Past Finance Research Workshops

Summer 2017

22 May: "Servicing Securitizaton through Excessive Foreclosure"
John Kuong, INSEAD, France, Jing Zeng, Frankfurt School of Finance and Management, Germany.

5 June: "Identifying Contagion in a Banking Network"
Alan Morrison, Said Business School, Oxford University, Michalis Vasios, Bank of England, Mungo Wilson, Said Business School, and Filip Zikes, Federal Reserve Board, Washington.

16 June: "Commodity Trading Strategies, Common Mistakes and Catastrophic Blowups"
Hilary Till, University of Colorado Denver Business School, Joseph Eagleeye, Quartile Risk LLC, Richard Heckinger, Federal Reserve Bank of Chicago.

19 June: "Political lending cycles and real outcomes: Evidence from Turkey"
Orkun Saka, Cass Business School.

26 June: "Did ABCP Conduits Increase their Financing in Response to Movements in Interest Rates?"
Angela Gallo, Marie Curie‐Fellow, Cass Business School, Barbara Casu, Cass Business School.

Spring 2017

1 February: "How does bail-in affect European banks’ funding costs?
Raffaele Giuliana, 
Cass Business School Visiting Researcher, Norwegian School of Economics

13 February: "Network Quantile Autoregressions"
Weining Wang
, Department of Economics, City, University of London, Xuening Zhu, Guanghua School of Management, China, Hongsheng Wang, Guanghua School of Management and Wolfgang Haerdle, Humboldt University, Berlin

20 February: "An analyst by any other last name: Country favorability and market reactions to analysts forecasts"
Jay Jung, Cass Business School

27 February: CEA Sponsored Event - "High-Frequency Cross-Market Trading: Model Free Measurement and Applications"
Dobrislav Dobrev, FED, Washington D.C. and Ernst Schaumburg, Federal Reserve Bank of New York

6 March: "Sequential testing for structural stability in approximate factor models"
Lorenzo Trapani, Cass Business School, Matteo Barigozi, LSE

13 March: "Liquidity Determinants in the UK gilt market"
Evangelos Benos, Bank of England

20 March: "Macroprudential policy and inequality: Evidence from the UK mortgage market"
Francesc Rodriguez-Tous, Cass Business School, Jose-Luis Peydro, Universitat Pompeu Frabra, Arzu Uluc, Bank of England

27 March: CEA Sponsored Event - "Using Principal Components Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data"
Dacheng Xiu, Booth School of Business, University of Chicago and Yacine Ait-Sahalia, Princeton University and NBER

Autumn 2016

31 October "Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions"
Ales Cerny, Cass Business School, Pavol Brunovsky, Comenius University Bratislava and Jan Komadel, Comenius University Bratislava

21 November "Currency Regimes and the Carry Trade"
Ian Marsh, Cass Business School, David Chambers, Cambridge Judge Business School and Olivier Accominotti, LSE

Summer 2016

6 June "How Accounting Firms Compete for Financial Advisory Roles in the M&A Market"
Pawel Bilinski (Cass Business School) and Andrew Yim (Cass Business School)

13 June "Bond Market Iliquidity and British Monetary Policy 1945-72"
William Allen (Cass Business School, Visiting Fellow)

20 June "Estimating the Moments of Long-Horizon Returns"
Anthony Neuberger (Cass Business School) and Richard Payne (Cass Business School)

27 June "Corporate Acquisitions and Default Risk"
Raffaele Corvino (Cass Business School)

Autumn 2015

12 October: "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation".
Antonio Guarino, UCL, University of London, Marco Cipriani and Andreas Uthemann.

19 October: "Buying Hoarders, Selling Spenders: Cash Effects in the Five Factor Model".
Mamdouh Medhat, Cass Business School.

02 November:"Fast Aggressive Trading"
Richard Payne, Cass Business School.

09 November:"Dynamics of Ship Prices: A Behavioural Finance Approach".
Amir Alizadeh, Cass Business School.

16 November: "Can Return-Chasing Explain the Failure of Uncovered Equity Parity in Emerging Markets?"
Chen Yan, Kate Phylaktis, Ana-Maria Fuertes, Cass Business School.

