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http://northernfinanceassociation.org
MEETING ROOMS
1. Malbaie A
2. Malbaie B
3. Matapédia
4. Richelieu B
5. Richelieu C
6. Saguenay
7. Tadoussac
1
Table of Contents
Map of Fairmont Le Manoir Richelieu Inside Front Cover
Table of Contents 1
Welcome from the Program Co-Chairs 2
Message from the NFA Board President 3
Program Committee 4
NFA 2017 Board of Directors 4
Schedule at a Glance 5
Conference Program 6-12
Index of Participants 13-14
Conference Sponsors 15-20
Conference Exhibitors 20
Business School Gold Sponsors of the NFA 21
Conference Awards 22
Year Members of the NFA 23
NFA 2019 Conference 24
A WORD FROM THE CO-CHAIRS
Dear Members and Guests of the NFA,
Welcome to this year’s 30th edition of the NFA
meeting and conference in the belle région of
Charlevoix, Quebec. It has been a pleasure
organizing the event, not least for the learning
opportunity it has afforded us. We hope that you will
enjoy the program we have selected and that you
will have time to explore the spectacular outdoor
surroundings, which have been classified as an
UNESCO World Biosphere Reserve.
The inaugural NFA meeting was held in 1989 with a
forty-paper program. In contrast, this year’s edition
features over three times the number of papers,
seven parallel sessions and draws upon some three
hundred participants (to the extent possible,
presenter and discussant roles are kept separate).
Notably, the growth has taken place in parallel with
an increasingly competitive selection procedure.
This year, for example, we were only able to include
about 16% of the 811 papers submitted on the main
program. This is our most selective conference so far.
With a record number of 381 program committee
members, we assigned each paper to three
reviewers while asking each reviewer to look at no
more than seven papers. Special thanks go to all of
them for their dedication and ongoing expert
support. At every level of participation, the
conference has broadened its reach globally, and
now competes with the best conferences across the
globe. Of this, we are particularly proud.
In addition to the regular sessions, two parallel
sessions have been specifically designed for PhD
students (chaired by Susan Christoffersen, University
of Toronto, and Burton Hollifield, Carnegie Mellon
University) with one special session earmarked for
assistant professors (chaired by Michael Brennan,
UCLA). Our keynote speaker is Pierre Collin-Dufresne,
Epfl and SFI. We are delighted to have them
participate in our program and appreciate their
responsiveness and willingness to help. The special
session continues to be extremely popular among
our junior colleagues and contributes to
distinguishing our conference.
Our fellow NFA board members have of course
provided us with key guidance. We benefited from
Louis, Maria and Murray’s experience in organizing
past events at Mont Tremblant and Halifax. Claudia
expertly managed our existing sponsors’
contributions and brought new ones on board.
Tatyana and Andriy kept our words and funds in
order, respectively. Without the board’s backing, this
would have been a daunting venture.
We are obviously also deeply indebted to our
sponsors and exhibitors, listed later in this document.
We will award eight best paper prizes, more than
ever before, across a wide spectrum of topics, and
many of the events on the social program are
directly supported by particular sponsors. We would
also like to thank our respective schools for
supporting us and other board members in our roles
within the NFA, with, naturally, a special thank you to
our own institution, the Desautels Faculty of
Management at McGill University.
Over and above our academic colleague
supporters, we benefited from a number of other
strong collaborators. Amy Marshall, of Queen’s
University, provided invaluable help in the day-to-
day planning of the conference. The Fairmont staff,
particularly Josianne Gagnon, have been
exceptional in ensuring smooth delivery of logistics
at the Manoir, while Marie-Josée Vallée has
supported us in our preparations all the way back to
November 2016.
Finally, and certainly not least, this event would
clearly not be possible without our members who
carry out the research, write the papers and take
the time to share it with our profession at this
conference. We are very grateful for this year’s
submission and strongly encourage you to continue
to submit your work to our upcoming conferences.
In short, we have a very strong program, in a superb
setting, and we hope
you will enjoy it.
A très bientôt!
Francesca et Jan
2
Francesca Carrieri
McGill University
Jan Ericsson
McGill University
PRESIDENT’S WELCOME Dear friends, colleagues, and guests,
Bienvenue à Charlevoix! On behalf of
the 2017-2018 Board of Directors, I
warmly welcome you al l to
picturesque Charlevoix and the 2018
Annual Meeting of the Northern
Finance Association. We are delighted
that you have joined us this weekend.
This is an especially meaningful event
for us as it marks the 30th year since
the NFA has been organizing annual
conferences showcasing the latest
research in finance blended with the
opportunity to appreciate Canada’s
rich and diverse natural and cultural
heritage. I hope you will avail yourself
of the stimulating sessions and
networking opportunities of an
excellent program carefully crafted by
this year’s conference chairs,
Francesca Carrieri and Jan Ericsson.
