ROBERT STAMBAUGH DOUGLAS CUMMING

Robert Stambaugh, PhD, is the Miller Anderson & Sherrerd Professor of Finance at the Wharton
School of the University of Pennsylvania. Before joining Wharton in 1988, he was Professor of
Finance at the University of Chicago, where he received his PhD in 1981. Professor Stambaugh
visited Harvard University as a Marvin Bower Fellow in 1997-1998. He is a Fellow and former
President of the American Finance Association, a Fellow of the Financial Management Association,
and a Research Associate of the National Bureau of Economic Research.
Professor Stambaugh has been the Editor of the Journal of Finance and of the Review of Financial
Studies, an Associate Editor of those journals as well as the Journal of Financial Economics, and a
member of the first Editorial Committee of the Annual Review of Financial Economics. He has pub-
lished several articles on topics including return predictability, asset pricing tests, portfolio choice,
parameter uncertainty, liquidity risk, volatility, performance evaluation, investor sentiment, and
active-versus-passive investing. His research awards include a Smith-Breeden First Prize for an
article in the Journal of Finance as well as a Fama-DFA First Prize and three Second Prizes for
articles in the Journal of Financial Economics.
Douglas Cumming, J.D., Ph.D., CFA, is the DeSantis Distinguished Professor of Finance and
Entrepreneurship at Florida Atlantic University College of Business. He is the Managing Editor-in-Chief
of the Journal of Corporate Finance, the Founding Editor of Annals of Corporate Governance, and a
former Co-Editor of Finance Research Letters and Entrepreneurship Theory and Practice. He is
currently serving as an Associate Editor for numerous academic journals and is the Editor of the Oxford
Handbook of Entrepreneurial Finance (Oxford University Press, 2013), the Oxford Handbook of Private
Equity (Oxford University Press, 2013), the Oxford Handbook of Venture Capital (Oxford University Press,
2013), the Oxford Handbook of Sovereign Wealth Funds (Oxford University Press, 2017), and the Oxford
Handbook of IPOs (Oxford University Press, forthcoming 2018).
Professor Cumming has published over 150 articles in leading refereed academic journals in finance,
management, and law and economics, such as the Academy of Management Journal, Journal of
Financial Economics, Review of Financial Studies and Journal of International Business Studies. His
work has been reviewed in numerous media outlets, including The Economist, The New York Times,
the Wall Street Journal, the Globe and Mail, and The New Yorker. In addition, he has published
18 academic books.

Day 1, Tuesday, June 18 Day 2, Wednesday, June 19

10:15 a.m. to 11:45 a.m. 10:30 a.m. to 12:00 p.m.
Théatre de la cité universitaire Théatre de la cité universitaire
Skill and Fees in Active Management What Can We Learn from Crowdfunding Research?

Special Thanks to AFFI 2019 Sponsors

Chaire iA Groupe Financier en assurance et services financiers

Chaire IG Gestion de patrimoine en planification financière
Chaire RBC en innovations financières
Chaire de recherche en gouvernance de sociétés
Département de finance, assurance et immobilier
Salles des marchés Carmand-Normand et Jean-Turmel

General Assembly of the AFFI (Room 1317) 5:15 p.m. to 6:30 p.m.
20, rue Port-Dauphin, Québec G1R 4R7 Parallel Session 6 3:20 p.m. to 4:50 p.m.
Graduation Hall Coffee Break 3:00 p.m. to 3:20 p.m.
Parallel Session 5 1:30 p.m. to 3:00 p.m.
creative genius of architect Georges-Émile Tanguay. Lunch 12:00 p.m. to 1:30 p.m.
the Graduation Hall, whose remarkable decor reflects the Keynote Speaker 10:30 a.m. to 12:00 p.m.
culture in the Americas. This majestic building contains Coffee Break 10:00 a.m. to 10:30 a.m.
Second Empire style and celebrate the influence of French Parallel Session 4 8:30 a.m. to 10:00 a.m.
Joseph-Ferdinand Peachy and added in 1875, define its Breakfast and Registration 7:30 a.m. to 8:30 a.m.
emblematic lanterns and mansard roof, designed by
Camille Roy, an eminent Rector of Université Laval. The DAY 2 - Wednesday, June 19
began in 1854. It was recently renamed in honour of
The construction of the central building for Université Laval
Hall has transcended time and creates a lasting impression.
official ceremonies to mark the life of the university, the
dazzles visitors with its intricate design. Formerly used for
magnificent salle des Promotions or Graduation Hall
Located discretely within the Seminary Complex, the
Hall of the Séminaire de Québec
Gala Dinner at the Graduation 7:00 p.m.
GRADUATION HALL Parallel Session 3 3:00 p.m. to 4:30 p.m.
Coffee Break 2:30 p.m. to 3:00 p.m.
Parallel Session 2 1:00 p.m. to 2:30 p.m.
Lunch 11:45 a.m. to 1:00 p.m.
179, Grande Allée Ouest, Québec G1R 2H1 Keynote Speaker 10:15 a.m. to 11:45 a.m.
The Musée national des beaux-arts du Québec Welcome Address 10:00 a.m. to 10:15 a.m.
Coffee Break 9:30 a.m. to 10:00 a.m.
the St. Lawrence River. Parallel Session 1 8:00 a.m. to 9:30 a.m.
of the Musée provides a magnificent view of this space and Breakfast and Registration 7:00 a.m. to 8:00 a.m.
by thousands of residents and visitors. The Central Pavilion
green oasis in the heart of the city which is visited each year DAY 1 - Tuesday, June 18
This urban park is one of the most beautiful in the world, a
Battlefields Park, also known as the Plains of Abraham.
80 years and counting. The Musée is located in National
is the only museum entirely devoted to Québec art for
The Musée national des beaux-arts du Québec (MNBAQ)
des beaux-arts du Québec (MNBAQ)
DES BEAUX-ARTS DU QUÉBEC Welcome Reception at the Musée national 6:30 p.m.
THE MUSÉE NATIONAL Ph.D. Workshop 7:30 a.m. to 12:10 p.m.

Ph.D. Workshop - Monday, June 17

36th International Conference of the

French Finance Association (AFFI)

Université Laval
Québec City, Canada
June 17-19, 2019
 DAY 1 - Tuesday, June 18
ROOM 1307 ROOM 1317 ROOM 1325 ROOM 2307 ROOM 2317 ROOM 2327 ROOM 2213
7:00 a.m. to 8:00 a.m., Breakfast and Registration (Atrium, First Floor)
ASSET PRICING 1 DERIVATIVES 1 HOUSEHOLD FINANCE INTERNATIONAL FINANCE PORTFOLIO MANAGEMENT 1 CORPORATE FINANCE 1 PRIVATE EQUITY/VENTURE CAPITAL 1

Chair Constantin Mellios Chair Pascal Francois Chair Stéphane Chrétien Chair Marie-Hélène Gagnon Chair Philippe Madiès Chair Francois Belot Chair Stéphanie Serve
(Université Paris I La Sorbonne) (HEC Montreal, Canadian (Université Laval) (Université Laval) (CERAG, University of (Université de Cergy-Pontoise – (IAE Gustave Eiffel, Université Paris
Derivatives Institute) Grenoble Alpes) THEMA) Est Créteil)

Sponsored by Chaire IG Gestion de patrimoine en planification financière

Hidden Predictability Index Option Anomalies: How Real Foreign Stock Investment and Culture, Industries and Capital Looking for the Tangent Portfolio: Corporate Propensity to Dissave The Effect of Policy Uncertainty on
Author: Tomas Fiala (USI Lugano & Are They? Sophistication of French Retail Structure Choice: International Risk Optimization Techniques on and Disinvestment Inertia VC Investments Around the World
Swiss Finance Institute) Author: Stylianos Perrakis Investors Evidence Equity Style Buckets Authors: Alexander Vadilyev Author: Romora Sitorus (University of
(Concordia University) Author: Hava Orkut Authors: Vipin Mogha (Université Authors: Marie Lambert (HEC Liège, (Australian National University, Oklahoma)
Parallel Session 1 - 8:00 a.m. to 9:30 a.m.

(Strasbourg University) Clermont Auvergne), Benjamin ULiège), Boris Fays (HEC Liège, University of British Columbia), Vikram
AFFI - Best thesis in Financial Williams (Université Clermont ULiège), Nicolas Papageorgiou (HEC Nanda (University of Texas at Dallas)
Discussant: Souleymane Markets Auvergne) Montréal)
Discussant: Denada Ibrushi Laminou Abdou Discussant: Didier Maillard Discussant: Fabio Moneta Discussant: Dominic Cervicek Discussant: François Belot Discussant: Stéphanie Serve

Active Factor Completion Strategies A Model Free Approach to Trading Leveraged ETFs Is National Culture and Default Risk: Optimal Asset Allocation and The Consequences of Data Breach The Impact of the Ability to
Authors: Harald Lohre (Invesco, EMP Multivariate Option Pricing Hazardous to Your Wealth International Evidence Consumption Under Market Disclosure Laws and Disclosed Leverage Investors’ Complementary
at Lancaster University Management Authors: Carole Bernard (Grenoble Authors: Patrick Roger Author: Sivathaasan Nadarajah Liquidity Risk Breaches on Corporate Cash Resources on Entrepreneurial
School), Hubert Dichtl (University of Ecole de Management and Vrije (EM Strasbourg, LaRGE), Catherine (Griffith University) Authors: Constantin Mellios (Uni- Holdings and Performance Company’s Innovation Output:
Hamburg), Wolfgang Drobetz (Uni- Universiteit Brussel), Oleg D'Hondt (Université Catholique versity Paris 1 Panthéon-Sorbonne), Author: Michael Keefe (Victoria Evidence From Biotech Corporate
versity of Hamburg), Carsten Rother Bondarenko (University of Illinois de Louvain), Richard McGowan Hamza El Khalloufi (University Paris 1 University of Wellington) Venture Capital-Backed Companies
(Invesco, University of Hamburg) at Chicago), Steven Vanduffel (Boston College), Laurent Deville Panthéon-Sorbonne) Authors: Fatima Shuwaikh (Paris-Sud
(Vrije Universiteit Brussel) (EDHEC Business School) University), Emmanuelle Dubocage
(Paris-Est Créteil)
Discussant: Tomas Fiala Discussant: Stylianos Perrakis Discussant: Hava Orkut Discussant: Vipin Mogha Discussant: Marie Lambert Discussant: Alexander Vadilyev Discussant: Romora Sitorus

