UT Dallas 2019 Fall Finance Conference


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Fall Finance Conference, 2019
October 5, 2019, UT Dallas
Registration is now closed.

Welcome

Welcome to the Fall Finance Conference at UT Dallas. Hosted by the Finance and Managerial Economics Area of the Naveen Jindal School of Management, the conference is a two-day academic gathering that will bring together scholars, researchers and students with the goal of sharing work, promoting research and cultivating relationships among scholars in the field.

The University of Texas at Dallas is located at

800 West Campbell Road
Richardson, TX 75080

Conference Room Location TBD

For information on how to get to the campus, visit the Directions to UT Dallas page.

Visitors to the campus should obtain a parking pass from the Visitor Center and University Bookstore Building located just west of the Roundabout. Contact UTD’s main switchboard at 972-883-2111 for more information.

Two printable versions of the campus map are available for download. These PDFs can be enlarged on mobile devices.

Printable Campus Map
Printable Parking Map

The conference will be held in the Naveen Jindal School of Management. View the building map.

Visit the UT Dallas Parking & Transportation web pages for more information on campus and local public transit.

Taxi/Limousine Service

America Star Cab:
214-415-8596 or 214-500-1101

UTD’s Wireless Network

To log into UTD’s Wireless network, please do the following:

  • Bring up your wireless connection menu.
  • Choose UTDGuest and then press connect.
For additional assistance, please ask.

Hotel

Hyatt Regency North Dallas Hotel
701 East Campbell Road
Richardson, TX 75081
972-619-1234

UTD Finance Conference
Call For Papers
October 5, 2019, UT Dallas

The Finance Area of the Jindal School of Management at the University of Texas at Dallas (UTD) is organizing the third one-day conference on October 5, 2019 (Saturday). We invite interested researchers to submit papers to be considered for presentation and discussion. The deadline for submissions is midnight CST August 10, 2019.

Papers on any topic related to finance will be considered. We invite interested researchers to submit papers both theoretical and empirical in nature. The papers will be reviewed by a program committee. Selected papers will be notified by August 31, 2019. We will cover the flight (economy class) and 1-2 night hotel expenses for presenters. Please contact Denise.Dobbs@utdallas.edu for questions.

Dr. Asaf Bernstein

Dr. Asaf Bernstein

Assistant Professor

University of Colorado, Department of Finance

Dr. Zach Liu

Dr. Zach Liu

Assistant Professor

University of Houston, Bauer College of Business

Dr. Kristoph Kleiner

Dr. Kristoph Kleiner

Assistant Professor

Indiana University, Kelley School of Business

Dr. Mark Jansen

Dr. Mark Jansen

Assistant Professor

University of Utah, David Eccles School of Business

Dr. Gill Segal

Dr. Gill Segal

Assistant Professor

University of North Carolina, Kenan-Flagler Business School

Dr. Berardino Palazzo

Dr. Berardino Palazzo

Senior Economist

Federal Reserve Board, Capital Markets Section

Dr. Soohun Kim

Dr. Soohun Kim

Assistant Professor

Georgia Institute of Technology, Scheller College of Business

Dr. Charles Martineau

Dr. Charles Martineau

Assistant Professor

University of Toronto, Rotman School of Management

Harold Zhang Professor of Finance
Finance and Managerial Economics Area Coordinator
Vikram Nanda O.P. Jindal Chair of Finance

Friday, 10/4/2019
6:30 pm – 8:30 pm

1050, N Central Expwy, Richardson, TX 75080

Dinner: Ten50 BBQ

Saturday, 10/5/2019
7:30 a.m. – 8:15 a.m.

Room 11.206

Continental Breakfast

Saturday, 10/5/2019
8:15 a.m. – 8.30 a.m.

Room 11.206

WELCOME – Dr. Hasan Pirkul – Dean, Jindal School of Management

Saturday, 10/5/2019
8:30 a.m. – 9:20 a.m.

