Frontiers of Finance 2012
Conference Programme
13-15 September 2012
Finance Group
Warwick Business School
University of Warwick
Coventry
CV4 7AL
For wireless internet access please contact the Registration Desk
If you are visiting from another academic institution which
participates in the eduroam service then this service is available
across the Warwick campus. Users log-in using their normal IT
account as issued by their home institution
Access code for main doors to Warwick Business School Scarman
Road Building:
Please note that access is available from 1 hour prior to registration
until 30 minutes after the last scheduled session finishes
Programme Overview: Thursday 13 September 2012
8:30-8:55
Registration and Coffee
8:55-9:00
Opening Remarks – Room B0.12
Mark Taylor (Dean, Warwick Business School)
9:00-9:45
Keynote Talk – Room B0.12
Asger Lunde (Aarhus University)
“Econometric Analysis of Vast Covariance Matrices Using Composite Realized
Kernels”
9:45-10:00
Refreshment Break - Atrium
10:00-11:30
Session A
Session B
Contributed Sessions 1
High Frequency Finance & Risk Management – Room B0.12
Transparency – Room B0.01
11:30-11:45
Refreshment Break - Atrium
11:45-12:30
Keynote Talk – Room B0.12
Marcelo Fernandes (Queen Mary, University of London)
“Testing for Jump Spillovers Without Testing for Jumps”
12:30-13:45
Lunch - Lounge
13:45-14:30
Keynote Talk – Room B0.12
Neil Shephard (University of Oxford)
“Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-definite
Estimators of the Covariation of Equity Prices”
14:30-14:45
Refreshment Break - Atrium
14:45-15:45
Session A
Session B
Contributed Sessions 2
Volatility & Jumps – Room B0.12
Market Microstructure – Room B0.01
15:45-16:00
Refreshment Break - Atrium
16:00-17:30
Session A
Session B
Contributed Sessions 3
High Frequency Finance – Room B0.12
Macro Liquidity – Room B0.01
17:30-17:45
Refreshment Break - Atrium
17:45-18:30
Keynote Talk – Room B0.12
Nikolaus Hautsch (Humboldt-Universität zu Berlin)
“On The Dark Side of the Market: Identifying and Analyzing Hidden Order
Placements”
19:30
Dinner, Scarman Conference Centre
Programme Overview: Friday 14 September 2012
8:00-8:30
Registration and Coffee
8.30-10.00
Session A
Session B
Session C
Contributed Sessions 4
Options & Volatility – Room B0.01
Order Choice in Order Driven Markets – Room B0.12
Boards – Room B1.19
10:00-10:15
Refreshment Break
10:15-11:00
Keynote Talk – Room B0.12
Thierry Foucault (HEC Paris)
“Learning from Peer Stock Prices and Corporate Investment”
11:00-11:15
Refreshment Break
11:15-12:45
Session A
Session B
Session C
Contributed Sessions 5
Volatility Room B0.01
High-Frequency Trading – Room B0.12
Ownership – Room B1.19
12:45-14:15
Lunch and Poster Session – Lounge
14:15-15:00
Keynote Talk – Room B0.12
Terrence Hendershott (University of California, Berkeley)
“High-Frequency Trading and Price Discovery”
15:00-15:15
Refreshment Break
15:15-16:45
Session A
Session B
Session C
Contributed Sessions 6
Macro Liquidity – Room B0.01
Flash Crash – Room B0.12
Bankruptcy – Room B1.19
16:45-17:00
Refreshment Break
17:00-18:30
Session A
Session B
Contributed Sessions 7
Market Frictions and Liquidity – Room B0.12
Corporate Finance 1 – Room B0.01
19:30
Dinner, Scarman Conference Centre
Programme Overview: Saturday 15 September 2012
8:00-8:30
Registration and Coffee
8:30-10:00
Session A
Session B
Contributed Sessions 8
M&A and Hedge Funds – Room B0.12
Corporate Finance 2 – Room B0.01
10:00-10:15
Refreshment Break - Atrium
10:15-11:00
Keynote Talk – Room B0.12
Rui Albuquerque (Boston University)
“Corporate Social Responsibility and Asset Pricing in Industry Equilibrium”
11:00-11:15
Refreshment Break - Atrium
11:15-12:45
Session A
Session B
Contributed Sessions 9
Banking 1 – Room B0.01
IPOs – Room B0.12
12:45-14:15
Lunch - Lounge
14:15-15:00
Keynote Talk – Room B0.12
Ulrich Hege (HEC Paris)
“Levered Blockholders and Payout Policy”
15:00-15:15
Refreshment Break - Atrium
15:15-16:45
Session A
Session B
Contributed Sessions 10
Banking 2 – Room B0.01
PE and VC – Room B0.12
19:30
Dinner, Scarman Conference Centre
Programme: Thursday 13 September 2012
8:30-8:55
Registration and Coffee
8:55-9:00
Opening Remarks – Room B0.12
Mark Taylor (Dean, Warwick Business School)
9:00-9:45
Keynote Talk – Room B0.12
Asger Lunde (Aarhus University)
“Econometric Analysis of Vast Covariance Matrices Using Composite Realized
Kernels”
9:45-10:00
Refreshment Break - Atrium
10:00-11:30
Session A
Contributed Sessions 1
High Frequency Finance & Risk Management – Room B0.12
Chair: Harald Lohre (Deka Investment GmbH)
Gregor Weiss (TU Dortmund) “Liquidity Commonality and Risk Management” (with
Hendrick Supper, TU Dortmund)
Discussant: Harald Lohre (Deka Investment GmbH)
Katarzyna Bien-Barkowska (National Bank of Poland) “Capturing Order Book
Dynamics in the Interbank EUR/PLN Spot Market”
Discussant: Gregor Weiss (TU Dortmund)
Harald Lohre (Deka Investment GmbH) “Diversified Risk Parity Strategies for Equity
Portfolio Selection” (with Ulrich Neugebauer and Carsten Zimmer, Deka Investment
GmbH)
Discussant: Katarzyna Bien-Barkowska (National Bank of Poland)
Transparency – Room B0.01
Chair: Anthony Neuberger (University of Warwick)
Arze Karam (Queen’s University Belfast) “The Value of the Non-anonymity on the
NASDAQ”
Discussant: Vincent van Kervel (Tilburg University)
Vincent van Kervel (Tilburg University) “Liquidity: What You See Is What You Get?”
