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	Equity Premium: Historical, Expected, Required,and Implied Pablo Fernandez IESE Business School	The Empirical Relationship between Firm Level Investments, Stock Return, Systematic Risk, and the Book-To-Market Effect Måns Kjellsson Lund University
Discussant: Alexander Zeisler, Catholic University of Eichstaett-Ingolstadt	Discussant: Levon Goukasian, Pepperdine University	Discussant: Pablo Fernandez, IESE Business School
Session Number 53 Session Title: Banking V Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Tim Curry, FDIC
The Effect of Bank Supervision on Loan Growth Timothy J Curry FDIC Gary S Fissel FDIC Carlos D Ramirez George Mason Univ & FDIC	How Much Would Banks Be Willing to Pay to Become "Too-Big-To-Fail" and to Capture Other Subsidies? Eli Brewer DePaul University & Federal Reserve Bank Chicago Julapa Jagtiani Federal Reserve Bank of Kansas City Ken Spong Federal Reserve Bank of Kansas City	"Time For a Change" Loan Conditions and Bank Behavior when Firms Switch Vasso Ioannidou CentER Tilburg University Steven Ongena CentER Tilburg University
Discussant: Gabriele Sabato, ABN Amro	Discussant: Timothy Curry, FDIC	Discussant: Michal Kowalik, University of Manheim
Session Number 54 Session Title: Market Integration and Efficiency Day, Date, and Time: Thursday, 31 May, 4:00 pm - 5:30 pm
Chairperson: Thorsten Lehnert, Radboud Univ Nijmegen
The Economic Value of Using Realized Volatility in the Index Options Market Wing H Chan Wilfrid Laurier University Ranjini Jha University of Waterloo Madhu Kalimipalli Wilfrid Laurier University	Time-Varying Integration, Interdependence, and Contagion Lieven Baele Tilburg University, CentER, and Netspar Koen Inghelbrecht Ghent University	The Impact of the Liquidity Provider on Execution Cost For Euronext Paris Michael J. Aitken University of New South Wales Frederick H. deB. Harris Wake Forest University Rowan M. Cook ABN AMRO Thomas H. McInish University of Memphis
Discussant: Thorsten Lehnert, Radboud University Nijmegen	Discussant: Fernando Perez de Gracia, Universidad de Navarra	Discussant: Giovanni Petrella, Universita Cattolica
Friday, 1 June – 8:30 am - 10:00 am Session Number 55 Special Session Session Title: National Champions and M&A in Europe Day, Date, and Time: Friday, 1 June – 8:30 am - 10:00 am The European Union, in its Lisbon Agenda of 2000, wants Europe to be "the most competitive and dynamic economy in the world" by 2010. Yet, several member governments of the EU, especially large ones, —are practicing a new form of protectionism under the banner of promoting national champions. The approval of the takeover bid for Banca Antonveneta by Banca Popolare Italiana to thwart the rival bid by Dutch ABN Amro and the hastily arranged merger between Gas de France and Suez to prevent the takeover of Suez by Italy’s ENEL are two prominent examples of this policy. The panel will discuss whether we are we witnessing the remnants of old nationalistic reflexes or the rise of a new dirigisme tide.