Forecasting and Hedging Systematic American Step Options Residential Real Estate in an Inflation Risk Premia and Foreign Score-Based Portfolio Choice Encouraging Long-Term Share- Performance of Government Venture
Risk Authors: Souleymane Laminou Asset Allocation Exchange Rates Authors: Dominic Cervicek (Vienna Holders: The Effects of Loyalty Capital (GVC): An Asian Perspective
Authors: Denada Ibrushi (St. Mary's Abdou (Boston University), Franck Author: Didier Maillard Authors: Fabio Moneta (Queen's University of Technology), Thomas Shares With Double Voting Rights Authors: Stéphanie Serve (Université
University), Tolga Cenesizoglu (HEC Moraux (University of Rennes), (Conservatoire national des arts University), Daehwan Kim (Konkuk Dangl (Vienna University Authors: François Belot (Université Paris-Est Créteil), Iqbal Muhammad
Montreal) Jerome Detemple (Boston University) et métiers) University) of Technology) de Cergy-Pontoise), Edith Ginglinger (Université Paris-Est Créteil)
(Université Paris Dauphine), Laura
Starks (University of Texas at Austin)
Discussant: Harald Lohre Discussant: Carole Bernard Discussant: Patrick Roger Discussant: Sivathaasan Nadarajah Discussant: Constantin Mellios Discussant: Michael Keefe Discussant: Fatima Shuwaikh

9:30 a.m. to 10:00 a.m., Coffee Break (Atrium, First Floor)

Welcome Address
10:00 a.m. to 10:15 a.m. | Théâtre de la cité universitaire, First Floor

Skill and Fees in Active Management - Robert Stambaugh

10:15 a.m. to 11:45 a.m. | Théâtre de la cité universitaire, First Floor
11:45 a.m. to 1:00 p.m., Lunch (Restaurant Le Quatre-Vingt-Dix, Pavillon La Laurentienne)
ASSET PRICING 2 REGULATION SPECIAL TOPICS 1 CLIMATE CHANGE AND FINANCE MUTUAL FUNDS 1 BANKING 1 REAL ESTATE FINANCE

Chair Marie-Claude Beaulieu Chair Philippe Bertrand Chair Didier Maillard Chair Jonathan Peillex Chair Lynda Khalaf Chair Patrick Roger Chair Alain Coen
(Université Laval, (AFFI's President, (Conservatoire National des Arts et (EMLV) (Carleton University) (EM Strasbourg, LaRGE) (ESG UQAM)
Conference Organizer) IAE d’Aix-en-Provence) Métiers, Amundi Asset Management)

Short-Term Momentum Could Chapter 11 Redeem Itself? Does the Skewness of the Degree Climate Risk and Capital Structure Representative Investors Versus European Actively Managed Funds Residential Real Estate Investment:
Authors: Mamdouh Medhat (Cass Wealth and Welfare Effects of the Distribution Affect the Outcomes in Authors: Quentin Moreau Best Clienteles: Performance in a New Regulatory Context: Scale Impact of Taxation and Risk Aversion
Business School), Maik Schmeling Redemption Option Agent Based Financial Markets? (Université Paris–Dauphine, PSL Evaluation Disagreement in Effects and Performance Dynamics on the Optimal Holding Period
(Goethe University Frankfurt) Authors: Pascal Francois Author: Souhir Masmoudi Research University), Edith Ginglinger Mutual Funds Authors: Veasna Khim (Université de Authors: Jean-Luc Prigent
(HEC Montréal), Amira Annabi (Université Jean Monnet) (Université Paris–Dauphine, PSL Authors: Stéphane Chrétien Lorraine), Hery Razafitombo (Universi- (Cergy-Pontoise), Charles-Olivier
Sponsored by Chaire RBC en innovations financières

(Manhattan College), Michèle Research University) (Université Laval), Manel Kammoun té de Lorraine) Amédée-Manesme (Université Laval),
Parallel Session 2 - 1:00 p.m. to 2:30 p.m.

In the memory of Georges Gallais-Hamonno

Breton (HEC Montréal) (Université du Québec en Outaouais) Fabrice Barthélémy (Versailles St

Quentin), Philippe Bertrand (Aix-
Marseille and Kedge BS)
Discussant: Gulten Mero Discussant: Franck Moraux Discussant: Federico Platania Discussant: Imane El Ouadghiri Discussant: Svetoslav Covachev Discussant: Anum Anum Discussant: Aya Nasreddine

Quarterly Seasonality and the International Financial Regu- A Comparative Analysis of the Committing to Widespread Investor Responses to Mutual Fund Market Discipline Through Credit Real Estate As a Common Risk Factor
Relative Performance of lation and Cross-Jurisdictional Financial Stress Indices in the GCC Disclosure of Carbon Impact Mergers: An Empirical Analysis of Ratings and Too-Big-to-Fail in the Financial Sector: International
Momentum Strategies Arbitrage: Evidence from the Region Author: Dhoha Trabelsi (ESCE French Bond Funds in Banking Evidence
Author: Jordan Moore (Rowan Derivatives Market Reform Author: Oussama Gafrej (University International Business School) Author: Linh Tran Dieu (University Authors: Florian Kiesel (Grenoble Authors: Alain Coën (Université du
University) Authors: Pauline Gandré (Universi- of SFAX) Claude Bernard Lyon 1) Ecole de Management), Sascha Kolaric Québec à Montréal), Benoît Carmichael
ty Paris Nanterre), Mike Mariathasan (TU Darmstadt), Steven Ongena (Université Laval)
(KU Leuven), Ouarda Merrouche (University of Zurich, Swiss Finance
(University Paris Nanterre), Steven Institute, KU Leuven and CEPR)
Ongena (University Zürich) Discussant: Charles-Olivier
Discussant: Mamdouh Medhat Discussant: Pascal Francois Discussant: Souhir Masmoudi Discussant: Quentin Moreau Discussant: Stéphane Chrétien Discussant: Veasna Khim Amédée-Manesme

Timing the Size Risk Premium Trade Credit Contracts: Design The Impact of External Conditions Environmental Concerns and Stock The Paradox of Closing Mutual Assessing the Influence of Human The Role of Housing in a Mixed-Asset
Authors: Gulten Mero (Université and Regulation on R&D Valuation Market Returns Funds to New Investors and Social Capital of Independent Portfolio: The Particular Case of Direct
de Cergy-Pontoise), Gaëlle Le Fol Authors: Franck Moraux (Univer- Authors: Federico Platania (Leonard Authors: Imane El Ouadghiri (Pôle Author: Svetoslav Covachev (ESSEC Directors on Risk-Taking in Housing Within the Greater Paris
(Université Paris-Dauphine), Serge sité de Rennes 1), Florina Raluca de Vinci Pole Universitaire), Marie Universitaire Léonard de Vinci) Business School) European Banks Region
Darolles (Université Paris- Silaghi (Universitat Autònoma de Lambert (University of Liege), Manuel Jonathan Peillex (EMLV) Authors: Anum Anum (IAE Paris, Authors: Aya Nasreddine
Dauphine) Barcelona) Moreno (Universidad de Castilla la Sorbonne Business School), Eric (Université Paris Nanterre), Yasmine
Mancha) Lamarque (IAE Paris, Sorbonne Essafi Zouari (Université Paris Dauphine),
Business School) Simon Arnaud (Université Paris Dauphine)
Discussant: Jordan Moore Discussant: Pauline Gandré Discussant: Oussama Gafrej Discussant: Dhoha Trabelsi Discussant: Linh Tran Dieu Discussant: Florian Kiesel Discussant: Alain Coën
2:30 p.m. to 3:00 p.m., Coffee Break (Atrium, First Floor)
FINANCE AND VOLATILITY 1 MUTUAL FUNDS 2 SPECIAL TOPICS 2 HIGH FREQUENCY TRADING CORPORATE SOCIAL RESPONSIBILITY FINANCIAL PROJECT MANAGEMENT UNIONIZATION AND FINANCE

Chair Carole Bernard Chair George Hübner Chair Jean-Luc Prigent Chair Patrice Fontaine Chair Annie Bellier Chair Philippe Grégoire Chair Michael Keefe
(Grenoble Ecole de Management (Liège University) (University of Cergy-Pontoise) (EUROFIDAI, CNRS) (Université de Cergy-Pontoise) (Université Laval) (Victoria University of Wellington)
and Vrije Universiteit Brussel)
Sponsored by EUROFIDAI and BEDOFIH

Option Greeks and Stock Return (Ab)Use of Complex Financial Game of Frauds Insider Trading Under a Corporate Social Responsibility and In Search of Optimal Financial Unionization and CEO Turnover
Predictability Instruments by Mutual Funds Author: Constance Microscope Financial Institutions Systemic Risk Disclosure Authors: Ligang Zhong (University of
Sponsored by Revue Assurances et gestion des risques

Author: Boris Fays (HEC Liège) Authors: Fabio Moneta (Queen’s Monnier-Schlumberger (Paris 1 Author: Andriy Shkilko (Wilfrid Author: Sonia Dissem Authors: Jie Dai (Saint Mary's Windsor), Nancy Ursel (University of
Parallel Session 3 - 3:00 p.m. to 4:30 p.m.