23 November: "The Causal Inpact of Property Tax on Housing Values".
Tommasso Oliviero, CSFE - University of Naples.

30 November: "Insurance Within Groups: The Role of Internal Labour Markets"
Giacinta Cestone, Cass Business School; Chiara Fumagalli, University of Bocconi; Francis Kramarz, Crest-ENSAE; Giovanni Pica, University of Milan.

Summer 2015

29 September"Strategic Complementarity, Fragility, and Regulation"
Xavier Vives, IESE Business School, University of Navarra

11 May: "Complex Organizations, Tax Policy and Financial Stability"
Giovanna Nicodano, Collegio Carlo Alberto and ESOMAS, Universita di Torino, Luca Regis, IMT Lucca

18 May"Why Bidders Lose"
Yakov Amihud, NYU Stern, Gayle DeLong, CUNY Baruch, Andrey Golubov, Cass Business School

1 JuneTBA
Antoinette Schoar, MIT Sloan

8 June"Fast Aggressive Trading"
Richard Payne, Cass Business School

15 June: "Optimal Portfolio Strategy in Structural Model with Default Risk"
Raffaele Corvino, Cass Business School

Autumn 2014

29 September"Strategic Complementarity, Fragility, and Regulation"
Xavier Vives, IESE Business School, University of Navarra

6 October"Geographic Location, Excess Control Rights and Cash Holdings"
Meziane Lasfer, Cass Business School, Sabri Boubaker, Champagne School of Business, ESC Troyes, France, Imen Deroviche, Champagne School of Business, ESC Troyes, France

13 October"Diversification Returns, Rebalancing Returns and Volatility Pumping"
Simon Hayley, Cass Business School, Keith Cuthbertson, Cass Business School, Nick Motson, Cass Business School

20 October"Inference on the Number of Factors in Factor Models"
Lorenzo Trapani, Cass Business School

3 November"Gender Differences in Executives' Access to Information"
Can Inci, College of Business, Bryant University, Smithfield (Cass Business School Visiting Researcher)

17th November"Dark Trading and Price Discovery"
Carole Comerton-Forde, Department of Finance, University of Melbourne, Talis J. Putnins, University of Technology Sydney and Stockholm School of Economics in Riga.

1 December"Dark Trading and Marker Quality: The Case of UK Equities"
James Brugler University of Cambridge and Bank of England

Summer 2014

12 May"Out-of-the-Money CEOs: Inferring Private Control Premium from CEO Option Exercise"
Wei Jiang, Columbia Business School

19 May"Modelling Multivariate Reducible Diffusions: A Semiparametric Likelihood Approach"
Ruijun Bu, University of Liverpool Management School and UCL; Dennis Kristensen, UCL

2 June"Trading Price Jump Clusters in Foreign Exchange Markets"
Jan Novotny, Cass Business School, Giovanni Urga, Cass Business School

16 June"Revealing shorts: an examination of large short position disclosures"
Adam Reed, University of North Carolina

23 June"Debt Renegotiation and Investment Decisions across Countries"
Enrique Schroth, Cass Business School; Erwan Morellec, EPFL; Giovanni Favara,
Board of Governors of the Fed; Philip Valta, HEC Paris

Spring 2014

27 January "Labor Protection and Leverage"
Paolo Volpin, Cass Business School; Elena Simintzi, University of British Columbia; Vikrant Vig, London Business School

3 February "Short-selling bans and bank stability: Evidence from two crises"
Alessandro Beber, Cass Business School, Daniela Fabbri, Cass Business School, Marco Pagano, University of Naples

10 February "Internal Labour Markets and Financial Constraints"
Giacinta Cestone, Cass Business School; Chiara Fumagalli, Bocconi University; Francis Kramarz, Crest-ENSAE; Giovanni Pica, University of Salerno

24 February "Extraordinary acquirers"
Andrey Golubov, Cass Business School, Alfred Yawson, University of Adelaide, Huizhong Zhang, University of Adelaide, Cass Business School

3 March (invited speaker) Title TBA
Markus Brunnermeier, Princeton University

10 March "How does the Market Variance Risk Premium Vary Over Time: Evidence from S&P 500 Variance Swap Investment Returns"
Eirini Konstantinidi, University of Exeter Business School; George Skiadopoulos, University of Piraeus; Cass Honorary Visiting Fellow