The NFA emerged from the desire to
provide a platform to financial
researchers from Canadian institutions
to interact and share their work, and
to fos te r c o l laborat i on and
excellence. We all owe tremendous
gratitude to the Association’s founding
committee and members, as well as
to all those who have selflessly
donated their time and skills to
organize the annual meetings over the
last three decades. 2012 saw the
incorporation of the NFA as a not-for-
profit organization. With this pivotal
move, the Association is now on a
better path to sustainability and better
positioned for serving its growing
membership that continues to expand
beyond Canada while our mission
remains as relevant as always. I would
like to take this opportunity to thank
the NFA Inaugural Board for their
instrumental role in building a solid
foundation for the new organization
and for their commitment to moving
the Association forward.
I am pleased to report that the NFA’s
growth continued during this past
year. Our membership has increased
both in numbers and in geographical
representation (with an increase of
committed five-year memberships,
too), the annual conference has once
again attracted a record number of
submissions, new experts have
graciously added their name to the
existing program committee, and new
industry partners have joined our
traditional sponsors in supporting our
mission. We are very grateful for all this
support. I would particularly like to
acknowledge the financial support of
the 17 business school Gold sponsors
of the Association and of the long-
term as well as the newest sponsors
and exhibitors of the annual
conference. Without their generous
contributions, we would not be able to
keep the registration fees unchanged
while managing the risk inherent in
long-term planning.
NFA would not be what it is today
without the many individuals who
believed in it over the years and who
contributed to its success by
submitting their work, reviewing
submissions, attending the conference
as speakers, presenters, discussants
and session chairs. To each of our
members: Thank you! You are the
reason we are here. There are many
finance conferences held each year
around the world and I hope you find
this event a rewarding and enriching
experience that will motivate you to
come back. I encourage you to stay
in touch with us via traditional
channels and social media. If you are
able to do so, please also consider
opting for a five-year membership.
This conference, like its predecessors,
would not have been possible without
the commitment and hard work of a
dedicated group of volunteers. My
sincere thanks and heart-felt gratitude
go to the current members of the
Board for their contribution to the
Association. This year we say goodbye
and thank you to Louis Gagnon who
has completed his board service.
Through his profound knowledge of
the organization and respect for its
values as well as his exemplary work
ethic, Louis has been an incredible
asset to the Board and to the NFA as a
whole. Murray Carlson has expressed
his willingness to continue for another
year for which I am very grateful.
Francesca Carrieri and Jan Ericsson
have been the busiest board
members these past months planning
a successful and memorable event for
us all. Andriy Shkilko took over the
Treasurer responsibilities with the
utmost meticulousness and skill. Thanks
also extend to Claudia Champagne,
our director in charge of sponsorship
for a successful campaign, Tatyana
Sokolyk, our diligent secretary, and
Jan Bena (director at large), as well as
outgoing members Kee-Hong Bae and
Katya Malinova. Finally, I would be
remiss if I did not express my gratitude
to Amy Marshall, the organization’s
only in-house staff, for her invaluable
assistance throughout the year.
We are already busy planning for the
2019 NFA conference to be held in
Vancouver on September 13-15. Your
active participation is what makes the
NFA richer and more successful every
year. I hope to see you there for what
promises to be an exciting weekend in
a city that is world-renowned for its
beauty.
Meanwhile, may your time with us this
weekend be both pleasant and
satisfying for the knowledge that you
acquire and that you impart to others.
I hope that you also take advantage
of this opportunity to enjoy each
other’s company and to positively
affirm the collegial nature that has
become a hallmark of our meetings.
Thank you for coming and enjoy the
conference!