University), Paul Calluzzo, Selim Pantheon-Sorbonne) Laurier University) (University of Lille) University), Ping Zhang (University Windsor)
Discussant: Yannick Dillschneider Topaloglu (Queen’s University) of Toronto)
Discussant: François-Eric Racicot Discussant: Olga Pakulyak Discussant: Carole Metais Discussant: Aline Espinassouze Discussant: Philippe Gregoire Discussant: Fabien-Antoine Dugardin

Forecasting Market Index A Self-Exciting Model for Mutual Leverage Effect Puzzle: A Rational Order Placement Strategies in Investment Horizons of Institutional Crowdfunding Campaigns for Multi-Unionism and the
Sponsored by TMX

Volatility Using Ross-Recovered Fund Flows: Investor Behaviour and Explanation High-Frequency Markets Investors and Corporate Social Renewable Energy: Success Performance of Firms
Distributions Liability Risk Author: Andrey Pankratov (USI Author: Carole Metais (Institut Responsibility Factors Author: Fabien-Antoine Dugardin
Authors: Dominique Toupin Authors: Gaëlle le Fol (Université Lugano, Swiss Finance Institute) Europlace de Finance) Author: Li Zhang (Thompson Rivers Authors: Faten Ben Slimane (Université Paris-Dauphine)
(Université Laval), Marie-Hélène Paris-Dauphine), Serge Darolles (Univer- University) (Université Paris-Est Marne
Gagnon (Université Laval), Gabriel sité Paris-Dauphine), Yang Lu (Univer- La Vallée), Antoine Rousseau
Power (Université Laval) sité de Cergy-Pontoise), Theo Sun Discussant: Constance (Université Paris I)
Discussant: Boris Fays Discussant: Fabio Moneta Monnier-Schlumberger Discussant: Andriy Shkilko Discussant: Sonia Dissem Discussant: Jie Dai Discussant: Ligang Zhong

Ross Recovery in Pricing The Response of Hedge Fund Return The Term Structure of the French Profitability of the Investment in The Packaging of Infrastructure
Semigroups Higher Moments to Macroeconomic Nominal Government Debt the Corporate Social Responsibility Projects in a Competitive Bidding
Author: Yannick Dillschneider and Illiquidity Shocks Authors: Olga Pakulyak (University "CSR": Why and How? Environment
(Goethe University Frankfurt) Authors: Francois-Eric Racicot (Telfer of Rennes and CNRS), Olesya Authors: Annie Bellier (University of Author: Philippe Gregoire
School of Management, University Grishchenko (Federal Reserve Board), Cergy-Pontoise), Aline Espinassouze (Université Laval)
of Ottawa), Raymond Théoret (ESG- Franck Moraux (University of Rennes (University of Cergy-Pontoise)
UQAM), Greg N. Greogoriou (SUNY and CNRS)
Plattsburgh)
Discussant: Dominique Toupin Discussant: Gaëlle le Fol Discussant: Andrey Pankratov Discussant: Li Zhang Discussant: Faten Ben Slimane

7:00 p.m. - Gala Dinner at the Graduation Hall of the Séminaire de Québec

DAY 2 - Wednesday, June 19

ROOM 1307 ROOM 1317 ROOM 1325 ROOM 2307 ROOM 2317 ROOM 2327 ROOM 2213
7:30 a.m. to 8:30 a.m., Breakfast and Registration (Atrium, First Floor)
FINANCIAL ECONOMETRICS PORTFOLIO MANAGEMENT 2 CORPORATE FINANCE 2 POLITICAL RISK AND MERGERS AND ACQUISITIONS BANKING 2 INFORMATION AND FINANCE
INTERNATIONAL FINANCE
Chair Gaëlle Le Fol Chair François-Eric Racicot Chair Yousfi Ouidad Chair Marie-Hélène Gagnon Chair Aurélien Philippot Chair Ollivier Taramasco Chair Gulten Mero
(Paris Dauphine University) (Telfer Business School, (Université de Montpellier) (Université Laval) (Université Laval) (CERAG, University of (Université de Cergy-Pontoise)
Ottawa University) Grenoble Alpes)

Arbitrage Pricing, Weak Beta, Portfolio Optimization in the When in Rome, Do As the Locals: US Political Cycles and International Goodwill Impairment: A Tool for Increasing Profitability Through Abnormal Media Tone, Returns,
Strong Beta: Identification- Presence of Extreme Risks: Evidence from US Corporate Stock Returns Earnings Management? Contingent Convertible Capital. and Earnings Announcements
Sponsored by Salles des marchés Carmand-Normand et Jean-Turmel

Robust and Simultaneous A Pareto-Dirichlet Approach Misbehaviour Author: Hsuan Fu (Imperial College Authors: Amal Hsissou (University Empirical Evidence from European Authors: Keven Bluteau
Inference Authors: Xia Xu (EM Lyon Business Authors: Souad Lajili-Jarjir London) of Lille), Pascal Alphonse (University Banks (University of Neuchâtel), David
Authors: Lynda Khalaf (Carleton School), Olivier Le Courtois (EM Lyon (Université Paris-Est Creteil), Asad of Lille) Author: Matthias Petras (University Ardia (University of Neuchâtel),
Parallel Session 4 - 8:30 a.m. to 10:00 a.m.

University), Jean-Marie Dufour Business School) Ali-Rind (Université Paris-Est Creteil, of Cologne) Kris Boudt (Ghent University, Vrije
(McGill University), Marie-Claude France), Sabri Boubaker (South Universiteit Brussel)
Beaulieu (Université Laval) Champagne School of Management),
Khelifa Mazouz (Cardiff Business
School, Cardiff University) Discussant: Kilian Richard
Sponsored by CRÉFIR

Discussant: Serge Darolles Discussant: Alain Guéniche Discussant: Sélom Agbetonyo Discussant: Tran Thi Que Giang Discussant: Alain Coen Discussant: Philipp Klein Dinkelaker

Simple Estimators for Higher- Mental Accounts With Horizon and Do CEOs Increase Innovation Impact of the Brexit Vote CEO-CFO Educational Ties and Impact of the Shadow Banking When Machines Read the Web:
Order Stochastic Volatility Models Asymmetry Preferences Performance? Announcement on Long-Run Market Mergers and Acquisitions System on Banking Stability and Market Efficiency and Costly
and Forecasting Authors: Georges Hübner (Liège Authors: Yousfi Ouidad (Université Performance Authors: Timothée Waxin (Fédération Profitability: Evidence from Information Acquisition at the
Authors: Md Nazmul Ahsan (McGill University), Thomas Lejeune de Montpellier), Nadia Loukil (ISG Authors: Wael Bousselmi (University Bancaire Française), François Belot International Data Intraday Level
University), Jean-Marie Dufour (National Bank of Belgium) Bizerte, University of Carthage & FCF, of Paris-Saclay), Patrick Sentis (Université de Cergy-Pontoise) Authors: Philippe Madiès, Zeinab Said, Authors: Thomas Renault,
(McGill University) FSEG Tunis) (University of Montpellier), Marc (CERAG, University of Grenoble Alpes) Roland Gillet (Université Paris 1
Willinger (University of Montpellier) Ollivier Taramasco (CERAG, University Panthéon-Sorbonne)
of Grenoble Alpes)
Discussant: Lynda Khalaf Discussant: Xia Xu Discussant: Souad Lajili-Jarjir Discussant: Hsuan Fu Discussant: Amal Hsissou Discussant: Matthias Petras Discussant: Keven Bluteau

Bivariate INAR Processes with an Testing the CAPM Under Asymmetric Market Reactions to Cash Dividends Vietnam: The Dilemma of Bringing The Informational Dimensions of Transparency as a Remedy of Agency Client Satisfaction and Firm
Application to Mutual Fund Flows Information Announcements in Time of Crisis: Global Financial Standards to a the Amihud (2002) Illiquidity Mea- Problems in Securitization? The Performance: The Impact of
Authors: Serge Darolles, Gaëlle Le Authors: Alain Guéniche (Grenoble Evidence from French Stock Market Socialist Market Economy sure: Evidence from the M&A Market Case of ECB’s Loan-Level Reporting Social Media on Bank Branches
Fol (Université Paris-Dauphine), Alpes), Radu Burlacu (Grenoble Alpes), Authors: Sélom Agbetonyo (CREM / Authors: Tran Thi Que Giang Authors: Alain Coen (University of Initiative Author: Kilian Richard Dinkelaker
Yang Lu (University of Paris 13), Sonia Jimenez-Garcès (Grenoble University of Rennes 1), Jean-Laurent (Fulbright University Vietnam), Québec in Montréal), Hubert de La Authors: Philipp Klein, Carina (University of St.Gallen)
Ran Sun (Université Paris-Dauphine) Alpes) Viviani (CREM /University of Rennes 1) Tu-Anh Vu-Thanh (Fulbright University Bruslerie (Université Paris Dauphine) Mössinger (University of Muenster),
Vietnam) Andreas Pfingsten (University of
Discussant: Timothée Waxin Muenster)
Discussant: Md Nazmul Ahsan Discussant: Georges Hübner Discussant: Yousfi Ouidad Discussant: Wael Bousselmi Discussant: Ollivier Tamarasco Discussant: Thomas Renault
10:00 a.m. to 10:30 a.m., Coffee Break (Atrium, First Floor)

What Can We Learn from Crowdfunding Research? - Douglas Cumming

10:30 a.m. to 12:00 p.m. | Théâtre de la cité universitaire, First Floor
12:00 p.m. to 1:30 p.m., Lunch (Restaurant Le Quatre-Vingt-Dix, Pavillon La Laurentienne)
SYSTEMATIC RISK FINANCE AND VOLATILITY 2 ETHICS / GENDER DERIVATIVES 2 URBAN ECONOMICS CORRUPTION AND FINANCE RISK MODEL VALIDATION

Chair Philippe Grégoire Chair Gabriel Power Chair Andréanne Tremblay- Chair Franck Moraux Chair François Des Rosiers Chair Steven Li Chair Serge Darolles
(Université Laval) (Université Laval) Simard (Université Laval) (University of Rennes) (Université Laval) (RMIT University) (Paris-Dauphine University)

Untangling Systemic Risk in The Pricing of Market and Board Gender Diversity and the Model Specification and Time- The Impact of Exposure to Landslide Does Corruption Impact the De- Backtesting Expected Shortfall
Sponsored by Chaire iA Groupe Financier en assurance et services financiers

Financialised Commodity Markets Idiosyncratic Jump and Cost of Equity: From Tokenism to Varying Risk Premia: Evidence from Hazard on Property Values – The mand of Bankcredit? A Study of Via Multi-Quantile Regression
Author: Julien Ling (EDF Energy - Volatility Risks Critical Mass Spot and Option Markets Case of Saguenay, Québec, Canada Discouraged Borrowers in Asian Authors: Jérémy Leymarie (LEO -
Sponsored by Département de finance, assurance et immobilier

Finance for Energy Market Research Author: Frederik Middelhoff Authors: Nicolas Aubert (Aix- Authors: Chang Shu Chung (National Authors: François Des Rosiers Developing Countries University of Orléans), Ophélie
Centre) (University of Münster) Marseille University), Aitzaz Sarang Chengchi University), Ting Fu Chen (Université Laval), Bienvenu Tossou Author: Thi Le Giang Vu (Université Couperier (CREST - ENSAE)
Parallel Session 5 - 1:30 p.m. to 3:00 p.m.