Discussant: Arie Gozluklu (University of Warwick)
Arie Gozluklu (University of Warwick) “Pre-Trade Transparency and Informed
Trading: An Experimental Approach to Hidden Liquidity”
Discussant: Arze Karam (Queen’s University Belfast)
Session B
11:30-11:45
Refreshment Break - Atrium
11:45-12:30
Keynote Talk – Room B0.12
Marcelo Fernandes (Queen Mary, University of London)
“Testing for Jump Spillovers Without Testing for Jumps”
12:30-13:45
Lunch - Lounge
13:45-14:30
Keynote Talk – Room B0.12
Neil Shephard (University of Oxford)
“Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-definite
Estimators of the Covariation of Equity Prices”
14:30-14:45
Refreshment Break - Atrium
14:45-15:45
Session A
Contributed Sessions 2
Volatility & Jumps – Room B0.12
Chair: Ingmar Nolte (University of Warwick)
Alessandro Palandri (University of Warwick) "Up and Down Volatilities and Their
Dynamics" (with Matteo Sandri, University of Warwick)
Discussant: Jan Novotný (City University London)
Jan Novotný (City University London) “The Identification of Price Jumps: Stock
Market Indices During the Crisis” (with Jan Hanousek and Evzen Kocenda, Charles
University)
Discussant: Qi Xu (University of Warwick)
Market Microstructure – Room B0.01
Chair: Arie Gozluklu (University of Warwick)
Corey Garriott (Bank of Canada) “Front-running and Post-trade Transparency”
Discussant: Sunny X Li (VU University Amsterdam)
Sunny X Li (VU University Amsterdam) “Dynamic Inventory Control with Endogenous
Information Acquisition”
Discussant: Corey Garriott (Bank of Canada)
Session B
15:45-16:00
Refreshment Break - Atrium
16:00-17:30
Session A
Contributed Sessions 3
High Frequency Finance – Room B0.12
Chair: Thomas Dimpfl (University of Tübingen)
Gabriel G Velo (University of Padova) “A Tick of Haven: Stylized Facts and Dynamic
Modelling of Nano-frequency Data on Precious Metals” (with Massimiliano Caporin,
University of Padova and Angelo Ranaldo, St Gallen University)
Discussant: Thomas Dimpfl (University of Tübingen)
Alvaro Cartea (University College London) “Buy Low Sell High: A High Frequency
Trading Perspective” (with Sebastian Jaimungal, University of Toronto and Jason
Ricci, University of Toronto)
Discussant: Gabriel G Velo (University of Padova)
Thomas Dimpfl (University of Tübingen) ”Can Internet Search Queries Help to Predict
Stock Market Volatility?” (with Stephan Jank, University of Tübingen)
Discussant: Alvaro Cartea (University College London)
Macro Liquidity – Room B0.01
Chair: Anthony Neuberger (University of Warwick)
Thomas Katzschner (University of Jena) “The Contribution of Multilateral Trading
Facilities to Price Discovery” (with Robert Jung, University of Hohenheim)
Discussant: David Brown (University of Colorado at Boulder)
David Brown (University of Colorado at Boulder) “Dark Pool Exclusivity Matters”
(with Leslie Boni, University of New Mexico and J Chris Leach, University of Colorado
at Boulder)
Discussant: Thomas Katzschner (University of Jena)
Session B
Miriam Marra (University of Warwick) “Illiquidity Commonality Across Equity and
Credit Markets”
Discussant: Kees Bouwman (Erasmus University)
17:30-17:45
Refreshment Break - Atrium
17:45-18:30
Keynote Talk – Room B0.12
Nikolaus Hautsch (Humboldt-Universität zu Berlin)
“On The Dark Side of the Market: Identifying and Analyzing Hidden Order
Placements”
19:30
Dinner, Scarman Conference Centre
Programme: Friday 14 September 2012
8:00-8:30
Registration and Coffee
8.30-10.00
Session A
Contributed Sessions 4
Options & Volatility – Room B0.01
Chair: Paul Schneider (University of Warwick)
Stylianos Perrakis (Concordia University) “Microstructure Noise and Price Discovery
in Options Markets: Theory and Empirical Evidence”
Discussant: Martin Wallmeier (University of Fribourg)
