2011 Program46th Annual Conference

of theWestern Finance Association

Eldorado Hotel & SpaHilton Santa Fe Historic Plaza

Santa Fe, New Mexico

June 19 - 22, 2011

WESTERN FINANCE ASSOCIATIONWe are a professional society for academicians and practitioners with a scholarly interest in the development and application of research in finance.

Our purpose is (1) to serve as a focal point for communication among members, (2) to improve teaching and scholarship, and (3) to provide for the dissemination of information, including the holding of meetings and the support of publications.

The Association is an international organization with membership open to individuals from both the academic and professional community, and to institutions. Two classes of individual membership are available: lifetime membership ($150.00) and three-year membership ($50.00). Members of the Association are entitled to receive a reduction in the registration fee at the annual meetings. You are invited to join or renew on-line at the WFA’s informational web site, http://www.westernfinance.org.

Correspondence regarding membership and other business aspects of the Association should be addressed to:

Professor Duane SeppiSecretary-Treasurer, WFATepper School of BusinessCarnegie Mellon UniversityPittsburgh, PA 15213-3890Email: ds64@andrew.cmu.eduTelephone: (412) 268-2298

A call for papers and participants for the 2012 Conference of the Western Finance Association appears at the end of this program.

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REGISTRATION AND HOTEL INFORMATIONAll sessions and conference functions will be held in the two conference hotels: The Eldorado Hotel & Spa and the Hilton Santa Fe Historic Plaza. On-site registration for the conference will be located in the Eldorado Hotel & Spa Lobby and Concourse on the following schedule:

Sunday, June 19, 2011, 4:00 pm – 8:00 pmMonday, June 20, 2011, 8:00 am – 4:00 pm Tuesday, June 21, 2011, 8:00 am – 12:00 noon

PRE-REGISTRATIONPre-registration is at our web site, http://www.westernfinance.org. Those who pre-register are entitled to a discount on registration fees. To qualify for these discounted rates you must pre-register by May 20, 2011. See the web site for details. Checks must be sent to MaryAnn O’Brien or to the Secretary-Treasurer at the address referenced on page 1.

FEE SCHEDULE Pre-Registration On-site Registration

WFA member $ 75 $125Non-member $125 $175Student No Charge $ 30

SPECIAL EVENT REGISTRATIONRegistration for the WFA Annual Meeting Luncheon and other special events will be done at the time of pre-registration on the WFA website and on-site (subject to availability) for those who do not pre-register. Because space is limited, registration is required for any of the luncheons or evening receptions. The WFA makes every attempt to make these events free to registrants, but reserves the right to charge for these events if sponsorships do not cover the full cost.

SOCIETY FOR FINANCIAL STUDIES MEMBERSHIP MEETINGAll members of the Society for Financial Studies are invited to attend the Annual Meeting to be held on Tuesday, June 21 from 5-6 pm in the Santa Fe Room at the La Fonda on the Plaza Hotel (100 E. San Francisco Street, Santa Fe, NM 87501). All subscribers to the Review of Financial Studies are members of the Society for Financial Studies.

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WESTERN FINANCE ASSOCIATION

Officers and Executive Committee: 2010-2011President Peter DeMarzo, Stanford UniversityPresident Elect Francis Longstaff, University of California-Los AngelesVice President Michael Fishman, Northwestern UniversitySecretary-Treasurer Duane Seppi, Carnegie Mellon University

Directors Andrea Eisfeldt, University of California-Los Angeles John Graham, Duke University Lubos Pastor, University of Chicago Monika Piazzesi, Stanford University Antoinette Schoar, Massachusetts Institute of Technology Jiang Wang, Massachusetts Institute of Technology

Presidents: 1965-20111965-66 Kenneth L. Trefftzs University of Southern California1966-67 Edward Reed University of Oregon1967-68 Robert Carr Fresno State College1968-69 Burton Kolb University of Colorado1969-70 Lester Stickler Oregon State University1970-71 Harold Stevenson Arizona State University1971-72 W. Scott Bauman University of Oregon1972-73 David Eiteman University of California, Los Angeles1973-74 James Wert University of Arizona1974-75 George Kaufman University of Oregon1975-76 John Herzog Simon Fraser University1976-77 A. Blaine Huntsman University of Utah1977-78 David Pyle University of California, Berkeley1978-79 Guilford Babcock University of Southern California1979-80 Donald Farrar University of Utah1980-81 Charles D’Ambrosio University of Washington1981-82 James Van Horne Stanford University1982-83 Edward Dyl University of Wyoming1983-84 Nils Hakansson University of California, Berkeley1984-85 Seha Tinic University of Texas at Austin1985-86 Alan Kraus University of British Columbia1986-87 Gerald Bierwag University of Arizona1987-88 Robert Litzenberger University of Pennsylvania1988-89 Alan Hess University of Washington1989-90 Lemma Senbet University of Maryland1990-91 Eduardo Schwartz University of California, Los Angeles1991-92 Stephen Brown New York University1992-93 Hans Stoll Vanderbilt University

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1993-94 Kenneth Singleton Stanford University1994-95 Milton Harris University of Chicago1995-96 Chester S. Spatt Carnegie Mellon University1996-97 Michael J. Brennan University of California, Los Angeles1997-98 Maureen O’Hara Cornell University1998-99 Franklin Allen University of Pennsylvania1999-00 Richard C. Green Carnegie Mellon University2000-01 Wayne Ferson University of Washington2001-02 Douglas W. Diamond University of Chicago2002-03 Philip H. Dybvig Washington University in St. Louis2003-04 René M. Stulz Ohio State University2004-05 Ravi Jagannathan Northwestern University2005-06 Mark Grinblatt University of California, Los Angeles2006-07 Sheridan Titman University of Texas at Austin2007-08 Campbell R. Harvey Duke University2008-09 Artur Raviv Northwestern University2009-10 William Goetzmann Yale University2010-11 Peter DeMarzo Stanford University

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Distinguished Speakers

WFA Annual Meeting Speakers 1979-2011

Year Location Speaker 1979 San Francisco Nils Hakansson 1980 San Diego Kenneth Arrow 1981 Jackson Lake Eugene Fama 1982 Portland Stephen Ross 1983 Long Beach Myron Scholes 1984 Vancouver Richard Roll 1985 Scottsdale Robert Litzenberger 1986 Colorado Springs Merton Miller 1987 San Diego Edward Kane 1988 Napa Sanford Grossman 1989 Seattle William Sharpe 1990 Santa Barbara Michael Brennan 1991 Jackson Lake Fischer Black 1992 San Francisco Myron Scholes 1993 Whistler Alan Kraus 1994 Santa Fe Mark Rubinstein 1995 Aspen Kenneth French 1996 Sunriver Joseph Williams 1997 San Diego Richard Thaler 1998 Monterey Milton Harris 1999 Santa Monica Andrei Shleifer 2000 Sun Valley Kenneth Singleton 2001 Tucson Robert Shiller 2002 Park City Albert S. “Pete” Kyle 2003 Los Cabos Richard Kihlstrom 2004 Vancouver Michael C. Jensen 2005 Portland Douglas Breeden 2006 Keystone Douglas Diamond 2007 Big Sky John Y. Campbell 2008 Waikoloa René M. Stulz 2009 San Diego Chester Spatt 2010 Victoria Mark Grinblatt 2011 Santa Fe Maureen O’Hara

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2011 Program Committee

Program Chair Francis Longstaff, University of California-Los Angeles

Program Committee Associate ChairpersonsAntonio Bernardo, University of California-Los AngelesBruce Carlin, University of California-Los AngelesBhagwan Chowdhry, University of California-Los AngelesAndrea Eisfeldt, University of California-Los AngelesStuart Gabriel, University of California-Los AngelesMark Garmaise, University of California-Los AngelesRobert Geske, University of California-Los AngelesMark Grinblatt, University of California-Los AngelesHanno Lustig, University of California-Los AngelesMarc Martos-Vila, University of California-Los AngelesRichard Roll, University of California-Los AngelesEduardo Schwartz, University of California-Los AngelesAvanidhar Subrahmanyam, University of California-Los AngelesGeoffrey Tate, University of California-Los AngelesWalter Torous, University of California-Los AngelesLiu Yang, University of California-Los Angeles

Program Committee Members Viral Acharya, New York UniversityAnat Admati, Stanford UniversityRajesh Aggarwal, University of MinnesotaReena Aggarwal, Georgetown UniversityAnup Agrawal, University of AlabamaAshwini Agrawal, New York UniversityHengjie Ai, Duke UniversityYacine Ait-Sahalia, Princeton UniversityCindy Alexander, Securities and Exchange CommissionGeorge (Yiorgos) Allayannis, University of VirginiaAndres Almazan, University of Texas-AustinHeitor Almeida, University of Illinois-Urbana-ChampaignAydogan Alti, University of Texas-AustinAndrew Ang, Columbia UniversityElena Asparouhova, University of UtahDoron Avramov, Hebrew UniversityUlf Axelson, London School of EconomicsWarren Bailey, Cornell UniversityMalcolm Baker, Harvard University