(Aix-Marseille University), Xavier (Feng Chia University), Shih Kuei Lin (The Altus Group, Data Solutions, de Lille)
Hollandts (Kedge Business School) (National Chengchi University) Valuation & Advisory)
Discussant: Andréanne Discussant: Charles-Olivier
Discussant: Hamza El Khalloufi Discussant: Carolin Hartmann Tremblay-Simard Discussant: Nicolas Mauhé Amédée-Manesme Discussant: Vitali Alexeev Discussant: Daniel Platte
Sponsored by Banque de France

A Meta-Analysis of Systemic Risk Time-Varying Volatility Spillover Does Board Gender Diversity Jumps and the Correlation Risk The Geography of Housing Subsidies Portfolio Optimisation with Ordered Validity of Interest Rate Risk
Measures for Gauging Financial Between Chinese Fuel Oil and Influence Firm Profitability? Premium: Evidence from Equity Authors: Olivier Schöni (Université Data: Empirical Investigation of Measures in Stress Scenarios -
Stability Stock Index Futures Markets Based A Control Function Approach Options Laval), Yashar Blouri (University of Corruption-Conscious International A Simulation Approach
Authors: Jean-Charles Garibal on a DCC-GARCH Model with SNP Authors: Rey Dang (EM Strasbourg Authors: René Marian Flacke Bern), Simon Büchler (University Investment Authors: Daniel Platte (University
(University of Orleans), Massimiliano Approach  Business School, LaRGE, University (University of Münster), Nicole Branger of Bern) Authors: Vitali Alexeev (University of Muenster), Catharina Claußen
Caporin (University of Padua), Authors: Steven Li (RMIT University), of Strasbourg), L’Hocine Houanti (University of Münster), T. Frederik of Technology Sydney), Katja (University of Muenster)
Michele Costola (SAFE Goethe Yang Hou (University of Waikato), (La Rochelle Business School), Middelhoff (University of Münster) Ignatieva (University of New South
University Frankfurt), Bertrand Fenghua Wen (Central South Krishna Reddy (Toi Ohomai Wales), Francis Tapon (University of
Maillet (Emlyon Business School) University) Institute of Technology), Michel Guelph)
Simioni (INRA - UMR Montpellier)
Discussant: Julien Ling Discussant: Frederik Middelhoff Discussant: Nicolas Aubert Discussant: Chang Shu Chung Discussant: François Des Rosiers Discussant: Thi Le Giang Vu Discussant: Jérémy Leymarie

Is Monetary Policy a Source of Battle of Investors: Retail VS. Me Too: Does Workplace Sexual Systemic Failure in a Network of Canadian Housing Market A Resampling Method for
Systematic Illiquidity? Evidence Professional a Comparison of Harassment Hurt Firm Value? Derivative Contracts Integration Dynamic Quantile Models
from US Stock Market Implied Volatilities in Germany Authors: Andréanne Tremblay- Author: Nicolas Mauhé (University of Authors: Charles-Olivier Amédée- of Asset Returns
Authors: Hamza El Khalloufi Authors: Carolin Hartmann Simard Bordeaux) Manesme (Université Laval), François Author: Richard Luger
(University Paris 1 Panthéon- (University of Hohenheim), Patrick (Université Laval), Shiu-Yik Au Des Rosiers (Université Laval), Claude (Université Laval)
Sorbonne), Constantin Mellios (Uni- Roger (University of Strasbourg) (University of Manitoba), Ming Dong Denys Fluet (Université Laval), Isaora
versity Paris 1 Panthéon-Sorbonne) (York University) Zefania Dialahy (Université Laval)
Discussant: Jean-Charles Garibal Discussant: Steven Li Discussant: Rey Dang Discussant: René Marian Flacke Discussant: Olivier Schöni
3:00 p.m. to 3:20 p.m., Coffee Break (Atrium, First Floor)
FISCAL POLICY AND FINANCE DISCLOSURE POLICIES GOVERNANCE PRIVATE EQUITY/VENTURE CAPITAL 2 PORTFOLIO MANAGEMENT 3

Chair Gunther Capelle-Blancard Chair Patrick Münchhalfen Chair Jean Bédard Chair Donia Trabelsi Chair Jean-François Guimond
(University Paris 1 Panthéon- (University of Hagen) (Université Laval) (Institut Mines-Télécom Business (Université Laval)
Sorbonne, Labex Réfi & Paris School School)
of Business)

The Federal Tax Policy Uncertainty Disclosure Policies for the Issuer Does IFRS 9 increase Financial Investment Decisions and Exit Does It Pay to Invest in Japanese
Risk Premium: Evidence from Tax Estimated Value — Facts and Fiction Stability? Routes Under the Lens of the Real Women? Evidence from The MSCI
Sponsored by Chaire de recherche en gouvernance de sociétés

Credit Prices Authors: Patrick Münchhalfen Authors: Arndt-Gerrit Kund Options: A Comparison Between Japan Empowering Women Index
Authors: Pratish Patel (California (University of Hagen), Rainer Baule (University of Cologne), Daniel Corporate and Independent Venture Author: Jonathan Peillex (EMLV)
Rugilo (University of Cologne) Capital Funds
Parallel Session 6 - 3:20 p.m. to 4:50 p.m.

Polytechnic State University at San (University of Hagen), Christian

Luis Obispo), Bree Lang (University of Tallau (Münster University of Applied Author: Fatima Shuwaikh
California, Riverside) Sciences) (Paris-Sud University)
Discussant: Gunther Capelle-Blancard Discussant: Khaled Al Masri Discussant: Jérôme Deschênes Discussant: Donia Trabelsi Discussant: Jean-François Guimond

Market Reaction to the Financial Governance Constraint toward The Impact of Employee Stock Disentangling Crowdfunding from Asymmetric Jump Beta Estimation
Transaction Tax Adoption in Europe Ownership Structure and the Ownership and Board Fraudfunding with Implications for Portfolio Risk
Author: Ahmad Chokor Impact on CSR Performance in Representation on the Cost of Authors: Moein Karami (Concordia Management
(Université Grenoble Alpes) Cooperatives Banking Equity: French Firm’s Case University), Douglas Cumming (York Authors: Vitali Alexeev (University of
Author: Wanlapha Phraibueng Author: AbdelMehdi Ben University), Lars Hornuf (University of Technology Sydney), Giovanni Urga
(University of Montpellier) Abdelhamid (Université Clermont Bremen), Denis Schweizer (Concordia (Cass Business School), Wenying Yao
Auvergne) University) (Deakin University)
Discussant: Pratish Patel Discussant: Patrick Münchhalfen Discussant: Arndt-Gerrit Kund Discussant: Fatima Shuwaikh Discussant: Jonathan Peillex

Capital Gains Tax and Market Quality: The Rhetorical Strategies of Independent Directors and Venture Capital and Sequential Dynamic Asset Allocation with
Evidence from the Korean Derivatives Institutional Investors’ Legitimation Corporate Social Performance Investments: A Real Options Target Return Until Retirement
Market Author: Khaled Al Masri (University (CSP): An Ondividual Level Approach Author: Jean-François Guimond
Authors: Gunther Capelle-Blancard of Lille) Perspective Authors: Donia Trabelsi (Institut (Université Laval)
(University Paris 1 Panthéon-Sorbonne, Authors: Jérôme Deschênes, Mines-Télécom Business School),
Labex Réfi & Paris School of Business), Jean Bédard (Université Laval) Baran Siyahhan (Institut Mines-
Emna Khemakhem (University Paris 1 Télécom Business School)
Panthéon-Sorbonne)
Discussant: AbdelMehdi Ben
Discussant: Ahmad Chokor Discussant: Wanlapha Phraibueng Abdelhamid Discussant: Moein Karami Discussant: Vitali Alexeev

Enjoy your Conference

 DAY 1 - Tuesday, June 18
ROOM 1307 ROOM 1317 ROOM 1325 ROOM 2307 ROOM 2317 ROOM 2327 ROOM 2213
7:00 a.m. to 8:00 a.m., Breakfast and Registration (Atrium, First Floor)
ASSET PRICING 1 DERIVATIVES 1 HOUSEHOLD FINANCE INTERNATIONAL FINANCE PORTFOLIO MANAGEMENT 1 CORPORATE FINANCE 1 PRIVATE EQUITY/VENTURE CAPITAL 1

Chair Constantin Mellios Chair Pascal Francois Chair Stéphane Chrétien Chair Marie-Hélène Gagnon Chair Philippe Madiès Chair Francois Belot Chair Stéphanie Serve
(Université Paris I La Sorbonne) (HEC Montreal, Canadian (Université Laval) (Université Laval) (CERAG, University of (Université de Cergy-Pontoise – (IAE Gustave Eiffel, Université Paris
Derivatives Institute) Grenoble Alpes) THEMA) Est Créteil)

Sponsored by Chaire IG Gestion de patrimoine en planification financière

Hidden Predictability Index Option Anomalies: How Real Foreign Stock Investment and Culture, Industries and Capital Looking for the Tangent Portfolio: Corporate Propensity to Dissave The Effect of Policy Uncertainty on
Author: Tomas Fiala (USI Lugano & Are They? Sophistication of French Retail Structure Choice: International Risk Optimization Techniques on and Disinvestment Inertia VC Investments Around the World
Swiss Finance Institute) Author: Stylianos Perrakis Investors Evidence Equity Style Buckets Authors: Alexander Vadilyev Author: Romora Sitorus (University of
(Concordia University) Author: Hava Orkut Authors: Vipin Mogha (Université Authors: Marie Lambert (HEC Liège, (Australian National University, Oklahoma)
Parallel Session 1 - 8:00 a.m. to 9:30 a.m.