Clemens Volkert (Westfälische Wilhelms-Universität Münster) “The Fine Structure of
Variance: Consistent Pricing of VIX Derivatives”
Discussant: Stylianos Perrakis (Concordia University)
Martin Wallmeier (University of Fribourg) “Smile in Motion: An Intraday Analysis of
Asymmetric Implied Volatility”
Discussant: Clemens Volkert (Westfälische Wilhelms-Universität Münster)
Order Choice in Order Driven Markets – Room B0.12
Chair: Arie Gozluklu (University of Warwick)
Jerome Dugast (HEC Paris) “Limited Attention and News Arrival in Limit Order
Markets”
Discussant: Michael Moore (Queen's University Belfast)
Richard Payne (City University London) “Market Order Flows, Limit Order Flows and
Exchange Rate Dynamics”
Discussant: Sarah Draus (University of Naples Federico II)
Lars Norden (Stockholm University Business School) “Components of the Bid-Ask
Spread and Variance: A Unified Approach”
Discussant: Jerome Dugast (HEC Paris)
Boards – Room B1.19
Chair: Grzegorz Trojanowski (University of Exeter)
Bang Dang Nguyen (University of Cambridge) “Sugar and Spice and Everything Nice:
What Are Good Directors Made Of?”
Discussant: Grzegorz Trojanowski (University of Exeter)
Linus Siming (Bocconi University) “Orders of Merit and CEO Compensation: Evidence
form a Natural Experiment”
Discussant: Bang Dang Nguyen (University of Cambridge)
Session B
Session C
10:00-10:15
Refreshment Break
10:15-11:00
Keynote Talk – Room B0.12
Thierry Foucault (HEC Paris)
“Learning from Peer Stock Prices and Corporate Investment”
11:00-11:15
Refreshment Break
11:15-12:45
Session A
Session B
Session C
12:45-14:15
Contributed Sessions 5
Volatility – Room B0.01
Chair: Tony Lawrance (University of Warwick)
Michalis Vasios (University of Warwick) “A Least Squares Regression Realised
Covariation Estimation: A Comprehensive Simulation Study”
Discussant: Tony Lawrance (University of Warwick)
Tony Lawrance (University of Warwick) “Exploratory Graphics for Financial Time
Series Volatility”
Discussant: Michalis Vasios (University of Warwick)
High-Frequency Trading – Room B0.12
Chair: Michael Moore (Queen's University Belfast)
Peter Hoffman (ECB) “A Dynamic Limit Order Market with Fast and Slow Traders”
Discussant: Richard Payne (City University London)
Ian Marsh (City University London) “Computer-based Trading in the Cross-Section”
Discussant: Peter Hoffman (ECB)
Sarah Draus (University of Naples Federico II) “Circuit Breakers and Market Runs”
Discussant: Anthony Neuberger (University of Warwick)
Ownership - Room B1.19
Chair: Chendi Zhang (University of Warwick)
Edward Lee (University of Manchester) “Impact of Split Share Structure Reform in
China on CEO Accountability to Corporate Fraud”
Discussant: Hannes F Wagner (Bocconi University)
Hannes F Wagner (Bocconi University) “Does Family Control Matter? International
Evidence from the 2009-2009 Financial Crisis”
Discussant: Chendi Zhang (University of Warwick)
Lunch and Poster Session – Lounge
Diama K Abulabn (Birzeit University Palestine) “Managing of Treasury in the Banking
System Within a Multi Currency Economy” (with Nidal Rashid Sabri and Dima W
Hanyia, Birzeit University Palestine)
Panagiotis Couzoff (Lancaster University) “External Monitoring, Managerial
Entrenchment and Corporate Cash Holdings” (with Shantanu Banerjee and Grzegorz
Pawlina, Lancaster University)
Cândida Ferreira (Technical University of Lisbon) “European Banking Efficiency: A
Panel Cost Frontier Approach”
Andrej Gill (Goethe University Frankfurt) “Basel III and CEO Compensation in Banks:
A New Regulatory Approach After the Crisis” (with Christian Eufinger, Goethe
University Frankfurt)
Olga Lebedeva (University of Mannheim) “Trading Aggressiveness and Its
Implications for Market Efficiency”
Vitor Leone (Nottingham Trent University) “Multiple Changes in Persistence vs.
