09:00 to 12/18/2025 at 10:30 )

Rethinking Mutual Fund Performance: From Traditional Alpha to Achievable Alpha

Value Creation in the Hedge Fund Industry

Will AI Replace or Enhance Human Intelligence in Investment Management?

10:30 - 11:00

COFFEE BREAK

11:00 - 12:30

Asset Pricing II

Asset Pricing II ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Green Intermediary Asset Pricing

Revealed Preference for Green Stocks: An Asset Demand Approach

Labor shortage, Hiring and Stock Returns

11:00 - 12:30

Banking / Financial Intermediation I

Banking / Financial Intermediation I ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Banking Relationships and Loan Pricing Disconnect

Payout Restrictions and Bank Risk-Shifting

How to model bank competition: the case for Cournot

11:00 - 12:30

Climate / Corporate Governance

Climate / Corporate Governance ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Green Moral Hazard: Estimating the Financial and Non-financial Impacts of CEO Incentives

Short-Termis Carbon Emissions

The Demand, Supply, and Market Responses of Corporate ESG Actions: Evidence from a Nationwide Experiment in China

11:00 - 12:30

Household Finance I

Household Finance I ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Social Interaction Intensity and Investor Behavior

Information Partitioning, Learning, and Beliefs

The Consumption Response to Protectionism

11:00 - 12:30

Market Efficiency

Market Efficiency ( 12/18/2025 at 11:00 to 12/18/2025 at 12:30 )

Early Price Discovery in IPOs