(Strasbourg University) Clermont Auvergne), Benjamin ULiège), Boris Fays (HEC Liège, University of British Columbia), Vikram
AFFI - Best thesis in Financial Williams (Université Clermont ULiège), Nicolas Papageorgiou (HEC Nanda (University of Texas at Dallas)
Discussant: Souleymane Markets Auvergne) Montréal)
Discussant: Denada Ibrushi Laminou Abdou Discussant: Didier Maillard Discussant: Fabio Moneta Discussant: Dominic Cervicek Discussant: François Belot Discussant: Stéphanie Serve

Active Factor Completion Strategies A Model Free Approach to Trading Leveraged ETFs Is National Culture and Default Risk: Optimal Asset Allocation and The Consequences of Data Breach The Impact of the Ability to
Authors: Harald Lohre (Invesco, EMP Multivariate Option Pricing Hazardous to Your Wealth International Evidence Consumption Under Market Disclosure Laws and Disclosed Leverage Investors’ Complementary
at Lancaster University Management Authors: Carole Bernard (Grenoble Authors: Patrick Roger Author: Sivathaasan Nadarajah Liquidity Risk Breaches on Corporate Cash Resources on Entrepreneurial
School), Hubert Dichtl (University of Ecole de Management and Vrije (EM Strasbourg, LaRGE), Catherine (Griffith University) Authors: Constantin Mellios (Uni- Holdings and Performance Company’s Innovation Output:
Hamburg), Wolfgang Drobetz (Uni- Universiteit Brussel), Oleg D'Hondt (Université Catholique versity Paris 1 Panthéon-Sorbonne), Author: Michael Keefe (Victoria Evidence From Biotech Corporate
versity of Hamburg), Carsten Rother Bondarenko (University of Illinois de Louvain), Richard McGowan Hamza El Khalloufi (University Paris 1 University of Wellington) Venture Capital-Backed Companies
(Invesco, University of Hamburg) at Chicago), Steven Vanduffel (Boston College), Laurent Deville Panthéon-Sorbonne) Authors: Fatima Shuwaikh (Paris-Sud
(Vrije Universiteit Brussel) (EDHEC Business School) University), Emmanuelle Dubocage
(Paris-Est Créteil)
Discussant: Tomas Fiala Discussant: Stylianos Perrakis Discussant: Hava Orkut Discussant: Vipin Mogha Discussant: Marie Lambert Discussant: Alexander Vadilyev Discussant: Romora Sitorus

Forecasting and Hedging Systematic American Step Options Residential Real Estate in an Inflation Risk Premia and Foreign Score-Based Portfolio Choice Encouraging Long-Term Share- Performance of Government Venture
Risk Authors: Souleymane Laminou Asset Allocation Exchange Rates Authors: Dominic Cervicek (Vienna Holders: The Effects of Loyalty Capital (GVC): An Asian Perspective
Authors: Denada Ibrushi (St. Mary's Abdou (Boston University), Franck Author: Didier Maillard Authors: Fabio Moneta (Queen's University of Technology), Thomas Shares With Double Voting Rights Authors: Stéphanie Serve (Université
University), Tolga Cenesizoglu (HEC Moraux (University of Rennes), (Conservatoire national des arts University), Daehwan Kim (Konkuk Dangl (Vienna University Authors: François Belot (Université Paris-Est Créteil), Iqbal Muhammad
Montreal) Jerome Detemple (Boston University) et métiers) University) of Technology) de Cergy-Pontoise), Edith Ginglinger (Université Paris-Est Créteil)
(Université Paris Dauphine), Laura
Starks (University of Texas at Austin)
Discussant: Harald Lohre Discussant: Carole Bernard Discussant: Patrick Roger Discussant: Sivathaasan Nadarajah Discussant: Constantin Mellios Discussant: Michael Keefe Discussant: Fatima Shuwaikh

9:30 a.m. to 10:00 a.m., Coffee Break (Atrium, First Floor)

Welcome Address
10:00 a.m. to 10:15 a.m. | Théâtre de la cité universitaire, First Floor

Skill and Fees in Active Management - Robert Stambaugh

10:15 a.m. to 11:45 a.m. | Théâtre de la cité universitaire, First Floor
11:45 a.m. to 1:00 p.m., Lunch (Restaurant Le Quatre-Vingt-Dix, Pavillon La Laurentienne)
ASSET PRICING 2 REGULATION SPECIAL TOPICS 1 CLIMATE CHANGE AND FINANCE MUTUAL FUNDS 1 BANKING 1 REAL ESTATE FINANCE

Chair Marie-Claude Beaulieu Chair Philippe Bertrand Chair Didier Maillard Chair Jonathan Peillex Chair Lynda Khalaf Chair Patrick Roger Chair Alain Coen
(Université Laval, (AFFI's President, (Conservatoire National des Arts et (EMLV) (Carleton University) (EM Strasbourg, LaRGE) (ESG UQAM)
Conference Organizer) IAE d’Aix-en-Provence) Métiers, Amundi Asset Management)

Short-Term Momentum Could Chapter 11 Redeem Itself? Does the Skewness of the Degree Climate Risk and Capital Structure Representative Investors Versus European Actively Managed Funds Residential Real Estate Investment:
Authors: Mamdouh Medhat (Cass Wealth and Welfare Effects of the Distribution Affect the Outcomes in Authors: Quentin Moreau Best Clienteles: Performance in a New Regulatory Context: Scale Impact of Taxation and Risk Aversion
Business School), Maik Schmeling Redemption Option Agent Based Financial Markets? (Université Paris–Dauphine, PSL Evaluation Disagreement in Effects and Performance Dynamics on the Optimal Holding Period
(Goethe University Frankfurt) Authors: Pascal Francois Author: Souhir Masmoudi Research University), Edith Ginglinger Mutual Funds Authors: Veasna Khim (Université de Authors: Jean-Luc Prigent
(HEC Montréal), Amira Annabi (Université Jean Monnet) (Université Paris–Dauphine, PSL Authors: Stéphane Chrétien Lorraine), Hery Razafitombo (Universi- (Cergy-Pontoise), Charles-Olivier
Sponsored by Chaire RBC en innovations financières

(Manhattan College), Michèle Research University) (Université Laval), Manel Kammoun té de Lorraine) Amédée-Manesme (Université Laval),
Parallel Session 2 - 1:00 p.m. to 2:30 p.m.

In the memory of Georges Gallais-Hamonno

Breton (HEC Montréal) (Université du Québec en Outaouais) Fabrice Barthélémy (Versailles St

Quentin), Philippe Bertrand (Aix-
Marseille and Kedge BS)
Discussant: Gulten Mero Discussant: Franck Moraux Discussant: Federico Platania Discussant: Imane El Ouadghiri Discussant: Svetoslav Covachev Discussant: Anum Anum Discussant: Aya Nasreddine

Quarterly Seasonality and the International Financial Regu- A Comparative Analysis of the Committing to Widespread Investor Responses to Mutual Fund Market Discipline Through Credit Real Estate As a Common Risk Factor
Relative Performance of lation and Cross-Jurisdictional Financial Stress Indices in the GCC Disclosure of Carbon Impact Mergers: An Empirical Analysis of Ratings and Too-Big-to-Fail in the Financial Sector: International
Momentum Strategies Arbitrage: Evidence from the Region Author: Dhoha Trabelsi (ESCE French Bond Funds in Banking Evidence
Author: Jordan Moore (Rowan Derivatives Market Reform Author: Oussama Gafrej (University International Business School) Author: Linh Tran Dieu (University Authors: Florian Kiesel (Grenoble Authors: Alain Coën (Université du
University) Authors: Pauline Gandré (Universi- of SFAX) Claude Bernard Lyon 1) Ecole de Management), Sascha Kolaric Québec à Montréal), Benoît Carmichael
ty Paris Nanterre), Mike Mariathasan (TU Darmstadt), Steven Ongena (Université Laval)
(KU Leuven), Ouarda Merrouche (University of Zurich, Swiss Finance
(University Paris Nanterre), Steven Institute, KU Leuven and CEPR)
Ongena (University Zürich) Discussant: Charles-Olivier
Discussant: Mamdouh Medhat Discussant: Pascal Francois Discussant: Souhir Masmoudi Discussant: Quentin Moreau Discussant: Stéphane Chrétien Discussant: Veasna Khim Amédée-Manesme

Timing the Size Risk Premium Trade Credit Contracts: Design The Impact of External Conditions Environmental Concerns and Stock The Paradox of Closing Mutual Assessing the Influence of Human The Role of Housing in a Mixed-Asset
Authors: Gulten Mero (Université and Regulation on R&D Valuation Market Returns Funds to New Investors and Social Capital of Independent Portfolio: The Particular Case of Direct
de Cergy-Pontoise), Gaëlle Le Fol Authors: Franck Moraux (Univer- Authors: Federico Platania (Leonard Authors: Imane El Ouadghiri (Pôle Author: Svetoslav Covachev (ESSEC Directors on Risk-Taking in Housing Within the Greater Paris
(Université Paris-Dauphine), Serge sité de Rennes 1), Florina Raluca de Vinci Pole Universitaire), Marie Universitaire Léonard de Vinci) Business School) European Banks Region
Darolles (Université Paris- Silaghi (Universitat Autònoma de Lambert (University of Liege), Manuel Jonathan Peillex (EMLV) Authors: Anum Anum (IAE Paris, Authors: Aya Nasreddine
Dauphine) Barcelona) Moreno (Universidad de Castilla la Sorbonne Business School), Eric (Université Paris Nanterre), Yasmine
Mancha) Lamarque (IAE Paris, Sorbonne Essafi Zouari (Université Paris Dauphine),
Business School) Simon Arnaud (Université Paris Dauphine)
Discussant: Jordan Moore Discussant: Pauline Gandré Discussant: Oussama Gafrej Discussant: Dhoha Trabelsi Discussant: Linh Tran Dieu Discussant: Florian Kiesel Discussant: Alain Coën
2:30 p.m. to 3:00 p.m., Coffee Break (Atrium, First Floor)
FINANCE AND VOLATILITY 1 MUTUAL FUNDS 2 SPECIAL TOPICS 2 HIGH FREQUENCY TRADING CORPORATE SOCIAL RESPONSIBILITY FINANCIAL PROJECT MANAGEMENT UNIONIZATION AND FINANCE

Chair Carole Bernard Chair George Hübner Chair Jean-Luc Prigent Chair Patrice Fontaine Chair Annie Bellier Chair Philippe Grégoire Chair Michael Keefe
(Grenoble Ecole de Management (Liège University) (University of Cergy-Pontoise) (EUROFIDAI, CNRS) (Université de Cergy-Pontoise) (Université Laval) (Victoria University of Wellington)
and Vrije Universiteit Brussel)
Sponsored by EUROFIDAI and BEDOFIH

Option Greeks and Stock Return (Ab)Use of Complex Financial Game of Frauds Insider Trading Under a Corporate Social Responsibility and In Search of Optimal Financial Unionization and CEO Turnover
Predictability Instruments by Mutual Funds Author: Constance Microscope Financial Institutions Systemic Risk Disclosure Authors: Ligang Zhong (University of
Sponsored by Revue Assurances et gestion des risques

Author: Boris Fays (HEC Liège) Authors: Fabio Moneta (Queen’s Monnier-Schlumberger (Paris 1 Author: Andriy Shkilko (Wilfrid Author: Sonia Dissem Authors: Jie Dai (Saint Mary's Windsor), Nancy Ursel (University of
Parallel Session 3 - 3:00 p.m. to 4:30 p.m.

