2007 FMA European Conference Program

Wednesday, 30 May – 2:00 pm - 3:30 pm

Session Number 01 Special Session Session Title: Recent Trends in Corporate Governance Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm Charles Elson, head of the Weinberg Center for Corporate Governance and Don Chew, editor of the Journal of Applied Corporate Finance discuss recent improvements in US corporate governance and abroad, including the implications of private equity, and close with a brief comparison of the US and UK governance systems.
Session Number 02 Session Title: Measuring and Managing Firm Value Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Ed Dyl, University of Arizona
Valuation Accuracy and Infinity Horizon Forecasts Lucio Cassia University of Bergamo Silvio Vismara University of Bergamo	Impact of Joint Ventures on the Capital Allocation and Efficiency of Internal Investments in Partner Firms Sudha Krishnaswami University of New Orleans Elisabeta Pana Illinois Wesleyan Univesity	Ownership Structure, Share Price Levels, and the Value of the Firm Chitru S Fernando University of Oklahoma Vladimir A Gatchev University of Central Florida Paul A Spindt Tulane University
Discussant: Darius Zarzecki, Szczecin University	Discussant: Marko Savor, University Quebec Montreal	Discussant: Edward Dyl, University of Arizona
Session Number 03 Session Title: Security Issuance I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Daniel Bradley, Clemson University
Breaking Down the Barriers: Banking Deregulation and Underwriting Incentives Anil Shivdasani UNC Chapel Hill Wei-Ling Song Louisiana State University	Who is #1? A New Approach to Ranking US IPO Underwriters Jack Cooney Texas Tech University Larry Hill Texas Tech University Bradford Jordan University of Kentucky Ajai Singh Case Western Reserve University	Do Analysts Curry Favor With Issuing Firms? Daniel Bradley Clemson University Jonathan Clarke Georgia Tech Jack Cooney Texas Tech University
Discussant: Jonathan E Clarke, Georgia Tech	Discussant: Merih Sevilir, UNC Chapel Hill	Discussant: Ajai Singh, Case Western Reserve University
Session Number 04 Session Title: Asset Pricing I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Greg Bauer, Bank of Canada
Stock Return Predictability in a Monetary Economy Abraham Lioui Bar Ilan University Jesper Rangvid Copenhagen Business School	Interest Rate Risk of German Financial Institutions - The Impact of Level, Slope, and Curvature of the Term Structure Marc-Gregor Czaja Catholic University of Eichstaett-Ingolstadt Hendrik Scholz Catholic University of Eichstaett-Ingolstadt Marco Wilkens Catholic University of Eichstaett-Ingolstadt	Understanding Stock Return Predictability Hui Guo Federal Reserve Bank of St Louis Robert Savickas George Washington University
Discussant: Greg Bauer, Bank of Canada	Discussant: Andrea Cipollini, University of Essex	Discussant: Mans Kjellsson, Lund University
Session Number 05 Session Title: Portfolio Management I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Ron Guido, State Street Global Advisors
Portfolio Choice via Mean-Variance Analysis and Utility Maximization: Comparison and Assessment Björn Hagströmer Aston Business School Richard G. Anderson Vice President of Federal Reserve Bank of St. Louis Jane M. Binner Aston Business School Thomas Elger Lund University Birger Nilsson Lund University	Analyzing Regime Shifts in Stock Markets: An Asset Allocation Perspective Jun Tu Singapore Management University	Predictable Dynamics in Market, Size, and Value Betas Björn A Hansson Lund University Birger Nilsson Lund University
Discussant: Bjorn Hansson, Lund University	Discussant: Ron Guido, State Street Global Advisors	Discussant: Tu Jun, Singapore Management University
Session Number 06 Session Title: Interest Rates and Term Structure I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Kenneth Roskelley, Univ of Arizona
A Re-Examination of the Empirical Performance of the Longstaff and Schwartz Two-Factor Term Structure Model Using Real Yield Data Robert Faff Monash University Tom Smith Australian National University Sirimon Treepongkaruna Australian National University	Empircally Confronting Stochastic Singularity: An Application to the Cox, Ingersoll, and Ross Model Kenneth D Roskelley University of Arizona Christopher G Lamoureux University of Arizona
Discussant: Kenneth Roskelley, University of Arizona	Discussant: Yuriy Kitsul, Georgia State University
Session Number 07 Session Title: Behavioral Finance I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Daxue Wang, IESE Business School