Session Number 56 Session Title: Capital Structure I Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: Roberto Mura, Manchester Business School
Leverage, Debt Maturity and Firm Investment: An Empirical Analysis Viet Anh Dang University of Leeds	Financial Flexibility and Investment Decisions: Evidence From Low-Leverage Firms Maria-Teresa Marchica Manchester Business School Roberto Mura Manchester Business School	What Can We Learn About Capital Structure from Bond Credit Spreads? Mark J Flannery University of Florida Stanislava Nikolova George Mason University Ozde Oztekin University of Florida
Discussant: Agustinus Prasetyantoko, Ecole Normale Superieure	Discussant: Carmen Aranda, University of Navarra	Discussant: Roberto Mura, University of Manchester
Session Number 57 Session Title: Equity Pricing Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: Antonio Diez de los Rios, Bank of Canada
Dissecting the Global Accrual Anomaly Markus Leippold, Imperial College London Harald Lohre Union Investment	Evidence of Persistence in the London Interbank Offer Rate Photios C Harmantzis FX Concepts & EDHEC Jay S Nakahara RiskMetrics Group	Anomalous Price Reaction and Differential Stockholder Response to Going-Concern Audit Opinions and Withdrawals Asad Kausar Manchester Business School Richard J Taffler University of Edinburgh Christine Tan City University of New York
Discussant: Richard Taffler, University of Edinburgh	Discussant: Antonio Diez de los Rios, Bank of Canada	Discussant: Anwar Boumseleh, Lebanese American University
Session Number 58 Session Title: Corporate Governance V Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson to be announced
Director Compensation and Earnings Management Anwar Samir Boumosleh Lebanese American University	Corporate Governance and Investor Rationality: Evidence from the 1990's Financial Bubble Eliezer M Fich, Drexel University	CEO Stock Options: Evidence That Large Grants are Bad News for Shareholders Jean M Canil University of Adelaide Bruce A Rosser University of Adelaide
Discussant: Yan Wu, Wilfrid Laurier Univ	Discussant: James J Angel, Georgetown University	Discussant: Alireza Tourani-Rad, Auckland Univ of Technology
Session Number 59 Session Title: Market Efficiency V Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: Carl Chen, Univ of Dayton
Periodically Collapsing Bubbles in the Asian Emerging Stock Markets Ako Doffou Sacred Heart University	Stock Market Mispricing: Inflation Illusion or Resale Option? Carl R Chen University of Dayton Peter P Lung University of Dayton F Albert Wang University of Dayton	Ex-Dividend Pricing, Taxes, and Arbitrage Opportunities: The Case of the Portuguese Stock Exchange Jorge Bento Farinha University of Porto Miguel Antunes Sôro Banco Espirito Santo
Discussant: Anna Vygodina, Cal State Stanislaus	Discussant: Enrico Cervallati, University of Bologna	Discussant: Carl Chen, University of Dayton
Session Number 60 Session Title: Portfolio Performance Evaluation I Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: Alexandra Niessen, Univ of Cologne
Performance and Performance Persistence of “Ethical” Unit Trusts in the UK Alan Gregory University of Exeter Julie Whittaker University of Exeter	Assessing Mutual Fund Performance with a Fund-Specific Passive Equivalent Portfolio Benchmark LeRoy D. Brooks John Carroll University Gary E. Porter John Carroll University	Hedge Fund, Mutual Fund, and Institutional Fund Conglomerates: Risk and Return Choices for a Sophisticated Investor Janis Berzins Norwegian School of Management BI Crocker Liu Arizona State University Charles A Trzcinka Indiana University
Discussant: Alexandra Niessen, University of Cologne	Discussant: Janis Berzins, Norwegian School of Managemen	Discussant to be announced
Session Number 61 Session Title: Risk Management I Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: John Finnerty, Fordham Univ
Asset Liquidity, Debt Valuation, and Credit Risk Ethan Cohen-Cole Federal Reserve Bank of Boston	Forward-Looking Information Disclosure and Share Return Volatility Ning Gong University of Melbourne	Risk Management Strategies in Financial Distress Niclas Andren Lund University Håkan Jankensgård Lund University