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Klaas Baks, Emory UniversityGurdip Bakshi, University of MarylandSnehal Banerjee, Northwestern UniversityRavi Bansal, Duke UniversityBrad Barber, University of California-DavisSohnke Bartram, Lancaster UniversitySuleyman Basak, London Business SchoolDavid Bates, University of IowaBo Becker, Harvard UniversityEffi Benmelech, Harvard UniversityLuca Benzoni, Federal Reserve Bank of ChicagoNittai Bergman, Massachusetts Institute of TechnologyDaniel Bergstresser, Harvard UniversityElazar Berkovitch, IDCAntonio Bernardo, University of California-Los AngelesMarianne Bertrand, University of ChicagoJohn Beshears, Stanford UniversityHank Bessembinder, University of UtahSanjai Bhagat, University of Colorado-BoulderSreedhar Bharath, Arizona State UniversityUtpal Bhattacharya, Indiana UniversityNick Bollen, Vanderbilt UniversityPhilip Bond, University of MinnesotaArnoud Boot, University of AmsterdamPeter Bossaerts, California Institute of TechnologyJacob (Kobi) Boudoukh, IDCChrista Bouwman, Case Western Reserve UniversityMichael Brandt, Duke UniversityAlon Brav, Duke UniversityMark Broadie, Columbia UniversityDavid Brown, University of Wisconsin-MadisonGregory Brown, University of North Carolina-Chapel HillStephen Brown, New York UniversityJeffrey Busse, Emory UniversityMurillo Campello, University of Illinois-Urbana-ChampaignBruce Carlin, University of California-Los AngelesMurray Carlson, University of British ColumbiaJennifer Carpenter, New York UniversityDavid Chapman, Boston CollegeThomas Chemmanur, Boston CollegeHui Chen, Massachusetts Institute of TechnologyJoseph Chen, University of California-DavisMark Chen, Georgia State UniversityMikhail Chernov, London School of EconomicsJames Choi,Yale University

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Tarun Chordia, Emory UniversityBhagwan Chowdhry, University of California-Los AngelesStijn Claessens, International Monetary FundJoao Cocco, London Business SchoolLauren Cohen, Harvard UniversityMoshe Cohen, Columbia UniversityRiccardo Colacito, University of North Carolina-Chapel HillJeffrey Coles, Arizona State UniversityPierre Collin-Dufresne, Columbia UniversityJennifer Conrad, University of North Carolina-Chapel HillFrancesca Cornelli, London Business SchoolJohn Cotter, University College DublinJosh Coval, Harvard UniversityMartijn Cremers, Yale UniversityMariano Croce, University of North Carolina-Chapel HillMagnus Dahlquist, Stockholm School of EconomicsAmil Dasgupta, London School of EconomicsAdolfo De Motta, McGill UniversityHarry DeAngelo, University of Southern CaliforniaDiane Del Guercio, University of OregonPeter DeMarzo, Stanford UniversityDavid Denis, Purdue UniversityDiane Denis, Purdue UniversityMihir Desai, Harvard UniversityAmy Dittmar, University of MichiganRobert Dittmar, University of MichiganCraig Doidge, University of TorontoJames Dow, London Business SchoolJoost Driessen, Tilburg UniversityGreg Duffee, Johns Hopkins UniversityPhil Dybvig, Washington University-St. LouisJanice Eberly, Northwestern UniversityEspen Eckbo, Dartmouth CollegeAlex Edmans, University of PennsylvaniaAndrea Eisfeldt, University of California-Los AngelesJoseph Engelberg, University of North Carolina-Chapel HillVihang Errunza, McGill UniversityRudiger Fahlenbrach, Ecole Polytechnique Fédérale de LausanneMichael Faulkender, University of MarylandWayne Ferson, University of Southern CaliforniaLaura Field, Pennsylvania State UniversityAdlai Fisher, University of British ColumbiaMichael Fishman, Northwestern UniversityMark Flannery, University of FloridaThierry Foucault, HEC Paris

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Julian Franks, London Business SchoolCarola Frydman, Massachusetts Institute of TechnologyPaolo Fulghieri, University of North Carolina-Chapel HillXavier Gabaix, New York UniversityLouis Gagnon, Queens UniversityVito Gala, London Business SchoolLorenzo Garlappi, University of British ColumbiaNicolae Garleanu, University of California-BerkeleyMark Garmaise, University of California-Los AngelesSimon Gervais, Duke UniversityMia Getmansky-Sherman, University of MassachusettsRon Giammarino, University of British ColumbiaScott Gibson, College of William and MaryThomas Gilbert, University of WashingtonVincent Glode, University of PennsylvaniaWilliam Goetzmann, Yale UniversityItay Goldstein, University of PennsylvaniaRobert Goldstein, University of MinnesotaFrancisco Gomes, London Business SchoolTodd Gormley, University of PennsylvaniaGary Gorton, Yale UniversityAmit Goyal, University of LausanneJohn Graham, Duke UniversityJeremy Graveline, University of MinnesotaBrett Green, Northwestern UniversityClifton Green, Emory UniversityRobin Greenwood, Harvard UniversitySteve Grenadier, Stanford UniversityJohn Griffin, University of Texas-AustinYaniv Grinstein, Cornell UniversityGustavo Grullon, Rice UniversityBruce Grundy, University of MelbourneIlan Guedj, University of Texas-AustinDirk Hackbarth, University of Illinois-Urbana-ChampaignBing Han, University of Texas-AustinMatthew C. Harding, Stanford UniversityJarrad Harford, University of WashingtonBhamra Harjoat, University of British ColumbiaJeff Harris, University of DelawareLarry Harris, University of Southern CaliforniaMilton Harris, University of ChicagoJay Hartzell, University of Texas-AustinJoel Hasbrouck, New York UniversityTarek Hassan, University of ChicagoPing He, Tsinghua University

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Zhiguo He, University of ChicagoUlrich Hege, HEC ParisThomas Hellmann, University of British ColumbiaJean Helwege, University of South CarolinaChristopher Hennessy, London Business SchoolAndrew Hertzberg, Columbia UniversitySteven Heston, University of MarylandDavid Hirshleifer, University of California-IrvineYael Hochberg, Northwestern UniversityCraig Holden, Indiana UniversityBurton Hollifield, Carnegie Mellon UniversityEdie Hotchkiss, Boston CollegeKewei Hou, Ohio State UniversityDavid Hsieh, Duke UniversityJennifer Huang, University of Texas-AustinEric Hughson, Claremont McKenna CollegeChuan-Yang Hwang, Nanyang Tech UniversityDavid Ikenberry, University of Illinois-Urbana-ChampaignPhilipp Illeditsch, University of PennsylvaniaRonen Israel, IDCVictoria Ivashina, Harvard UniversityZoran Ivkovic, Michigan State UniversityRajkamal Iyer, Massachusetts Institute of TechnologyRavi Jagannathan, Northwestern UniversityNarashimhan Jegadeesh, Emory UniversityDirk Jenter, Stanford UniversityWei Jiang, Columbia UniversityLi Jin, Harvard UniversityMichael Johannes, Columbia UniversityKose John, New York UniversityTim Johnson, University of Illinois-Urbana-ChampaignCharles Jones, Columbia UniversityChristopher Jones, University of Southern CaliforniaPhilippe Jorion, University of California-IrvineScott Joslin, Massachusetts Institute of TechnologyBrandon Julio, London Business SchoolJakub Jurek, Princeton UniversityMarcin Kacperczyk, New York UniversityDalida Kadyrzhanova, University of MarylandRaymond Kan, University of TorontoJun-Koo Kang, Nanyang Tech UniversityRon Kaniel, Duke UniversitySteve Kaplan, University of ChicagoJason Karceski, University of FloridaAndrew Karolyi, Cornell University

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Anastasia Kartasheva, University of PennsylvaniaGautam Kaul, University of MichiganKenneth Kavajecz, University of Wisconsin-MadisonSimi Kedia, Rutgers UniversityDonald Keim, University of PennsylvaniaBryan Kelly, University of ChicagoMatti Keloharju, Helsinki School Of Economics & BusinessSusan Kerr Christoffersen, University of TorontoBong-Chan Kho, Seoul National UniversityDana Kiku, University of PennsylvaniaDarren Kisgen, Boston CollegeJohan Knif, Hanken School of EconomicsSamuli Knüpfer, London Business SchoolLeonid Kogan, Massachusetts Institute of TechnologyShimon Kogan, University of Texas-AustinRalph Koijen, University of ChicagoPeter Kondor, Central European UniversityRobert Korajczyk, Northwestern UniversityArthur Korteweg, Stanford UniversityJennifer Koski, University of WashingtonLars-Alexander Kuehn, Carnegie Mellon UniversityCamelia Kuhnen, Northwestern UniversityAlbert Kyle, University of MarylandChris Leach, University of Colorado-BoulderCharles Lee, Stanford UniversityMichael Lemmon, University of UtahMartin Lettau, University of California-BerkeleyJonathan Lewellen, Dartmouth CollegeKatharina Lewellen, Dartmouth CollegeErik Lie, University of IowaEva Liljeblom, Hanken School of EconomicsJames Linck, University of GeorgiaLaura Lindsey, Arizona State UniversityJuhani Linnainmaa, University of ChicagoKarl Lins, University of UtahMarc Lipson, University of VirginiaCrocker Liu, Cornell UniversityJun Liu, University of California-San DiegoDmitry Livdan, University of California-BerkeleyAlexander Ljungqvist, New York UniversityAndrew Lo, Massachusetts Institute of TechnologyLars Lochstoer, Columbia UniversityClaudio Loderer, Universitaet BernRichard Lowery, University of Texas-AustinMichelle Lowry, Pennsylvania State University