Explosive Behaviour: The Dotcom Bubble” (with Otavia Ribeiro de Medeiros,
Universidad de Brasilia)
Vladimir Prelov (Russian Academy of Sciences) “Tick-by-Tick Analysis and the Return
Efficiency Theory for Financial Markets”
Thanos Verousis (Bangor University) “Liquidity and Trading Activity of Equity
Options: Time Series and Hedging Cost Effects” (with Owain ap Gwilym, Bangor
University)
Gregor Weiss (TU Dortmund) “Systemic Risk and Bank Consolidation: International
Evidence” (with Sascha Neumann and Denefa Bostandzic, Ruhr-Universität Bochum)
Vladimir Yankov (Boston University and the Federal Reserve Bank of Boston) “In
Search of a Risk-free Asset”
14:15-15:00
Keynote Talk – Room B0.12
Terrence Hendershott (University of California, Berkeley)
“High-Frequency Trading and Price Discovery”
15:00-15:15
Refreshment Break
15:15-16:45
Session A
Contributed Sessions 6
Macro Liquidity – Room B0.01
Chair: Vikas Raman (University of Warwick)
Kees E Bouwman (Erasmus University) “Aggregate Stock Market Illiquidity and Bond
Risk Premia”
Discussant: Gennaro Bernile (University of Miami)
Gennaro Bernile (University of Miami) “Local Business Cycles and Local Liquidity”
Discussant: Mathijs A. van Dijk (Erasmus University)
Mathijs A. van Dijk (Erasmus University) “Commonality in Market Efficiency”
Discussant: Vikas Raman (University of Warwick)
Flash Crash – Room B0.12
Chair: Roman Kozhan (University of Warwick)
Martin Haferkorn (Goethe-University Frankfurt) “Single Stock Circuit Breakers –
Issues in Fragmented Markets”
Discussant: Ian Marsh (City University London)
Bart Zhou Yueshen (VU University Amsterdam) “Too Many Middlemen? Impaired
Learning from Trades”
Discussant: Giovanni Cespa (City University London)
Giovanni Cespa (City University London) “Illiquidity Contagion and Liquidity Crashes”
Discussant: Bart Zhou Yueshen (VU University Amsterdam)
Bankruptcy – Room B1.19
Chair: Navin Chopra (Northwestern University)
Mascia Bedendo (Bocconi University) “In- and Out-of-Court Debt Restructuring in the
Presence of Credit Default Swaps”
Discussant: Shantanu Banerjee (Lancaster University)
Shantanu Banerjee (Lancaster University) “Understanding the Investment Behaviour
of Distressed Firms”
Discussant: Navin Chopra (Northwestern University)
Emanuele Tarantino (University of Bologna and TILEC) “The Casual Effect of
Bankruptcy Law on the Cost of Finance”
Discussant: Mascia Bedendo (Bocconi University)
Session B
Session C
16:45-17:00
Refreshment Break
17:00-18:30
Session A
Session B
19:30
Contributed Sessions 7
Market Frictions and Liquidity – Room B0.12
Chair: Roman Kozhan (University of Warwick)
Johannes A Skjeltorp (Norges Bank) “Identifying Cross-sided Liquidity Externalities”
Discussant: Lars Norden (Stockholm University Business School)
Dale Rosenthal (University of Illinois at Chicago) “Transaction Taxes in a Price
Maker/Taker Market”
Discussant: Johannes Skjeltorp (Norges Bank)
Aditya Kaul (University of Alberta) “Order Characteristics, Uncertainty and Price
Formation in the Foreign Exchange Market”
Discussant: Martin Haferkorn (Goethe-University Frankfurt)
Corporate Finance 1 – Room B0.01
Chair: Albert Banal-Estanol (Universitat Pompeu Fabra)
Sigitas Karpavicius (Flinders University) “Dividends: Relevance, Rigidity and
Signaling”
Discussant: Vito Gala (London Business School)
Daniel Ludwig Urban (Technische Universität München) “The Value of Financial
Flexibility and Payout Policy”
Discussant: Sigitias Karpavicius (Flinders University)
Vito Gala (London Business School) “Beyond the Q: Estimating Investment Without
Asset Prices”
Discussant: Daniel Ludwig Urban (Technische Universität München)
Dinner, Scarman Conference Centre
Programme: Saturday 15 September 2012
8:00-8:30
Registration and Coffee
8:30-10:00
Session A
Session B
Contributed Sessions 8
M&A and Hedge Funds – Room B0.12
Chair: Tereza Tykvová (Universität Hohenheim)
François Derrien (HEC Paris) “The Perverse Effects of Investment Bank Rankings:
Evidence from M&A League Tables” (with Olivier Dessaint, HEC Paris)
Discussant: Stefan Rostek (University of Tübingen)
Stefan Rostek (University of Tübingen) “The Valuation of M&A Targets by Relative
Indifference Prices” (with Carolin Mauch, University of Tübingen)
Discussant: Petri Jylha (Aalto University)
Petri Jylha (Aalto University) “Do Hedge Funds Supply or Demand Immediacy?” (with
Kalle Rinne and Matti Suomin, Aalto University)
Discussant: François Derrien (HEC Paris)
Corporate Finance 2 – Room B0.01
Chair: Elizabeth Whalley (University of Warwick)
Mathijs A van Dijk (Erasmus University) “Do Firms Issue More Equity when Markets