Discussant: John D Finnerty, Fordham University	Discussant: Jonathan Dark, Monash University	Discussant: Ning Gong, University of Melbourne
Session Number 62 Session Title: Banking III Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: Kevin Davis, Melbourne Centre for Financial Studies
A Tale of Two Speeds of Bias Reduction: Recommendation Changes for US and Non-US Investment Banks Maria Carapeto Cass Business School Miles Gietzmann Cass Business School	Cross-Border Banking: Challenges For Deposit Insurance and Financial Stability in the European Union Robert A Eisenbeis Federal Reserve Bank of Atlanta George G Kaufman Loyola University of Chicago	The Last Frontier: The Integration of Banking and Commerce in the US Larry D. Wall Federal Reserve Bank of Atlanta Alan K. Reichert Cleveland State University Hsin-Yu Liang Cleveland State University
Discussant to be announced	Discussant: Kevin Davis, Melbourne Centre for Financial Studies	Discussant: Julapa A Jagtiani, Federal Reserve Bank Kansas City
Session Number 63 Session Title: Emerging Markets I Day, Date, and Time: Friday, 1 June, 8:30 am - 10:00 am
Chairperson: Ana Paula Serra, Universidad do Porto
Asymmetric Price Transmissions between the Real Estate and Stock Markets in Taiwan Tsangyao Chang Feng Chia University Chie-Chen Chiu Tamkang University	Stepping Up to the Edge: Delisting Pressure in a Frontier Emerging Market Diana Pop University of Orléans	Exchange Rate Exposure and Firm Value : Analysis of Emerging Market Multinationals Bulent C. Aybar Southern New Hampshire University Arul Thirunavukkarasu Hiram College
Discussant: Javed Iqbal, Monash University	Discussant: Ana Paula Serra, Universidad do Porto	Discussant: Georgios Gatopoulos, University of Geneva
Friday, 1 June – 10:30 am - 12:00 noon Session Number 64 Special Session Session Title: Business Ethics, Corporate Compliance, and Finance Day, Date, and Time: Friday, 1 June – 10:30 am - 12:00 noon
Session Number 65 Session Title: Capital Structure II Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson: Tom Hall, Christopher Newport Univ
Capital Structure and Firm Value: An Empirical Analysis of Abnormal Returns Gulnur Muradoglu Cass Business School Sheeja Sivaprasad Cass Business School	Concentrated Control: A Comparative Analysis of Single and Dual Class Structures on Corporate Value Ben Amoako-Adu Wilfrid Laurier University Brian F Smith Wilfrid Laurier University Madhu Kalimipalli Wilfrid Laurier University	Capital Structure, Creditor Rights, and Legal Origin Thomas W Hall Christopher Newport University Fredrick Joergensen South Stockholm University/BEEGS
Discussant: Tom Hall, Christopher Newport University	Discussant: Martin Holmen, Uppsala University	Discussant: Nico Dewaelheyns, Catholic University of Leuven
Session Number 66 Session Title: Equity Pricing II Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson: Miguel Canela, Universitat de Barcelona
Football and Mood in Italian Stock Exchange Claudio Boido Università di Siena Antonio Fasano Università di Salerno	Market Impact of International Sporting and Cultural Events António Miguel Martins Universidade do Porto Ana Paula Serra Universidade do Porto	Creativity and Project Value in the Film Industry Jialan Wang Massachusetts Institute of Technology
Discussant: Antonios Siganos, Glasgow University	Discussant: Miguel A Canela, Uniersitat de Barcelona	Discussant: Stanislava Nikolova, George Mason University
Session Number 68 Session Title: Market Microstructure I Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson: Ethan Cohen-Cole, Fed Res Bank Boston
Information Acquisition, Cost of Capital, and International Cross-Listed Equity Comovement Qingqing Chen Cornell University	Tax Report and Insider Trading Jordi Caballé Universitat Autònoma de Barcelona Ariadna Dumitrescu ESADE Business School	Dynamic Trading, Asset Prices, and Bubbles Giovanni Cespa CSEF, Università di Salerno, and CEPR Xavier Vives IESE Business School & UPF-ICREA