University), Paul Calluzzo, Selim Pantheon-Sorbonne) Laurier University) (University of Lille) University), Ping Zhang (University Windsor)
Discussant: Yannick Dillschneider Topaloglu (Queen’s University) of Toronto)
Discussant: François-Eric Racicot Discussant: Olga Pakulyak Discussant: Carole Metais Discussant: Aline Espinassouze Discussant: Philippe Gregoire Discussant: Fabien-Antoine Dugardin

Forecasting Market Index A Self-Exciting Model for Mutual Leverage Effect Puzzle: A Rational Order Placement Strategies in Investment Horizons of Institutional Crowdfunding Campaigns for Multi-Unionism and the
Sponsored by TMX

Volatility Using Ross-Recovered Fund Flows: Investor Behaviour and Explanation High-Frequency Markets Investors and Corporate Social Renewable Energy: Success Performance of Firms
Distributions Liability Risk Author: Andrey Pankratov (USI Author: Carole Metais (Institut Responsibility Factors Author: Fabien-Antoine Dugardin
Authors: Dominique Toupin Authors: Gaëlle le Fol (Université Lugano, Swiss Finance Institute) Europlace de Finance) Author: Li Zhang (Thompson Rivers Authors: Faten Ben Slimane (Université Paris-Dauphine)
(Université Laval), Marie-Hélène Paris-Dauphine), Serge Darolles (Univer- University) (Université Paris-Est Marne
Gagnon (Université Laval), Gabriel sité Paris-Dauphine), Yang Lu (Univer- La Vallée), Antoine Rousseau
Power (Université Laval) sité de Cergy-Pontoise), Theo Sun Discussant: Constance (Université Paris I)
Discussant: Boris Fays Discussant: Fabio Moneta Monnier-Schlumberger Discussant: Andriy Shkilko Discussant: Sonia Dissem Discussant: Jie Dai Discussant: Ligang Zhong

Ross Recovery in Pricing The Response of Hedge Fund Return The Term Structure of the French Profitability of the Investment in The Packaging of Infrastructure
Semigroups Higher Moments to Macroeconomic Nominal Government Debt the Corporate Social Responsibility Projects in a Competitive Bidding
Author: Yannick Dillschneider and Illiquidity Shocks Authors: Olga Pakulyak (University "CSR": Why and How? Environment
(Goethe University Frankfurt) Authors: Francois-Eric Racicot (Telfer of Rennes and CNRS), Olesya Authors: Annie Bellier (University of Author: Philippe Gregoire
School of Management, University Grishchenko (Federal Reserve Board), Cergy-Pontoise), Aline Espinassouze (Université Laval)
of Ottawa), Raymond Théoret (ESG- Franck Moraux (University of Rennes (University of Cergy-Pontoise)
UQAM), Greg N. Greogoriou (SUNY and CNRS)
Plattsburgh)
Discussant: Dominique Toupin Discussant: Gaëlle le Fol Discussant: Andrey Pankratov Discussant: Li Zhang Discussant: Faten Ben Slimane

7:00 p.m. - Gala Dinner at the Graduation Hall of the Séminaire de Québec

DAY 2 - Wednesday, June 19

ROOM 1307 ROOM 1317 ROOM 1325 ROOM 2307 ROOM 2317 ROOM 2327 ROOM 2213
7:30 a.m. to 8:30 a.m., Breakfast and Registration (Atrium, First Floor)
FINANCIAL ECONOMETRICS PORTFOLIO MANAGEMENT 2 CORPORATE FINANCE 2 POLITICAL RISK AND MERGERS AND ACQUISITIONS BANKING 2 INFORMATION AND FINANCE
INTERNATIONAL FINANCE
Chair Gaëlle Le Fol Chair François-Eric Racicot Chair Yousfi Ouidad Chair Marie-Hélène Gagnon Chair Aurélien Philippot Chair Ollivier Taramasco Chair Gulten Mero
(Paris Dauphine University) (Telfer Business School, (Université de Montpellier) (Université Laval) (Université Laval) (CERAG, University of (Université de Cergy-Pontoise)
Ottawa University) Grenoble Alpes)

Arbitrage Pricing, Weak Beta, Portfolio Optimization in the When in Rome, Do As the Locals: US Political Cycles and International Goodwill Impairment: A Tool for Increasing Profitability Through Abnormal Media Tone, Returns,
Strong Beta: Identification- Presence of Extreme Risks: Evidence from US Corporate Stock Returns Earnings Management? Contingent Convertible Capital. and Earnings Announcements
Sponsored by Salles des marchés Carmand-Normand et Jean-Turmel

Robust and Simultaneous A Pareto-Dirichlet Approach Misbehaviour Author: Hsuan Fu (Imperial College Authors: Amal Hsissou (University Empirical Evidence from European Authors: Keven Bluteau
Inference Authors: Xia Xu (EM Lyon Business Authors: Souad Lajili-Jarjir London) of Lille), Pascal Alphonse (University Banks (University of Neuchâtel), David
Authors: Lynda Khalaf (Carleton School), Olivier Le Courtois (EM Lyon (Université Paris-Est Creteil), Asad of Lille) Author: Matthias Petras (University Ardia (University of Neuchâtel),
Parallel Session 4 - 8:30 a.m. to 10:00 a.m.

University), Jean-Marie Dufour Business School) Ali-Rind (Université Paris-Est Creteil, of Cologne) Kris Boudt (Ghent University, Vrije
(McGill University), Marie-Claude France), Sabri Boubaker (South Universiteit Brussel)
Beaulieu (Université Laval) Champagne School of Management),
Khelifa Mazouz (Cardiff Business
School, Cardiff University) Discussant: Kilian Richard
Sponsored by CRÉFIR

Discussant: Serge Darolles Discussant: Alain Guéniche Discussant: Sélom Agbetonyo Discussant: Tran Thi Que Giang Discussant: Aurélien Philippot Discussant: Philipp Klein Dinkelaker

Simple Estimators for Higher- Mental Accounts With Horizon and Do CEOs Increase Innovation Impact of the Brexit Vote CEO-CFO Educational Ties and Impact of the Shadow Banking When Machines Read the Web:
Order Stochastic Volatility Models Asymmetry Preferences Performance? Announcement on Long-Run Market Mergers and Acquisitions System on Banking Stability and Market Efficiency and Costly
and Forecasting Authors: Georges Hübner (Liège Authors: Yousfi Ouidad (Université Performance Authors: Timothée Waxin (Fédération Profitability: Evidence from Information Acquisition at the
Authors: Md Nazmul Ahsan (McGill University), Thomas Lejeune de Montpellier), Nadia Loukil (ISG Authors: Wael Bousselmi (University Bancaire Française), François Belot International Data Intraday Level
University), Jean-Marie Dufour (National Bank of Belgium) Bizerte, University of Carthage & FCF, of Paris-Saclay), Patrick Sentis (Université de Cergy-Pontoise) Authors: Philippe Madiès, Zeinab Said, Authors: Thomas Renault,
(McGill University) FSEG Tunis) (University of Montpellier), Marc (CERAG, University of Grenoble Alpes) Roland Gillet (Université Paris 1
Willinger (University of Montpellier) Ollivier Taramasco (CERAG, University Panthéon-Sorbonne)
of Grenoble Alpes)
Discussant: Lynda Khalaf Discussant: Xia Xu Discussant: Souad Lajili-Jarjir Discussant: Hsuan Fu Discussant: Amal Hsissou Discussant: Matthias Petras Discussant: Keven Bluteau

Bivariate INAR Processes with an Testing the CAPM Under Asymmetric Market Reactions to Cash Dividends Vietnam: The Dilemma of Bringing The Informational Dimensions of Transparency as a Remedy of Agency Client Satisfaction and Firm
Application to Mutual Fund Flows Information Announcements in Time of Crisis: Global Financial Standards to a the Amihud (2002) Illiquidity Mea- Problems in Securitization? The Performance: The Impact of
Authors: Serge Darolles, Gaëlle Le Authors: Alain Guéniche (Grenoble Evidence from French Stock Market Socialist Market Economy sure: Evidence from the M&A Market Case of ECB’s Loan-Level Reporting Social Media on Bank Branches
Fol (Université Paris-Dauphine), Alpes), Radu Burlacu (Grenoble Alpes), Authors: Sélom Agbetonyo (CREM / Authors: Tran Thi Que Giang Authors: Alain Coen (University of Initiative Author: Kilian Richard Dinkelaker
Yang Lu (University of Paris 13), Sonia Jimenez-Garcès (Grenoble University of Rennes 1), Jean-Laurent (Fulbright University Vietnam), Québec in Montréal), Hubert de La Authors: Philipp Klein, Carina (University of St.Gallen)
Ran Sun (Université Paris-Dauphine) Alpes) Viviani (CREM /University of Rennes 1) Tu-Anh Vu-Thanh (Fulbright University Bruslerie (Université Paris Dauphine) Mössinger (University of Muenster),
Vietnam) Andreas Pfingsten (University of
Muenster)
Discussant: Md Nazmul Ahsan Discussant: Georges Hübner Discussant: Yousfi Ouidad Discussant: Wael Bousselmi Discussant: Timothée Waxin Discussant: Ollivier Tamarasco Discussant: Thomas Renault
10:00 a.m. to 10:30 a.m., Coffee Break (Atrium, First Floor)

What Can We Learn from Crowdfunding Research? - Douglas Cumming

10:30 a.m. to 12:00 p.m. | Théâtre de la cité universitaire, First Floor
12:00 p.m. to 1:30 p.m., Lunch (Restaurant Le Quatre-Vingt-Dix, Pavillon La Laurentienne)
SYSTEMATIC RISK FINANCE AND VOLATILITY 2 ETHICS / GENDER DERIVATIVES 2 URBAN ECONOMICS CORRUPTION AND FINANCE RISK MODEL VALIDATION

Chair Philippe Grégoire Chair Gabriel Power Chair Andréanne Tremblay- Chair Franck Moraux Chair François Des Rosiers Chair Steven Li Chair Serge Darolles
(Université Laval) (Université Laval) Simard (Université Laval) (University of Rennes) (Université Laval) (RMIT University) (Paris-Dauphine University)

Untangling Systemic Risk in The Pricing of Market and Board Gender Diversity and the Model Specification and Time- The Impact of Exposure to Landslide Does Corruption Impact the De- Backtesting Expected Shortfall
Sponsored by Chaire iA Groupe Financier en assurance et services financiers

Financialised Commodity Markets Idiosyncratic Jump and Cost of Equity: From Tokenism to Varying Risk Premia: Evidence from Hazard on Property Values – The mand of Bankcredit? A Study of Via Multi-Quantile Regression
Author: Julien Ling (EDF Energy - Volatility Risks Critical Mass Spot and Option Markets Case of Saguenay, Québec, Canada Discouraged Borrowers in Asian Authors: Jérémy Leymarie (LEO -
Sponsored by Département de finance, assurance et immobilier

Finance for Energy Market Research Author: Frederik Middelhoff Authors: Nicolas Aubert (Aix- Authors: Chang Shu Chung (National Authors: François Des Rosiers Developing Countries University of Orléans), Ophélie
Centre) (University of Münster) Marseille University), Aitzaz Sarang Chengchi University), Ting Fu Chen (Université Laval), Bienvenu Tossou Author: Thi Le Giang Vu (Université Couperier (CREST - ENSAE)
Parallel Session 5 - 1:30 p.m. to 3:00 p.m.