The Disposition Effect and Investment Performance in the Futures Market Hyuk Choe Seoul National University Yunsung Eom Seoul National University	Stock Returns, Consensus Beliefs, and Individual and Institutional Trades Wei Li Hong Kong Polytechnic University Steven Shuye Wang Hong Kong Polytechnic University
Discussant: Daxue Wang, IESE Business School	Discussant: Yunsung Eom, Seoul National University
Session Number 08 Session Title: Corporate Governance I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Irina Stefanescu, Indiana University
Concentrated Ownership Structures and Long Term Operating Performance of Acquiring Firms: The Case of English-Origin Countries Tze-Yu Yen University of Edinburgh Paul Andre University of Edinburgh and HEC Montreal	Golden Parachutes as Managerial Incentives Jorge Brusa Texas A&M International University Wayne Y Lee University of Arkansas Carole Shook University of Arkansas	Are option awards only an incentive? Shu-hui Lin National National Changhua University of Education Shing-yang Hu National Taiwan University
Discussant Takato Hiraki, Kwansei University	Discussant: Irina Stefanescu, Indiana University	Discussant: Asli Ascioglu, Bryant University
Session Number 09 Session Title: Options, Futures, and Forwards I Day, Date, and Time: Wednesday, 30 May, 2:00 pm - 3:30 pm
Chairperson: Sotiris Staikouras, Cass Business School
Market Information and the Feedback Effect of the CBOE S&P500 Variance Futures on the Underlying Asset Paul Dawson Kent State University Sotiris K Staikouras Cass Business School	Generalized Parameter Functions for Option Pricing Panayiotis C. Andreou University of Cyprus Chris Charalambous University of Cyprus Spiros H. Martzoukos University of Cyprus	Moving Forward Into the Future Lars L. Norden Stockholm University
Discussant: Gonzalo Rubio, Universitat Pompeu Fabra	Discussant to be announced	Discussant: Sotiris Staikouras, City University
Wednesday, 30 May – 4:00 pm - 5:30 pm Session Number 10 Special Session Session Title: Corporate Governance and Incentive Compensation Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm Executive compensation is a key success factor within a value-oriented corporate governance. Most companies want to create „value“, but have problems in deciding what to focus on. This panel of academic and distinguished international practitioners will explore the difference in the design of traditional and modern incentive programs, especially the understanding of the trade-offs between motivation, shareholder cost, alignment and retention - or in other words managing the conflicting interests in the „capital market“ and the „manager market“.
Session Number 11 Session Title: Management Compensation I Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Walayet Khan, Univ of Evansville
Paying People to Lie: Modeling Executive Compensation in the Presence of Information Manipulation Yan Wu Wilfrid Laurier University	Does Gender Matter in Executive Compensation? A Case of High Tech Firms From NASDAQ. Joao Paulo Vieito Polytechnic Institute of Viana do Castelo Walayet A. Khan University of Evansville	Corporate Governance, Stock Options, and Managerial Portfolio Behavior Paul A Grout University of Bristol Anna Zalewska University of Bath
Discussant: Rahim Ashkeboussi, Frostburg State University	Discussant: Winnie Qian Peng, Hong Kong Unviersity of Science & Technology	Discussant: Binsheng Qian, Cranfield University
Session Number 12 Session Title: Security Issuance II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Carlos Alves, Univ of Porto
Discounts in Placing Pre-Renounced Shares in Rights Issues Seth Armitage Heriot-Watt University	What Makes Group-Affiliated Firms Go Public? Woochan Kim KDI School of Public Policy and Management Taeyoon Sung KAIST Graduate School of Management
Discussant: Silvio Vismara, University Bergamo	Discussant: Carlos Alves, University of Porto
Session Number 13 Session Title: Asset Pricing II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Robert Faff, Monash Univ
Herd Behavior Towards the Market Index: Evidence From 21 Financial Markets Daxue Wang IESE Business School Miguel Canela Universitat de Barcelona	Risk Premia in International Equity Markets Revisted Stephen J. Brown New York University Takato Hiraki Kwansei Gakuin Business School Kiyoshi Arakawa SG Asset Management Saburo Ohno SG Asset Management	Global Private Information in International Equity Markets Rui Albuquerque Boston University Gregory H. Bauer Bank of Canada Martin Schneider New York University
Discussant: Wei Li, Hong Kong Polytechnic University	Discussant: Robert Faff, Monash University	Discussant: Jesper Rangvid, Copenhagen Business School