Discussant: Ethan Cohen-Cole, Federal Reserve Bank Boston	Discussant: Giovanni Cespa, CSEF, Universita di Salerno & CEPR	Discussant: Bart Frijns, Radboud University Nijmegen
Session Number 69 Session Title: Portfolio Performance Evaluation II Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson: Simona Mola, Arizona State Univ
Yet Another Puzzle? The Relation Between Price and Performance in the Mutual Fund Industry Javier Gil-Bazo Universidad Carlos III de Madrid Pablo Ruiz-Verdú Universidad Carlos III de Madrid	False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas Laurent Barras University of Geneva Olivier Scaillet University of Geneva Russ Wermers University of Maryland	Affiliated Mutual Funds and Analyst Optimism Simona Mola Arizona State University Massimo Guidolin Federal Reserve Bank of St. Louis
Discussant: Laurent Barras,	Discussant: LeRoy Brooks, John Carroll University	Discussant: Javier Gil Bazo, Universidad Carlos III de Madrid
Session Number 70 Session Title: Risk Management II Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson: Betty Simkins, Oklahoma State Univ
Credit Spreads: Theory and Evidence about the Information Content of Stocks, Bonds and Cdss Santiago Forte ESADE Business School J. Ignacio Peña Universidad Carlos III de Madrid	Managing Credit Risk For Retail Low-Default Portfolios Gabriele Sabato ABN AMRO & University of Rome "La Sapienza"	Copulas From Infinitely Divisible Distributions: Applications to Credit Value at Risk Thomas Moosbrucker University of Cologne
Discussant: Thomas Moosbrucker, University of Cologne	Discussant: Betty Simkins, Oklahoma State University	Discussant: Elton Daal, Florida Institute of Technology
Session Number 71 Session Title: Banking IV Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson: George Morgan, Virginia Tech
The Provision of Services, Interest Margins, and Loan Pricing in European Banking Laetitia Lepetit Université de Limoges, LAPE Emmanuelle Nys Université de Limoges, LAPE Philippe Rous Université de Limoges, LAPE Amine Tarazi Université de Limoges, LAPE	Bank Opaqueness in Europe Aidyn Bibolov Bocconi University	When Do We Want to Know? A Supervisory Perspective on Disclosure George E. Morgan Virginia Tech Kyung-Chun Mun Truman State University
Discussant: Jens Forssbaeck, Lund Institute of Economic Research	Discussant: George Morgan, Virginia Tech	Discussant: Christophe Godlewski, Universite of Strasbourg
Session Number 72 Session Title: Emerging Markets II Day, Date, and Time: Friday, 1 June, 10:30 am - 12:00 noon
Chairperson to be announced
Currency Depreciation and Firm Performance in Indonesia Agustinus Prasetyantoko Ecole Normale Supérieure	Firms' Use of Foreign Currency Derivatives Under the Threat of Currency Crises: The Case of Latin America Georgios Gatopoulos University of Geneva Henri Louberge, University of Geneva	Threshold Effect of Debt-to-GDP Ratio on GDP per Capita with Panel Threshold Regression Model: The Case of OECD Countries Tsangyao Chang Feng Chia University Gengnan Chiang Feng Chia University
Discussant: Tsangyao Chang, Feng Chia University	Discussant to be announced	Discussant: Norbert Gaillard, Science Po Paris
Friday, 1 June – 2:00 pm - 3:30 pm Session Number 73 Special Session Session Title: The Global Distressed Investing Market: A Major Hedge Fund New Asset Class Day, Date, and Time: Friday, 1 June – 2:00 pm - 3:30 pm Investing in Distressed Securities has emerged in the last ten years as a major growth area for alternative investment strategies, mainly found amongst hedge funds. The number of dedicated investment managers in this space has almost doubled in the last five years in the US, to approximately 200, with perhaps $300 billion under management. In Europe there are perhaps 50 “players” and close to that number in Asia/South America. This is remarkable given the shrinkage of size in the market recently as the world “endures” a benign credit environment. This panel of an academic and distinguished European and American practitioners will explore the trends, strategies and new dimensions of this unique market.
