Remarks by SEC Chief Economist Mark Flannery
High Frequency Market Making to Large Institutional Trades by Robert Korajczyk
Panel Discussion on High Frequency Trading
"A Solution to the Palm - 3Com spinoff puzzles" by Chester Spatt
The Stability of Money Market Mutual Funds: The Effect of the 2010 Amendments to Rule 2A-7 by Russ Wermers
Systemic Risk and the Macroeconomy: An Empirical Evaluation by Bryan Kelly
Remarks by Michael Piwowar Commissioner, SEC
Funding and Incentives of Regulators: Evidence from Banking by Roni Kisin
The Center for the Study of Financial Regulation previously hosted events in May 2010 and April 2009 that brought together regulators from the SEC, academics and industry economists to discuss topics including the sub-prime mortgage market, short selling, CEO pay and credit rating agencies.
The "Conference on the Future of Securities Regulation" featured speakers James Overdahl, chief economist for the SEC, and Chester Spatt, chief economist for the SEC from 2004-2007.
2012 FRC Remarks by Elisse Walters >>
By Elisse Walters
2012 FRC Remarks by Richard Baker >>
By Richard Baker
2012 FRC Pension Fund Asset Allocation >>
By Martijn Cremers
High Frequency Trading and Price Discovery
by Terrence Hendershott
Terrence Hendershott is an Associate Professor of Finance at the Haas School of Business at the University of California, Berkeley. He received his PhD in Operations, Information and Technology at Stanford University in 1999. He was previously a Visiting Economist at the New York Stock Exchange. Some of his current interests include the management of information systems, the role of information technology in financial markets, electronic communications networks (ECNs) and stock market design, as well as the regulation of financial markets.
by Burt Porter
Burt Porter joined the SEC in July 2010 as a Visiting Academic Scholar. Prior to that, Porter served on the faculty of Iowa State University and the University of Florida. His current research focuses on the effect of short selling costs on equity prices. Porter is primarily interested in issues related to investments and market microstructure. He has published research on the relationship between real investment and equity returns, equity market liquidity, equity returns in emerging markets and momentum trading strategies in an international context. He earned his Ph.D. in Finance from The University of Chicago, an M.B.A. from Emory University and a B.S. from Cornell University.
Informational Linkages Between Dark and Lit Trading Venues
by Sugata Ray
Sugata Ray is an Assistant Professor of Finance at the University of Florida. He received his PhD from the Wharton School at the University of Pennsylvania. His research interests include hedge funds and market microstructure. Prior to joining the finance department at the University of Florida, he worked as a consultant for financial institutions with Oliver Wyman.
Hidden Liquidity: Some new light on dark trading
by Gideon Saar
Gideon Saar is an Associate Professor of Finance at the S.C. Johnson Graduate School of Management at Cornell University. His research interests are in market microstructure, behavioral finance, stock market return predictability, and institutional investors. He has published in the leading finance journals, including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis. Saar was previously on the faculty of the Stern School of Business at New York University. At the request of the New York Stock Exchange, Saar spent the 2001‐2002 academic year as the NYSE's visiting research economist.
Exposing The Exposed: Intermediation Capacity in the Credit Default Swap Market
by Or Shachar
Or Shachar is a PhD candidate for Business at the Stern School of Business at NYU. Her research interests include liquidity, market frictions and market design, over‐the‐ counter markets, credit risk and credit derivatives along with financial econometrics. She was a 2011 finalist for the Annual Morgan Stanley Prize for Excellence in Financial Markets.
Measurement and Policy Formulation
by Chester Spatt
Chester Spatt is the Kenneth B. and Pamela R. Dunn Professor of Finance at the Tepper School of Business at Carnegie Mellon University and Director of its Center for Financial Markets, where he has taught since 1979. He served as Chief Economist of the U.S. Securities and Exchange Commission and Director of its Office of Economic Analysis from July 2004 through July 2007. He earned his Ph.D. in Economics from the University of Pennsylvania and received his undergraduate degree from Princeton University. Professor Spatt is a well‐known scholar studying financial economics with broad interests in financial markets. He has analyzed extensively market structure, pricing and valuation, and the impact of information in the marketplace. For example, he has been a leading expert on the design of securities markets in various settings, mortgage valuation, and taxation and investment strategy.