Session Number 14 Session Title: Portfolio Management II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Fan Chen, Louisiana State University
Do Portfolio Managers Moonlighting Between Mutual Funds and Hedge Funds Create Conflicts of Interest? Li-Wen Chen National Chi-Nan University Fan Chen Louisiana State University	Do Small Markets Exhibit Performance Reaction? A Case Study for Mutual Fund Industry Carlos Alves CEMPRE, University of Porto Victor Mendes CMVM Portuguese Securities Commission	For Better or Worse? Mutual Funds in Side-By-Side Management Relationships with Hedge Funds Gjergji Cici College of William & Mary Scott Gibson College of William & Mary Rabih Moussawi Wharton Research Data Services
Discussant: Scott Gibson, College of William & Mary	Discussant: Fan Chen, Louisiana State University	Discussant: Simona Mola, Arizona State University
Session Number 15 Session Title: Interest Rates and Term Structure II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: to be announced
A Semi-Nonparametric Model of the Pricing Kernel and Bond Yields: Univariate and Multivariate Analysis. Yuriy Kitsul Georgia State University	Quadratic Term Structure Models with Jumps in Incomplete Currency Markets Elton Daal Florida Institute of Technology	Generalizing the Vasicek Interest Rate Model - A Continuous Time ARMA Approach Fred Espen Benth University of Oslo Steen Koekebakker Agder University College Valeri Zakamouline Agder University College
Discussant: Airu (Meg) Cheng, Cal State Santa Cruz	Discussant: Ako Doffou, Sacred Heart University	Discussant to be announced
Session Number 16 Session Title: Behavioral Finance II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Markku Kaustia, Helsinki School of Economics
Do Investors Learn From Personal Experience? Evidence from IPO Subscriptions Markku Kaustia Helsinki School of Economics Samuli Knüpfer Helsinki School of Economics	Performance, Fees, Fund Flows and Marketing Strategy: Households Behavior in Private Pension Funds Jose A Olivares Universidad del Desarrollo	Myopic Loss Aversion and House-Money Effect Overseas: An Experimental Approach José LB Fernandes Universidad Carlos III de Madrid Juan Ignacio Peña Universidad Carlos III de Madrid Benjamin M Tabak Central Bank of Brazil
Discussant: Jose Olivares, Universidad del Desarrollo	Discussant: Jan Hanousek, CERGE	Discussant: Markku Kaustia, Helsinki School of Economics
Session Number 17 Session Title: Measuring and Managing Firm Value II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Anil Shivdasani, UNC Chapel Hill
Human Capital and New Firm Creation Merih Sevilir UNC Chapel Hill	Industry Competition and the Revelation of Fraud Eitan Goldman UNC at Chapel Hill Urs Peyer INSEAD and University of Chicago Irina Stefanescu Indiana University	Is Regulation Fair Disclosure Good News for Individual Investors? Evidence from the Market Impact of Stock Repurchases Salil K Sarkar University of Texas Arlington Frank X Wang University of Texas Arlington
Discussant: Jialan Wang, MIT	Discussant: Anil Shivdasani, UNC Chapel Hill	Discussant: Kuldeep Shastri, University of Pittsburgh
Session Number 18 Session Title: Options, Futures, and Forwards II Day, Date, and Time: Wednesday, 30 May, 4:00 pm - 5:30 pm
Chairperson: Loriano Mancini, Univ of Zurich
Option Pricing With Aggregation of Physical Models and Nonparametric Statistical Learning Jianqing Fan Princeton University Loriano Mancini University of Zurich	Implied Binomial Trees and Calibration for the Volatility Smile Chris Charalambous University of Cyprus Nicos Christofides Imperial College Eleni D. Constantinide University of Cyprus Spiros H. Martzoukos University of Cyprus	Multinomial Trees and Explicit Finite-Difference Schemes: A Unifying Approach Konstantinos N. Vonatsos The American College of Greece
Discussant: Paul Grout, University of Bristol	Discussant: Loriano Mancini, University of Zurich	Discussant: Eleni Constantinide, University of Cyprus
Thursday, 31 May – 8:30 am - 10:00 am Session Number 19 Special Session Session Title: Venture Capital in Europe Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am Venture capital and other types of equity finance are playing an increasingly important role in financing innovative European companies. This session examines how the role of European venture capital is evolving over time, how it compares to that in North America and elsewhere in the world, and what makes the role of venture capital in Europe particularly distinct. Both the impact of venture capital on firm behavior and strategy as well as what shapes the decision to rely on venture capital within the European context is examined.