17 March (invited speaker) "Banks are Where the Liquidity Is"
Oliver Hart, Harvard University

31 March (invited speaker) "The Cross-Section of Credit, Variance, And Skewness Risk"
Christian Wagner, Copenhagen Business School; Paul Schneider, University of Lugano; Josef Zechner, WU Vienna University of Economics and Business

Autumn 2013

21 October 2013: Hot Money in Equity, Bond and Credit Flows: The 1990s versus the 2000s (Ana-Maria Fuertes, Cass Business School; Kate Phylatkis, Cass Business School; Cheng Yan, Cass Business School)

28 October 2013: Title TBA (Holger Mueller, Stern School of Business, New York University)

4 November 2013: Monetary Policy and Financial Repression in Britain 1951-59 (Bill Allen, Cass Business School)

11 November 2013: The Price of Wine ( Elroy Dimson, London Business School and Judge Business School, Cambridge; Peter Rousseau, Vanderbilt University, US; Christophe Spaenjers, HEC Paris)

18 November 2013: Was De Grauwe Right? ECB and Sunspot Contagion in the Eurozone (Ana-Maria Fuertes, Cass Business School; Elena Kalotychou, Cass Business School; Orkun Saka, Cass Business School)

25 November 2013: Testing for Exogeneity in Cointegrated Panels (Lorenzo Trapani, Cass Business School)

Summer 2013

13 May 2013: Extraordinary Acquirers (Alfred Yawson, University of Adelaide, Cass
Visiting Researcher; Huizhong Zhang, University of Adelaide)

20 May 2013: Overnight News and Equity Trading Limits (Katja Ahoniemi, Imperial
College Business School; Ana-Maria Fuertes, Cass Business School; Jose Olmo,
University of Southampton).

3 June 2013: Effects of explicit FOMC policy rate guidance on interest rate
expectations
(Richhild Moessner, Bank for International Settlements, Cass
Honorary Visiting Fellow)

10 June 2013: Conditional Risk Premia in Currency Markets and Other Asset Classes
(Martin Lettau, Haas School of Business, University of California at Berkeley;
Matteo Maggiori, Stern School of Business, NYU; Michael Weber, Haas School
of Business, University of California at Berkeley)

17 June 2013: How Does Institutional Demand Impact Near-Term Stock Returns?
(Bernd Hanke, Global Systematic Investors; Aneel Keswani, Cass Business
School; Garrett Quigley, Global Systematic Investors; David Stolin, Toulouse
Business School)

24 June 2013: Understanding the Diversification Return (Simon Hayley, Cass
Business School; Keith Cuthbertson, Cass Business School)

Summer 2012

11 June 2012: Title TBA (Andrew Patton, Duke University).

18 June 2012: Mandatory adoption of IFRS by EU listed firms and Comparability:
Determinants and Analysts' Forecasts
(Paul André, Essec Business School, Dionysia Dionysiou, Ioannis Tsalavoutas, University of Stirling, Scotland, UK).

26 June 2012: Impression Management and Non-GAAP Reporting in Earning Announcements (Helena Isidro, ISCTE-IUL Business School, Portugal).

Spring 2012

23 January 2012: Cash Flow Considerations around Share Repurchase Decisions, Rohit Sonika (Lancaster University Management School), Nicholas F. Carline (University of Birmingham), & Mark B. Shackleton (Lancaster University Management School).

30 January 2012: The First 1,000 Days in the Life of an IPO, Naaguesh Appadu, Mario Levis & Anna Faelten (Cass Business School)

6 February 2012: In Good Times and in Bad: Bank Capital Ratios and Lending Rates, Matthew Osborne, Ana-Maria Fuertes (Cass Business School), & Alistair Milne (Loughborough University)

13 February 2012: Conflicts of Interest in Selling UK SEO Underwriting Fees, Mario Levis (Cass Business School), Michele Meoli, & Katrin Migliorati (University of Bergamo)

20 February 2012: Modeling Dynamic Dependence between CDS and the Equity Market: A Regime-Switching Copula Approach,Fei Fei, Ana-Maria Fuertes, & Elena Kalotychou (Cass Business School)

27 February 2012: Overnight News and Daily Volatility Prediction, Katja Ahoniemi (Aalto University School of Economics, Finland, & Jose Olmo (City University)