Maria
3
Maria Pacurar
Dalhousie University
Jawad Addoum Senay Agca Toni Ahnert Amir Akbari Pat Akey Diego Amaya Haelim Anderson Daniel Andrei Alin Andries Deniz Anginer George Aragon Ebenezer Asem Hadiye Aslan Najah Attig Patrick Augustin Jun Kyung Auh Efstathios Avdis Davide Avino Ramin Baghai Hang Bai John (Jianqiu) Bai Warren Bailey Steven Baker Turan Bali Suman Banerjee Brad Barber Alexander Barinov Giovanni Barone Adesi Laurent Barras Robert Battalio Marie-Claude Beaulieu Jan Bena Luca Benzoni Frederick Bereskin Antje Berndt Mehdi Beyhaghi Vineet Bhagwat Andrew Bird Lloyd Blenman Alice Bonaime Maria Boutchkova Matthieu Bouvard Joseph Briggs Jonathan Brogaard Michael Brolley Markus Broman Celso Brunetti Andrea M. Buffa Aaron Burt Walid Busaba Sabrina Buti Paul Calluzzo Jie Cao Scott Cederburg Claire Celerier Murat Celik Pierre Chaigneau Claudia Champagne Bo Young Chang Yen-Cheng Chang Thomas Chemmanur Chunda Chen Joseph Chen
Ing-Haw Cheng Thummim Cho Kyoung Jin Choi Paul Moon Sub Choi Stéphane Chrétien Peter Christoffersen David Cimon Frank Coggins Paolo Colla J. Anthony Cookson Alexandre Corhay Arnold Cowan Benjamin Croitoru Nicolas Crouzet Jorge Cruz Lopez Peter Cziraki Robert Dam Andras Danis Adrien d'Avernas Alexander David Ryan Davies Shaun Davies Jesse Davis Tetiana Davydiuk Eric de Bodt Francois Derrien Georges Dionne Christian Dorion Hitesh Doshi Winston Dou Wolfgang Drobetz Ying Duan Evan Dudley Craig Dunbar Espen Eckbo Esther Eiling Sadok El Ghoul Redouane Elkamhi Andrey Ermolov Cheol Eun Chitru Fernando Bruno Feunou Jana Fidrmuc Mark Flannery Sean Foley Mathieu Fournier Scott Frame Murray Frank Louis Gagnon Priyank Gandhi Rohan Ganduri Janet Gao Xiaohui Gao René Garcia Antonio Gargano Hatem Ghouma Ron Giammarino Mariassunta Giannetti Sergei Glebkin Vincent Glode Brent Glover Jim Goldman Andrey Golubov
Ruslan Goyenko Vincent Grégoire Omrane Guedhami Jean-Pierre Gueyie Hui Guo Matthew Gustafson Bing Han Michael Hasler Rob Heinkel Amanda Heitz Brian Henderson Christoph Herpfer Michael Hertzel Jens Hilscher KiHoon Hong Alex Horenstein Christopher Hrdlicka Alex Hsu Alan Huang Kershen Huang Minjie Huang Peter Iliev Philipp Illeditsch Ozgur Ince Sergey Isaenko Chinmay Jain Jessica Jeffers Ranjini Jha Tim Johnson Madhu Kalimipalli Mark Kamstra Raymond Kan Nishad Kapadia Stephen Karolyi Aymen Karoui Aditya Kaul Ambrus Kecskés Mariana Khapko Dolly King Peter Klein Kristoph Kleiner Andy Koch Jiro Kondo Sanket Korgaonkar Yrjö Koskinen Lisa Kramer Mathias Kruttli Lars Kuehn John Chi-Fong Kuong Van Son Lai Hugues Langlois Jongsub Lee Suzanne Lee Alfred Lehar Ugur Lel Oliver Levine Stefan Lewellen Kai Li Si Li Ye Li Yi Li Yingzhen Li Erik Lie
Yuree Lim Tse-Chun Lin Yupeng Lin Chen Liu Tim Loughran Angie Low Michelle Lowry Hai Lu Lei Lu Christian Lundblad Evgeny Lyandres Liang Ma Andrew MacKinlay Katya Malinova Aytek Malkhozov Simone Manganelli William Mann Yifei Mao Roberto Marfe Massimo Massa Nadia Massoud Gonzalo Maturana Egor Matveyev Felix Meschke Roni Michaely darius miller Indrajit Mitra Usha Mittoo Anahit Mkrtchyan Shawn Mobbs Mahdi Mohseni Fabio Moneta Pablo Moran Nathalie Moyen Florian Muenkel Dmitriy Muravyev Scott Murray Samuele Murtinu Vikram Nanda Debarshi Nandy Lilian Ng Giang Nguyen Tu Nguyen Boris Nikolov Yoshio Nozawa Piotr Orlowski Chayawat Ornthanalai Hernan Ortiz-Molina Carlton Osakwe Emilio Osambela Carol Osler Daniela Osterrieder Maria Pacurar Miguel Palacios Saurin Patel M. Fabricio Perez Ryan Peters Ralitsa Petkova Blake Phillips Diane Pierret Elena Pikulina Melissa Porras Prado Mark Potter
