2019 Applied Finance Conference

17 May 2019
St. John’s Manhattan Campus | New York, NY

The Ninth Annual FMA Applied Finance Conference will be hosted at St. John's University's Manhattan campus located in the heart of one of New York City’s most vibrant neighborhoods. The Conference is much smaller and more focused than the FMA’s traditional meetings and includes a relatively small number of papers to provide ample opportunity for presentations and discussion by participants.

Conference Co-Chairs

  • Anna Martin, Executive Director, Applied Finance Institute &
    Alois J. Theis Endowed Chair in Global Finance
    St. John's University
  • Betty Simkins, Williams Companies Chair of Business & Professor of Finance
    Oklahoma State University & Committee Member
    Market Risk Advisory Committee, Commodity Futures Trading Commission

Practitioner Insights Coordinator

  • Mikael Bergbrant, Associate Professor of Finance & Director, Applied Finance Institute
    St. John's University

 

Conference registration is now open!

 

Conference Program

8:00 am - 8:30 am

Registration

Continental Breakfast

8:30 am - 10:15 am

 

Session 1

Market Efficiency & Return Predictability

Chairperson: Jacqueline Garner, Georgia Tech

Late to Recessions: Stocks and the Business Cycle

Roberto Gómez-Cram*, University of Pennsylvania

Discussant: George Jiang, Washington State University

There is a Growth Premium After All

Yuecheng Jia, Central University of Finance and Economics, Shu Yan*, Oklahoma State University and Haoxi Yang, Nankai University

Discussant: Andre de Souza, St. John's University

Aggregate Opportunistic Insider Trading and Market Return Predictability

Shiyang Huang, University of Hong Kong, Tse-Chun Lin, University of Hong Kong and Weinan Zheng*, University of Hong Kong

Discussant: Tianpeng Zhou, Hofstra University

Practitioner Insights: Mikhail Samonov, Two Centuries Investments

 8:30 am - 10:15 am

Session 2

Politics & Activism

Chairperson: Katya Bardos, Fairfield University

Watching TVs Left and Right: Partisanship in Media and Corporate Decision-making

April Knill*, Florida State University, Baixiao Liu, Florida State University and    John J McConnell, Purdue University

Discussant: Paul Calluzzo, Queen's University

US Presidential Cycles and the Foreign Exchange Market

Samar Ashour*, University of Arkansas, David Rakowski, University of Texas Arlington and Salil K Sarkar, University of Texas Arlington

Discussant: Felipe Bastos Silva, University of Missouri

Sell-Side Analysis and Hedge Fund Activism

Thomas Shohfi, Rensselaer Polytechnic Institute and Amy Chen*, Rensselaer Polytechnic Institute

Discussant: Szu-Yin (Jennifer) Wu, Wheaton College

Practitioner Insights: Nikola Ruzicic-Kessler, Pictet Bank & Trust

10:15 am - 10:30 am

Coffee Break

10:30 am - 12:00 noon

Session 3

SEC Investment Company Liquidity Disclosure – N-Port Reporting Requirement

Moderator

Gregory Smith, Senior Director, Fund Accounting & Compliance
Investment Company Institute

Panelists

Jacob Krawitz, Branch Chief, Division of Investment Management’s Investment Company Reporting Modernization
US SEC

Alexander Leonhart, Vice President, Head of Fiduciary Liquidity Risk
DWS Investment Management Americas Inc

David Scalzetti, Senior Regulatory Products Director
Intercontinental Exchange|ICE Data Services

12:00 noon - 1:00 pm

Michael Edleson
Chief Risk Officer
University of Chicago

"Finance in Endowment Management: Investing So We Can Pay Professors"

Dr. Mike Edleson is Chief Risk Officer for The University of Chicago, responsible for the risk management of the University’s endowment. He joined the University’s Office of Investment in early 2010, and developed a model of risk-based endowment management that is often referred to as “the Chicago model.”

From 2003 to 2010, Mike ran risk management globally for four divisions of Morgan Stanley as managing director, including CRO for Equities and Morgan Stanley Smith Barney. Previously, he worked as chief economist and senior vice president of NASDAQ and NASD (now FINRA), and served on the boards of directors of several organizations and companies. Mike has previously held positions as Assistant Professor at USMA, West Point (1986-1990), Assistant Professor at The Harvard Business School (1990-1996), and Associate Professor at Tuck School, Dartmouth College (1995) and Associate Professor at USMA, West Point (Reserves, 1990-2004).  He was an Army engineer officer and served nearly 30 years in uniform, active and reserve.