5 March 2012: Interpolation of Low Frequency Factor Models using EM Algorithm, Ekaterina Ipatova & Lorenzo Trapani (Cass Business School)

12 March 2012: TITLE TBA, R.Huisman (Erasmus University Rotterdam)

19 March 2012: Earning Quality: Firm Fundamentals Versus Managerial Discretion, Vasiliki Athanasakou (London School of Economics), & Per Olsson (Duke University)

26 March 2012: The Influence of Home Country Institutions and Monitoring Mechanisms on Reporting Quality in Foreign Initial Public Offerings in the U.S., Igor Filatotchev, Jonathan Jona, & Gilad Livne (Cass Business School)

Workshops12:30-13:30, Room 2005
Cass Business School
Lunch and light refreshments available at 12:15 on the 2nd floor milling area.

Autumn 2011

26 September 2011***: Flow Sensitivity of Hedge Fund Returns, KATJA AHONIEMI and PETRI JYLHA (Aalto University School of Economics and Bank of Finland)

3 October 2011: The Issuance of Warrants in Rights Offerings: Signaling and Under/Overreactions, BALA BALACHANDRAN (Kellogg School of Management, Northwestern University, US)

10 October 2011: Price Discovery in Equity and Credit Derivatives Markets: The Roles of Slow Information Diffusion and Hedging Demand, IAN MARSH (Cass Business School), WOLF WAGNER (Tilburg University)

17 October 2011: Do Stock-Financed M&As Destroy Value? New Methods and Evidence, ANDREY GOLUBOV (Cass Business School), DIMITRIS PETMEZAS (Surrey Business School), NICKOLAOS G. TRAVLOS (ALBA Graduate Business School)

24 October 2011: The Economic Value of Combining Intraday Volatility Estimators, WEI LIU, ANA-MARIA FUERTES, ELENA KALOTYCHOU (Cass Business School)

31 October 2011: Bank Capital and Interest Margins: An Empirical Investigation for UK Banks, MATTHEW OSBORNE (Cass Business School), ANA-MARIA FUERTES (Cass Business School), ALISTAIR MILNE (Loughborough University)

7 November 2011: Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis, MATTHEW GREENWOOD-NIMMO and YONGCHEOL SHIN (Leeds University Business School)

14 November 2011: Momentum Effects: G7 Currency Return Survivals, HARTWIG KOS, ANDREW CLARE and NATASHA TODOROVIC (Cass Business School)

21 November 2011: Optimal Trading Strategy in Limit Order Markets, GIULIA IORI and POLINA KOVALEVA (City University, Department of Economics)

28 November 2011: The Dark Side of Alternative Asset Markets: Networks, Performance and Risk Taking, CHARLES BADEN-FULLER (Cass Business School), SIMONE FERRIANI (University of Bologna), STEFANO MENGOLI (University of Bologna), VANINA TORLO (University of Greenwich)

Workshops 12:30 - 13:30, Room 2005
Cass Business School
Lunch and light refreshments available at 12:15 on the 2nd floor milling area.

***Refreshments available at 12:15 on the Lower Ground milling area.

Summer 2011

9 May 2011: Forecasting Exchange Rate Densities, ANTHONY GARRATT (Birkbeck College, University of London) and EMI MISE (University of Leicester)

16 May 2011: Familiarity and the Determination of Yields for Regional Office Property Investments in the UK, JOHN HENNEBERRY (University of Sheffield), FOTIS MOUZAKIS (Cass Business School)

23 May 2011: Hedging European Stock Indexes with Regime-Switching Models, ENRIQUE SALVADOR and VICENT ARAGO (Finance and Accounting Department at Universidad Jaume I de Castellon, Spain)

6 June 2011: Currency Momentum Strategies, LUKAS MENKHOFF (Leibniz Universitaet Hannover), LUCIO SARNO (Cass Business School), MAIK SCHMELING (Leibniz Universitaet Hannover), ANDREAS SCHRIMPF (University of Aarhus - CREATES)

13 June 2011: Testing for (In)finite Moments, LORENZO TRAPANI (Cass Business School)

20 June 2011: The Automated Bias of Performance Measures, SIMON HAYLEY (Cass Business School)

Workshops 12:30 - 13:30, Room 2005
Cass Business School
Lunch and light refreshments available at 12:15 on the 2nd floor milling area.