Session Number 74 Session Title: Capital Structure III Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Christine Brown, Univ of Melbourne
Corporate Capital Management and Protection of Warrant-holder Claims Kevin Davis Melbourne Centre for Financial Studies Christine Brown University of Melbourne	Is the Growth of Euro Area Small and Medium-Sized Enterprises Constrained by Financing Barriers? Annalisa Ferrando European Central Bank Petra Köhler-Ulbrich European Central Bank Rozalia Pal European University Viadrina	Internal Capital Markets and Capital Structure: Bank versus Internal Debt Nico Dewaelheyns KU Leuven/Lessius Hogeschool Cynthia Van Hulle KU Leuven
Discussant to be announced	Discussant: Judit Montoriol Garriga,	Discussant: James I Hilliard, University of Connecticut
Session Number 75 Session Title: Takeovers and Divestitures IV Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Rym Ayadi, CEPS
The Reaction of Industry Insiders to M&A´S in the European Financial Industry Jose Manuel Campa IESE Business School Ignacio Hernando, Banco de Espana	Catering Theory of Corporate Spinoffs: Empirical Evidence from Europe Sudi Sudarsanam Cranfield University Binsheng Qian Cranfield University	Measuring Firm Value: The Case of the Polish Banking Industry Magdalena Kisielewska Szczecin University Joseph G Nellis Cranfield University Dariusz Zarzecki Szczecin University
Discussant: Rym Ayadi, CEPS	Discussant: Eli Fich, Drexel University	Discussant Elisabeta Pana, Illinois Wesleyan University
Session Number 76 Session Title: Corporate Governance VII Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Tai Shin, Virginia Commonwealth Univ
Elements of Effective Insider Trading Laws: a Comparative Analysis Bart Frijns Radboud University Nijmegen Aaron Gilbert Auckland University of Technology Alireza Tourani-Rad Auckland University of Technology	Pension Accounting and Managerial Incentives in the UK Alistair Byrne University of Strathclyde Iain Clacher University of Leeds David Hillier University of Leeds	Capital Investment and Earnings: International Evidence Ahmet Can Inci Sabanci University Bong Soo Lee KAIST Graduate School of Finance Jungwon Suh Ewha Womans University
Discussant: Oliver Rui, Chinese University of Hong Kong	Discussant: Alan Gregory, University of Exeter	Discussant: Chien-An Wang, National Chi-Nan University
Session Number 77 Session Title: Market Microstructure II Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Mahendrarajah (Nimal) Nimalendran, Univ of Florida
Minimum Variance Hedging when Spot Prices are Partially Predictable Louis H Ederington University of Oklahoma Jesus Salas University of Oklahoma	How to Attract Investors' Attention? The Sequential Introduction of Two Similar Economic Indicators Dieter Hess University of Cologne Alexandra Niessen University of Cologne	Price Discovery, Cross-Listings, and Exchange Rates: Evidence from Australia and New Zealand Bart Frijns Radboud University Nijmegen Aaron Gilbert Auckland University of Technology Alireza Tourani-Rad Auckland University of Technology
Discussant: Lars Norden, Stockholm University	Discussant: Nimal Nimaledran, University of Florida	Discussant: Frederick H deB Harris, Wake Forest University
Session Number 78 Session Title: Portfolio Performance Evaluation III Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: John Kensinger, Univ of North Texas
Short Interest, Insider Trading and Stock Returns T. Y. Leung City University of Hong Kong Oliver Meng Rui Chinese University of Hong Kong Steven Shuye Wang Hong Kong Polytechnic University	The Performance and Persistence of Exchange-Traded Funds: Evidence for Ishares MSCI Country-Specific ETFs Tzu-Wei Kuo University of Greenwich Cesario Mateus University of Greenwich	Does Visibility Affect Mutual Fund Flows? Paolo Gualtieri Catholic University Giovanni Petrella Catholic University
Discussant: Geert Van Campenhout, KU Brussels	Discussant: John Kensinger, University of North Texas	Discussant: Stefan Ruenzi, University of Cologne