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Christian Lundblad, University of North Carolina-Chapel HillHanno Lustig, University of California-Los AngelesEvgeny Lyandres, Boston UniversityAnthony Lynch, New York UniversityCraig MacKinlay, University of PennsylvaniaAnanth Madhavan, Blackrock Inc.Pascal Maenhout, INSEADIgor Makarov, London Business SchoolVojislav Maksimovic, University of MarylandChris Malloy, Harvard UniversityUlrike Malmendier, University of California-BerkeleyGustavo Manso, Massachusetts Institute of TechnologyRobert Marquez, Boston UniversityIan Martin, Stanford UniversityMarc Martos-Vila, University of California-Los AngelesMassimo Massa, INSEADRon Masulis, Vanderbilt UniversityRich Mathews, Duke UniversityPedro Matos, University of Southern CaliforniaDavid Matsa, Northwestern UniversityGregor Matvos, University of ChicagoDavid Mauer, University of Texas-DallasErnst Maug, University of MannheimRobert McDonald, Northwestern UniversityRajnish Mehra, Arizona State UniversityAndrew Metrick, Yale UniversityRoni Michaely, Cornell UniversityTodd Milbourn, Washington University-St. LouisKonstantin Milbradt, Massachusetts Institute of TechnologyDarius Miller, Southern Methodist UniversityKristian Miltersen, Copenhagen Business SchoolBernadette Minton, Ohio State UniversityErwan Morellec, Ecole Polytechnique Fédérale de LausanneAdair Morse, University of ChicagoToby Moskowitz, University of ChicagoPamela Moulton, Cornell UniversityHolger Mueller, New York UniversityJustin Murfin, Yale UniversityDavid Musto, University of PennsylvaniaBrett Myers, Texas Tech UniversityStefan Nagel, Stanford UniversityKjell Nyborg, University of ZurichTerrance Odean, University of California-BerkeleyMartin Oehmke, Columbia UniversityMaureen O’Hara, Cornell University

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Barbara Ostdiek, Rice UniversityPaige Parker Ouimet, University of North Carolina-Chapel HillOguzhan Ozbas, University of Southern CaliforniaMarco Pagano, Università di Napoli Federico IIDarius Palia, Rutgers UniversityStavros Panageas, University of ChicagoMarios Panayides, University of PittsburghDimitris Papanikolaou, Northwestern UniversityDaniel Paravisini, Columbia UniversityJonathan Parker, Northwestern UniversityChristine Parlour, University of California-BerkeleyRobert Parrino, University of Texas-AustinLubos Pastor, University of ChicagoAnna Pavlova, London Business SchoolLasse H. Pedersen, New York UniversityLiang Peng, University of Colorado-BoulderGeorge Pennacchi, University of Illinois-Urbana-ChampaignFrancisco Perez-Gonzalez, Stanford UniversityMitchell Petersen, Northwestern UniversityPaul Pfleiderer, Stanford UniversityGordon Phillips, University of MarylandKate Phylaktis, City University, LondonMonika Piazzesi, Stanford UniversityTomasz Piskorski, Columbia UniversityGuillaume Plantin, Toulouse UniversityChristopher Polk, London School of EconomicsJoshua Pollet, Michigan State UniversityJeffrey Pontiff, Boston CollegeN.R. Prabhala, University of MarylandManju Puri, Duke UniversityUday Rajan, University of MichiganAdriano Rampini, Duke UniversityRaghavendra Rau, University of CambridgeJoshua Rauh, Northwestern UniversityS. Abraham (Avri) Ravid, Rutgers UniversityEnrichetta Ravina, Columbia UniversityMark Ready, University of Wisconsin-MadisonAdam Reed, University of North Carolina-Chapel HillJonathan Reuter, Boston CollegeMatt Rhodes-Kropf, Harvard UniversityMichael Roberts, University of PennsylvaniaDavid Robinson, Duke UniversityRichard Roll, University of California-Los AngelesTavy Ronen, Rutgers UniversityEhud I. Ronn, University of Texas-Austin

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Ioanid Rosu, HEC ParisNikolai Roussanov, University of PennsylvaniaBryan Routledge, Carnegie Mellon UniversityGeert Rouwenhorst, Yale UniversityKristian Rydqvist, Binghamton UniversityGideon Saar, Cornell UniversityRonnie Sadka, Boston CollegePatrik Sandas, University of VirginiaAntonios Sangvinatsos, New York UniversityPedro Santa-Clara, Universidade Nova de LisboaPavel Savor, University of PennsylvaniaLukas Schmid, Duke UniversityPhilipp Schnabl, New York UniversityJan Schneider, University of Texas-AustinPaul Schultz, University of Notre DameMark Seasholes, Hong Kong University of Science and TechnologyLemma Senbet, University of MarylandDuane Seppi, Carnegie Mellon UniversityPiet Sercu, Katholieke Universiteit LeuvenAmit Seru, University of ChicagoHenri Servaes, London Business SchoolIvan Shaliastovich, University of PennsylvaniaAnn Sherman, DePaul UniversityAnil Shivdasani, University of North Carolina-Chapel HillTyler Shumway, University of MichiganClemens Sialm, University of Texas-AustinGustav Sigurdsson, University of PennsylvaniaRaj Singh, University of MinnesotaErik Sirri, Babson CollegeCostis Skiadas, Northwestern UniversityMorten Sorensen, Columbia UniversitySorin Sorescu, Texas A&M UniversityChester Spatt, Carnegie Mellon UniversityDavid Sraer, Princeton UniversityErik Stafford, Harvard UniversityLaura Starks, University of Texas-AustinHans Stoll, Vanderbilt UniversityNeal Stoughton, University of New South WalesIlya Strebulaev, Stanford UniversityPer Strömberg, Stockholm Institute for Financial ResearchMichael Stutzer, University of Colorado-BoulderAvanidhar Subrahmanyam, University of California-Los AngelesAjay Subramanian, Georgia State UniversityAmir Sufi, University of ChicagoSuresh Sundaresan, Columbia University

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Bhaskaran (Swami) Swaminathan, LSV Asset ManagementGeoffrey Tate, University of California-Los AngelesLucian Taylor, University of PennsylvaniaAlexei Tchistyi, University of California-BerkeleyChris Telmer, Carnegie Mellon UniversityMelvyn Teo, Singapore Management UniversityPaul Tetlock, Columbia UniversityAnjan Thakor, Washington University-St. LouisKarin Thorburn, Norwegian School of Economics and Business AdministrationSheri Tice, Tulane UniversityStathis Tompaidis, University of Texas-AustinHeather Tookes, Yale UniversityWalter Torous, University of California-Los AngelesAlex Triantis, University of MarylandCharles Trzcinka, Indiana UniversityMargarita Tsoutsoura, University of ChicagoSergey Tsyplakov, University of South CarolinaSelale Tuzel, University of Southern CaliforniaMaxim Ulrich, Columbia UniversityRaman Uppal, London Business SchoolRossen Valkanov, University of California-San DiegoJules H. Van Binsbergen, Northwestern UniversityStijn Van Nieuwerburgh, New York UniversityDimitri Vayanos, London School of EconomicsAdrien Verdelhan, Massachusetts Institute of TechnologyPietro Veronesi, University of ChicagoLuis Viceira, Harvard UniversityAnnette Vissing-Jorgensen, Northwestern UniversityS. (Vish) Viswanathan, Duke UniversityPaolo Volpin, London Business SchoolErnst-Ludwig (Elu) von Thadden, University of MannheimJessica Wachter, University of PennsylvaniaJohan Walden, University of California-BerkeleyNancy Wallace, University of California-BerkeleyJiang Wang, Massachusetts Institute of TechnologyNeng Wang, Columbia UniversityTan Wang, University of British ColumbiaZhenyu Wang, Federal Reserve Bank of New YorkPierre-Oliver Weill, University of California-Los AngelesMichael Weisbach, Ohio State UniversityScott Weisbenner, University of Illinois-Urbana-ChampaignRussell Wermers, University of MarylandIngrid Werner, Ohio State UniversityMark Westerfield, University of Southern CaliforniaRobert Whaley, Vanderbilt University