(Aix-Marseille University), Xavier (Feng Chia University), Shih Kuei Lin (The Altus Group, Data Solutions, de Lille)
Hollandts (Kedge Business School) (National Chengchi University) Valuation & Advisory)
Discussant: Andréanne Discussant: Charles-Olivier
Discussant: Hamza El Khalloufi Discussant: Carolin Hartmann Tremblay-Simard Discussant: Nicolas Mauhé Amédée-Manesme Discussant: Vitali Alexeev Discussant: Daniel Platte
Sponsored by Banque de France

A Meta-Analysis of Systemic Risk Time-Varying Volatility Spillover Does Board Gender Diversity Jumps and the Correlation Risk The Geography of Housing Subsidies Portfolio Optimisation with Ordered Validity of Interest Rate Risk
Measures for Gauging Financial Between Chinese Fuel Oil and Influence Firm Profitability? Premium: Evidence from Equity Authors: Olivier Schöni (Université Data: Empirical Investigation of Measures in Stress Scenarios -
Stability Stock Index Futures Markets Based A Control Function Approach Options Laval), Yashar Blouri (University of Corruption-Conscious International A Simulation Approach
Authors: Jean-Charles Garibal on a DCC-GARCH Model with SNP Authors: Rey Dang (EM Strasbourg Authors: René Marian Flacke Bern), Simon Büchler (University Investment Authors: Daniel Platte (University
(University of Orleans), Massimiliano Approach  Business School, LaRGE, University (University of Münster), Nicole Branger of Bern) Authors: Vitali Alexeev (University of Muenster), Catharina Claußen
Caporin (University of Padua), Authors: Steven Li (RMIT University), of Strasbourg), L’Hocine Houanti (University of Münster), T. Frederik of Technology Sydney), Katja (University of Muenster)
Michele Costola (SAFE Goethe Yang Hou (University of Waikato), (La Rochelle Business School), Middelhoff (University of Münster) Ignatieva (University of New South
University Frankfurt), Bertrand Fenghua Wen (Central South Krishna Reddy (Toi Ohomai Wales), Francis Tapon (University of
Maillet (Emlyon Business School) University) Institute of Technology), Michel Guelph)
Simioni (INRA - UMR Montpellier)
Discussant: Julien Ling Discussant: Frederik Middelhoff Discussant: Nicolas Aubert Discussant: Chang Shu Chung Discussant: François Des Rosiers Discussant: Thi Le Giang Vu Discussant: Jérémy Leymarie

Is Monetary Policy a Source of Battle of Investors: Retail VS. Me Too: Does Workplace Sexual Systemic Failure in a Network of Canadian Housing Market A Resampling Method for
Systematic Illiquidity? Evidence Professional a Comparison of Harassment Hurt Firm Value? Derivative Contracts Integration Dynamic Quantile Models
from US Stock Market Implied Volatilities in Germany Authors: Andréanne Tremblay- Author: Nicolas Mauhé (University of Authors: Charles-Olivier Amédée- of Asset Returns
Authors: Hamza El Khalloufi Authors: Carolin Hartmann Simard Bordeaux) Manesme (Université Laval), François Author: Richard Luger
(University Paris 1 Panthéon- (University of Hohenheim), Patrick (Université Laval), Shiu-Yik Au Des Rosiers (Université Laval), Claude (Université Laval)
Sorbonne), Constantin Mellios (Uni- Roger (University of Strasbourg) (University of Manitoba), Ming Dong Denys Fluet (Université Laval), Isaora
versity Paris 1 Panthéon-Sorbonne) (York University) Zefania Dialahy (Université Laval)
Discussant: Jean-Charles Garibal Discussant: Steven Li Discussant: Rey Dang Discussant: René Marian Flacke Discussant: Olivier Schöni
3:00 p.m. to 3:20 p.m., Coffee Break (Atrium, First Floor)
FISCAL POLICY AND FINANCE DISCLOSURE POLICIES GOVERNANCE PRIVATE EQUITY/VENTURE CAPITAL 2 PORTFOLIO MANAGEMENT 3

Chair Gunther Capelle-Blancard Chair Patrick Münchhalfen Chair Jean Bédard Chair Donia Trabelsi Chair Jean-François Guimond
(University Paris 1 Panthéon- (University of Hagen) (Université Laval) (Institut Mines-Télécom Business (Université Laval)
Sorbonne, Labex Réfi & Paris School School)
of Business)

The Federal Tax Policy Uncertainty Disclosure Policies for the Issuer Does IFRS 9 increase Financial Investment Decisions and Exit Does It Pay to Invest in Japanese
Risk Premium: Evidence from Tax Estimated Value — Facts and Fiction Stability? Routes Under the Lens of the Real Women? Evidence from The MSCI
Sponsored by Chaire de recherche en gouvernance de sociétés

Credit Prices Authors: Patrick Münchhalfen Authors: Arndt-Gerrit Kund Options: A Comparison Between Japan Empowering Women Index
Authors: Pratish Patel (California (University of Hagen), Rainer Baule (University of Cologne), Daniel Corporate and Independent Venture Author: Jonathan Peillex (EMLV)
Rugilo (University of Cologne) Capital Funds
Parallel Session 6 - 3:20 p.m. to 4:50 p.m.

Polytechnic State University at San (University of Hagen), Christian

Luis Obispo), Bree Lang (University of Tallau (Münster University of Applied Author: Fatima Shuwaikh
California, Riverside) Sciences) (Paris-Sud University)
Discussant: Gunther Capelle-Blancard Discussant: Khaled Al Masri Discussant: Jérôme Deschênes Discussant: Donia Trabelsi Discussant: Jean-François Guimond

Market Reaction to the Financial Governance Constraint toward The Impact of Employee Stock Disentangling Crowdfunding from Asymmetric Jump Beta Estimation
Transaction Tax Adoption in Europe Ownership Structure and the Ownership and Board Fraudfunding with Implications for Portfolio Risk
Author: Ahmad Chokor Impact on CSR Performance in Representation on the Cost of Authors: Moein Karami (Concordia Management
(Université Grenoble Alpes) Cooperatives Banking Equity: French Firm’s Case University), Douglas Cumming (York Authors: Vitali Alexeev (University of
Author: Wanlapha Phraibueng Author: AbdelMehdi Ben University), Lars Hornuf (University of Technology Sydney), Giovanni Urga
(University of Montpellier) Abdelhamid (Université Clermont Bremen), Denis Schweizer (Concordia (Cass Business School), Wenying Yao
Auvergne) University) (Deakin University)
Discussant: Pratish Patel Discussant: Patrick Münchhalfen Discussant: Arndt-Gerrit Kund Discussant: Fatima Shuwaikh Discussant: Jonathan Peillex

Capital Gains Tax and Market Quality: The Rhetorical Strategies of Independent Directors and Venture Capital and Sequential Dynamic Asset Allocation with
Evidence from the Korean Derivatives Institutional Investors’ Legitimation Corporate Social Performance Investments: A Real Options Target Return Until Retirement
Market Author: Khaled Al Masri (University (CSP): An Ondividual Level Approach Author: Jean-François Guimond
Authors: Gunther Capelle-Blancard of Lille) Perspective Authors: Donia Trabelsi (Institut (Université Laval)
(University Paris 1 Panthéon-Sorbonne, Authors: Jérôme Deschênes, Mines-Télécom Business School),
Labex Réfi & Paris School of Business), Jean Bédard (Université Laval) Baran Siyahhan (Institut Mines-
Emna Khemakhem (University Paris 1 Télécom Business School)
Panthéon-Sorbonne)
Discussant: AbdelMehdi Ben
Discussant: Ahmad Chokor Discussant: Wanlapha Phraibueng Abdelhamid Discussant: Moein Karami Discussant: Vitali Alexeev