Runs on Money Market Mutual Funds
by Russell Wermers
Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. He also studies the investment behavior of these asset managers, as well as the impact of their trades on stock markets. Wermers consults for the hedge fund, pension fund, and mutual fund industries. He received his Ph.D. from the University of California, Los Angeles, in 1995.
Panel Discussion: High Frequency Trading
by Amy Edwards from SEC - Moderator,
by Joe Gawronski from Rosenblatt Securities - Panelist,
by Richard Gorelick from RGM Advisors - Panelist,
by Peter Nabicht from Allston - Panelist
by James Overdahl from NERA - Panelist
by Dean Payton from CME Group - Panelist
by William O'Brien
William O'Brien joined Direct Edge as Chief Executive Officer in July 2007. Prior to his appointment to Direct Edge, Mr. O'Brien was Senior Vice President at the NASDAQ Stock Market, having held senior management positions in NASDAQ's New Listings and Market Data units. Mr. O'Brien joined NASDAQ in 2004 by way of Brut, LLC, where he had been Chief Operating Officer since 2002, helping lead the company through a period of significant growth and its acquisition by NASDAQ. He originally joined Brut as Senior Vice President and General Counsel in 2000. Mr. O'Brien was an attorney in the Legal Department of Goldman Sachs from 1998 to 2000 and at Orrick LLP from 1995 to 1998. He has a B.A. from the University of Notre Dame and a J.D. from the University of Pennsylvania School of Law.
Diving into Dark Pools
by Ingrid Werner
Ingrid Werner has an MBA and an Ekon. Lic. from Stockholm School of Economics, as well as a Ph.D. from the University of Rochester. She joined the Finance group at Fisher College of Business at Ohio State University in 1998, and currently serves as Finance Department Chair. Professor Werner's research interests range from international finance to market microstructure. She served on the Economic Advisory Board of the NASD 1998-2000 and is currently on the Economic Advisory Board of the Swedish Finance Research Institute (SIFR) in Stockholm and on an Academic Advisory Board at Morgan Stanley & Co.
Panel Discussion: High Frequency Trading
by Jonathan Brogaard from Northwestern University - Moderator,by Amy Edwards from SEC - Panelist,by Adam Nunes from Hudson River Trading - Panelist,by Jamie Selway from ITG - Panelist
Flow Toxicity and Volatility in a High Frequency World
by David Easley
David Easley is the Henry Scarborough Professor of Social Science, as well as a Professor of Economics at Cornell University. His research is in the fields of economics, finance and decision theory. In economics, he and Larry Blume work on learning and selection in stochastic intertemporal general equilibrium models. In finance, his work with Maureen O'Hara focuses on market microstructure and asset pricing. In decision theory, he works on modeling decision making in complex environments. He received his Ph.D. in economics from Northwestern University in 1979.
Skin in the Game versus Skimming the Game: Governance, Share Restrictions, and Insider Flows
by Ronnie Sadka
Ronnie Sadka is an Associate Professor of Finance at Boston College's Carroll School of Management. His research focuses on liquidity in financial markets and stock-price modeling. He earned a B.Sc (Magna Cum Laude) in industrial engineering and an M.Sc (Summa Cum Laude) in operations research, both from Tel-Aviv University. He received his Ph.D. in finance from Northwestern University (Kellogg). Prior to joining the Finance Department at Boston College, he taught at the University of Chicago (Booth), New York University (Stern), Northwestern University (Kellogg), and the University of Washington (Foster). His industry experience includes Goldman Sachs Asset Management and Lehman Brothers (quantitative strategies). Sadka is currently a member of the economic advisory board of NASDAQ OMX.