Gabriel Power Lynnette Purda Yaxuan Qi Xiao Qiao Uday Rajan Raghu Rau Sugata Ray Steven Riddiough Roberto Robatto Michel Robe Raluca Roman Kevin Roshak Alberto Rossi Wendy Rotenberg Lukas Roth Guillaume Roussellet Amir Rubin Thomas Ruchti Oleg Rytchkov Aleksandra Rzeznik Samir Saadi Riccardo Sabbatucci Stefano Sacchetto Farzad Saidi Alessio Saretto Sergei Sarkissian Anna Scherbina Michael Schill Jan Schneemeier David Schumacher Miriam Schwartz-Ziv Denis Schweizer Gustavo Schwenkler Felipe Severino Pei Shao Yao Shen Kyung Shim Anil Shivdasani Andriy Shkilko Gordon Sick Stephan Siegel Mikhail Simutin Elif Sisli Ciamarra Pierre Six George Skoulakis David Smith Jason Smith Elvira Sojli Valeri Sokolovski Tatyana Sokolyk Keke Song Viktors Stebunovs Jason Sturgess Lorne Switzer Andrea Tamoni Hongfei Tang James Thompson Gloria Y. Tian Cristian Tiu Walter Torous Sami Torstila Yuri Tserlukevich Michael Ungeheuer
Raman Uppal Nancy Ursel Semih Uslu Gyuri Venter Guillaume Vuillemey Milos Vulanovic Hannes Wagner Chi Wan Jin Wang Junbo Wang Sarah Wang Teng Wang Wei Wang Xiaolu Wang Yajun Wang Ying Wang Yuan Wang Akiko Watanabe Masahiro Watanabe Brian Waters Sumudu Watugala Michael Weber Jason Wei Chardin Wese Ryan Williams Craig Wilson Adam Winegar Rafal Wojakowski Eliza Wu Jing Cynthia Wu Han Xia Steven Xiao Jin Xu Yu Xu Pradeep Yadav Dong Yan David Yang Liyan Yang Tina Yang Vladimir Yankov Scott Yonker Chris Yung Luana Zaccaria Ashraf Zaman Rafael Zambrana Giovanna Zanotti Fernando Zapatero Jing Zeng Bohui Zhang Feng Zhang Le Zhang Terry Zhang Jing Zhao Xiaofei Zhao Yonggan Zhao Alexei Zhdanov Ligang Zhong Guofu Zhou Tingyu Zhou Marius Zoican
2018 NFA PROGRAM COMMITTEE
NORTHERN FINANCE ASSOCIATION BOARD OF DIRECTORS 2017-2018
4
Jan Bena
University of British Columbia
Director at Large
Murray Carlson
University of British Columbia
Director at Large
Francesca Carrieri
McGill University
Program Co-Chair
Claudia Champagne
Université de Sherbrooke
Director at Large
Jan Ericsson
McGill University
Program Co-Chair
Louis Gagnon
Queen’s University
Director at Large
Maria Pacurar
Dalhousie University
President
Andriy Shkilko
Wilfrid Laurier University
Treasurer
Tatyana Sokolyk
Brock University
Secretary
Saturday, 22 September 2018
7:30am - 8:30am: Breakfast (Salon Richelieu) - Sponsored by the
Canadian Securities Institute Research Foundation
8:30am - 10:00am:
Fintech and Credit (Malbaie A)
Empirical Corporate Finance I (Malbaie B)
Asset Pricing Theory I (Matapédia)
Labour and Finance (Richelieu B)
Fund Management – Liquidity (Richelieu C)
Structural Models of the Firm (Saguenay)
Financing I (Tadoussac)
10:00am - 10:30am: Coffee Break (Easy Foyer)
10:30am - 12:00pm:
Liquidity in Global & Foreign Exchange Markets (Malbaie A)
OTC Markets (Malbaie B)
Corporate Finance Theory (Matapédia)
Fund Performance (Richelieu B)
Executive Compensation (Saguenay)
Asset Pricing and the Macroeconomy (Tadoussac)
12:00pm - 2:00pm:
Lunch and Annual General Meeting (Salon Richelieu)
Lunch Sponsored by Eventus
Keynote Address Sponsored by Scotiabank:
Pierre Collin-Dufresne (Swiss Finance Institute at the
Ecole Polytechnique Fédérale de Lausanne)
2:00pm - 3:30pm:
Gender and Finance (Malbaie A)
Innovation and Patents (Malbaie B)
Market Microstructure Theory (Matapédia)
Volatility and Jumps (Richelieu B)
Intraday Returns (Richelieu C)
Networks (Saguenay)
Corporate Governance (Tadoussac)
Sunday, 23 September 2018