Session Number 79 Session Title: Risk Management III Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Spiros Martzoukos, Univ of Cyprus
Modelling Dependence in Latin American Markets using Copula Functions Miguel Angel Canela Universitat de Barcelona Eduardo Pedreira Collazo BBVA Research Department	Rating Targeting and the Confidence Levels Implicit in Bank Capital Esa Jokivuolle Bank of Finland Samu Peura Sampo Bank	Valuation of Termination Clauses in Joint Ventures and Strategic Alliances: A Real Options Approach Carmen Juan Universidad de Valencia Fernando Olmos Universidad de Valencia Rahim Ashkeboussi Frostburg State University
Discussant to be announced	Discussant: Amine Tarazi, Univ de Limoges, LAPE	Discussant: Spiros Martzoukos, University of Cyprus
Session Number 80 Session Title: Bond Pricing I Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Duane Stock, Univ of Oklahoma
Investment and Credit Risk: A Structural Approach Andrea Gamba University of Verona Carmen Aranda Leon University of Navarra Daniele Poiega University of Verona	Corporate Bond Credit Spreads and Forecast Dispersion Levent Guntay Indiana University Dirk Hackbarth Washington University in St Louis	Predicting Future Bond Returns with Macro Variables: A Semi-Parametric Approach Ai-ru (Meg) Cheng University of California at Santa Cruz
Discussant: Oliver Entrop, Catholic University Eichstaett-Ingolstadt	Discussant: Duane Stock, University of Oklahoma	Discussant: Herbert Rijken, Free University
Session Number 81 Session Title: Methodology Day, Date, and Time: Friday, 1 June, 2:00 pm - 3:30 pm
Chairperson: Dick Sweeney, Georgetown Univ
Estimation of the Fractional Differencing Parameter Using Wavelets and Temporal Aggregation Jonathan Dark Monash University	Pitfalls in Cross-Section Studies with Integrated Regressors Richard James Sweeney Georgetown University	Can Modern Theories Explain Capital Structures Before World War I? Marc Deloof University of Antwerp Wouter Van Overfelt University of Antwerp
Discussant: Richard Sweeney, Georgetown University	Discussant to be announced	Discussant: Gulnur Muradoglu, City University
Friday, 1 June – 4:00 pm - 5:30 pm Session Number 82 Special Session Session Title: Bank Regulation and Political Economy Day, Date, and Time: Friday, 1 June – 4:00 pm - 5:30 pm This session focuses on bank regulation in countries around the world. Banks are among the most heavily regulated firms everywhere and are the dominant player in the financial sector in many countries. The emphasis in the session will be on better understanding differences in regulatory regimes that countries choose and how the regimes affect both domestic and foreign banks.
Session Number 83 Session Title: Project Selection and Cost of Capital Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Sean Cleary, St Mary's Univ
Staging of Investments: Flexibility versus Incentives Vijay Yerramilli Indiana University	Cash Flow Volatility, Financial Slack, and Investment Decisions Laurence Booth University of Toronto Sean Cleary St Mary's University	Why Do Firms Speculate? Evidence from the Gold Mining Industry Tim R Adam Massachusetts Institute of Technology Chitru S Fernando University of Oklahoma Jesus H Salas University of Oklahoma
Discussant: Rozalia Pal, European Univ of Viadrina	Discussant: Viet Anh Dang, Leeds University	Discussant: Sean Cleary, St Mary's University
Session Number 84 Session Title: Equity Pricing III Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Mathijs Cosemans, Maastricht Univ
Forecast Value and Earnings Horizon John G Gallo University of Texas Arlington Larry J Lockwood Texas Christian University Giao X Nguyen University of Texas Arlington	The Price Response to S&P 500 Index Changes: Is It Investor Or Manager Awareness? Petya Platikanova University Pompeu Fabra	Initial Public Offerings: Introduction of New Goods Ayi Ayayi Nantes School of Management