are More Liquid?” (with René M Stulz, Ohio State University and Dimitrios Vagias,
Erasmus University)
Discussant: Andrew Caverhill (University of Hong Kong)
Andrew Caverhill (University of Hong Kong) “An Empirical Study of Corporate
Liquidity Dynamics, with Conditioning on Earnings”
Discussant: Elizabeth Whalley (University of Warwick)
Albert Banal-Estañol (Universitat Pompeu Fabra) “The Simple Economics of Capital
Structure, Corporate Structure and Project Selection” (with Marco Ottaviani,
Northwestern University)
Discussant: Mathijs van Dijk (Erasmus University)
10:00-10:15
Refreshment Break - Atrium
10:15-11:00
Keynote Talk – Room B0.12
Rui Albuquerque (Boston University)
“Corporate Social Responsibility and Asset Pricing in Industry Equilibrium”
11:00-11:15
Refreshment Break - Atrium
11:15-12:45
Session A
Contributed Sessions 9
Banking 1 – Room B0.01
Chair: Bo Larsson (Stockholm University)
Tianxi Wang (University of Essex) “Put Your Money Where Your Mouth Is: An
Equilibrium Model Relating Bank Scale to Bank Quality”
Discussant: Lei Mao (University of Warwick)
Stefano Puddu (University of Lausanne) “TAF Effect on Liquidity Risk Exposures”
(with Andreas Wälchli, University of Lausanne)
Discussant: Tianxi Wang (University of Essex)
Session B
IPOs – Room B0.12
Chair: Maia Gejadze (Université Catholique de Louvain)
M Martin Boyer (HEC Montreal) “Insurer Information, Insiders and Initial Public
Offering”
Discussant: Hugh Colaco (Aston University)
Grzegorz Pawlina (Lancaster University Management School) “Leaders and
Followers in Hot IPO Markets” (with Shantanu Banerjee, Lancaster University
Management School and Ismail Ufuk Güçbilmez, University of Edinburgh Business
School)
Discussant: M Martin Boyer (HEC Montreal)
Hugh M J Colaco (Aston University) “Do Firms That Go Public Quickly Perform
Better?” (with Shantaram P Hegde, University of Connecticut)
Discussant: Grzegorz Pawlina (Lancaster University Management School)
12:45-14:15
14:15-15:00
Lunch - Lounge
Keynote Talk – Room B0.12
Ulrich Hege (HEC Paris)
“Levered Blockholders and Payout Policy”
15:00-15:15
Refreshment Break - Atrium
15:15-16:45
Session A
Contributed Sessions 10
Banking 2 – Room B0.01
Chair: Tianxi Wang (University of Essex)
Bo Larsson (Stockholm University) “Banking on Regulations?” (with Hans Wijkander,
Stockholm University)
Discussant: Stefano Puddu (University of Lausanne)
Enrique Schroth (University of Amsterdam) “Dynamic Debt Runs and Financial
Fragility: Evidence from the 2007 ABCP Crisis” (with Gustavo Suarez, Federal Reserve
Board and Lucian A Taylor, University of Pennsylvania)
Discussant: Bo Larsson (Stockholm University)
PE and VC – Room B0.12
Chair: Jana Fidrmuc (University of Warwick)
Maia Gejadze (Université Catholique de Louvain) “Private Equity Fundraising, Fund
Performance and Firm Specialization” (with Pierre Giot, University of Namur and
Armin Schwienbacher, Université Lille Nord de France)
Discussant: Tereza Tykvova, (Universität Hohenheim)
Andrej Gill (Goethe University-Frankfurt) “Going Public – Going Private. The Case of
VC-backed Firms” (with Uwe Walz, Goethe University-Frankfurt)
Discussant: Jana Fidrmuc (University of Warwick)
Tereza Tykvová (Universität Hohenheim) “Does Syndication with Local Venture
Capitalists Moderate the Effects of Geographical and Institutional Distances and
Experience?” (with Andrea Schertler)
Discussant: Andrej Gill (Goethe University-Frankfurt)
Session B
19:30
Dinner, Scarman Conference Centre
Keynote Speakers
Rui Albuquerque
Boston University
Rui Albuquerque is Associate Professor of Finance at the School of
Management of Boston University and Visiting Full Professor of
Finance at the Portuguese Catholic University in Lisbon. He is also
affiliated with the Center for Economic and Policy Research and
the European Corporate Governance Institute.
Professor Albuquerque’s research was awarded the 2011 Broderick
Prize for Excellence in Research Scholarship, the 2008 Smith
Breeden Distinguished Paper Prize, the 2003 Lamfalussy Fellowship
by the European Central Bank, along with several other prizes from
KPMG, BSI and ECGI. He is currently a Dean’s Research Fellow at
Boston University. His research has appeared in the top academic
journals including The Journal of Finance, The Journal of Financial
Economics, The Review of Economic Studies, and The Review of
Financial Studies.
Professor Albuquerque holds a B.A. (magna cum laude) in
Economics from the Portuguese Catholic University, and M.A. and
Ph.D. degrees in Economics from the University of Rochester.
