2015 Program

8:00AM - 8:30AM 

8:30AM - 8:45AM

8:45AM - 10:30AM                                                                                                             

Session 1: Financialization of Energy Markets:

“Commodities as Collateral,” Ke Tang (Tsinghua University) and Haoxiang Zhu (MIT, Sloan School) 

• Discussant: Louis Ederington (University of Oklahoma)

“Oil Consumption, Economic Growth, and Oil Futures: A Fundamental Alternative to Financialization,” Robert C. Ready (University of Rochester)

• Discussant: Ing-Haw Cheng (Dartmouth College)

“The Price of Oil Risk,” Steven D. Baker (University of Virginia, McEntire School); Bryan R. Routledge (Carnegie Mellon University).

• Discussant: Nikolai Roussanov (Wharton School, University of Pennsylvania).

10:30AM - 10:50AM

10:50AM - 12:35PM

Session 2: Asset Pricing in Energy Markets

“Financial Sector Stress and Asset Prices: Evidence from the Weather Derivatives Market,” Daniel R. Weagley (Georgia Tech)

• Discussant: Ehud Ronn (University of Texas)

“Liquidity and Market Quality Around Predictable Trades: Evidence from Crude Oil ETF Rolls,” Kumar Venkataraman (Southern Methodist University); Allen Carrion (Lehigh University); Hendrik Bessembinder (University of Utah); Laura Tuttle (US Securities & Exchange Commission)

• Discussant: Pradeep Yadav (University of Oklahoma)

• Discussant: Kris Jacobs (University of Houston)

12:35PM - 2:00PM

2:00PM - 3:10PM

Session 3: Company Actions and the Valuation of Energy Producers and Users

“Does Hedging Affect Firm Value? Evidence from a Natural Experiment,” Erik P. Gilje (Wharton School), Jérôme P. Taillard (Babson College)

• Discussant: David Haushalter (Pennsylvania State University)

“Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment,” Philipp Krüger (University of Geneva & Swiss Finance Institute)

• Discussant: Sergey Tsyplakov (University of South Carolina)

3:10PM - 3:40PM

Coffee Break (lobby of SNMONH Kerr Auditorium)

3:40PM - 5:00PM

5:00PM - 6:00PM

6:00PM - 6:30PM

6:30PM - 9:00PM

Gala Dinner (SNMONH Samedan Oil Great Hall)

Speaker: Stephen Harvey, US Energy Information Administration.

8:00AM - 8:30AM  

8:30AM - 10:15AM                                                                   

Session 4: Risk Premiums in Energy Markets

“A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil,” Christiane Baumeister (Bank of Canada); Lutz Kilian (University of Michigan)

• Discussant: Michel Robe (American University)

“Unspanned Macroeconomic Risks in Oil Futures,” Davidson Heath (University of Utah)

• Discussant: Cynthia Wu (University of Chicago)

“Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures,” Alexander David (University of Calgary)

• Discussant: John Parsons (MIT Sloan School)

10:15AM - 10:35AM

Coffee Break (lobby of SNMONH Kerr Auditorium)

10:35AM- 12:20PM

Session 5: Real Decisions in Energy Markets

"The Option to Hold a Petroleum Lease by Production: A User's Guide to the Shale Gas Drilling Boom,” James L. Smith (Southern Methodist University)

• Discussant: Chester Spatt (Carnegie Mellon University)

“Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution,” Erik Gilje (Wharton School); Robert Ready (University of Rochester); Nikolai Roussanov (Wharton School)

• Discussant: Harold Zhang (University of Texas at Dallas)

“Experiential and Social Learning in Firms: The Case of Hydraulic Fracturing in the Bakken Shale,” Thomas R. Covert (University of Chicago)

• Discussant: Lucija Muehlenbachs (University of Calgary and Resources for the Future

12:20PM - 1:30PM