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Toni Whited, University of RochesterRobert Whitelaw, New York UniversityRohan Williamson, Georgetown UniversityAndrew Winton, University of MinnesotaAvi Wohl, Tel-Aviv UniversityDaniel Wolfenzon, Columbia UniversityJeff Wurgler, New York UniversityWei Xiong, Princeton UniversityYuhai Xuan, Harvard UniversityPradeep Yadav, University of OklahomaHong Yan, University of South CarolinaHongjun Yan, Yale UniversityLiu Yang, University of California-Los AngelesAmir Yaron, University of PennsylvaniaAyako Yasuda, University of California-DavisDavid Yermack, New York UniversityBilge Yilmaz, University of PennsylvaniaMotohiro Yogo, Federal Reserve Bank of MinneapolisJialin Yu, Columbia UniversityFernando Zapatero, University of Southern CaliforniaRebecca Zarutskie, Duke UniversityJosef Zechner, University of ViennaJaime Zender, University of Colorado-BoulderLu Zhang, Ohio State UniversityLu Zheng, University of California-IrvineGuofu Zhou, Washington University-St. LouisNing Zhu, University of California-DavisJeffrey Zwiebel, Stanford University

AcknowledgmentsThe Program Chair would like to express his deep gratitude to his colleagues and Associate Chairpersons at UCLA who were key participants in all aspects of the program logistics. Thanks also to Delores Rhaburn and Leigh Ann Clark for their dedicated assistance, and to the Tepper School of Business at Carnegie Mellon and Jeff Easter, Rosemarie Lang, and MaryAnn O’Brien for their excel-lent support. I would like to extend particular thanks to Peter DeMarzo, Michael Fishman, William Goetzmann, John Graham, and Duane Seppi for their advice and guidance. Finally, a deep appreciation to the many sponsors and donors for their continuing support of the WFA.

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SAC CAPITAL PHD CANDIDATE AWARD FOR OUTSTANDING RESEARCH 2011

Bradyn Breon-Drish, University of California-Berkeley

Anna Cieslak, Northwestern University

Andres Donangelo, University of California-Berkeley

Hitesh Doshi, McGill University

Viktar Fedaseyeu, Boston College

Vyacheslav Fos, Columbia University

Brent Glover, University of Pennsylvania

Matthew Gustafson, University of Rochester

Yelena Larkin, Cornell University

Oliver Levine, University of Pennsylvania

Nadya Malenko, Stanford University

Andrey Malenko, Stanford University

Asaf Manela, University of Chicago

Alan Moreira, University of Chicago

James Park, University of Pennsylvania

Pavol Povala, University of Lugano

Malcolm Wardlaw, University of Texas-Austin

Fan Yang, University of Minnesota

Haoxiang Zhu, Stanford University

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BEST PAPER AWARDS

USC MARSHALL SCHOOL OF BUSINESS TREFFTZS AWARDFOR THE BEST STUDENT PAPER

Labor Mobility and the Cross-Section of Returns

Andres DonangeloUniversity of California-Berkeley

CHARLES RIVER ASSOCIATES AWARD FOR THE BEST PAPER ON CORPORATE FINANCE

The Expected Cost of Default

Brent GloverUniversity of Pennsylvania

NASDAQ OMX AWARDFOR THE BEST PAPER ON ASSET PRICING

Anticipated and Repeated Shocks in Liquid Markets

Dong LouLondon School of Economics

Hongjun Yan Yale UniversityJinfan Zhang

Yale University

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PEARSON AWARD FOR THE BEST PAPER ONFINANCIAL INSTITUTIONS AND MARKETS

Stigma in Financial Markets: Evidence from Liquidity Auctions and Discount Window Borrowing During the Crisis

Olivier ArmantierFederal Reserve Bank of New York

Eric GhyselsUniversity of North Carolina-Chapel Hill

Asani SarkarFederal Reserve Bank of New York

Jeffrey ShraderFederal Reserve Bank of New York

WHARTON SCHOOL-WRDS AWARDFOR THE BEST EMPIRICAL FINANCE PAPER

Pay for Performance from Future Fund Flows: The Case of Private Equity

Ji-Woong ChungChinese University of Hong Kong

Berk SensoyOhio State University

Lea SternOhio State UniversityMichael Weisbach

Ohio State University

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PROGRAM SUMMARY

Sunday, June 19, 20114:00 pm – 8:00 pm

On-site Registration – Eldorado Lobby and Concourse

6:00 pm – 8:00 pm

Research Affiliates LLC Reception – Hilton, Chamisa Courtyard/Ortiz Ballroom/Pinon Grill

Monday, June 20, 20118:00 am – 4:00 pm

On-site Registration – Eldorado Lobby and Concourse

8:15 am – 10:00 am

Government, Regulation, and the Stock Market – Eldorado, Anasazi SouthAsset Pricing: Behavior and Beliefs – Eldorado, Anasazi NorthLiquidity – Eldorado, Zia BallroomHigh Frequency Trading – Hilton, Mesa ACEOs and Investments/Acquisitions – Hilton, Mesa BFinance and Innovation – Hilton, Mesa C

10:00 am – 10:15 am

Cambridge University Press Coffee Break – Eldorado, Lobby Lounge/Sunset Room

Oxford University Press Coffee Break – Hilton, Chamisa Courtyard/Ortiz Ballroom

10:15 am – 12:00 noon

Dark Pools and ETFs – Eldorado, Anasazi SouthAsset Pricing with Human Capital Risk – Eldorado, Anasazi NorthCorporate Governance and Control – Eldorado, Zia BallroomPricing of Credit Risk – Hilton, Mesa AActivist Investors – Hilton, Mesa BFinancial Expertise – Hilton, Mesa C

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12:30 pm – 2:00 pm

NASDAQ OMX Luncheon – Eldorado, Pavilion

2:45 pm – 4:30 pm

Corporate Finance and Financial Intermediaries – Eldorado, Anasazi SouthInvestor Performance Evaluation – Eldorado, Anasazi NorthCEO Compensation – Eldorado, Zia BallroomHedge Funds – Hilton, Mesa AInternational Asset Pricing Models – Hilton, Mesa BHousehold Finance – Hilton, Mesa C

5:00 pm – 6:30 pm

WFA Executive Committee and Board of Directors Meeting – Hilton, Chapel Room

6:00 pm – 8:00 pm

Cornerstone Research Reception – Eldorado, Sunset Room/Lobby Lounge Area

Tuesday, June 21, 20118:00 am – 12:00 noon

On-site Registration – Eldorado Lobby and Concourse

8:15 am – 10:00 am

Lessons from the Crisis – Eldorado, Anasazi SouthAsset Pricing Puzzles – Eldorado, Anasazi NorthM&A: Theory and Evidence – Eldorado, Zia BallroomEconomics of Credit Ratings – Hilton, Mesa ACapital Structure and the Legal Environment – Hilton, Mesa BFinance and the Media – Hilton, Mesa C

10:00 am – 10:15 am

Cambridge University Press Coffee Break – Eldorado, Lobby Lounge/Sunset Room

Oxford University Press Coffee Break – Hilton, Chamisa Courtyard/Ortiz Ballroom

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10:15 am – 12:00 noon

Institutional Trading – Eldorado, Anasazi SouthAgency Conflicts – Eldorado, Anasazi NorthTerm Structure – Eldorado, Zia BallroomExperimental Finance – Hilton, Mesa AAsset Pricing: Technology, Learning, and Productivity – Hilton, Mesa BCorporate Boards – Hilton, Mesa C

12:30 pm – 2:00 pm

WFA Annual Luncheon – Eldorado, PavilionDistinguished Speaker: Maureen O’Hara, Cornell University

2:45 pm – 4:30 pm

Venture Capital and Private Equity – Eldorado, Anasazi SouthContracts and Incentives – Eldorado, Anasazi NorthConsumer Credit – Eldorado, Zia BallroomAsset Pricing with Heterogeneous Agents – Hilton, Mesa AProxy Voting, Large Shareholders – Hilton, Mesa BAsset Pricing: Empirical – Hilton, Mesa C

5:00 pm – 6:00 pm

Society for Financial Studies Annual Meeting – La Fonda on the Plaza,Santa Fe Room (100 E. San Francisco Street, Santa Fe, NM 87501)

6:00 pm – 9:00 pm

Review of Financial Studies Reception co-sponsored by The Society for Financial Studies and BlackRock, Inc. – Eldorado, Sunset Room and Lobby Lounge

Wednesday, June 22, 20118:15 am – 10:00 am

Financial Distress and its Effects – Eldorado, Anasazi SouthThe Cross Section of Returns – Eldorado, Anasazi NorthCapital Structure and Corporate Financing – Eldorado, Zia BallroomShort Selling – Hilton, Mesa AMacroeconomic Uncertainty and Asset Pricing – Hilton, Mesa BAsymmetric Information and Strategic Trading – Hilton, Mesa C

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10:00 am – 10:15 am

WFA Coffee Break – Eldorado, Lobby Lounge/Sunset Room

WFA Coffee Break – Hilton, Chamisa Courtyard/Ortiz Ballroom

10:15 am – 12:00 noon

Financial Institutions and Collateralized Lending – Eldorado, Anasazi SouthCredit Markets:Theory and Evidence – Eldorado, Anasazi NorthEquity Offerings – Eldorado, Zia BallroomMortgages and Securitization – Hilton, Mesa AForeign Exchange Returns and Risk Premia – Hilton, Mesa BDerivatives Pricing – Hilton, Mesa C