Marcelo Fernandes
Queen Mary, University of London
Marcelo Fernandes holds a PhD in Management Science from the
Solvay Business School of the Universite Libre de Bruxelles since
1999. He is a professor at Queen Mary's School of Economics and
Finance int he UK and at the Sao Paulo School of Economics of the
Getulio Vargas Foundation in Brazil. Past appointments include a
Jean Monnet Fellowship at the European University Instutite in
Fiesole, Italy and an assistant professorship at the Graduate School
of Economics of the Getulio Vargas Foundation in Rio de Janeiro,
Brazil. His research interests are mainly in financial econometrics,
empirical finance and nonparametric theory.
Thierry Foucault
HEC Paris
Thierry Foucault is Professor of Finance at HEC, Paris and a
research fellow of the Centre for Economic Policy (CEPR).
His research focuses on the determinants of financial
markets liquidity and the industrial organization of the
securities industry. His work has been published in top-tier
scientific journals, including the Journal of Finance, the
Journal of Financial Economics, and the Review of Financial
Studies. He acts as co-editor of the Review of Finance since
2009 and he is an Associate Editor of the Journal of Finance
and the Review of Asset Pricing Studies. He received
research awards from the Europlace Institute of Finance in
2005 and 2009, the annual research prize of the HEC
Foundation in 2006 and 2009, and the 2009 Analysis Group
award for the best paper on Financial Markets.
Nikolaus Hautsch
Humboldt-Universität
Nikolaus Hautsch is Professor of Economics at HumboldtUniversität zu Berlin. He received his PhD in Economictrics
in 2003 from the University of Konstanz. From 2004-2007
he joined the Department of Economics of the University
of Copenhagen. He is deputy director of the Center for
Applied Statistics and Economics (CASE) at HumboldtUniversität zu Berlin and is project head within the
Collaborative Research Center 649 "Economic Risk" at
Humboldt-Universität zu Berlin funded by the German
Science Foundation. Moreover, he is research fellow of the
Center for Financial Studies (CFS) Frankfurt and member of
the Danish Center for Accounting and Finance. His research
focuses on the econometrics of high-frequency financial
data, market microstructure analysis, the modelling of
volatility, covariances and liquidity, information processing
on financial markets, term structure modeling as well as
dynamic factor models. He publishes in well-established
journals in the area of finance and econometrics. Hautsch
had visiting positions a the University of Technology,
Sydney, the University of Melbourne and the Université
Catholique de Louvain.
Ulrich Hege
HEC Paris
Ulrich Hege is Professor and holder of the FBF Chair in
Corporate Finance at HEC Paris. Previously, he has held
positions at Tilburg University (Netherlands) and ESSEC
(Paris), and was also a visiting professor at London Business
School and New York University. A native of Germany, he
holds a master’s degree from the University of Frankfurt
and a Ph.D. from Princeton University. He has extensively
published on topics such as acquisitions and divestitures,
private equity, venture capital, joint ventures, corporate
governance, debt restructuring, and bankruptcy. His
research has been published in the Review of Financial
Studies, Journal of Business, Review of Finance, Rand
Journal of Economics, Harvard Business Review, and other
international journals.
Asger Lunde
Aarhus University
Asger Lunde holds a Ph.D. in economics (Aarhus
University). He is Professor, at the Department of
Economics and Business, Aarhus University, Denmark. He is
research fellow at the Center for Research in Econometric
Analysis of Time Series (CREATES) in Aarhus, Denmark and
a member of the Oxford-Man institute for Quantitative
Finance, Oxford, UK. His current research interest
addresses
several
aspects
concerning
volatility
measurement and modeling. In a parallel research agenda,
he investigates the effect of data mining on model
evaluation and model selection.
Neil Shephard
University of Oxford
Neil Shephard has been a statutory Professor of Economics
at Oxford University since 2006. He served as the founding
director of Oxford-Man Institute from 2007-11. He is a
Council Member of the Society of Financial Econometrics
and has been an Associate Editor of Econometrica since
2002. Neil is a member of the advisory boards or research
associate of econometric research centres at Aarhus
University, New York University and Singapore
Management University. With Colin Mayer he founded
Oxford University’s masters’ degree in Financial Economics
and from 2006-07 chaired the Oxford Financial Research
Centre. His research interests are mainly focused on
econometrics with particular interests in financial volatility,
dependence, high frequency financial data and simulation
based inference. He received his doctorate from LSE and
was elected a Fellow of the Econometric Society in 2004, a
Fellow of the British Academy in 2006 and was awarded an
honourary doctorate by Aarhus University in 2009.