Opacity, Credit Rating Shopping and Bias
by Chester Spatt
Chester Spatt is the Kenneth B. and Pamela R. Dunn Professor of Finance at the Tepper School of Business at Carnegie Mellon University and Director of its Center for Financial Markets, where he has taught since 1979. He served as Chief Economist of the U.S. Securities and Exchange Commission and Director of its Office of Economic Analysis from July 2004 through July 2007. He earned his Ph.D. in Economics from the University of Pennsylvania and received his undergraduate degree from Princeton University. Professor Spatt is a well-known scholar studying financial economics with broad interests in financial markets. He has analyzed extensively market structure, pricing and valuation, and the impact of information in the marketplace. For example, he has been a leading expert on the design of securities markets in various settings, mortgage valuation, and taxation and investment strategy.
Do Rating Agencies Cater? Evidence from Rating-Based Contracts
by Pepa Kraft
Pepa Kraft is an Assistant Professor of Accounting at New York University Stern School of Business. Her research focuses on debt contracting, credit rating agencies, off-balance sheet financing and disclosure issues in financial reporting. Prior to joining NYU Stern, Professor Kraft held various positions at Deutsche Bank and JPMorgan in Corporate Equity Derivatives and Mergers & Acquisitions Advisory. She is a Chartered Financial Analyst and a member of the New York Society of Security Analysts. Professor Kraft received her B.Sc. with honors in Accounting and Finance from the London School of Economics, her M.Sc. in Banking and Finance from HEC University of Lausanne, and her Ph.D. in Accounting from the University of Chicago's Booth School of Business.
Caught in the Act: How Hedge Funds Manipulate their Equity Positions
by Gjergji Cici
Gjergji Cici is an Assistant Professor of Economics and Finance at William & Mary's Mason School of Business. He earned both his B.S. in Business Administration and his Ph.D. in Finance at the University of Minnesota's Carlson School of Management. After receiving his doctorate, he became Associate Director of Research for Wharton Research Data Services (WRDS) at the Wharton School of Business, where he designed a number of major research initiatives on mutual funds. His areas of interest include portfolio performance evaluation, institutional investors, agency issues in the mutual fund industry, and behavioral finance.
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
by Baozhong Yang
Baozhong Yang is an Assistant Professor of Finance at the Robinson College of Business at Georgia State University. He holds a Ph.D. in Finance from Stanford University as well as a Ph.D. in Mathematics from Massachusetts Institute of Technology. His research interests include Theoretical and Empirical Corporate Finance, Institutional Investment, Behavioral Finance, and Asset Pricing.
The Importance of Monitoring and Mitigating the Safety-Net. Consequences of Regulation-Induced Innovation.
by Ed Kane from Boston College
Ed Kane received his BS degree from Georgetown University and his PhD from Massachusetts Institute of Technology. Previously, he occupied the Everett D. Reese Chair of Banking and Monetary Economics at Ohio State University for 20 years. Kane is a Past President and fellow of the American Finance Association, a former Guggenheim fellow, and a research associate for the National Bureau of Economic Research. He serves on the editorial boards of seven professional journals, currently consults for the World Bank, and is a Senior Fellow in the FDIC's Center for Financial Research.
Jean Helwege discusses Ed Kane's paper
Jean Helwege received her Ph.D. in Economics from UCLA and currently holds the J. Henry Fellers Professorship of Business Administration at the Darla Moore School of Business, University of South Carolina. Prior to joining the Finance Department in 2010, Professor Helwege held academic positions at Penn State, the University of Arizona, and Ohio State University. Additionally, she worked as an economist in the Federal Reserve System from 1988-1998.
