16th Mitsui Life Symposium on Global Markets: Financial (In)Stability

About the Mitsui Life Financial Research Center
The goal of the Mitsui Life Financial Research Center is to encourage
and support academic research in finance. The Center’s activities are
supported by an endowment from the Mitsui Life Insurance Company
Limited and by the Ross School of Business.
Mitsui Life Financial Research Center activities include:
Annual symposiums addressing current issues in finance, held in
Ann Arbor and Tokyo.
Financial support for faculty and doctoral research.
A lecture series which brings to campus distinguished speakers from
academia and business to share their views and working knowledge
with Michigan students and faculty.
Friday morning, June 5, 2009
Ross – Room E0540
Continental breakfast at Ross
Opening remarks by E.Han Kim
Session 1: Real Effects of Crisis
Chair: Amy Dittmar, University of Michigan
The Composition Matters: Capital Inflows and Liquidity Crunch
during the 2007-08 Global Economic Crisis
Hui Tong, International Monetary Fund
Shang-Jin Wei, Columbia University and NBER
DISCUSSANT: Todd Gormley, Washington University at St. Louis
Bank Failures and the Cost of Systemic Risk: Evidence from 1900-1930 Carlos Ramirez, George Mason University
Paul Kupiec, Federal Deposit Insurance Corporation
DISCUSSANT: Daniel Paravisini, Columbia University
20 MINUTE QUESTION/ANSWER
8:30 – 9:00 a.m.
9:00 – 9:05 a.m.
9:05 – 10:25 a.m.
15 minute break
10:40 – noon
12:00 noon
Session 2: Instability
Chair: Haitao Li, University of Michigan
Dynamic Debt Runs
Wei Xiong, Princeton University
Zhiguo He, University of Chicago
DISCUSSANT: Itay Goldstein, Wharton University of Pennsylvania
Heterogeneous Beliefs, Competition, and the Frailty of Financial Innovation
Hong Yan, University of South Carolina
Weidong Tian, University of North Carolina at Charlotte
DISCUSSANT: Henry Cao, Cheung Kong GSB
20 MINUTE QUESTION/ANSWER
LUNCH AT THE MICHIGAN UNION PENDLETON ROOM
Friday afternoon, June 5, 2009
Ross – Room E0540
1:30 – 2:50 p.m.
3:05 – 4:25 p.m.
6:30 p.m.
7:00 p.m.
15 minute break
Cocktails in the Ross Gallery, 6th Floor of the new Ross building
Dinner served in the Ross 6th Floor Colloquium
Keynote speaker: Robert J. Shiller Arthur M. Okun Professor of Economics, Yale University
Animal Spirits: How Human Psychology Drives the Economy
and Why It Matters for Global Capitalism
Session 3: Incentives and Securitization
Chair: MP Narayanan, University of Michigan
Session 4: Securitization, Rating and Pricing
Chair: Amiyatosh Purnanandam, University of Michigan
Moral Hazard and Adverse Selection in the OtD Model of Bank Credit Antje Berndt, Carnegie Mellon University
Anurag Gupta, Case Western Reserve University
DISCUSSANT: Darius Palia, Rutgers University
An Empirical Examination of CDO Rating Model and Standards John Griffin, University of Texas Austin
Dragon Yongjun Tang, University of Hong Kong
DISCUSSANT: Michael Roberts, University of Pennsylvania
20 MINUTE QUESTION/ANSWER
Originator Performance, CMBS Structures
and Yield Spreads of Commercial Mortgages
Sheridan Titman, University of Texas Austin
Sergey Tsyplakov, University of South Carolina
DISCUSSANT: Jean Helwege, Penn State University
Securitization and Distressed Loan Renegotiation:
Evidence from the Subprime Mortgage Crisis
Tomasz Piskorski, Columbia University
Amit Seru, University of Chicago
Vikrant Vig, London Business School
DISCUSSANT: Heitor Almeida, University of Illinois at Urbana-Champaign
20 MINUTE QUESTION/ANSWER
12:30 p.m.
LUNCH ON THE PATIO OUTSIDE EXECUTIVE RESIDENCE DINING
Announce 2009 Best Paper Award ($3000) and Best Discussant Award ($2000)
Saturday morning, June 6, 2009
Ross – Room E0540
8:30 – 9:00 a.m.
9:00 – 10:50 a.m.
11:05 – 12:25 p.m.
15 minute break
Session 5: Liquidity
Chair: Lu Zhang, University of Michigan
Option Value of Cash
Jialin Yu, Columbia University
DISCUSSANT: Ron Kaniel, Duke University
Liquidity Crisis, Runs, and Security Design
Song Han, Federal Reserve Board
Dan Li, Federal Reserve Board
DISCUSSANT: Alessio Saretto, Purdue University
Shackling Short Sellers: The 2008 Shorting Ban
Ekkehart Boehmer, Texas A&M
Charles Jones, Columbia University
Xiaoyan Zhang, Cornell University
DISCUSSANT: Ingrid Werner, Ohio State University
20 MINUTE QUESTION/ANSWER
Session 6: Retail
Chair: Tyler Shumway, University of Michigan
Legal Protection in Retail Financial Markets
Bruce Carlin, University of California Los Angeles Simon Gervais, Duke University
DISCUSSANT: Utpal Bhattacharya, Indiana University
Do Financial Counseling Mandates Improve Mortgage Choice
and Performance? Evidence from a Natural Experiment
Sumit Agarwal, Federal Reserve Bank of Chicago
Gene Amromin, Federal Reserve Bank of Chicago
Itzhak Ben-David, Ohio State University
Souphala Chomsisengphet, Office of the Comptroller of the Currency
Douglas D. Evanoff, Federal Reserve Bank of Chicago
DISCUSSANT:Friday morning, June 5, 2009