7:00am - 8:00am: Breakfast (Salon Richelieu) - Sponsored by
the Caisse de dépôt et placement du Québec
8:00am - 10:00am:
Human Capital and Finance (Malbaie A)
Options (Malbaie B)
International Corporate Finance (Matapédia)
Empirical Corporate Finance (Richelieu B)
Fund Management (Richelieu C)
Asset Pricing - Frictions and Constraints (Saguenay)
Mortgages (Tadoussac)
10:00am - 10:30am: Coffee Break (East Foyer)
10:30am - 12:00pm:
Fintech and Blockchain (Malbaie B)
Asset Pricing Theory II (Matapédia)
Empirical Market Microstructure II (Richelieu B)
Predictability (Richelieu C)
Regulation and Supervision (Saguenay)
Financing II (Tadoussac)
Friday, 21 September 2018 1:30pm - 3:00pm: Doctoral Student Track
(Sponsored by the Bank of Canada/Parrainé par la Banque du Canada)
Competition, Activism, and the Corporation (Saguenay)
Cross Sectional Evidence on Asset Prices (Tadoussac)
3:00pm - 3:30pm: Coffee Break
3:30pm - 5:30pm: Doctoral Student Track
(Sponsored by the Bank of Canada/Parrainé par la Banque du Canada)
Banking, Financial Markets & Corporate Competition (Saguenay)
Asset Pricing Theory and Empirics (Tadoussac)
*Prior registration required to attend the Special Session
5:30pm - 7:30pm: Welcome Reception (Terrasse St.Laurent/Salon de The) - Sponsored by NEO
Saturday, 22 September 2018 (Continued)
3:30pm - 4:00pm: Coffee Break (East Foyer)
4:00pm - 6:00pm:
Fixed Income (Malbaie A)
6:00pm - 7:00pm: Pre-dinner Cash Bar
(East Foyer/Jardin Richelieu)
7:00pm - 10:00pm: Dinner (Salon Richelieu) - Sponsored by
RBC Capital Markets
5
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12
INDEX OF PARTICIPANTS
13
Agca, Senay 9 Cimon, David 8 Hodson, James 6, 11
Akey, Pat 10 Collin-Dufresne, Pierre 8 Hollifield, Burton 6, 12
Al-Haji, Ahmad 12 Connolly, Michael 6 Huang, Kershen 10
Allayannis, George 8, 11 Corum, Adrian Aycan 6 Huang, Ruidi 7
Allen, Jason 11 Crotty, Kevin 8 Illeditsch, Philipp 6, 12
Allena, Rohit 6 Dam, Robert 7 Jagannathan, Murali 10
Amaya, Diego 11 Danesh, Erfan 9 Javadekar, Apoorva 11
Anbil, Sriya 7 d'Avernas, Adrien 7, 10 Jeanneret, Alexandre 7
Andrei, Daniel 7, 9, 12 David, Alexander 6, 7 Jiao, Feng 8
Au, Shiu-Yik 10 Davies, Ryan 9 Jo, Chanik 7
Augustin, Patrick 11, 12 Davydiuk, Tetiana 8 Johnson, Tim 7, 8
Babenko, Ilona 6, 7 de Motta, Adolfo 8 Jørring, Adam 7
Bae, Kee-Hong 7, 11 Demyanyk, Yuliya 6 Kalimipalli, Madhu 11, 12
Bajeux-Besnainou, Isabelle 9 Dorion, Christian 9, 11 Kamstra, Mark 8, 12
Baker, Steven 7 Dou, Winston 11 Karnaukh, Nina 10
Balvers, Ronald 10 Duan, Rui 10 Karolyi, Stephen 10, 11
Balyuk, Tetyana 7 Duan, Ying 9 Kaul, Aditya 9
Battalio, Robert 12 Dyakov, Teodor 10 Kecskés, Ambrus 7
Bayar, Onur 12 Errunza, Vihang 10 Kim, Ryan 6
Bena, Jan 6, 11 Foroughi, Pouyan 9 Kim, Sehoon 9
Berlin, Mitchell 12 Frame, Scott 11 Kogan, Shimon 6, 7
Bermejo, Vicente J. 12 Gagnon, Louis 7 Kolasinski, Adam 11
Bessler, Wolfgang 9 Gallmeyer, Michael 6, 7, 8 Kondo, Jir 6
Betermier, Sebastien 8 Gande, Amar 12 Korgaonkar, Sanket 10, 11
Bogousslavsky, Vincent 9, 11 Garcia, René 8 Koskinen, Yrjö 10
Bouvard, Matthieu 12 Garcia-Ares, Pedro 11 Kramer, Lisa 9, 11
Boyle, Phelim 10, 11 Garriott, Corey 10 Krohn, Ingomar 8
Brennan, Michael 6 Ghosh, Anisha 11 Kronlund, Mathias 8, 11
Brolley, Michael 9 Giambona, Erasmo 7, 9 Kurtzman, Robert 7
Broman, Markus 11 Giammarino, Ron 8 Lai, Sandy 9
Buffa, Andrea M. 7 Glode, Vincent 6, 7, 8 Langlois, Hugues 8, 11
Busaba, Walid 10 Goldman, Jim 9 Larkin, Yelena 10
Calluzzo, Paul 11 Golubov, Andrey 11 Lee, Jongsub 10