Contingent Capital with a Dual Price Trigger
by Robert McDonald from Northwestern University
Robert McDonald is a Professor of Finance at Northwestern University's Kellogg School of Management. He received a BA in Economics from the University of North Carolina and a Ph.D. in Economics from MIT. A faculty member since 1984, he has also served as department chair. He has taught courses in derivatives, corporate finance, and taxation. His research interests include corporate finance, taxation, derivatives, and applications of option pricing theory to corporate investments. In 2010 he was elected a Director of the American Finance Association.
Jennifer Westberg from the SEC discusses Robert McDonald's paper.
Jennifer Westberg joined the SEC in August 2006 as a visiting academic scholar. She earned her Ph.D. in Finance from the University of Iowa. Before joining the Commission, Dr. Westberg served on the faculty of Michigan State University. Her research focuses on initial public offerings, with particular regard to the effect of the media on IPO returns and volatility. She also studies how potential conflicts of interest at universal banks could affect their underwriting and fund trading strategies. While at the Commission, Dr. Westberg works on various issues related to security offerings.
Incentives and Tranche Retention in Securitization.
by Ingo Fender from the Bank of International Settlements
Ingo Fender is a Special Adviser in the Monetary and Economic Department of the Bank for International Settlements (BIS) in Basel. Before taking up his current assignment, he held various positions as Economist and Senior Economist within the BIS, including in the secretariat of the Committee on the Global Financial System (CGFS), and in the Independent Evaluation Office (IEO) of the International Monetary Fund (IMF) in Washington DC. His research interests are focused on monetary, financial market and financial stability issues, specifically in the area of structured finance and securitization markets.
Stanislava Nikolova from the SEC discusses Ingo Fender's paper
Stanislava Nikolova joined the Office of Economic Analysis at the SEC in August 2008 as a visiting academic scholar. Dr. Nikolova is currently on leave from George Mason University, where she is an assistant professor in Finance. Her research focuses on the management and regulation of financial institutions, fixed-income securities, and credit-risk assessment. She received her Ph.D. in Finance from the University of Florida.
Economics and Securities Regulation
by Chester Spatt from Carnegie Mellon
Chester Spatt is the Pamela R. and Kenneth B. Dunn Professor of Finance at Carnegie Mellon University. He was Chief Economist of the SEC from 2004-2007. He served as President of the Western Finance Association in 1995-1996, and President of the Society for Financial Studies from 1993 to 1996. Professor Spatt was a member of the Nasdaq Economic Advisory Board and served as Chair in 2002. He was Executive Editor of the Review of Financial Studies from 1990-1993.
Mutualization of Default Risk.
by Craig Pirrong from the University of Houston
Craig Pirrong holds a Ph.D. in business economics from the University of Chicago. He joined the faculty of the Bauer College of Business at the University of Houston as Professor of Finance and the Energy Markets Director for Global Energy Management Institute in January, 2003. Professor Pirrong's research focuses on the economics of commodity markets, the relation between market fundamentals and commodity price dynamics, and the implications of this relation for the pricing of commodity derivatives. His recent research is concentrated on the power markets.
Larry Wall from the Atlanta Fed. discusses Craig Pirrong's paper.
Larry Wall is a financial economist and policy adviser in the research department of the Federal Reserve Bank of Atlanta. Prior to joining the Fed., he taught at Emory University and the Georgia Institute of Technology. A certified public accountant, Dr. Wall earned a bachelor's degree in Business Administration from the University of North Dakota, as well as a doctorate degree in Business from the University of North Carolina at Chapel Hill.
Credit default Swaps and the Empty Creditor Problem.
by Martin Oehmke from Columbia University
Martin Oehmke received his BA from Oxford in 2002 and his Ph.D. from Princeton in 2009. He currently teaches Capital Markets and Investments at Columbia Business School. Professor Oehmke's research interests are in financial economics, asset pricing, and financial intermediation. He is particularly interested in modeling the impact of liquidity frictions and institutional frictions on financial markets.
Craig Brown discusses Martin Oehmke's paper.