Morning Session Chair – Jean-Marie Meier

The Great Depression, Business Dynamism, and the Resilience of Innovation

Presenter: Dr. Asaf Bernstein, University of Colorado at Boulder

Discussant: Dr. Scott Weisbenner, University of Illinois at Urbana-Champion

The effects of severe economic distress driven by financial crises on innovation and subsequent business dynamism is an unsettled and important question for economic growth, but one difficult to answer with modern data. Using a differences-in-differences design surrounding the biggest financial crisis of the past century–the Great Depression-–we are able to obtain plausible variation in local shocks to innovative ecosystems, cleanly identify technological entrepreneurs, and examine the long-run impact of their inventions. We find a sudden and persistent decline in patenting by the largest organizational form of innovation at this time – independent inventors. The declines in these start-up-like organizations occur within every major technology class and last until present times. Despite the substantial decline in patenting, we find no reduction in total future citations by patents building off these inventions. In contrast to prior evidence for large externally finance-dependent firms with R&D labs, we find that independent inventors actually experience a dramatic rise in the quality of their inventions. We also find that declines observed for the quantity of patents are not driven by geographic migration across counties, but at least partially explained by organizational migration of independent inventors into firms. These transitions may explain the more muted aggregate county-level response by firms. Overall, the more efficient resource allocation towards high-quality patents highlights the resilience of innovation and business dynamism to economic shocks.

Download Paper

Saturday, 10/5/2019
9:20 a.m – 10:10 a.m.

Room 11.206

Bank Entrepreneurs

Presenter: Dr. Kristoph Kleiner, Indiana University

Discussant: Dr. Taylor Begley, Washington University in St. Louis

This paper provides the first analysis of entrepreneurs chartering deposit-insured banks in the U.S. By merging hand-collected biographical data on entrepreneurs of De Novo banks with detailed call reports, we directly connect entrepreneurial characteristics to corporate policy and firm outcomes. First, we find strong evidence that bank entrepreneurs are driven by local opportunities, bring significant banking and managerial experience, have the networks necessary to raise local funding, and extend past lending practices. Second, to better identify the value of each individual in our study, we confirm that a new bank’s lending policies are strongly predicted by the prior employment experiences of the bank’s entrepreneurs. Exploiting these relationships, we illustrate the entrepreneur has a causal effect on loan and bank performance, as well as the likelihood of failure.

Download Paper

Saturday, 10/5/2019
10:10 a.m – 10:25 a.m.

BREAK

Saturday, 10/5/2019
10:25 a.m – 11:15 a.m.

Room 11.206

The Utilization Premium

Presenter: Dr. Gill Segal, University of North Carolina at Chapel Hill

Discussant: Dr. Erik Loualiche, University of Minnesota

Firms that underutilize their capital are riskier. A quantitative model with production and flexible capacity utilization predicts a return spread between low and high utilization firms of above 5% p.a. Consistent with the model, we establish this utilization spread in the data as a novel empirical fact. Beyond the utilization premium, we show that a model without utilization yields many counterfactuals, such as investment’s dispersion being too low, and its skewness bearing the wrong sign. Flexible utilization can addresses these moments by endogenously substituting large adjustment costs. Overall, utilization tightens the link between firms’ production and valuation.

Download Paper

Saturday, 10/5/2019
11:15 a.m – 12:05 p.m.

Room 11.206

Arbitrage Portfolios

Presenter: Soohun Kim, Georgia Institute of Technology

Discussant: Chotibhak (Pab) Jotikasthira, Southern Methodist University

We propose new methodology to estimate arbitrage portfolios by utilizing information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of characteristics’ predictive power before any attribution to abnormal returns. We apply the methodology in simulated factor economies and to a large panel of U.S. stock returns from 1965-2014. The methodology works well in simulation and when applied to U.S. stocks. Empirically, we find the arbitrage portfolio has (statistically and economically) significant alphas relative to several popular asset pricing models and annualized Sharpe ratios ranging from 1.35 to 1.75.