Cao, Jie 9 Gozluklu, Arie 12 Lee, Tomy 8
Carlson, Murray 8 Green, Clifton 10 Lehar, Alfred 8
Champagne, Claudia 9, 12 Grégoire, Vincent 12 Lel, Ugur 9
Chang, Bo Young 8 Grundl, Serafin 11 Lenkey, Stephen 9
Chapman, David 6, 8 Guo, Hui 12 Lescourret, Laurence 10
Chava, Sudheer 12 Gupta, Deeksha 11 Lewis, Ryan 8, 10
Chemmanur, Thomas 6, 7, 8 Gupta, Nandini 11 Li, Jiasun 12
Chen, Wen 9 Haslag, Peter 12 Li, Si 7
Cheng, Ing-Haw 8 Hauswald, Robert 7, 10 Li, Xuelin 12
Chernobai, Anna 6, 12 Hébert, Camille 9 Liberti, Jose Maria 7
Choi, Youngmin 11 Henriksson, Matthew 11 Lin, Yiping 12
Chrétien, Stéphane 10 Herpfer, Christoph 12 Lindsey, Laura 11, 12
Christoffersen, Susan 6 Hertzel, Michael 9, 11 Linn, Matthew 8
Ciamarra, Elif Sisli 7 Hodor, Idan 8 Liu, Edith 10
INDEX OF PARTICIPANTS
14
Liu, Tingting 8 Plante, Sébastien 12 Uslu, Semih 8
Liu, Yuguo 11 Pratobevera, Giuseppe 10 Vasquez, Aurelio 11
Liu, Yukun 7 Qi, Yaxuan 11 Venter, Gyuri 12
Lu, Jun 11 Rindisbacher, Marcel 10 Via, Marc 9
Lu, Lei 8 Robertson, Adriana 10 Virani, Aazam 10
Lu, Siyu 6 Roesch, Dominik 9 Vogel, Sebastian 9
Lundblad, Christian 7, 10 Roussellet, Guillaume 10 Walton, Adrian 12
Lyonnet, Victor 7, 11 Rzeznik, Aleksandra 7 Wang, Chen 12
Ma, Matthew 6, 12 Sabbatucci, Riccardo 11 Wang, Cong 12
MacKinlay, Andrew 11 Sacchetto, Stefano 12 Wang, Huijun 10
Maleki, Hosein 7 Saleh, Fahad 12 Wang, Yajun 7
Malkhozov, Aytek 7, 12 Sarisoy, Cisil 9, 10 Wang, Yan 10
Martineau, Charles 8 Scherbina, Anna 9 Wang, Ying 10
Maslar, David 11 Schill, Michael 10, 11 Wardlaw, Malcolm 7
Matthies, Ben 6 Schneemeier, Jan 9 Watanabe, Akiko 8
Mehrotra, Vikas 7, 9 Schumacher, David 8, 11 Watanabe, Masahiro 10
Meier, Jean-Marie A. 9 Schure, Paul 12 Waters, Brian 8
Melzer, Brian 12 Schweizer, Denis 12 Weagley, Daniel 11
Mohseni, Mahdi 8 Schwenkler, Gustavo 8 Weber, Marko 7
Moneta, Fabio 7 Shan, Hongyu 6 Wei, Wei 8
Moon, Katie 9 Sharifkhani, Ali 7 Whelan, Paul 9
Moran, Pablo 12 Shen, Yi 6 Williams, Emily 11
Moyen, Nathalie 6, 10 Sheng, Jinfei 10, 12 Williams, Jared 12
Munyan, Benjamin 12 Shivdasani, Anil 9 Williams, Ryan 8
Muravyev, Dmitriy 9, 10 Shkilko, Andriy 7, 12 Wu, Wei 11
Nandy, Debarshi 9 Sichert, Tobias 6 Xiong, Yan 6
Ng, David T. 9, 10 Simin, Timothy 6, 10, 11 Xu, Nancy 8
Ng, Lilian 8 Simutin, Mikhail 9 Xu, Sheng-Jun 11
Nguyen, Giang 10 Skoulakis, Georgios 12 Yan, Dong 10
Nguyen, Phuong-Anh 7 Slutzky, Pablo 11 Yan, Xinyan 10
Ni, Sophie 11 Smith, Jason 9 Yan, Xuemin (Sterling) 11
Noh, Joonki 9 Sojli, Elvira 10 Yang, Liyan 8, 9
Oh, Junho 8 Sokolovski, Valeri 8 Yankov, Vladimir 12
Orlov, Dmitry 12 Sokolyk, Tatyana 10, 11 Yi, Irene 7
Orlowski, Piotr 7 Song, Keke 9 Zekhnini, Morad 11
Ornthanalai, Chayawat 9 Song, Yang 8 Zeng, Linghang 7
Pacurar, Maria 10 Stathopoulos, Andreas 8 Zhan, Xintong 11
Palazzo, Dino 11 Stern, Lea 10 Zhang, Jingjing 10
Paligorova, Teodora 12 Tan, Hongping 10 Zhang, Terry 6
Palomino, Francisco 7 Tancheva, Zhaneta 6 Zhang, Xingtan 12
Paradkar, Nikhil 7 Tang, Xiaoxiao 9 Zhao, Guihai 10
Pascual, Roberto 10 Teguia, Alberto 9 Zhao, Shen 8
Pearson, Neil 9 Tham, Wing Wah 9 Zhao, Xiaofei 7
Pederzoli, Paola 9 Toscano, Francesca 10 Zhdanov, Alexei 7
Pham, Peter 11 Tremblay, Andréanne 11 Zhou, Evan 12
Pikulina, Elena 11 Tuzun, Tugkan 7, 12 Zimmerman, Peter 12
Zoican, Marius 8
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◊ Automatically use CRSP™, Compustat Global (new!) or Compustat North America (new!) security data, or use security data extracted from any other database.