Mike earned a B.S., summa cum laude, from West Point, an M.S. and Ph.D. in economics from MIT, and is a CFA Charterholder and author of the new CFA Risk Management curriculum.

Since joining FMA in 1989, Mike has been on several program committees, served on the Long-Range Planning Committee of FMA in both 1994 and 2001.  He was founding co-editor of Contemporary Finance Digest (1996-1999), and associate editor of Journal of Applied Finance.  He has served on the FMA board twice: 1997-1999 as Editor and 2015-2017 as Practitioner Director.  He is on the board of directors of Myriad Funds, and serves on the investment committee for West Point.  

1:00 pm - 2:00 pm

Luncheon

2:00 pm - 3:30 pm

Session 4

Compensation in the Financial Industry

The Financial Crisis of 2007-2009 has revealed that despite of rigorous regulation our financial system may be more fragile than we think. We still keep learning from that experience. In selecting their tools, regulators always face the trade-off between stability and growth. In this framework, economic incentives win over restrictions and requirements. Compensation plays an important role in corporate governance. A system of properly configured incentives for risk takers and decision makers in the financial industry is a promising and still evolving risk management instrument.

Moderator

Nonna Sorokina, Assistant Professor of Finance
The College of New Jersey

Panelists

Sanjai Bhagat, Provost Professor & Division Chair
University of Colorado Boulder

Hamid Mehran
(Formerly) Federal Reserve Bank of New York

Yuan (Vivian) Wen, Associate Professor of Finance
SUNY New Paltz

3:30 pm - 3:45 pm

Coffee Break

3:45 pm - 5:30 pm

Session 5

Bonds, Repos & Downside Risk

Chairperson: Yihui Wang, Fordham University

Clientele Effects Explain the Decline in Corporate Bond Maturities

Alexander W Butler, Rice University,  Xiang Gao, Binghamton University and Cihan Uzmanoglu*, Binghamton University

Discussant: Yoon Shin, Loyola University Maryland

Does Default Risk Matter for Option Pricing?

Laleh Samarbakhsh*, Ryerson University and Madhu Kalimipalli, Wilfrid Laurier University

Discussant: Jared DeLisle, Utah State University

Liquidity Regulation and Financial Intermediaries

Marco Macchiavelli*, Federal Reserve Board and Luke Pettit, Federal Reserve Board

Discussant: Hong-Jen Lin, Brooklyn College, CUNY

Practitioner Insights: Robert Mesielas, JP Morgan Investment Management (Retired)

3:45 pm - 5:30 pm

Session 6

Technology in Finance

Chairperson: Sunil Mohanty, Brooklyn College, CUNY

The Economics of Digital Token Cross-listings

Hugo Benedetti*, ESE Business School

Discussant: Stoyu Ivanov, San Jose State University

Short Duration, Dynamic Price Limits: The Special Quote and Limit Up Down Rules

Pankaj Jain, University of Memphis, Shawn McFarland*, University of Memphis and Thomas H McInish, University of Memphis

Discussant: Ayan Bhattacharya, Baruch College CUNY

Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning

Yuecheng Jia*, Central University of Finance & Economics, Yangru Wu, Rutgers University and Shu Yan, Oklahoma State University

Discussant: Zenu Sharma, Rensselaer Polytechnic Institute

Practitioner Insights: Xiao Qiao, Paraconic Technologies

5:30 pm - 6:30 pm

Reception

 * Presenting Author

 


Hotels

There are a number of hotels located near the St. John's University campus. Hotel information, sample rates, and a map can be found here. If you use an on-line hotel search engine, East Village (Lower East Side) and Union Square are the primary neighborhoods to use in your search. St. John's University is located at 101 Astor Place.


#FMAAFC2019 - Follow the Conversation

During the conference, use the hashtag #FMAAFC2019 to follow the conversation on Twitter (@finmgmtassoc) and Facebook (www.facebook.com/FMA.org).


About St. John's University

Founded in 1870, St. John’s University is a Catholic and Vincentian university that prepares students for ethical leadership roles in today’s global society.

St. John’s has four campuses—Queens, Staten Island, and Manhattan in New York, and Rome, Italy. The University also has three academic locations—Hauppauge, New York; Paris, France; and Limerick, Ireland. Students come to St. John’s from 46 states and 127 countries. The University offers more than 100 associate, bachelor’s, master’s, and doctoral degree programs in the arts, business, education, law, pharmacy, and the natural and applied sciences. Students benefit from academic service-learning activities, extensive global studies opportunities, an alumni network of over 180,000, and 17 NCAA, Division I men’s and women’s athletic teams.