Diama Abulaban
Waqar Ahmed
Rui Albuquerque
Birzeit University Palestine
University of Warwick
Boston University
dlaban@birzeit.edu
phd11wa@mail.wbs.ac.uk
ralbuque@bu.edu
Afeez Aziz
Albert Banal-Estanol
Shantanu Banerjee
University of Warwick
University Pompeu Fabra, Spain
Lancaster University
M.A.Abdul-Aziz@University of
Warwick.ac.uk
albert.banalestanol@upf.edu
s.banerjee@lancaster.ac.uk
Sohnke Bartram
Mascia Bedendo
Gennaro Bernile
University of Warwick
Bocconi University
University of Miami
sohnke.bartram@wbs.ac.uk
mascia.bedendo@unibocconi.it
g.bernile@miami.edu
Katarzyna Bien-Barkowska
Kees Bouwman
Martin Boyer
National Bank of Poland
Econometric Institute, Rotterdam
HEC Montreal
katarzyna.bien@sgh.waw.pl
kbouwman@ese.eur.nl
martin.boyer@hec.ca
David Brown
Alvaro Cartea
Andrew Caverhill
University of Colorado
University College London
Hong Kong University
dcbrown@colorado.edu
alvaro.cartea@gmail.com
carverhill@business.hku.hk
Giovanni Cespa
Linquan Chen
Navin Chopra
City University London
University of Warwick
Northwestern University
giovanni.cespa@gmail.com
phd11lc@mail.wbs.ac.uk
n-chopra@kellogg.northwestern.edu
Hugh Colaco
Peter Corvi
Panagiotis Couzoff
Aston University
University of Warwick
Lancaster University
h.colaco@aston.ac.uk
peter.corvi@wbs.ac.uk
p.couzoff1@lancaster.ac.uk
Francois Derrien
Amogh Deshpande
Alexandra Dias
HEC Paris
University of Warwick
University of Leicester
derrien@hec.fr
amogh.deshpande@University of
Warwick.ac.uk
ad313@l@leicester.ac.uk
Thomas Dimpfl
Sarah Draus
Jerome Dugast
University of Tuebingen
University of Mannheim
Haas Business School
thomas.dimpfl@uni-tuebingen.de
draus.sarah@unina.it
jerome.dugast@gmail.com
Marcelo Fernandes
Candida Ferreira
Jana Fidrmuc
Queen Mary University London
UECE
University of Warwick
m.fernandes@qmul.ac.uk
candidaf@iseg.utl.pt
jana.fidrmuc@wbs.ac.uk
Ilias Filippou
Thierry Foucault
Hung Ying Fung
University of Warwick
HEC Paris
University of Warwick
phd10if@mail.wbs.ac.uk
foucault@hec.fr
phd11yh@mail.wbs.ac.uk
Vito Gala
Andrea Gamba
Corey Garriott
London Business School
University of Warwick
University of California
vgala@london.edu
andrea.gamba@wbs.ac.uk
cgarriott@bankofcanada.ca
Maia Gejadze
Osman Ghani
Dudley Gilder
Louvain, Belgium
University of Warwick
Aston University
Maia.Gejadze@uclouvain.be
phd10og@mail.wbs.ac.uk
d.gilder@aston.ac.uk
Andrej Gill
Arie Gozluklu
Martin Haferkorn
Goethe University
University of Warwick
Goethe University Frankfurt
gill@econ.uni-frankfurt.de
arie.gozluklu@wbs.ac.uk
haferkorn@wiwi.uni-frankfurt.de
Gustav Haitz
Nikolaus Hautsch
Ulrich Hege
Humboldt University Berlin
Humboldt University Berlin
HEC Paris
haitzgus@hu-berlin.de
nikolaus.hautsch@wiwi.hu-berlin.de
hege@hec.fr
Terrence Hendershott
Peter Hoffmann
Kentaro Iwatsubo
University of California, Berkley
ECB
Kobe University
hender@haas.berkeley.edu
Peter.Hoffmann@ecb.int
iwatsubo@econ.kobe-u.ac.jp
Petri Jhyla
Xing Jin
Arze Karam
Aalto University
University of Warwick
Queen's University Belfast
ptjylha@gmail.com
xing.jin@wbs.ac.uk
a.karam@qub.ac.uk
Sigitas Karpavicius
Thomas Katzschner
Aditya Kaul
Flinders University Australia
University of Jena
University of Alberta
sigitas.karpavicius@flinders.edu.au
thomas.katzschner@uni-jena.de
akaul@ualberta.ca
Gi Kim
Kostas Koufopoulos
Roman Kozhan
University of Warwick
University of Warwick
University of Warwick
gi.kim@wbs.ac.uk
kostas.koufopoulos@wbs.ac.uk
roman.kozhan@wbs.ac.uk
Bo Larsson
Tony Lawrance
Olga Lebedeva
Stockholm University
University of Warwick
University of Mannheim
bo.larsson@ne.su.se
A.J.Lawrance@University of
Warwick.ac.uk
lebedeva@corporate-financemannheim.de
Edward Lee
Zicheng Lei
Zicheng Lei
University of Manchester
University of Warwick
University of Warwick
Edward.Lee@manchester.ac.uk
phd11zl@mail.wbs.ac.uk
phd11zl@mail.wbs.ac.uk
Rong Leng
Vitor Leone
Xiaoyue Li
University of Warwick
Nottingham Trent University
VU University Amsterdam
rong.leng@associate.wbs.ac.uk
Vitor.Leone@ntu.ac.uk
xysunnyli@gmail.com
Junjie Liu
Harald Lohre