◊ Automatic or customizable event-time alignment, esti-mation-period setup and event windows. Use powerful options to tailor a wide array of parameters to your needs.
◊ Fama-French classic and five-factor, market model, market adjusted, user-defined factor models, mean adjusted, buy-and-hold or cumulative, com-panion portfolios, single or multiple control firms and more.
◊ Trading-volume event stud-ies, bid-ask event studies and
absolute-return event stud-ies.
◊ Event-study statistical tests include calendar time, Patell, Boehmer-Musumeci-Poulsen, Kolari-Pynnönen, Jaffe-Man-delker, skewness-adjusted, event parameter, rank, gen-eralized rank, Wilcoxon, Ib-botson’s RATS, conventional and wild bootstrap tests and more.
◊ Calendar-time portfolio re-gression, Ibbotson’s RATS, and bootstrapped skewness-adjusted buy-and-hold meth-ods for long-run stock-price performance studies.
◊ New! Automatically build and use size-decile indexes from basic CRSP Stock data (skip the added-cost CRSP index package).
◊ New! Automatically build, match and use industry port-folio return indexes (cur-rently Fama-French 49 indus-tries and two-digit SIC).
◊ Output files of CAR, BHAR and more for further analysis; SAS, Excel, Stata, CSV and text output formats available.
◊ In addition to event studies, fast intuitive retrieval and event-time alignment of data from your subscribed CRSP™ stock database.
◊ Included SuperReg software for regression automates fixed effects and robustness methods: influence and col-linearity diagnostics, single- and double-cluster standard errors, nonparametric boot-strap, wild and wild-cluster bootstrap and more.
◊ Many more features than can be listed here… please ask us.
◊ Available for use through Wharton’s WRDS (institu-tional subscriptions to WRDS and Eventus for WRDS re-quired), or for Windows (SAS for Windows required). Even-tus for WRDS subscribers have a choice of web menus for some common tasks, as well as PC SAS Connect re-mote submission, and the WRDS Cloud command line for more advanced research needs.
Find out why researchers everywhere depend on Eventus. Chat with Eventus creator Professor Arnie Cowan at NFA 2018 or visit
support.eventstudy.com today!
The NEO Exchange is Canada’s next generation stock exchange, putting the needs of investors, businesses looking to raise capital and dealers first. Launched in 2015, the NEO Exchange offers an innovative trading venue to trade all Canadian-listed securities. It also offers a value-added listings process for capital raising companies and investment products, focussed on liquidity, transparency and efficiency. To learn more about how NEO is reshaping the Canadian stock exchange landscape, visit http://neostockexchange.com or call our investor helpline at 1 (844) 567-6424.
A New Way To Think About Going Public.
Rethink your stock exchange.
® Registered trademark of The Bank of Nova Scotia.
scotiabank.com
Scotiabank Proudly Supporting Canadian Research
The Desautels Faculty of Management is a proud sponsor of the
30th ANNUAL NFA CONFERENCE
2018mcgill.ca/desautels
EXHIBITORS
CANADIAN SECURITIES INSTITUTE RESEARCH FOUNDATION
Proud Sponsor of
Funding Granted
Limited Term Professorship ($150,000 over Three Years)
Research Grant ($40,000 over Two Years)
Academic Award ($35,000 over One Year)
PhD Award ($25,000 over One Year)
Applications – June 2019
CSIFOUNDATION.COM
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SPONSORS GOLD BUSINESS SCHOOL SPONSORS
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BEST PAPER AWARDS
Awards will be presented at the Saturday Luncheon and
posted on our website afterwards.