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Linked Papers in Red

PROGRAM DETAILS

Monday, June 20, 2011, 8:15 am – 10:00 amGovernment, Regulation, and the Stock Market – Eldorado, Anasazi SouthJohn Graham, Duke University

Is the Stock Market Just a Side Show? Evidence from a Structural ReformYan Wang, Chinese University of Hong KongMurillo Campello, University of Illinois-Urbana-ChampaignRafael Ribas, University of Illinois-Urbana-Champaign

Government Investment and the Stock MarketFrederico Belo, University of MinnesotaJianfeng Yu, University of Minnesota

Uncertainty about Government Policy and Stock PricesLubos Pastor, University of ChicagoPietro Veronesi, University of Chicago

Discussants: Itay Goldstein, University of PennsylvaniaLu Zhang, Ohio State UniversityDavid Chapman, Boston College

Asset Pricing: Behavior and Beliefs – Eldorado, Anasazi NorthRichard Green, Carnegie Mellon University

Speculative Dynamics in the Term Structure of Interest Rates Kristoffer Nimark, Universitat Pompeu Fabra

How Important Is Mispricing? Aydogan Alti, University of Texas-AustinPaul Tetlock, Columbia University

The Beliefs of Others - Naive Realism and Investment DecisionsChristoph Merkle, University of MannheimDaniel Egan, Barclays WealthMartin Weber, University of Mannheim

Discussants:Michael Gallmeyer, University of VirginiaMurray Carlson, University of British ColumbiaJared Williams, Pennsylvania State University

25

Linked Papers in RedLiquidity – Eldorado, Zia BallroomJiang Wang, Massachusetts Institute of Technology

Search Frictions and the Liquidity of Large Blocks of SharesEnrique Schroth, University of AmsterdamRui Albuquerque, Boston University

Anticipated and Repeated Shocks in Liquid MarketsHongjun Yan, Yale UniversityJinfan Zhang, Yale UniversityDong Lou, London School of Economics

An Asset Pricing Approach to Liquidity Effects in Corporate Bond MarketsJoost Driessen, Tilburg University Dion Bongaerts, Erasmus University Rotterdam Frank de Jong, Tilburg University

Discussants:Nicolae Garleanu, University of California-BerkeleyMichael Fleming, Federal Reserve Bank of New YorkLong Chen, Washington University in St. Louis

High Frequency Trading – Hilton, Mesa ALarry Harris, University of Southern California

Low-Latency Trading Gideon Saar, Cornell UniversityJoel Hasbrouck, New York University

The Flash Crash: The Impact of High Frequency Trading on an Electronic MarketMehrdad Samadi, University of North Carolina-Chapel HillAndrei Kirilenko, Commodity Futures Trading CommissionAlbert S. Kyle, University of Maryland Tugkan Tuzun, University of Maryland

Middlemen in Limit-Order MarketsBoyan Jovanovic, New York UniversityAlbert Menkveld, VU University Amsterdam

Discussants: Charles Jones, Columbia UniversityChester Spatt, Carnegie Mellon UniversityLarry Glosten, Columbia University

26

Linked Papers in RedCEOs and Investments/Acquisitions – Hilton, Mesa BGeoffrey Tate, University of California-Los Angeles

Managers Who Lack Style: Evidence from Exogenous CEO ChangesC. Edward Fee, Michigan State UniversityCharles Hadlock, Michigan State UniversityJoshua Pierce, University of South Carolina

CEO Preferences and AcquisitionsKatharina Lewellen, Dartmouth CollegeDirk Jenter, Stanford University

How Do CEOs Matter? The Effect of Industry Expertise on Acquisition ReturnsDaniel Metzger, London School of EconomicsClaudia Custodio, Arizona State University

Discussants:Francisco Perez-Gonzalez, Stanford UniversityGeoffrey Tate, University of California-Los AngelesKenneth Ahern, University of Michigan

Finance and Innovation – Hilton, Mesa C Paolo Fulghieri, University of North Carolina-Chapel Hill

R&D and the Market for AcquisitionsGordon Phillips, University of Maryland Alexei Zhdanov, University of Lausanne

Financing Risk and Bubbles of InnovationMatthew Rhodes-Kropf, Harvard UniversityRamana Nanda, Harvard University

Does Stock Liquidity Enhance or Impede Innovation? Sheri Tice, Tulane UniversityXuan Tian, Indiana UniversityVivian Fang, Rutgers University

Discussants:Merih Sevilir, Indiana UniversityPraveen Kumar, University of HoustonGustavo Manso, Massachusetts Institute of Technology

27

Linked Papers in Red

Monday, June 20, 2011, 10:15 am – 12:00 noonDark Pools and ETFs – Eldorado, Anasazi SouthMaureen O’Hara, Cornell University

Dark Pool Trading StrategiesSabrina Buti, University of TorontoBarbara Rindi, Bocconi UniversityIngrid Werner, Ohio State University

Do Dark Pools Harm Price Discovery? Haoxiang Zhu, Stanford University

The Effect of ETFs on Stock LiquiditySophia Hamm, Ohio State University

Discussants:Gideon Saar, Cornell UniversityMao Ye, University of Illinois-Urbana-ChampaignEkkehart Boehmer, EDHEC Business School

Asset Pricing with Human Capital Risk – Eldorado, Anasazi NorthPietro Veronesi, University of Chicago

Hedging Labor Income RiskSebastien Betermier, McGill UniversityThomas Jansson, Swedish Central BankChristine Parlour, University of California-BerkeleyJohan Walden, University of California-Berkeley

Labor Mobility and the Cross-Section of ReturnsAndres Donangelo, University of California-Berkeley

Dynamics of Entrepreneurship under Incomplete MarketsNeng Wang, Columbia UniversityChong Wang, Naval Postgraduate SchoolJinqiang Yang, Shanghai University of Finance and Economics

Discussants: Ralph Koijen, University of ChicagoJonathan Berk, Stanford UniversityNikolai Roussanov, University of Pennsylvania

28

Linked Papers in RedCorporate Governance and Control – Eldorado, Zia BallroomMilton Harris, University of Chicago

Exit as Governance: An Empirical AnalysisVenky Nagar, University of MichiganSreedhar Bharath, Arizona State UniversitySudarshan Jayaraman, Washington University in St. Louis

Corporate Governance, Debt, and Investment Policy During the Great DepressionSonali Hazarika, Baruch CollegeJohn Graham, Duke UniversityKrishnamoorthy Narasimhan, Pacific Investment Management Company (PIMCO)

Family Business Groups around the World: Financing Advantages, Control Motivations and Organizational ChoicesJason Zein, University of New South WalesRonald Masulis, University of New South Wales Peter Pham, University of Sydney

Discussants:Margarita Tsoutsoura, University of ChicagoChester Spatt, Carnegie Mellon UniversityAndrew Ellul, Indiana University

Pricing of Credit Risk – Hilton, Mesa AIlya Strebulaev, Stanford University

The Term Structure of Recovery RatesHitesh Doshi, McGill University

The Expected Cost of DefaultBrent Glover, University of Pennsylvania

Investment-Based Corporate Bond Pricing Lars-Alexander Kuehn, Carnegie Mellon UniversityLukas Schmid, Duke University

Discussants:Kenneth Singleton, Stanford UniversitySergei Davydenko, University of TorontoGregory Duffee, Johns Hopkins University

29

Linked Papers in RedActivist Investors – Hilton, Mesa BLaura Starks, University of Texas-Austin

Delegated Activism and Disclosure Amil Dasgupta, London School of EconomicsKonstantinos Zachariadis, London School of Economics

The Costs of Shareholder Activism: Evidence from a Sequential Decision Model Nickolay Gantchev, University of North Carolina-Chapel Hill

Hedge Funds and Chapter 11 Wei Jiang, Columbia UniversityKai Li, University of British ColumbiaWei Wang, Queens University

Discussants:Andres Almazan, University of Texas-AustinAshwini Agrawal, New York UniversityHeather Tookes, Yale University

Financial Expertise – Hilton, Mesa CAndrea Eisfeldt, University of California-Los Angeles

Financial Expertise as an Arms RaceVincent Glode, University of PennsylvaniaRichard Green, Carnegie Mellon UniversityRichard Lowery, University of Texas-Austin

Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent Paolo Volpin, London Business SchoolViral Acharya, New York UniversityMarco Pagano, University of Naples

Expertise and Reputation of Corporate BoardsDoron Levit, University of Pennsylvania

Discussants:Brett Green, Northwestern UniversityDavid Dicks, University of North Carolina-Chapel HillPhilip Bond, University of Minnesota

30

Linked Papers in Red

Monday, June 20, 2011, 2:45 pm – 4:30 pmCorporate Finance and Financial Intermediaries – Eldorado, Anasazi SouthToni Whited, University of Rochester

The Real Effects of Analyst CoverageAmbrus Kecskes, Virginia TechFrancois Derrien, HEC Paris

Financing Constraints and Unemployment: Evidence from the Great RecessionAlexey Levkov, Federal Reserve Bank of BostonBurcu Duygan-Bump, Federal Reserve Bank of BostonJudit Montoriol-Garriga, Federal Reserve Bank of Boston