Session Number 20 Session Title: Agency Theory and Contracting I Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Shantaram Hegde, Univ of Connecticut
An Analysis of the Effects of Uncertainty and Agency Problems on the Gains to Acquirers of Private Firms Tomas Mantecon University of Nevada Las Vegas	Product Markets and Corporate Investment: Theory and Evidence Evrim Akdogu Southern Methodist University Peter MacKay Hong Kong University of Science & Technology	Board Compensation Practices and Agency Costs of Debt Mine Ertugrul University of Toledo Shantaram Hegde University of Connecticut
Discussant: Tze-Yu Yen, University of Edinburgh	Discussant: Shantaram Hegde, University of Connecticut	Discussant: Hong Feng Zhang, University of Melbourne
Session Number 21 Session Title: Corporate Governance II Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Ralph Walkling, Drexel Univ
Determinants and Consequences of Proxy Voting by Mutual Funds on Shareholder Proposals Rasha Ashraf Georgia Tech Narayanan Jayaraman Georgia Tech	Does the Reputation of Independent Non-Executive Directors Matter? Evidence From Hong Kong Roger King Hong Kong University of Science and Technology Winnie Qian Peng Hong Kong University of Science and Technology	Electing Directors Jie Cai Drexel University Jacqueline Garner Drexel University Ralph A. Walkling Drexel University
Discussant: Ralph A Walkling, Drexel University	Discussant: Narayanan Jayaraman, Georgia Tech	Discussant: Roger King, Hong Kong University of Science & Technology
Session Number 22 Session Title: Takeovers and Divestitures I Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Ron Masulis, Vanderbilt Univ
Information Asymmetry and Acquirer Returns Micah S. Officer University of Southern California Annette B. Poulsen University of Georgia Mike Stegemoller Texas Tech University	The Underpricing of Private Targets Jack W Cooney Texas Tech University Thomas Moeller Texas Christian University Mike Stegemoller Texas Tech University	Differential Information and Acquirers' Performance Manapol Ekkayokkaya Chulalongkorn University Phil Holmes University of Durham Krishna Paudyal University of Durham
Discussant: Manapol Ekkayokkaya, Chulalongkorn University	Discussant: Ronald Masulis, Vanderbilt University	Discussant: A Can Inci, Sabanci University
Session Number 23 Session Title: Portfolio Management III Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Cheol Eun, Georgia Tech
Fundamental Indexation and International Diversification Javier Estrada IESE Business School	Portfolio Optimization under Tracking Error and Weights Constraints: Geometric Interpretations and Loss Assessments Isabelle Bajeux-Besnainou The George Washington University Riadh Belhaj Conservatoire National des Arts et Métiers Didier Maillard Conservatoire National des Arts et Métiers Roland Portait ESSEC and Conservatoire National des Arts et Métiers	Local Factors and the Gains from International Diversification Cheol S Eun Georgia Tech Sandy Lai Singapore Management University Zhe Zhang Singapore Management University
Discussant: Cheol Eun, Georgia Tech	Discussant: Harald Lohre, Union Investment Institutional GmbH	Discussant: Maria Stromqvist, Stockholm School of Economics
Session Number 24 Session Title: Market Efficiency I Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Petya Platikanova, Univ Pompeu Fabra
Can Small Investors Exploit the Momentum Effect? Evidence From the London Stock Exchange Antonios Siganos University of Glasgow	Contrarian Investment, Accounting Conservatism, and Transitory Earnings Mattias Hamberg Göteborg University Jiri Novak Uppsala University	Do Analysts Revise their Recommendations to Increase Trading by Clients? Tom P. Berglund Swedish School of Economics and Business Adminstration Omar Farooq Swedish School of Economics and Business Adminstration Joakim Westerholm University of Sydney
Discussant: Ron Jongen, Maastricht University	Discussant: Petya Platikanova, Universitat Pompeu Fabra	Discussant: Antonio Della Bina, Bocconi University
Session Number 25 Session Title: Asset Pricing III Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Yuming Li, Cal State Fullerton
International Stock Returns, Labor Income, and Incomplete Markets Yuming Li California State University, Fullerton	The Long-Term Effects of Cross-Lising, Investor Recognition, and Ownership Structure on Valuation Michael R King Bank of Canada Dan Segal University of Toronto	Rational Expectation and Expected Stock Returns Chia-Cheng Ho National Chung Cheng University Chien-Ting Lin University of Adelaide
Discussant: Charlie Cai, Leeds University	Discussant: Yuming Li, Cal State Fullerton	Discussant: Qingqing Chen, Cornell University
Session Number 26 Session Title: Banking I Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: George Kaufman, Loyola Univ Chicago
The Valuation of Deposit Insurance in an Arbitrage-Free Basel II Consistent Framework Oliver Entrop Catholic University of Eichstaett-Ingolstadt Marco Wilkens Catholic University of Eichstaett-Ingolstadt	Why Do Borrowers Pledge Collateral? New Empirical Evidence on the Role of Asymmetric Information Allen N. Berger Federal Reserve System Marco A. Espinosa-Vega International Monetary Fund W. Scott Frame Federal Reserve Bank of Atlanta Nathan H. Miller University of California at Berkeley	Credibility of Non-Insurance and Governance As Determinants of Market Discipline and Risk-Taking in Banking Apanard Angkinand University of Illinois, Springfield Clas Wihlborg Copenhagen Business School
Discussant: Esa Jokivuolle, Bank of Finland	Discussant: Laurent Weill, University of Strasbourg	Discussant: George G Kaufman, Loyola University
Session Number 27 Session Title: Real Options Day, Date, and Time: Thursday, 31 May, 8:30 am - 10:00 am
Chairperson: Richard Shockley, Indiana Univ
IJV Evolution: Extending the Real Options Approach Jing Li Simon Fraser University Charles Dhanaraj Indiana University Richard L. Shockley Indiana University	Euro Membership as a Real Option Trigger: An Empirical Study of EU15 Manufacturing Firms Tom Aabo Aarhus School of Business	Product Development with Value-Enhancing Options Nicos Koussis University of Cyprus and MIT Spiros Martzoukos University of Cyprus Lenos Trigeorgis University of Cyprus and MIT
Discussant: Konstantinos Vonatsos, American College of Greece	Discussant: Richard Shockley, Indiana University	Discussant: Paul Spindt, Tulane University
Thursday, 31 May – 10:30 am - 12:00 noon Session Number 28 Special Session Session Title: Portfolio Construction: From Theory to Practice Day, Date, and Time: Thursday, 31 May – 10:30 am - 12:00 noon Since the introduction of mean-variance analysis by Harry Markowitz in 1952, investors have faced a variety of serious challenges in applying this elegant theory in the real world of investing. This session will focus on advances in portfolio construction that address estimation error, non-normality, plausible utility functions, and optimal rebalancing.