Download Paper

Saturday, 10/5/2019
12:05 p.m – 1:30 p.m.

Room 11.214

LUNCH

Saturday, 10/5/2019
1:30 p.m – 2:20 p.m.

Room 11.206

Afternoon Session Chair – Dr. Xiaoxiao Tang

How Do Wealth Shocks Impact Career Choices?

Presenter: Dr. Zack Liu, University of Houston

Discussant: Dr. Jordan Nickerson, Boston College

We study the effect of shocks to household balance sheets on employment choices and their long-term effects. Using a novel data set of workers in the film industry, we estimate the impact of changes in housing wealth following the housing crisis on the labor outcomes of homeowners within the same occupation and county. We find that individuals who experience a housing wealth decline reduce participation in films with other high-profile talents (individuals that have won prestigious awards), in high-budget productions, that are positively rated, that are likely to win awards, and increase involvement in small films. These shocks have negative long-term consequences on individuals’ popularity and the probability of landing leading roles. We account for local labor demand shocks by comparing neighboring homeowners to renters. Overall, our results suggest that wealth shocks distort non-salaried workers’ labor decisions due to liquidity concerns and impact individuals’ career paths.

Download Paper

Saturday, 10/5/2019
2:20 p.m – 3:10 p.m.

Room 11.206

Spillover Effects of the Opioid Epidemic on Consumer Finance

Presenter: Dr. Mark Jansen, University of Utah

Discussant: Dr. Mehmet Canayaz, Penn State University

I examine the impact of the opioid epidemic on subprime auto lending. Using a difference-in-differences framework, I find that a 10% increase in county-level opioid abuse causes a 2.9% increase in loan defaults. Moreover, the resulting higher default rates and weaker predictive performance of traditional credit measures (e.g., FICO score) generates a negative externality for borrowers in opioid-afflicted areas. In these areas, loan costs for subprime borrowers are 4.4% higher.

Download Paper

Saturday, 10/5/2019
3:10 p.m – 3:25 a.m.

BREAK

Saturday, 10/5/2019
3:25 p.m – 4:15 p.m.

Room 11.206

Equity Financing Risk

Presenter: Dr. Berardino Palazzo, Federal Reserve Board

Discussant: Dr. Mindy Z. Xiaolan, University of Texas at Austin

We develop a model of equity financing risk (EFR) to study the joint effects of precautionary savings and research and development (R&D) investments on expected equity returns. Our evidence confirms the model’s predictions: (1) financial slack (i.e., liquid assets relative to R&D) lowers EFR exposure and thereby expected returns, (2) equity issuance lowers expected returns by increasing financial slack, and (3) these effects are concentrated among unprofitable firms. An EFR-based factor subsumes the Fama-French (2015) and Hou-Xue-Zhang (2015) investment factors, helps explain anomalies related to R&D and operating profitability, and offers an alternative interpretation for assets’ growth-based risk factors.

Download Paper

Saturday, 10/5/2019
4:15 p.m – 5:05 p.m.

Room 11.206

Does the CAPM Predict Returns?

Presenter: Dr. Charles Martineau, University of Toronto

Discussant: Dr. Guofu Zhou, Washington University in St. Louis

We provide strong empirical evidence that asset excess returns can be predicted using the dynamic CAPM. When predicting next month excess returns, the dynamic CAPM yields an out-of-sample R2 of about 4% across all portfolios and of about 2.7% across all S&P 500 stocks. That is, the predictive power of the market return predictor transmits to the product of the asset’s dynamic beta and the dynamic risk premium of the market. As a consequence, strategies exploiting the predictive power of the dynamic CAPM have Sharpe ratios up to 100% larger than those of the corresponding buy-and-hold strategies.

Download Paper

Saturday, 10/5/2019
5:05 p.m – 5:45 p.m.

RECEPTION

Questions or concerns? Please contact.

Denise Dobbs
Administrative Assistant
Email
(972)-883-5847

Lily Banh
Administrative Assistant
Email
(972) 883-5062