Asger Lunde
University of Warwick
Deka Investment GmbH
Aarhus University
Phd11jl@mail.wbs.ac.uk
harald.lohre@deka.de
alunde@econ.au.dk
Lei Mao
Miriam Marra
Ian Marsh
University of Warwick
University of Warwick
City University
lei.mao@wbs.ac.uk
miriam.marra@wbs.ac.uk
I.Marsh@city.ac.uk
Jonathan Mascie-Taylor
Eberhard Mayerhofer
Afrasiab Mirza
University of Warwick
Dublin City University
Queen's University, Canada
j.mascie-taylor@University of
Warwick.ac.uk
Eberhard.mayerhofer@gmail.com
afmirza@gmail.com
Michael Moore
Anthony Neuberger
Bang Dang Nguyen
Queen's University Belfast
University of Warwick
Judge Business School
m.moore@qub.ac.uk
anthony.neuberger@wbs.ac.uk
B.Nguyen@jbs.cam.ac.uk
Ingmar Nolte
Sandra Nolte
Lars Norden
University of Warwick
University of Leicester
Stockholm University
ingmar.nolte@wbs.ac.uk
sandra.nolte@leicester.ac.uk
ln@fek.su.se
Jan Novotny
Marcus Ong
Alessandro Palandri
City University London
University of Warwick
University of Warwick
jan.novotny@mbs.ac.uk
marcus.ong@mac.com
alessandro.palandri@wbs.ac.uk
Grzegorz Pawlina
Richard Payne
Stylianos Perrakis
Lancaster University
City University London
Concordia University, Canada
g.pawlina@lancaster.ac.uk
Richard.Payne.1@city.ac.uk
sperrakis@jmsb.concordia.ca
Vladimir Prelov
Stefano Puddu
Vikas Raman
Russian Academy of Science
Université de Neuchatel
University of Warwick
V.V.Prelov [prelov@iitp.ru]
stefano.puddu@unine.ch
vikas.raman@wbs.ac.uk
Dale Rosenthal
Stefan Rostek
Nidal Sabri
University of Wisconsin - La Crosse
University of Tuebingen
Birzeit University Palestine
daler@uic.edu
stefan.rostek@uni-tuebingen.de
nsabri@birzeit.edu
Paul Schneider
Enrique Schroth
Neil Shephard
University of Warwick
City University London
University of Oxford
paul.schneider@wbs.ac.uk
E.J.SchrothDeLaPiedra@uva.nl
neil.shephard@economics.ox.ac.uk
Linus Per Siming
Johannes Skjeltrop
Przemyslaw Stan Stilger
Bocconi University
Norges Bank, Norway
University of Manchester
linus.siming@unibocconi.it
johannes-a.skjeltorp@norgesbank.no
p.stilger@gmail.com
Alex Stremme
Richard Taffler
Emanuele Tarantino
University of Warwick
University of Warwick
University of Bologna
alex.stremme@wbs.ac.uk
richard.taffler@wbs.ac.uk
emanuele.tarantino@unibo.it
Mark Taylor
Spyridon Terovitis
Grzegorz Trojanowski
University of Warwick
University of Warwick
University of Exeter
mark.taylor@wbs.ac.uk
S.Terovitis@University of
Warwick.ac.uk
g.trojanowski@ex.ac.uk
Leonidas Tsiaras
Alistair Tucker
Tereza Tykvova
Aston Business School
University of Warwick
University of Hohenheim
l.tsiaras@aston.ac.uk
AGJF.Tucker@University of
Warwick.ac.uk
tereza.tykvova@uni-hohenheim.de
Daniel Urban
Mathijs van Dijk
Vincent van Kervel
Technische Universität München
Erasmus University
Tilburg University
daniel.urban@ifm.wi.tumuenchen.de
madijk@rsm.nl
v.l.vankervel@uvt.nl
Michalis Vasios
Gabriel Velo
Thanos Verousis
University of Warwick
University of Padova
Bangor University
michalis.vasios.09@mail.wbs.ac.uk
velo.gabriel@gmail.com
t.verousis@bangor.ac.uk
Matija Vidmar
Clemens Volkert
Georgios Voulgaris
University of Warwick
Muenster University
University of Warwick
m.vidmar@University of
Warwick.ac.uk
01clvo@wiwi.uni-muenster.de
georgios.voulgaris@wbs.ac.uk
Hannes Wagner
Martin Wallmeier
Boromeus Wanengkirtyo
Bocconi University
University of Fribourg
University of Warwick
hannes.wagner@unibocconi.it
martin.wallmeier@unifr.ch
b.w.wanengkirtyo@University of
Warwick.ac.uk
Tianxi Wang
Sarah Qian Wang
Gregor Weiss
Essex University
University of Warwick
TU Dortmund University
wangt@essex.ac.uk
qian.wang@wbs.ac.uk
gregor.weiss@tu-dortmund.de
Elizabeth Whalley
Chungling Xia
Qi Xu
University of Warwick
University of Warwick
University of Warwick
elizabeth.whalley@wbs.ac.uk
phd11cx@mail.wbs.ac.uk
phd11qx@mail.wbs.ac.uk
Vladimir Yankov
Yan Zhang
Chendi Zhang
Boston University
University of Warwick
University of Warwick
vladimir.yankov@gmail.com
zjwufei@gmail.com
chendi.zhang@wbs.ac.uk
Bart Yueshen Zhou
VU University Amsterdam
yueshenbartzhou@gmail.com