Systemic Risk Channel: Banking Relationship Spillover in the Credit Default Swap and Stock MarketsCihan Uzmanoglu, Louisiana State University Wei-Ling Song, Louisiana State University

Discussants:Heather Tookes, Yale UniversityAshwini Agrawal, New York UniversityVikrant Vig, London Business School

Investor Performance Evaluation – Eldorado, Anasazi NorthRussell Wermers, University of Maryland

Mutual Fund Families and Performance EvaluationDavid Brown, University of Wisconsin-MadisonYouchang Wu, University of Wisconsin-Madison

Is Bigger Better? Size and Performance in Pension Plan ManagementLukasz Pomorski, University of TorontoAlexander Dyck, University of Toronto

How Wise Are Crowds? Insights from Retail Orders and Stock ReturnsEric Kelley, University of ArizonaPaul Tetlock, Columbia University

Discussants:Tong Yao, University of IowaJoseph Chen, University of California-DavisNitish Sinha, University of Illinois-Chicago

31

Linked Papers in RedCEO Compensation – Eldorado, Zia BallroomJeffrey Coles, Arizona State University

To Each According to His Ability? The Returns to CEO TalentDan Li, Federal Reserve BoardAntonio Falato, Federal Reserve BoardTodd Milbourn, Washington University in St. Louis

CEO Wage Dynamics: Evidence from a Learning ModelLucian Taylor, University of Pennsylvania

Indexing Executive Compensation ContractsErnst Maug, University of MannheimIngolf Dittmann, Erasmus University RotterdamOliver Spalt, Tilburg University

Discussants:Claudia Custodio, Arizona State UniversityCarola Frydman, Massachusetts Institute of TechnologyYaniv Grinstein, Cornell University

Hedge Funds – Hilton, Mesa ADavid Hsieh, Duke University

Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity HoldingsVikas Agarwal, Georgia State UniversityVyacheslav Fos, Columbia UniversityWei Jiang, Columbia University

On Tournament Behavior in Hedge Funds: High Water Marks, Fund Liquidation, and the Backfilling BiasGeorge Aragon, Arizona State UniversityVikram Nanda, Georgia Institute of Technology

On the Dynamics of Hedge Fund Risk ExposuresAndrew Patton, Duke UniversityTarun Ramadorai, Oxford University

Discussants:Lukas Schmid, Duke UniversityHengjie Ai, Duke UniversityRobert Kosowski, Imperial College London

32

Linked Papers in RedInternational Asset Pricing Models – Hilton, Mesa BAndrew Karolyi, Cornell University

Risk Sharing for the Long Run Mariano Croce, University of PennsylvaniaRiccardo Colacito, University of North Carolina-Chapel Hill

Asset Prices and Real Exchange Rates with Deep HabitsChristian Heyerdahl-Larsen, London Business School

International Risk CyclesMichael Siemer, Boston UniversityFrancois Gourio, Boston UniversityAdrien Verdelhan, Massachusetts Institute of Technology

Discussants:Chris Telmer, Carnegie Mellon UniversityIvan Shaliastovich, University of PennsylvaniaJun Liu, University of California-San Diego

Household Finance – Hilton, Mesa CChester Spatt, Carnegie Mellon University

The Timing of PayChristopher Parsons, University of North Carolina-Chapel HillEd Van Wesep, University of North Carolina-Chapel Hill

Libertarian Paternalism, Information Sharing, and Financial Decision-MakingSimon Gervais, Duke UniversityBruce Carlin, University of California-Los AngelesGustavo Manso, Massachusetts Institute of Technology

Exponential Individuals, Hyperbolic HouseholdsAndrew Hertzberg, Columbia University

Discussants:Jamie Zender, University of Colorado-BoulderFrancesco Sangiorgi, Stockholm School of EconomicsBryan Routledge, Carnegie Mellon University

33

Linked Papers in Red

Tuesday, June 21, 2011, 8:15 am – 10:00 amLessons from the Crisis – Eldorado, Anasazi SouthLubos Pastor, University of Chicago

How Well did Libor Measure Bank Wholesale Funding Rates During the Crisis? James Vickery, Federal Reserve Bank of New YorkDennis Kuo, University of California-Los AngelesDavid Skeie, Federal Reserve Bank of New York

Stigma in Financial Markets: Evidence from Liquidity Auctions and Discount Window Borrowing During the Crisis Eric Ghysels, University of North Carolina-Chapel HillAsani Sarkar, Federal Reserve Bank of New YorkOlivier Armantier, Federal Reserve Bank of New YorkJeffrey Shrader, Federal Reserve Bank of New York

Hard TimesChristopher Polk, London School of EconomicsJohn Campbell, Harvard UniversityStefano Giglio, Harvard University

Discussants: Krista Schwarz, University of PennsylvaniaCraig Furfine, Northwestern UniversityDimitris Papanikolaou, Northwestern University

Asset Pricing Puzzles – Eldorado, Anasazi NorthJean Helwege, University of South Carolina

Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond PuzzleHanno Lustig, University of California-Los AngelesFrancis Longstaff, University of California-Los AngelesMatthias Fleckenstein, University of California-Los Angeles

The Distress Premium PuzzleAli Ozdagli, Federal Reserve Bank of Boston

A New Anomaly: The Cross-Sectional Profitability of Technical AnalysisYufeng Han, University of Colorado-DenverKe Yang, Washington University in St. LouisGuofu Zhou, Washington University in St. Louis

34

Linked Papers in RedDiscussants: Jingzhi Huang, Pennsylvania State UniversityHong Yan, University of South CarolinaKewei Hou, Ohio State University

M&A: Theory and Evidence – Eldorado, Zia BallroomMatthew Rhodes-Kropf, Harvard University

Means of Payment and Timing of Mergers and Acquisitions in a Dynamic EconomyAlexander Gorbenko, London Business SchoolAndrey Malenko, Stanford University

Acquiring GrowthOliver Levine, University of Pennsylvania

Lost in Translation? The Effect of Cultural Values on Mergers Around the WorldKenneth Ahern, University of MichiganDaniele Daminelli, Politecnico di MilanoCesare Fracassi, University of Texas-Austin

Discussants:Rich Mathews, Duke UniversityLiu Yang, University of California-Los AngelesRose Liao, Rutgers University

Economics of Credit Ratings – Hilton, Mesa ATyler Shumway, University of Michigan

The Economics of Unsolicited Credit RatingsPaolo Fulghieri, University of North Carolina-Chapel Hill Gunter Strobl, University of North Carolina-Chapel HillHan Xia, University of North Carolina-Chapel Hill

Ratings Quality over the Business CycleJoel Shapiro, Oxford UniversityHeski Bar-Isaac, New York University

Feedback Effects of Credit RatingsGustavo Manso, Massachusetts Institute of Technology

35

Linked Papers in RedDiscussants:Francesco Sangiorgi, Stockholm School of EconomicsUday Rajan, University of MichiganItay Goldstein, University of Pennsylvania

Capital Structure and the Legal Environment – Hilton, Mesa BSanjai Bhagat, University of Colorado-Boulder

Labor Unemployment Risk and Corporate Financing DecisionsDavid Matsa, Northwestern UniversityAshwini Agrawal, New York University

Corporate Taxes, Leverage, and Business CyclesAmir Yaron, University of PennsylvaniaBrent Glover, University of PennsylvaniaJoao Gomes, University of Pennsylvania

How Does Personal Bankruptcy Law Affect Start-Ups?Maria Fabiana Penas, Tilburg UniversityGeraldo Cerqueiro, Universidade Católica Portuguesa

Discussants:Katharina Lewellen, Dartmouth CollegeArthur Korteweg, Stanford UniversityTodd Gormley, University of Pennsylvania

Finance and the Media – Hilton, Mesa CAlbert S. Kyle, University of Maryland

Don’t Believe the Hype: Local Media Slant, Local Advertising, and Firm ValueAlexander Butler, Rice UniversityUmit Gurun, University of Texas-Austin

Spreading Information and Media Coverage: Theory and Evidence from Drug ApprovalsAsaf Manela, University of Chicago

Synchronized Arbitrage and the Value of Public AnnouncementsRoy Zuckerman, Rutgers University

Discussants:Nitish Sinha, University of Illinois-ChicagoEmiliano Pagnotta, New York UniversityIoanid Rosu, HEC Paris

36

Linked Papers in Red

Tuesday, June 21, 2011, 10:15 am – 12:00 noonInstitutional Trading – Eldorado, Anasazi SouthMark Ready, University of Wisconsin-Madison

The Price Impact of Large Hedging TradesNeil Pearson, University of Illinois-Urbana-ChampaignBrian Henderson, George Washington University

Market Crashes and Institutional TradingKumar Venkataraman, Southern Methodist UniversityAmber Anand, Syracuse UniversityPaul Irvine, University of GeorgiaAndy Puckett, University of Tennessee

Trading Game Invariance in the TAQ DatasetTugkan Tuzun, University of MarylandAnna Obizhaeva, University of Maryland Albert S. Kyle, University of Maryland

