Sponsored by the Yale SOM International Center for Finance and Review of Financial Studies

Presentation Papers

Saturday, July 11, 2009

Session One
Room A53

• The Influence of the Homeowners’ Loan Corporation on Housing Markets During the 1930s (pdf)
  Price Fishback, University of Arizona, Alfonso Flores Lagunes, University of Florida, William C. Horrace, Syracuse University, Shawn Kantor, University of California, Merced, Jaret Treber, Kenyon College
  
  
• The Bear’s Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis (pdf)
  Richard Stanton, University of California, Berkeley, Nancy Wallace, University of California, Berkeley

Session One
Room A60

• Effects of Central Bank Intervention on the Interbank Market: What Happened During the Sub-Prime Crisis? (pdf)
  Celso Brunetti, Johns Hopkins University, Mario di Filippo, Catholic University of Milan, Jeffrey Harris, University of Delaware

• Does a Central Clearing Counterparty Reduce Counterparty Risk? (pdf)
  Darrell Duffie, Stanford University, Haoxiang Zhu, Stanford University

Session Two
Room A53

• Auction Failures and the Market for Auction Rate (pdf)
  John J. McConnell, Purdue University, Alessio Saretto, Purdue University

• Liquidity Crisis, Runs, and Security Design: Lessons from the Collapse of the Auction Rate Securities Market (pdf)
  Song Han, Federal Reserve Board, Dan Li, Federal Reserve Board

Session Two
Room A60

• Bank Risk-Taking, Securitization, Supervision, and Low Interest Rates: Evidence from Lending Standards (pdf)
  Angela Maddaloni, European Central Bank, José Luis Peydró, European Central Bank

• Competition, Risk-Shifting and Public Bail-out Policies (pdf)
  Reint Gropp, European Business School, Hendrik Hakenes, University of Hannover, Isabel Schnabel, University of Mainz

Session Three
Room A53

• Corporate Debt Maturity and the Real Effects of the 2007 Credit Crisis (pdf)
  Heitor Almeida, University of Illinois, Murillo Campello, University of Illinois, Bruno Laranjeira, University of Illinois, Scott Weisbenner, University of Illinois

• The Composition Matters: Capital Inflows and Liquidity Crunch during the 2007-09 Global Economic Crisis (pdf)
  Hui Tong, International Monetary Fund, Shang-Jin Wei, Columbia University

Session Three
Room A60

• Naked Short Sellers: The Emperor’s New Clothes? (pdf)
  Veljko Fotak, University of Oklahoma, Vikas Raman, University of Oklahoma, Pradeep Yadav, University of Oklahoma

• Does Fair Value Accounting Contribute to Systematic Risk in the Banking Industry (pdf)
  Urooj Khan, Columbia University

Session Four
Room A53

• A Model of Capital and Crises (pdf)
  Zhiguo He, University of Chicago, Arvind Krishnamurthy, Northwestern University

• How the Subprime Crisis Went Global: Evidence from Bank Default Swap Spreads (pdf)
  Barry Eichengreen, University of California, Berkeley, Ashoka Mody, International Monetary Fund, Milan Nedeljkovic, University of Warwick, Lucio Sarno, Cass Business School

Session Four
Room A60

• Margin-Based Asset Pricing and Deviations from the Law of One Price (pdf)
  Nicolae Gârleanu, University of California, Lasse Pedersen, New York University

• Liquidity Management and Corporate Investment during a Financial Crisis (pdf)
  Murillo Campello, University of Illinois, Erasmo Giambona, University of Amsterdam, John R. Graham, Duke University, Campbell R. Harvey, Duke University

Sunday, July 12, 2009

Session One
GM Room

• Securitization and Mortgage Default: Reputation vs. Adverse Selection (pdf)
  Ronel Elul, Federal Reserve Bank of Philadelphia

• Where’s the Smoking Gun? A Study of Underwriting Standards for US Subprime Mortgages (pdf)
  Geetesh Bhardwaj, The Vanguard Group, Rajdeep Sengupta, Federal Reserve Bank of St. Louis

Session Two
GM Room

• The Evolution of a Financial Crisis: Runs in the Asset-Backed Commercial Paper Market (pdf)
  Daniel Covitz, Federal Reserve Board, Nellie Liang, Federal Reserve Board, Gustavo Suarez, Federal Reserve Board

• What lies beneath: Is there Adverse Selection in CLO Collateral? (pdf)
  Efraim Benmelech, Harvard University, Jennifer Dlugosz, Harvard University, Victoria Ivashina, Harvard University