Session Number 29 Session Title: Agency Theory and Contracting II Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: W Scott Frame, Fed Res Bank Atlanta
Strategic Conversion and the Risk Mitigating Effect of Convertible Debt Pascal Francois HEC Montreal Georges Hübner University of Liege and Maastricht University Nicolas Papageorgiou HEC Montreal	The Emergence of Information Sharing in Credit Markets Martin Brown Swiss National Bank Christian Zehnder University of Zurich	Does Collateral Help Mitigate Adverse Selection? A Cross-Country Analysis Laurent Weill Universite Robert Schuman Christophe Godlewski Universite Louis Pasteur
Discussant: Vijay Yerramilli, Indiana University	Discussant: Jose Ignacio Pena, Universidad Carlos III de Madrid	Discussant: W Scott Frame, Federal Reserve Bank Atlanta
Session Number 30 Session Title: Corporate Governance III Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Wouter Van Overfelt, Univ of Antwerp
Relationship Banking - Empirical Evidence For Germany Christoph Memmel Deutsche Bundesbank Christian Schmieder European Investment Bank Ingrid Stein Deutsche Bundesbank	Board Effectiveness and the Impact of the Legal Family in the European Banking Industry Ilduara Busta Copenhagen Business School	Ownership Patterns, Market Discipline, and Bank Risk Taking Incentives under Deposit Insurance Jens Forssbaeck Lund University/Copenhagen Business School
Discussant: Wouter Van Overfelt, University of Antwerp	Discussant: Ingrid Stein, Deutsche Bundesbank	Discussant: Aidyn Bibolov, Bocconi University
Session Number 31 Session Title: Takeovers and Divestitures II Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Marina Martynova, Univ of Sheffield
Large Shareholders and Form of Payment in M&A: Evidence From Canada Walid Ben-Amar University of Ottawa Paul André University of Edinburgh	Sources of Transaction Financing in Corporate Takeovers Marina Martynova Sheffield University Luc Renneboog Tilburg University & ECGI	Tender Offers versus Block Trades: Empirical Evidence Martin Holmen Uppsala University Eugene Nivorozhkin University College London
Discussant: Marina Martynova, University of Sheffield	Discussant: Diana Pop, University Orleans	Discussant: Ettore Croci, Universita Cattolica Milan
Session Number 32 Session Title: Small Business I Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Johanna Koëter-Kant Vrije Universiteit Amsterdam
The European Institutional Environment and SME Relationship Lending: Should We Care? Ginés Hernández-Cánovas Polytechnic University of Cartagena Johanna Koëter-Kant Vrije Universiteit Amsterdam	Are Trade Creditors Relationship Lenders? Hirofumi Uchida Wakayama University Gregory F Udell Indiana University Wako Watanabe Tohoku University	The Effect of Relationship Lending on Firm Performance Judit Montoriol Garriga Universitat Autònoma Barcelona
Discussant: Hirofumi Uchida, Wakayama University	Discussant: Vasso Ioannidou, Tilburg University	Discussant: Johanna Koeter-Kant, Vrije Universiteit Amsterdam
Session Number 33 Session Title: Market Efficiency II Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Maria Carapeto, Cass Business School
Inefficient Analyst Coverage and Momentum Christos Pantzalis University of South Florida	The Reaction of Italian Stock Market to Recommendation Revisions Enrico Maria Cervellati University Bologna Antonio Carlo Francesco Della Bina University Bologna Pierpaolo Pattitoni University Bologna	Credit Ratings and the Cross-Section of Stock Returns Doron Avramov University of Maryland Tarun Chordia Emory University Gergana Jostova George Washington University Alexander Philipov American University
Discussant: Edward CT Lin, University of Adelaide	Discussant: Maria Carapeto, Cass Business School	Discussant: Kyojik "Roy" Song, SKKU
Session Number 34 Session Title: Asset Pricing IV Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Bob Boldin, Indiana Univ
Are ADRs Different From US Stocks? An Analysis of Idiosyncratic Risks Robert Boldin Indiana University of Pennsylvania Mukesh Chaudhry Indiana University of Pennsylvania Luis Palacios University of Pennsylvania	Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets Javed Iqbal Monash University Robert D Brooks Monash University Don UA Galagedera Monash University	Stock Market Volatility and Great Moderation: New Evidence Based on G-7 Economies Juncal Cunado Universidad de Navarra Javier Gomez Biscarri Universidad de Navarra and IESE Business School Fernando Perez de Gracia Universidad de Navarra
Discussant: Alan Reichert, Cleveland State University	Discussant: Robert Boldin, Indiana University	Discussant: Koen Inghelbrecht, Ghent University
Session Number 35 Session Title: Banking II Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Gabriel Asaftei, Univ of Richmond