Craig Brown is an assistant professor of finance at Baruch College, City University of New York. He received his doctorate of philosophy in Finance from the University of Michigan, Ann Arbor, where he began his teaching career. His fields of study are corporate finance, financial intermediation, international finance, and political economy.
Securitization without Risk Transfer.
by Philipp Schnabl from NYU
Philipp Schnabl received his Ph.D. from Harvard University and joined New York University Stern School of Business as an Assistant Professor of Finance in August 2008. Professor Schnabl's main research interests are corporate finance, financial intermediation, and banking. His most recent work examines the transmission of credit supply shocks from developed countries to emerging markets and the impact of credit supply shocks on access to finance, investment and economic growth.
Jerry Dwyer from the Atlanta Fed. discusses Schnabl's paper.
Jerry Dwyer is an economist, who currently is Director of the Center for Financial Innovation and Stability at the Federal Reserve Bank of Atlanta. He is also an Adjunct Professor at the University of Carlos III in Madrid, where he has been teaching a special-topics course for Ph.D. business students since 2005. His recent research interests include banking and financial markets, more generally than when they perform badly, economic growth and financial development, and the digital revolution.
The Credit Crisis: Perspectives from an Academic and Practitioner
by Maureen O'Hara, Robert Purcell Professor of Management at the Johnson School of Cornell University
Maureen O'Hara is the Robert Purcell Professor of Management at the Johnson School of Cornell University. She has served as president of the American Finance Association and Executive editor of the Review of Financial Studies. She is chairman of the board of Investment technology Group (ITG) and is a former chairman of the board of Catholic Charities of the Diocese of Rochester. She is the author of numerous scholarly articles and of the book Market Microstructure Theory.
by Steven Kaplan, Co-Dean of the Kauffman Fellows Program and is the Neubauer Family Professor of Entrepreneurship and Finance at the University of Chicago Graduate School of Business (GSB).
Steve Kaplan is currently the Neubauer Family Professor of Entrepreneurship and Finance at the University of Chicago's Booth Graduate School of Business. He sits on the board of directors of Columbia Acorn Funds and Morningstar and is a member of the investment advisory board of Sterling Capital Partners. Professor Kaplan was named one of the top 12 business school teachers in the U.S. by Business Week in 1994. He has published numerous scholarly articles and has served as an associate editor of several academic journals.
Conversation during Dinner at LaSalle Grill
with Erik Sirri, Director, SEC Division of Trading and Markets
Erik Sirri is Director of the Division of Trading and Markets at the SEC. In this role, he is responsible to the commission for the administration of all matters relating to the regulation of stock and options exchanges, national securities associations, brokers, dealers, clearing agencies, and credit rating agencies. He is on leave from Babson College where he is Professor of Finance. He has previously served as chief economist of the SEC. He has served as Governor of the Boston Stock Exchange and a member of the regulatory board of the Boston Options Exchange.
Securities Law, Disclosure, and National Capital Markets
by RenÃ© Stulz, Everett D. Reese Chair of Banking and Monetary Economics, Professor of Finance, Ohio State University; Director, Dice Center for Research in Financial Economics
RenÃ© Stulz hold the Everett Reese Chair of Banking and Monetary Economics at the Ohio State University. He is past president of the American Finance Association and the Western Finance Association. He was Editor of the Journal of Finance for 12 years. He is the author of numerous scholarly articles in finance and economics. In 2004, Dr. Stulz was named one of the 100 most influential people in finance by Treasury and Risk Management magazine.
Directions for Academic Research
by Jim Overdahl, chief economist for the SEC
Jim Overdahl is currently the chief economist for the SEC. Before joining the commission, he was chief economist for the Commodity Futures Trading Commission. He has also worked as a Senior Financial Economist in the Risk Analysis Division in the Office of the Comptroller of the Currency. He is the coauthor, with Robert Kolb, of three textbooks: Financial Derivatives, Understanding Futures Markets, and Futures, Options, and Swaps.