We are grateful to the following Award Donors:
Best PhD Paper
Best Paper on Corporate Finance/Responsible Finance
Best Paper on Derivatives
Best Paper on FinTech
Best Paper on Firm
Growth and Innovation
Best Paper on Long-term Investment
Best Paper on Market Microstructure
Best Paper on Risk Management
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NFA Founders and Lifetime Members
The Northern Finance Association started with a 1989 conference in Ottawa.
It was organized by
Giovanni Barone-Adesi (University of Alberta and Swiss Finance Institute)
Vijay Jog (Carleton University)
Lawrence Kryzanowski (Concordia University)
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Najah Attig, Saint Mary’s University
Kee-Hong Bae, York University
Marie-Claude Beaulieu, Université Laval
Sandra Betton, Concordia University
Laurence Booth, University of Toronto
Martin Boyer, HEC Montréal
Phelim Boyle, Wilfrid Laurier University
Walid Busaba, Western University
Ling Cen, University of Toronto
KJ Choi, University of Calgary
Stéphane Chrétien, Université Laval
Peter Christoffersen, University of Toronto
Susan Christoffersen, University of Toronto
Cowan Research (Eventus)
Donald Cyr, Brock University
Alex David, University of Calgary
Alan Douglas, University of Waterloo
Iraj Fooladi, Dalhousie University
Louis Gagnon, Queen’s University
Ron Giammarino, University of British Columbia
Allen Goss, Ryerson University
Scott Hendry, Bank of Canada
Ranjini Jha, University of Waterloo
Madhu Kalimipali, Wilfrid Laurier University
Mark Kamstra, York University
Raymond Kan, University of Toronto
Dmytro Karabash
Abdul-Rahman Khokhar, McMaster University
Lisa Kramer, University of Toronto
Van Son Lai, Université Laval
Ali Lazrak, University of British Columbia
Alfred Lehar, University of Calgary
Yuanshun Li, Ryerson University
Tom McCurdy, University of Toronto
Vikas Mehrotra, University of Alberta
Dave Michayluk, University of Technology, Sydney
Dev Mishra, University of Saskatchewan
Pablo Moran, University of Calgary
Hernan Ortiz-Molina, University of British Columbia
Ari Pandes, University of Calgary
Lynnette Purda, Queen’s University
Jiaping Qiu, McMaster University
Mohammad Rahaman, Saint Mary’s University
William Rentz, University of Ottawa
Gordon Roberts, York University
Michael Robinson, University of Calgary
Sergei Sarkissian, McGill University
Gordon Sick, University of Calgary
Brian Smith, Wilfrid Laurier University
Issouf Soumaré, Université Laval
James Thompson, University of Waterloo
Melissa Toffanin, Ryerson University
Ilias Tsiakas, University of Guelph
Kevin Wang, University of Toronto
Liyan Yang, University of Toronto
Ashraf Zaman, Saint Mary’s University
New 5-year Members
Wolfgang Bessler, Justus-Liebig-University Giessen
Murray Carlson, University of British Columbia
Francesca Carrieri, McGill University
Wei Dou, University of Pennsylvania
Burton Hollifield, Carnegie Mellon University
Mark Huson, University of Alberta
Maher Kooli, Université du Québec à Montréal
Nadia Massoud, University of Melbourne
Randall Morck, University of Alberta
Florian Muenkel, Saint Mary’s University
Maria Pacurar, Dalhousie University
Christine Parlour, University of California – Berkeley
Ryan Riordan, Queen’s University
Fahad Saleh, McGill University
Shastri Sandy, The Brattle Group
Sakya Sarkar, Tulane University
Jesus A. Sierra Jimenez, Canada Deposit
Insurance Corporation
Keke Song, Melbourne Business School
Anup Srivastava, Dartmouth College
Roi D. Taussig, Ariel University
Wei Wei, University of Calgary
Jingjing Zhang, McGill University
Inaugural 5-Year Members
Photo Credit: Albert Normandin
THE 31ST ANNUAL NORTHERN FINANCE ASSOCIATION CONFERENCE WILL BE
HELD ON SEPTEMBER 13-15, 2019 AT THE VANCOUVER MARRIOTT PINNACLE
DOWNTOWN HOTEL.
As British Columbia’s largest city, Vancouver is a haven for outdoor enthusiasts and cosmopolitan
adventurers alike. Framed by the Pacific Ocean and Coast Mountains, Vancouver’s meandering
oceanside pathways are the perfect way to explore the city. Close to 30 kilometres of uninterrupted
waterfront path surround Vancouver’s favourite neighbourhoods, including the seawall around Stanley
Park.
The Paper Submission System will open on the NFA website late in 2018.
Contact Us at [email protected]
Follow Us on Twitter @NFA_CA
2019 NORTHERN FINANCE ASSOCIATION CONFERENCE
24
Follow Us on Twitter
@NFA_CA