The Dominance of Product Mix over Productivity and Technical Change in the US Banking Gabriel Asaftei University of Richmond Valentin Zelenyuk Kyiv Economics Institute	Geographic Deregulation and Competition in the US Banking Industry H Semih Yildirim York University Sunil K Mohanty University of St. Thomas	Measuring Competition in Banking: A Disequilibrium Approach John A Goddard University of Wales, Bangor John OS Wilson University of St Andrews
Discussant: Apanard Angkinand, University of Illinois Springfield	Discussant: Gabriel Asaftei, University of Richmond	Discussant to be announced
Session Number 36 Session Title: Currency Markets, Exchange Rates I Day, Date, and Time: Thursday, 31 May, 10:30 am - 12:00 noon
Chairperson: Eva Porras, Instituto de Empresa
Can Affine Term Structure Models Help us Predict Exchange Rates? Antonio Diez de los Rios Bank of Canada	Dispersion of Beliefs in Foreign Exchange Ron Jongen Maastricht University Willem F.C. Verschoor Radboud University Christian C.P. Wolff Maastricht University Remco C.J. Zwinkels Radboud University	Effects of Stock Markets on the Probability of Occurrence of Extreme Fluctuations and Excess Returns in the Exchange Rates Anna V. Vygodina California State University, Sacramento
Discussant: Aline Muller, Radboud University	Discussant: Photios Harmantzis, Stevens Institute of Technology	Discussant: Eva Porras, Instituto de Empresa
Thursday, 31 May – 2:00 pm - 3:30 pm Session Number 37 Special Session Session Title: Vanishing Market and Bank Liquidity Day, Date, and Time: Thursday, 31 May – 2:00 pm - 3:30 pm Vanishing market liquidity is a reality that financial market participants face, and for which contingent plans need to be designed. The panel shall bring together economists and practitioners to discuss liquidity holes in financial markets in relation to bank liquidity. Reflections will be conducted along the three following lines: financial market distress, a regulatory approach to vanishing liquidity, lender of last resort and systemic dimensions.
Session Number 38 Session Title: Agency Theory and Contracting III Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson: Joao Paulo Vieito, Polytechnic Inst of Viana do Castelo
Agency Theory versus Managerial Ownership Theories: Understanding the Non-Linear Relationship Between Managerial Incentives and Firm Risk Konstantinos Stathopoulos Manchester Business School Susanne Espenlaub Manchester Business School Martin Walker Manchester Business School	Women Executives and Corporate Investment: Evidence from the S&P 1500 Winnie Qian Peng Hong Kong University of Science & Technology KC John Wei Hong Kong University of Science & Technology	Conflict of Interest in Contingent Commission Arrangements: Evidence from the Property-Casualty Insurance Companies James I Hilliard University of Connecticut Chinmoy Ghosh University of Connecticut
Discussant: Joao Paulo Vieito, Polytechnic Institute of Viana do Castelo	Discussant: Jahangir Sultan, Bentley College	Discussant: Jan Bena, CERGE EI
Session Number 39 Session Title: Corporate Governance IV Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson: Annette Poulsen, Univ of Georgia
Can Transparency be Too Much of a Good Thing? Rajdeep Singh University of Minnesota Vijay Yerramilli Indiana University	The Choice Between Private and Public Capital Markets: The Importance of Disclosure Standards and Auditor Discipline to Countries Divesting State-Owned Enterprises Omrane Guedhami Memorial University of Newfoundland Jeffrey A Pittman Hong Kong University of Science and Technology	The Decision to Adopt a Classified Board of Directors at IPO: The Effects of Venture Capital Backing, Sarbanes-Oxley and the Premium for Good Governance David Pompilio Cornell University
Discussant Rob Bliss, Wake Forest University	Discussant: Annette B Poulsen, University of Georgia	Discussant: Tereza Tykvova, Centre for European Economic Research
Session Number 40 Session Title: Takeovers and Divestitures III Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson to be announced
Agency Problems at Dual Class Companies Ronald W Masulis Vanderbilt University Cong Wang Vanderbilt University Fei Xie San Diego State University	Prior Performance and Corporate Governance Characteristics of Acquirers Juergen Kurth Maastricht University Thorsten Lehnert Radbout University Nijmegen	Industry Prospects and Acquirers’ Returns in Diversifying Takeovers Husayn Shahrur Bentley College Anand Venkateswaran Northeastern University
Discussant: Michael R King, Bank of Canada	Discussant: Husayn Shahrur, Bentley College	Discussant: Thomas Moeller, Texas Christian University
