Research Day 2012

The NYU Stern School has the largest and, by some measures, the most active Finance faculty of any university in the world. One of our most popular regular offerings for NASDAQ DRP and Volatility Institute Sponsors, Salomon Center Associates, and all of our friends in academics and on the Street is the annual Research Day conference. Research Day is our chance to provide quick looks at some of the most interesting research projects that are currently in progress among our active Finance research faculty.

A new Research Day feature we are adding this year is a panel discussion on the current state of the world economy and financial system. The recent, and ongoing, economic turmoil has led many of the faculty to turn our attention to policy-oriented research. Several senior faculty members will share their perspectives on where we are now and where we are headed.

February 3, 2012, 9:00 - 5:30 P.M.


Attendance is by invitation only. Please RSVP to Salomon Center (, 212-998-0700)

New York University
Stern School of Business
Kaufman Management Center
Room 1-70
44 West Fourth Street
New York, NY 10012


For directions and maps, click here


8:30 Registration and Continental Breakfast
9:00 Welcome [Video]
Matthew Richardson, Director, Salomon Center
Stephen Figlewski, Director, NASDAQ OMX Derivatives Research Project

9:15 Session I: Research Presentations

Menachem Brenner, "Asset Pricing and Ambiguity: Empirical Evidence" [Presentation] [Video]
Josephine Smith, "Negative Swap Spreads" [Presentation] [Video]
Marcin Kacperczyk, "Does Firm Organization Matter? Evidence from Centralized and Decentralized Mutual Funds" [Presentation] [Video] [Video II]

10:45 Refreshment Break
11:15 Session II: Research Presentations

Edward Altman, "A New Way to Assess Sovereign Default Risk: From the Bottom-Up" [Presentation] [Video] [Video II]
Viral Acharya, "The Paradox of Risk-sharing" (joint work with Rangarajan Sundaram) [Presentation] [Video]
Marti Subrahmanyam, "Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk" [Presentation] [Video]

12:45 Lunch

2:00 Session III: Senior Faculty Panel

"The State of the World: Where Are We and Where Are We Going?" [Video] [Video II]
Chairman: Ingo Walter
Robert Engle
Roy Smith
Matthew Richardson

 3:30 Refreshment Break

4:00 Session IV: Research Presentations

Alexi Savov, “Have Financial Markets Become More Informative?” [Presentation] [Video]
Richard Levich, "Patterns in Currency Hedge Fund Returns and Trading Styles" [Presentation] [Video] [Video II]
5:00 Reception