Stephen M. Ross School of Business
University of Michigan
Ann Arbor, MI
June 5-6, 2009

Session 1: Real Effects of Crisis

Chair: Amy Dittmar, University of Michigan

The Composition Matters: Capital Inflows and Liquidity Crunch during the 2007-08 Global Economic Crisis

Hui Tong, International Monetary Fund

Shang-Jin Wei, Columbia University and NBER

DISCUSSANT: Todd Gormley, Washington University at St. Louis

Bank Failures and the Cost of Systemic Risk: Evidence from 1900-1930 Carlos Ramirez, George Mason University

Paul Kupiec, Federal Deposit Insurance Corporation

DISCUSSANT: Daniel Paravisini, Columbia University

Session 2: Instability

Chair: Haitao Li, University of Michigan

Dynamic Debt Runs

Wei Xiong, Princeton University

Zhiguo He, University of Chicago

DISCUSSANT: Itay Goldstein, Wharton University of Pennsylvania

Heterogeneous Beliefs, Competition, and the Frailty of Financial Innovation

Hong Yan, University of South Carolina

Weidong Tian, University of North Carolina at Charlotte

DISCUSSANT: Henry Cao, Cheung Kong GSB

Friday afternoon, June 5, 2009

Keynote speaker: Robert J. Shiller Arthur M. Okun Professor of Economics, Yale University

Animal Spirits: How Human Psychology Drives the Economy and Why It Matters for Global Capitalism

Session 3: Incentives and Securitization

Chair: MP Narayanan, University of Michigan

Originator Performance, CMBS Structures and Yield Spreads of Commercial Mortgages

Sheridan Titman, University of Texas Austin

Sergey Tsyplakov, University of South Carolina

DISCUSSANT: Jean Helwege, Penn State University

Securitization and Distressed Loan Renegotiation:

Evidence from the Subprime Mortgage Crisis

Tomasz Piskorski, Columbia University

Amit Seru, University of Chicago

Vikrant Vig, London Business School

DISCUSSANT: Heitor Almeida, University of Illinois at Urbana-Champaign

Session 4: Securitization, Rating and Pricing

Chair: Amiyatosh Purnanandam, University of Michigan

Moral Hazard and Adverse Selection in the OtD Model of Bank Credit Antje Berndt, Carnegie Mellon University

Anurag Gupta, Case Western Reserve University

DISCUSSANT: Darius Palia, Rutgers University

An Empirical Examination of CDO Rating Model and Standards John Griffin, University of Texas Austin

Dragon Yongjun Tang, University of Hong Kong

DISCUSSANT: Michael Roberts, University of Pennsylvania

Session 5: Liquidity

Chair: Lu Zhang, University of Michigan

Option Value of Cash

Jialin Yu, Columbia University

DISCUSSANT: Ron Kaniel, Duke University

Liquidity Crisis, Runs, and Security Design

Song Han, Federal Reserve Board

Dan Li, Federal Reserve Board

DISCUSSANT: Alessio Saretto, Purdue University

Shackling Short Sellers: The 2008 Shorting Ban

Ekkehart Boehmer, Texas A&M

Charles Jones, Columbia University

Xiaoyan Zhang, Cornell University

DISCUSSANT: Ingrid Werner, Ohio State University

Session 6: Retail

Chair: Tyler Shumway, University of Michigan

Legal Protection in Retail Financial Markets

Bruce Carlin, University of California Los Angeles Simon Gervais, Duke University

DISCUSSANT: Utpal Bhattacharya, Indiana University

Do Financial Counseling Mandates Improve Mortgage Choice and Performance? Evidence from a Natural Experiment

Sumit Agarwal, Federal Reserve Bank of Chicago

Gene Amromin, Federal Reserve Bank of Chicago

Itzhak Ben-David, Ohio State University

Souphala Chomsisengphet, Office of the Comptroller of the Currency

Douglas D. Evanoff, Federal Reserve Bank of Chicago

DISCUSSANT: Henrik Cronqvist, Claremont McKenna College