Session Number 41 Session Title: Portfolio Management IV Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Portfolio Construction with Asymmetric Risk Measures Thorsten Neumann Union Investment Thomas Winterfeldt University of Rostock Harald Lohre, Union Investment	Reducing Estimation Risk While Managing Portfolio Risk with VaR Gordon J Alexander University of Minnesota Alexandre M Baptista George Washington University Shu Yan University of South Carolina	Optimal Risk Taking with Flexible Income Jaksa Cvitanic Caltech Levon Goukasian Pepperdine University Fernando Zapatero University of Southern California
Discussant: Isabelle Bajeux-Besnainou, The George Washington University	Discussant to be announced	Discussant: Randal Muth, Monash University
Session Number 42 Session Title: Market Efficiency III Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson: Marco Wilkens, Catholic Univ of Eichstatt-Ingolstadt
Do Emerging Market Hedge Fund Managers Lack Skills? Maria Stromqvist Stockholm School of Economics	The Determinants of Mutual Fund Performance: A Cross-Country Study Miguel A Ferreira ISCTE Business School António F Miguel ISCTE Business School Sofia Ramos ISCTE Business School	Professional Portfolio Managers - A Setting for Momentum Strategies José LB Fernandes Universidad Carlos III de Madrid Juan Ignacio Peña Universidad Carlos III de Madrid Benjamin M Tabak Central Bank of Brazil José Renato Haas Ornelas Central Bank of Brazil
Discussant: Marco Wilkens, Catholic University of Eichstatt-Ingolstadt	Discussant: Gengnan Chiang, Feng Chia University	Discussant: Mattias Hamberg, Goteborg University
Session Number 43 Session Title: Asset Pricing V Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson: Chris Pantzalis, Univ of South Florida
Return Reversals, Idiosyncratic Risk, and Expected Returns Wei Huang University of Hawaii Qianqiu Liu University of Hawaii S. Ghon Rhee University of Hawaii Liang Zhang University of Hawaii	The Determinants of Stock Price Exposure in Mining and Extractive Industries: An Analysis of the Oil Industry Charlie X. Cai Leeds University Robert W. Farr Leeds University David Hillier Leeds University	Why Managers Hold Shares of their Firm: An Empirical Analysis Ulf von Lilienfeld-Toal University of Frankfurt Stefan Ruenzi Centre for Financial Research (CFR) Cologne and University of Cologne
Discussant: Christos Pantzalis, University of South Florida	Discussant: Hakan Jankensgard, Lund University	Discussant: Ilduara Busta, Copenhagen Business School
Session Number 44 Session Title: Money and Capital Markets Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson: Iraj Fooladi, Dalhousie Univ
What Drives Provincial-Canada Yield Spreads? Laurence D Booth University of Toronto George Georegopolous York University Walid Hejazi University of Toronto	Determinants of Moody's and S&P's Subsovereign Credit Ratings Norbert Gaillard Sciences Po Paris	Monetary Policy Surprises and International Bond Markets Don Bredin University College Dublin Stuart Hyde Manchester Business School Gerard O'Reilly Central Bank of Ireland
Discussant: Iraj Fooladi, Dalhousie University	Discussant: Yalin Gunduz, University of Karlsruhe	Discussant: Laurence Booth, University of Toronto
Session Number 45 Session Title: Currency Markets, Exchange Rates II Day, Date, and Time: Thursday, 31 May, 2:00 pm - 3:30 pm
Chairperson: Tom Aabo, Univ of Aarhus
Do Top Trading Banks in FOREX Business Know More? Kate Phylaktis Cass Business School Long Chen Cass Business School	Using Survey Data To Test Propositions Regarding Exchange Risk Exposure Ron Jongen LIFE, Maastricht University, The Netherlands Aline Muller Radboud University, Nijmegen School of Management, The Netherlands Willem F.C. Verschoor Radboud University, Nijmegen School of Management, The Netherlands	Foreign Exchange Rate Exposure and Risk Premium in International Investments: Evidence From American Depositary Receipts Sung C Bae Bowling Green State University Taek Ho Kwon Chonnam National University Mingsheng Li Bowling Green State University
Discussant: Bulent Aybar, Southern New Hampshire University	Discussant: Tom Aabo, University of Aarhus	Discussant: Sunil Mohanty, University of St Thomas
Thursday, 31 May – 4:00 pm - 5:30 pm Session Number 46 Special Session Session Title: Execution Costs and Market Design Worldwide Day, Date, and Time: Thursday, 31 May – 4:00 pm - 5:30 pm Little or no agreement exists among the world’s leading stock exchanges as to what constitutes an optimal market design. On transparency, anonymity, consolidated limit order books, ownership structure, circuit breakers, and the presence of market makers or trading floors, the LSE, the NYSE, the NASDAQ, the TSE, the ASX, Xetra, and Euronext-Paris often differ. The questions are: why the variety, which design features reduce various components of execution cost in particular market environments, and what effect will the MiFID have on these issues?