Discussants: Nicolas Bollen, Vanderbilt UniversityYouchang Wu, University of Wisconsin-MadisonElena Asparouhova, University of Utah

Agency Conflicts – Eldorado, Anasazi NorthNeng Wang, Columbia University

Agency Conflicts, Prudential Regulation, and Marking to MarketHaresh Sapra, University of ChicagoTong Lu, University of HoustonAjay Subramanian, Georgia State University

Loan Prospecting Florian Heider, European Central BankRoman Inderst, University of Frankfurt

Optimal Design of Internal Capital MarketsAndrey Malenko, Stanford University

Discussants: Robert McDonald, Northwestern UniversityAdriano Rampini, Duke UniversityMark Westerfield, University of Southern California

37

Linked Papers in RedTerm Structure – Eldorado, Zia BallroomKenneth Singleton, Stanford University

How Does the Bond Market Perceive FOMC Interventions? Maxim Ulrich, Columbia University

Why Do Term Structures in Different Currencies Comove? Chotibhak Jotikasthira, University of North Carolina-Chapel HillAnh Le, University of North Carolina-Chapel HillChristian Lundblad, University of North Carolina-Chapel Hill

Understanding Bond Risk Premia Anna Cieslak, Northwestern UniversityPavol Povala, University of Lugano

Discussants:Scott Joslin, Massachusetts Institute of TechnologyJonathan Wright, Johns Hopkins UniversityIvan Shaliastovich, University of Pennsylvania

Experimental Finance – Hilton, Mesa ABruce Carlin, University of California-Los Angeles

Transaction Related Value Signals in the Brain are Associated with Suboptimal Trading in an Experimental Stock MarketCary Frydman, California Institute of TechnologyNicholas Barberis, Yale UniversityPeter Bossaerts, California Institute of TechnologyAntonio Rangel, California Institute of TechnologyColin Camerer, California Institute of Technology

Different Affective Learning Systems Contribute to the Accumulation of Assets and Debt Camelia Kuhnen, Northwestern UniversityBrian Knutson, Stanford UniversityGregory Samanez-Larkin, Stanford University

Do Individual Investors Trade Stocks as Gambling? Evidence from Repeated Natural ExperimentsTse-Chun Lin, University of Hong KongXiaohui Gao, University of Hong Kong

38

Linked Papers in RedDiscussants:Shimon Kogan, University of Texas-AustinJames Choi, Yale UniversityJohn Beshears, Stanford University

Asset Pricing: Technology, Learning, and Productivity – Hilton, Mesa BGustavo Manso, Massachusetts Institute of Technology

Learning from Stock Prices and Economic GrowthJoel Peress, INSEAD

Technological Progress, Industry Rivalry, and Stock Returns Lorenzo Garlappi, University of British ColumbiaJan Bena, University of British Columbia

Firm Level Productivity, Risk, and ReturnSelale Tuzel, University of Southern CaliforniaAyse Imrohoroglu, University of Southern California

Discussants: Dimitris Papanikolaou, Northwestern UniversityDmitry Livdan, University of California-BerkeleyHengjie Ai, Duke University

Corporate Boards – Hilton, Mesa CMichael Weisbach, Ohio State University

Communication and Decision-Making in Corporate BoardsNadya Malenko, Stanford University

Boardroom Centrality and Firm PerformanceEric So, Stanford UniversityDavid Larcker, Stanford UniversityCharles Wang, Stanford University

A Female Style in Corporate Leadership? Evidence from QuotasAmalia Miller, University of VirginiaDavid Matsa, Northwestern University

Discussants:Luke Taylor, University of PennsylvaniaJoseph Engelberg, University of North Carolina-Chapel HillAmy Dittmar, University of Michigan

39

Linked Papers in Red

Tuesday, June 21, 2011, 2:45 pm – 4:30 pmVenture Capital and Private Equity – Eldorado, Anasazi SouthAlexander Ljungqvist, New York University

Economic Ties: Evidence from Venture Capital NetworksYael Hochberg, Northwestern UniversityLaura Lindsey, Arizona State UniversityMark Westerfield, University of Southern California

Pay for Performance from Future Fund Flows: The Case of Private Equity Ji-Woong Chung, Chinese University of Hong KongBerk Sensoy, Ohio State UniversityLea Stern, Ohio State UniversityMichael Weisbach, Ohio State University

Market Structure and Competition in the Venture Capital IndustryRyan McDevitt, University of RochesterYael Hochberg, Northwestern UniversityMichael Mazzeo, Northwestern University

Discussants:Rebecca Zarutskie, Duke UniversityAmit Seru, University of ChicagoJoan Farre-Mensa, Harvard University

Contracts and Incentives – Eldorado, Anasazi NorthPeter DeMarzo, Stanford University

CDS as Insurance: Leaky Lifeboats in Stormy SeasJames Thompson, University of WaterlooEric Stephens, University of Alberta

Career Concerns versus Entrenchment in the Money Management Industry: Quantifying Limits to Arbitrage Using Lockup MaturitiesAlan Moreira, University of Chicago

Security Design: Signaling versus Speculative MarketsGilles Chemla, Imperial College Business SchoolChristopher Hennessy, London Business School

40

Linked Papers in RedDiscussants: Stefano Giglio, Harvard UniversityJonathan Berk, Stanford UniversityPablo Kurlat, Massachusetts Institute of Technology

Consumer Credit – Eldorado, Zia BallroomJefferson Duarte, Rice University

Credit Supply and the Price of HousingGiovanni Favara, International Monetary FundJean Imbs, Paris School of Economics

Substitution Between Sources of Finance in Consumer Capital MarketsJess Cornaggia, Indiana UniversityAlexander Butler, Rice UniversityUmit Gurun, University of Texas-Dallas

Debt Collection Agencies and the Supply of Consumer CreditViktar Fedaseyeu, Boston College

Discussants:Nancy Wallace, University of California-BerkeleyLance Young, University of WashingtonRich Mathews, Duke University

Asset Pricing with Heterogeneous Agents – Hilton, Mesa AJun Liu, University of California-San Diego

Dynamic Equilibrium with Heterogeneous Agents and Risk ConstraintsRodolfo Prieto, Boston University

Asset Pricing with Heterogeneous Investors and Portfolio ConstraintsGeorgy Chabakauri, London School of Economics

Macroeconomic Uncertainty, Difference in Beliefs, and Bond Risk PremiaPaul Whelan, Imperial College LondonAndrea Buraschi, Imperial College London

41

Linked Papers in RedDiscussants:Mark Loewenstein, University of MarylandNicolae Garleanu, University of California-BerkeleyHongjun Yan, Yale University

Proxy Voting, Large Shareholders – Hilton, Mesa BKose John, New York University

Large Shareholder Diversification and Corporate Risk-TakingMara Faccio, Purdue UniversityMaria-Teresa Marchica, Manchester Business SchoolRoberto Mura, Manchester Business School

The Disciplinary Efforts of Proxy ContestsVyacheslav Fos, Columbia University

Does Proxy Voting Affect the Supply and/or Demand for Securities Lending? Reena Aggarwal, Georgetown UniversityPedro Saffi, IESE Business SchoolJason Sturgess, Georgetown University

Discussants: Dalida Kadyrzhanova, University of MarylandS. Abraham Ravid, Rutgers UniversityDavid Ross, Columbia University

Asset Pricing: Empirical – Hilton, Mesa CRavi Bansal, Duke University

Long Run Risks, the Factor Structure of Price Dividend Ratios and the Cross Section of Returns Srikant Marakani, City University of Hong KongRavi Jagannathan, Northwestern University

New Orders and Asset PricesChristopher Jones, University of Southern CaliforniaSelale Tuzel, University of Southern California

Estimating Continuous-Time DSGE Models using Macro and Financial DataBent Jesper Christensen, Aarhus UniversityOlaf Posch, Aarhus UniversityMichel van der Wel, Erasmus University Rotterdam

42

Linked Papers in RedDiscussants: Dana Kiku, University of PennsylvaniaHengjie Ai, Duke UniversityIvan Shaliastovich, University of Pennsylvania

Wednesday, June 22, 2011, 8:15 am – 10:00 amFinancial Distress and its Effects – Eldorado, Anasazi SouthHeitor Almeida, University of Illinois-Urbana-Champaign

The Effect of Bank Health on the Investment of its Corporate BorrowersMalcolm Wardlaw, University of Texas-Austin

Lending Relationships and the Effect of Bank Distress: Evidence from the 2007-2008 Financial CrisisDaniel Carvalho, University of Southern CaliforniaPedro Matos, University of Southern CaliforniaMiguel Ferreira, Universidade Nova de Lisboa

Are Consumers Affected by Durable Goods Makers’ Financial Distress? The Case of Auto ManufacturersGregor Matvos, University of ChicagoAli Hortacsu, University of ChicagoChad Syverson, University of ChicagoSriram Venkataraman, Emory University

Discussants: Daniel Paravisini, Columbia UniversitySudheer Chava, Georgia Institute of TechnologyArthur Korteweg, Stanford University

