Rotman School of Management, University of Toronto

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Friday, March 8, 2019

2:30 - 3:15 pm


3:15 - 3:30 pm

Conference Opening

3:30 - 5:15 pm

Session 1: FinTech
Sponsored by Rotman Finhub

Session Chair: Laurent Barras (McGill, Desautels Faculty of Management)

1. Carrot or stick? Evidence from a pair of natural field experiments testing lender information sharing hypotheses

Li Liao (Tsinghua), Xiumin Martin (Washington University in St. Louis), Ni Wang (Quant Group), Zhengwei Wang (Tsinghua), Jun Yang (Indiana)
Discussant: Pascal Francois (HEC Montreal)

2. Extrapolation and Complexity

Donghwa Shin (Princeton)
Discussant: Neil Pearson (Illinois, Gies College of Business)

3. The Price of Extreme Weather Uncertainty: Evidence from Hurricanes

Mathias S. Kruttli (Federal Reserve Board of Governors), Brigitte Roth Tran (Federal Reserve Board of Governors), and Sumudu W. Watugala (Cornell)
Discussant: Aurelio Vasquez (ITAM)

5:30 - 7:30 pm

Session 2: Industry Panel
Sponsored by Waterfront International Ltd.

Session Chair: Ruslan Goyenko (McGill, Desautels Faculty of Management)

How are AI and Data Analytics changing Financial Services?

Jean-Francois (J-F) Courville, CEO, WealthSimple for Advisors
Nicolas Chapados, co-founder, Element AI
Randy Cass, CEO Founder Portfolio Manager, Nest Wealth
Wendy Rudd, formerly-IIROC
David Nault, General Partner, Luge Capital 

Stephen Hui, Partner & Portfolio Manager, Pembroke Management Ltd

7:15 - 9:15 pm

Cocktail Reception and Welcome Remarks

Saturday, March 9, 2019

8:00 - 9:00 am


9:00 - 10:45 am

Session 3: Banking and Regulations
Sponsored by Bank of Canada

Session Chair: Kris Jacobs (University of Houston, Bauer College of Business)

4. Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation

Yifei Wang (Michigan, Ross), Toni M. Whited (Michigan, Ross), Yufeng Wu (Illinois, Gies College of Business), and Kairong Xiao (Columbia)
Discussant: Harjoat S. Bhamra (Imperial College - London)

5. Unintended Consequences of Post-crisis Liquidity Regulation

Suresh Sundaresan (Columbia), Kairong Xiao (Columbia)
Discussant : Ivan Ivanov (Board of Governors, Federal Reserve)

6. Competition, Risk-Taking, and the Demise of Old-School Banking

Emilio Bisetti (HKUST), Stephen A. Karolyi (Carnegie Mellon), Stefan Lewellen (Penn State)
Discussant: Alexander Dyck (University of Toronto, Rotman School of Management)

4:30 - 6:15 PM

Session 4: Financial Risk Management and Volatility
Sponsored by the Global Risk Institute

Session Chair: Tim Bollerslev (Duke University)

7. Option Implied Dependence

Carole Bernard (Grenoble School of Management), Oleg Bondarenko (Illinois Chicago) and Steven Vanduffel (Vrije University Brussel)
Discussant: Torben Andersen (Northwestern, Kellogg)

8. Empirical Asset Pricing via Machine Learning

Shihao Gu (Chicago, Booth), Bryan Kelly (Yale), and Dacheng Xiu (Chicago, Booth)
Discussant: Hugue Langlois (HEC Paris)

9. News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

Yoontae Jeon (Ryerson), Thomas H. McCurdy (Toronto, Rotman), Xiaofei Zhao (Georgetown, McDonough)
Discussant: Stephen Figlewski (NYU, Stern)

6:15 - 7:15 pm

Cocktail Reception

7:15 - 10:00 pm

Gala Dinner
"Remembering Peter Christoffersen"

Evening Remarks

Lawrence Schembri  (Deputy Governor, Bank of Canada)
Susan Christoffersen (Vice-Dean, Rotman School of Management)

Sunday, March 10, 2019

8:00 - 9:00 am


9:00 - 10:45 am

Session 5: Trading, Hedging and Financial Intermediation

Session Chair: Liyan Yang (University of Toronto, Rotman School of Management)

10. Are Tokens Securities: An Anatomy of Initial Coin Offerings

Evgeny Lyandres (Boston University), Dino Palazzo (Federal Reserve Board of Governors), and Daniel Rabetti (LSE)
Discussant: Katya Malinova (McMaster, DeGroote School of Business)

11. Pre-Trade Hedging

Brian J. Henderson (George Washington), Neil D. Pearson (Illinois, Gies College of Business), and Li Wang (Case Western, Weatherhead)
Discussant: Alessio Saretto (Washington University in St. Louis)

12. Do Firms Hedge During Distress?

Heitor Almeida (Illinois, Gies College of Business), Kristine Watson Hankins (University of Kentucky), Ryan Williams (Arizona)
Discussant: Dimitry Murayev (Boston College, Caroll School of Management)

10:45 - 11:00 am

Closing Remarks

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