Session Number 47 Session Title: Bankruptcy and Distress Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: John Merrick, College of William & Mary
US Corporate and Bank Insolvency Regimes: a Comparison and Evaluation Robert R. Bliss Wake Forest University George G. Kaufman Loyola University Chicago	Law and Bankruptcy: An International Comparison of Liquidation and Reorganization Chien-An Wang National Chi-Nan University
Discussant: John J Merrick Jr, College of William & Mary	Discussant: Pascal Francois, HEC Montreal
Session Number 48 Session Title: Monetary and Economic Policy Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Nick Laopodis, Fairfield Univ
Leading Indicator Properties of US High-Yield Credit Spreads Nektarios Aslanidis Monash University Andrea Cipollini University of Essex	Macroeconomic Policies and the Stock Market Nikiforos T Laopodis Fairfield University	Nonlinearities in British Interest Rate Transmission Mechanism Ana-Maria Fuertes Cass Business School Shelagh Heffernan Cass Business School Elena Kalotychou Cass Business School
Discussant: Elena Kalotychou, Cass Business School	Discussant: Narjess Kayhani, Mount St Vincent University	Discussant: Nikiforos Lapodis, Fairfield University
Session Number 49 Session Title: Dividend Policy I Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Dusan Isakov, Univ de Fribourg
Repurchasing Shares on a Second Trading Line Dennis Y Chung Simon Fraser University Christophe Pérignon Simon Fraser University Dusan Isakov Universite de Fribourg	Levered Repurchases: Who Benefits? Kristina Minnick Bentley College Mengxin Zhao Bentley College	Ownership Concentration, Agency Conflicts, and Dividend Policy in Japan Kimie Harada Chuo University Pascal Nguyen University of New South Wales
Discussant: Seth Armitage, Heriot-Watt University	Discussant: Sung C Bae, Bowling Green State University	Discussant: Dusan Isakov, Universite de Fribourg
Session Number 50 Session Title: Portfolio Management V Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Sofia Brito Ramos, ISCTE Business School
Country Risk, Fund Characteristics, and Premiums on Closed-End Country Funds Jang-Chul Kim North Dakota State University Kyojik "Roy" Song Sungkyunkwan University	Rivals or Partners? Evidence from Europe’s International Private Equity Deals Tereza Tykvova ZEW Mannheim Andrea Schertler Kiel University	Market Timing Under Multiple Economic Regimes Ron Guido State Street Global Advisors Joshua Pearl University of New South Wales Kathleen D Walsh University of New South Wales
Discussant: Sofia Brito Ramos, ISCTE Business School	Discussant: Annelies Roggeman, University of Antwerp	Discussant to be announced
Session Number 51 Session Title: Market Efficiency IV Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Gordon Alexander, Univ of Minnesota
Do Stock Markets Underreact to Spinoff Announcements? The European Case Sudi Sudarsanam Cranfield University Binsheng Qian Cranfield University	Risk Premium, Volatility, and Terrorism: New Evidence O David Gulley Bentley College Jahangir Sultan Bentley College	Financial Information effects on the measurement of Commercial Banks’ Efficiency Borja Tapia, Universidad de Extremadura Maria T Tascon, Universidad de Leon Jose L Fanjul, Universidad de Leon
Discussant: Gordon Alexander, University of Minnesota	Discussant Claudio Boido, University of Siena	Discussant to be announced
Session Number 52 Session Title: Asset Pricing V Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Pablo Fernandez, IESE Business School
Option-Implied Preferences Adjustments, Density Forecasts, and the Equity Risk Premium Francisco Alonso Banco de España Roberto Blanco Banco de España Gonzalo Rubio Universitat Pompeu Fabra