The Cross Section of Returns – Eldorado, Anasazi NorthRossen Valkanov, University of California-Los Angeles

The Cross Section of Over-the-Counter EquitiesPaul Tetlock, Columbia UniversityAndrew Ang, Columbia UniversityAssaf Shtauber, Columbia University

As Told by the Supplier: Trade Credit and the Cross Section of Stock ReturnsShingo Goto, University of South CarolinaGang Xiao, University of South CarolinaYan Xu, University of Rhode Island

43

Linked Papers in RedStrategic Investment, Industry Concentration, and the Cross Section of ReturnsMaria Bustamante, London School of Economics

Discussants: Adrien Verdelhan, Massachusetts Institute of TechnologyJoseph Chen, University of California-DavisGeorgios Skoulakis, University of Maryland

Capital Structure and Corporate Financing – Eldorado, Zia BallroomRichard Roll, University of California-Los Angeles

Reconciling Estimates of the Speed of Adjustment of Leverage RatiosIvo Welch, Brown UniversityPeter Iliev, Penn State University

How do Competition, Certification, and Underwriter Relationships Affect the Cost of Public Debt? The Impact of Shelf RegistrationsMatthew Gustafson, University of Rochester

Product Demand Characteristics, Brand Perception, and Financial PolicyYelena Larkin, Cornell University

Discussants:Toni Whited, University of RochesterKuntara Pukthuanthong, San Diego State UniversityKewei Hou, Ohio State University

Short Selling – Hilton, Mesa AIngrid Werner, Ohio State University

What do Short Sellers Know?Charles Jones, Columbia UniversityEkkehart Boehmer, EDHEC Business SchoolXiaoyan Zhang, Purdue University

The Cost of Short-Selling Liquid SecuritiesSnehal Banerjee, Northwestern UniversityJeremy Graveline, University of Minnesota

44

Linked Papers in RedConnecting Two Markets: An Equilibrium Framework for Shorts, Longs, and Stock LoansJesse Blocher, University of North Carolina-Chapel HillAdam Reed, University of North Carolina-Chapel HillEd Van Wesep, University of North Carolina-Chapel Hill

Discussants: Pradeep Yadav, University of OklahomaJoseph Engelberg, University of North Carolina-Chapel HillKarl Diether, Dartmouth College

Macroeconomic Uncertainty and Asset Pricing – Hilton, Mesa BAmir Yaron, University of Pennsylvania

Investor and Central Bank Uncertainty and Fear Measures Embedded in Index OptionsPietro Veronesi, University of ChicagoAlexander David, University of Calgary

Consumption, Asset Prices and Persistent Macroeconomic UncertaintyMichal Pakos, Center for Economic Research & Graduate Education-Economics Institute (CERGE-EI)

Long-Term Volatility, Growth and Asset Pricing Lukas Schmid, Duke UniversityHoward Kung, Duke University

Discussants:Burton Hollifield, Carnegie Mellon UniversityIvan Shaliastovich, University of PennsylvaniaLars Lochstoer, Columbia University

Asymmetric Information and Strategic Trading – Hilton, Mesa CAnat Admati, Stanford University

Asymmetric Information in Financial Markets: Anything Goes Bradyn Breon-Drish, University of California-Berkeley

Asset Trading, News, and Liquidity in Markets with Asymmetric Information Brett Green, Northwestern University Brendan Daley, Duke University

45

Linked Papers in RedSmart Buyers Samuel Lee, New York UniversityMike Burkart, Stockholm School of Economics

Discussants:Jan Schneider, University of Texas-AustinGustavo Manso, Massachusetts Institute of TechnologyArchishman Chakraborty, York University

Wednesday, June 22, 2011, 10:15 am – 12:00 noonFinancial Institutions and Collateralized Lending – Eldorado, Anasazi SouthAndrew Winton, University of Minnesota

Crashes and Collateralized LendingJakub Jurek, Princeton UniversityErik Stafford, Harvard University

Correlated Leverage and Its RamificationsAnand Goel, LECG LLCFenghua Song, Pennsylvania State UniversityAnjan Thakor, Washington University in St. Louis

Financial Intermediary CapitalAdriano Rampini, Duke UniversityS. Viswanathan, Duke University

Discussants: George Pennacchi, University of Illinois-Urbana-ChampaignRobert Marquez, Boston UniversityItay Goldstein, University of Pennsylvania

Credit Markets:Theory and Evidence – Eldorado, Anasazi NorthNicolae Garleanu, University of California-Berkeley

Trade Dynamics in the Market for Federal Funds Gara Afonso, Federal Reserve Bank of New YorkRicardo Lagos, New York University

Endogenous Liquidity SupplyJohn Coleman, Duke University Ravi Bansal, Duke UniversityChristian Lundblad, University of North Carolina-Chapel Hill

46

Linked Papers in RedRisk-taking Incentives, Leverage, and Losses in the Financial CrisisJacob Stromberg, University of ZurichMarc Chesney, University of ZurichAlexander Wagner, University of Zurich

Discussants:Tan Wang, University of British ColumbiaAndrea Eisfeldt, University of California-Los AngelesRuediger Fahlenbrach, Ecole Polytechnique Fédérale de Lausanne

Equity Offerings – Eldorado, Zia BallroomRonald Masulis, Vanderbilt University

Comovement and Investment Banking NetworksGustavo Grullon, Rice UniversityShane Underwood, University of AlabamaJames Weston, Rice University

Equity Issuance and Returns to Distressed FirmsJames Park, University of Pennsylvania

Why Don’t Issuers Choose IPO Auctions? The Complexity of Indirect MechanismsAnn Sherman, DePaul UniversityRavi Jagannathan, Northwestern UniversityAndrei Jirnyi, Northwestern University Discussants: Yael Hochberg, Northwestern UniversityKristian Rydqvist, Binghamton UniversityNeal Stoughton, University of New South Wales

Mortgages and Securitization – Hilton, Mesa AAmit Seru, University of Chicago

CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009 Richard Stanton, University of California-BerkeleyNancy Wallace, University of California-Berkeley

47

Linked Papers in RedMortgage Modification and Strategic Default: Evidence from a Legal Settlement with CountrywideTomasz Piskorski, Columbia UniversityChris Mayer, Columbia UniversityEd Morrison, Columbia UniversityArpit Gupta, Columbia University

Mortgage Debt Overhang: Reduced Investment by Homeowners with Negative EquityBrian Melzer, Northwestern University

Discussants:Adi Sunderam, Harvard UniversityUday Rajan, University of MichiganXavier Giroud, New York University

Foreign Exchange Returns and Risk Premia – Hilton, Mesa BHanno Lustig, University of California-Los Angeles

Yield Curve Predictors of Foreign Exchange ReturnsJoseph Chen, University of California-DavisAndrew Ang, Columbia University

Properties of Foreign Exchange Risk PremiumsChristian Wagner, Vienna University of Economics and BusinessLucio Sarno, Cass Business SchoolPaul Schneider, University of Warwick

A Sentiment-Based Explanation of the Forward Premium PuzzleJianfeng Yu, University of Minnesota

Discussants:Nikolai Roussanov, University of PennsylvaniaAdrien Verdelhan, Massachusetts Institute of TechnologyRiccardo Colacito, University of North Carolina-Chapel Hill

Derivatives Pricing – Hilton, Mesa CPierre Collin-Dufresne, Columbia University

A New Simple Approach for Constructing Implied Volatility Surfaces Peter Carr, New York UniversityLiuren Wu, Baruch College

48

Linked Papers in RedInvestment Shocks and the Commodity Basis SpreadFan Yang, University of Minnesota

Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option PricingXavier Gabaix, New York UniversityPeter Carr, New York UniversityLiuren Wu, Baruch College

Discussants:Jeremy Graveline, University of MinnesotaLars Lochstoer, Columbia UniversityScott Joslin, Massachusetts Institute of Technology

55

2012 ANNUAL MEETINGS OF THE WESTERN FINANCE ASSOCIATION

JUNE 18-21, 2012WYNN LAS VEGAS HOTEL

LAS VEGAS, NEVADA

Members and friends of the Western Finance Association are invited to submit papers to be considered for presentation at the 2012 Annual Meetings. Papers on any topic related to finance will be considered. Submission of papers: Papers should be submitted electronically at the WFA web site, www.westernfinance.org, which will contain full instructions for submission, including required on-line registration, creation of the required cover page, the submission fee, and other vital instructions. We will begin taking submissions on October 1, 2011. The deadline for submissions will be mid-night PST November 18, 2011. Papers will be reviewed anonymously by three members of the Program Committee, and authors will be notified of the Program Committee’s decisions at the end of March, 2012. Best Paper Awards (subject to change): USC Marshall School of Business Trefftzs Award of $5,000 for the best student paper.

WFA Award of $5,000 for the best paper on financial institutions and markets.

Charles River Associates Award of $5,000 for the best paper on corporate finance.

NASDAQ OMX Award of $5,000 for the best paper on asset pricing.

Wharton School – WRDS Award of $5,000 for the best empirical finance paper.

2012 Program Chair:

Michael Fishman, Northwestern University

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