Enjoy your Conference

ROBERT STAMBAUGH DOUGLAS CUMMING
Robert Stambaugh, PhD, is the Miller Anderson & Sherrerd Professor of Finance at the Wharton Douglas Cumming, J.D., Ph.D., CFA, is the DeSantis Distinguished Professor of Finance and
School of the University of Pennsylvania. Before joining Wharton in 1988, he was Professor of Entrepreneurship at Florida Atlantic University College of Business. He is the Managing Editor-in-Chief
Finance at the University of Chicago, where he received his PhD in 1981. Professor Stambaugh of the Journal of Corporate Finance, the Founding Editor of Annals of Corporate Governance, and a
visited Harvard University as a Marvin Bower Fellow in 1997-1998. He is a Fellow and former former Co-Editor of Finance Research Letters and Entrepreneurship Theory and Practice. He is
President of the American Finance Association, a Fellow of the Financial Management Association, currently serving as an Associate Editor for numerous academic journals and is the Editor of the Oxford
and a Research Associate of the National Bureau of Economic Research. Handbook of Entrepreneurial Finance (Oxford University Press, 2013), the Oxford Handbook of Private
Equity (Oxford University Press, 2013), the Oxford Handbook of Venture Capital (Oxford University Press,
Professor Stambaugh has been the Editor of the Journal of Finance and of the Review of Financial 2013), the Oxford Handbook of Sovereign Wealth Funds (Oxford University Press, 2017), and the Oxford
Studies, an Associate Editor of those journals as well as the Journal of Financial Economics, and a Handbook of IPOs (Oxford University Press, forthcoming 2018).
member of the first Editorial Committee of the Annual Review of Financial Economics. He has pub-
lished several articles on topics including return predictability, asset pricing tests, portfolio choice, Professor Cumming has published over 150 articles in leading refereed academic journals in finance,
parameter uncertainty, liquidity risk, volatility, performance evaluation, investor sentiment, and management, and law and economics, such as the Academy of Management Journal, Journal of
active-versus-passive investing. His research awards include a Smith-Breeden First Prize for an Financial Economics, Review of Financial Studies and Journal of International Business Studies. His
article in the Journal of Finance as well as a Fama-DFA First Prize and three Second Prizes for work has been reviewed in numerous media outlets, including The Economist, The New York Times,
articles in the Journal of Financial Economics. the Wall Street Journal, the Globe and Mail, and The New Yorker. In addition, he has published
18 academic books.
Day 1, Tuesday, June 18 Day 2, Wednesday, June 19
10:15 a.m. to 11:45 a.m. 10:30 a.m. to 12:00 p.m.
Théatre de la cité universitaire Théatre de la cité universitaire
Skill and Fees in Active Management What Can We Learn from Crowdfunding Research?
Special Thanks to AFFI 2019 Sponsors
Chaire iA Groupe Financier en assurance et services financiers
Chaire IG Gestion de patrimoine en planification financière
Chaire RBC en innovations financières
Chaire de recherche en gouvernance de sociétés
Département de finance, assurance et immobilier
Salles des marchés Carmand-Normand et Jean-Turmel
General Assembly of the AFFI (Room 1317) 5:15 p.m. to 6:30 p.m.
20, rue Port-Dauphin, Québec G1R 4R7 Parallel Session 6 3:20 p.m. to 4:50 p.m.
Graduation Hall Coffee Break 3:00 p.m. to 3:20 p.m.
Parallel Session 5 1:30 p.m. to 3:00 p.m.
creative genius of architect Georges-Émile Tanguay. Lunch 12:00 p.m. to 1:30 p.m.
the Graduation Hall, whose remarkable decor reflects the Keynote Speaker 10:30 a.m. to 12:00 p.m.
culture in the Americas. This majestic building contains Coffee Break 10:00 a.m. to 10:30 a.m.
Second Empire style and celebrate the influence of French Parallel Session 4 8:30 a.m. to 10:00 a.m.
Joseph-Ferdinand Peachy and added in 1875, define its Breakfast and Registration 7:30 a.m. to 8:30 a.m.
emblematic lanterns and mansard roof, designed by
Camille Roy, an eminent Rector of Université Laval. The DAY 2 - Wednesday, June 19
began in 1854. It was recently renamed in honour of
The construction of the central building for Université Laval
Hall has transcended time and creates a lasting impression.
official ceremonies to mark the life of the university, the
dazzles visitors with its intricate design. Formerly used for
magnificent salle des Promotions or Graduation Hall
Located discretely within the Seminary Complex, the
Hall of the Séminaire de Québec
Gala Dinner at the Graduation 7:00 p.m.
GRADUATION HALL Parallel Session 3 3:00 p.m. to 4:30 p.m.
Coffee Break 2:30 p.m. to 3:00 p.m.
Parallel Session 2 1:00 p.m. to 2:30 p.m.
Lunch 11:45 a.m. to 1:00 p.m.
179, Grande Allée Ouest, Québec G1R 2H1 Keynote Speaker 10:15 a.m. to 11:45 a.m.
The Musée national des beaux-arts du Québec Welcome Address 10:00 a.m. to 10:15 a.m.
Coffee Break 9:30 a.m. to 10:00 a.m.
the St. Lawrence River. Parallel Session 1 8:00 a.m. to 9:30 a.m.
of the Musée provides a magnificent view of this space and Breakfast and Registration 7:00 a.m. to 8:00 a.m.
by thousands of residents and visitors. The Central Pavilion
green oasis in the heart of the city which is visited each year DAY 1 - Tuesday, June 18
This urban park is one of the most beautiful in the world, a
Battlefields Park, also known as the Plains of Abraham.
80 years and counting. The Musée is located in National
is the only museum entirely devoted to Québec art for
The Musée national des beaux-arts du Québec (MNBAQ)
des beaux-arts du Québec (MNBAQ)
DES BEAUX-ARTS DU QUÉBEC Welcome Reception at the Musée national 6:30 p.m.
THE MUSÉE NATIONAL Ph.D. Workshop 7:30 a.m. to 12:10 p.m.
Ph.D. Workshop - Monday, June 17
36th International Conference of the
French Finance Association (AFFI)
Université Laval
Québec City, Canada
June 17-19, 2019
ROBERT STAMBAUGH
Robert Stambaugh, PhD, is the Miller Anderson & Sherrerd Professor of Finance at the Wharton
School of the University of Pennsylvania. Before joining Wharton in 1988, he was Professor of
Finance at the University of Chicago, where he received his PhD in 1981. Professor Stambaugh
visited Harvard University as a Marvin Bower Fellow in 1997-1998. He is a Fellow and former
President of the American Finance Association, a Fellow of the Financial Management Association,
and a Research Associate of the National Bureau of Economic Research.
Professor Stambaugh has been the Editor of the Journal of Finance and of the Review of Financial
Studies, an Associate Editor of those journals as well as the Journal of Financial Economics, and a
member of the first Editorial Committee of the Annual Review of Financial Economics. He has pub-
lished several articles on topics including return predictability, asset pricing tests, portfolio choice,
parameter uncertainty, liquidity risk, volatility, performance evaluation, investor sentiment, and
active-versus-passive investing. His research awards include a Smith-Breeden First Prize for an
article in the Journal of Finance as well as a Fama-DFA First Prize and three Second Prizes for
articles in the Journal of Financial Economics.
DOUGLAS CUMMING
Douglas Cumming, J.D., Ph.D., CFA, is the DeSantis Distinguished Professor of Finance and
Entrepreneurship at Florida Atlantic University College of Business. He is the Managing Editor-in-Chief
of the Journal of Corporate Finance, the Founding Editor of Annals of Corporate Governance, and a
former Co-Editor of Finance Research Letters and Entrepreneurship Theory and Practice. He is
currently serving as an Associate Editor for numerous academic journals and is the Editor of the Oxford
Handbook of Entrepreneurial Finance (Oxford University Press, 2013), the Oxford Handbook of Private
Equity (Oxford University Press, 2013), the Oxford Handbook of Venture Capital (Oxford University Press,
2013), the Oxford Handbook of Sovereign Wealth Funds (Oxford University Press, 2017), and the Oxford
Handbook of IPOs (Oxford University Press, forthcoming 2018).
Professor Cumming has published over 150 articles in leading refereed academic journals in finance,
management, and law and economics, such as the Academy of Management Journal, Journal of
Financial Economics, Review of Financial Studies and Journal of International Business Studies. His
work has been reviewed in numerous media outlets, including The Economist, The New York Times,
the Wall Street Journal, the Globe and Mail, and The New Yorker. In addition, he has published
18 academic books.

Day 1, Tuesday, June 18 Day 2, Wednesday, June 19

10:15 a.m. to 11:45 a.m. 10:30 a.m. to 12:00 p.m.
Théatre de la cité universitaire Théatre de la cité universitaire
Skill and Fees in Active Management What Can We Learn from Crowdfunding Research?

Special Thanks to AFFI 2019 Sponsors

Chaire iA Groupe Financier en assurance et services financiers

Chaire IG Gestion de patrimoine en planification financière
Chaire RBC en innovations financières
Chaire de recherche en gouvernance de sociétés
Département de finance, assurance et immobilier
Salles des marchés Carmand-Normand et Jean-Turmel

General Assembly of the AFFI (Room 1317) 5:15 p.m. to 6:30 p.m.
20, rue Port-Dauphin, Québec G1R 4R7 Parallel Session 6 3:20 p.m. to 4:50 p.m.
Graduation Hall Coffee Break 3:00 p.m. to 3:20 p.m.
Parallel Session 5 1:30 p.m. to 3:00 p.m.
creative genius of architect Georges-Émile Tanguay. Lunch 12:00 p.m. to 1:30 p.m.
the Graduation Hall, whose remarkable decor reflects the Keynote Speaker 10:30 a.m. to 12:00 p.m.
culture in the Americas. This majestic building contains Coffee Break 10:00 a.m. to 10:30 a.m.
Second Empire style and celebrate the influence of French Parallel Session 4 8:30 a.m. to 10:00 a.m.
Joseph-Ferdinand Peachy and added in 1875, define its Breakfast and Registration 7:30 a.m. to 8:30 a.m.
emblematic lanterns and mansard roof, designed by
Camille Roy, an eminent Rector of Université Laval. The DAY 2 - Wednesday, June 19
began in 1854. It was recently renamed in honour of
The construction of the central building for Université Laval
Hall has transcended time and creates a lasting impression.
official ceremonies to mark the life of the university, the
dazzles visitors with its intricate design. Formerly used for
magnificent salle des Promotions or Graduation Hall
Located discretely within the Seminary Complex, the
Hall of the Séminaire de Québec
Gala Dinner at the Graduation 7:00 p.m.
GRADUATION HALL Parallel Session 3 3:00 p.m. to 4:30 p.m.
Coffee Break 2:30 p.m. to 3:00 p.m.
Parallel Session 2 1:00 p.m. to 2:30 p.m.
Lunch 11:45 a.m. to 1:00 p.m.
179, Grande Allée Ouest, Québec G1R 2H1 Keynote Speaker 10:15 a.m. to 11:45 a.m.
The Musée national des beaux-arts du Québec Welcome Address 10:00 a.m. to 10:15 a.m.
Coffee Break 9:30 a.m. to 10:00 a.m.
the St. Lawrence River. Parallel Session 1 8:00 a.m. to 9:30 a.m.
of the Musée provides a magnificent view of this space and Breakfast and Registration 7:00 a.m. to 8:00 a.m.
by thousands of residents and visitors. The Central Pavilion
green oasis in the heart of the city which is visited each year DAY 1 - Tuesday, June 18
This urban park is one of the most beautiful in the world, a
Battlefields Park, also known as the Plains of Abraham.
80 years and counting. The Musée is located in National
is the only museum entirely devoted to Québec art for
The Musée national des beaux-arts du Québec (MNBAQ)
des beaux-arts du Québec (MNBAQ)
DES BEAUX-ARTS DU QUÉBEC Welcome Reception at the Musée national 6:30 p.m.
THE MUSÉE NATIONAL Ph.D. Workshop 7:30 a.m. to 12:10 p.m.

Ph.D. Workshop - Monday, June 17

36th International Conference of the

French Finance Association (AFFI)

Université Laval
Québec City, Canada
June 17-19, 2019