Discussant to be announced	Discussant: John Gallo, University of Texas Arlington	Discussant: Mathijs Cosemans, Maastricht University
Session Number 85 Session Title: Corporate Governance VIII Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Tom Berglund, Stockholm School of Economcis
Are Intragroup M&A Designed to Expropriate Minority Shareholders? Ettore Croci Universita' Cattolica del Sacro Cuore	Understanding the Association Between Shareholder Rights and Firm Performance Hong Feng Zhang University of Melbourne	Large Shareholders, Board Independence, and Minority Shareholder Rights: Evidence from Europe Kenneth A. Kim SUNY at Buffalo Pattanaporn Kitsabunnarat Chulalongkorn University John R. Nofsinger Washington State University
Discussant: David Pompilio, Cornell University	Discussant: Pattanaporn Kitsabunnarat, Chulalongkorn University	Discussant: Tom Berlund, Swedish School of Economics & Business Administrat
Session Number 86 Session Title: Market Microstructure III Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Stuart Hyde, Manchester Business School
Information Revelation in the Futures Market: Evidence from Single Stock Futures Kuldeep Shastri University of Pittsburgh Ramabhadran S Thirumalai Indian School of Business Chad J Zutter University of Pittsburgh	Error Trades in Futures Markets Bahattin Buyuksahin US Commodity Futures Trading Commission Michael S Haigh US Commodity Futures Trading Commission	Price Improvement and Order Execution Quality on the Boston Options Exchange Nabil Khoury Universite du Quebec Savor Marko Universite du Quebec
Discussant: Stuart Hyde, Manchester Business School	Discussant: Bjorn Hagstromer, Aston University	Discussant: Bahattin Buyuksahin, CFTC
Session Number 87 Session Title: Financial Engineering and Derivatives Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Ako Doffou, Sacred Heart Univ
An Empirical Comparison of Structural and Reduced-Form Credit Risk Frameworks: Evidence from the Credit Default Swap Market Yalin Gunduz University of Karlsruhe Marliese Uhrig-Homburg University of Karlsruhe	Bayesian Markov Chain Monte Carlo (MCMC) for Stochastic Volatility using FX Data Wantanee Surapaitoolkorn Sasin at Chulalongkorn University	Valuing Options When Stockholders Face Bankruptcy Risk Antonio Camara Oklahoma State University Betty Simkins Oklahoma State University
Discussant: Santiago Forte, ESADE Business School	Discussant: Alexandros Kostakis, University of York	Discussant: Levent Guntay, Indiana University
Session Number 88 Session Title: Small Business II Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Vladimir Ivanov, Univ of Kansas
VCs and the Expropriation of Entrepreneurs Vladimir Atanasov College of William & Mary Vladimir Ivanov University of Kansas Katherine Litvak University of Texas	Solving the Succession Problem in Europe: Ways to Facilitate the Flow of Capital and Expertise Andrew H. Chen Southern Methodist University Thomas Heimer Hochschule fuer Bankwirtshaft John W Kensinger University of North Texas John D Martin Baylor University J William Petty Baylor University
Discussant: Jorge Farinha, Universidade do Porto	Discussant: Vladimir I Ivanov, University of Kansas
Session Number 89 Session Title: Bond Pricing II Day, Date, and Time: Friday, 1 June, 4:00 pm - 5:30 pm
Chairperson: Louis Ederington, Univ of Oklahoma
The Complex Effect of Yields on Bond Price Volatility Duane R Stock University of Oklahoma S Lakshmivarahan University of Oklahoma	Convertible Bonds and the Option To Exchange Bonds for Stock: A Note John D Finnerty Fordham University	The Added Value of Rating Outlooks and Rating Reviews to Corporate Bond Ratings Edward I Altman New York University Herbert A Rijken Free University
Discussant: Madhu Kalimipalli, Wilfrid Laurier University	Discussant: Rodrigo J Hernandez, University of Arkansas	Discussant: Louis Ederington, University of Oklahoma
Session Number 90 Session Title: Dividend Policy II Day, Date, and Time:
Chairperson: Walid Ben-Amar, Univ of Ottawa
Dividends: New Evidence on the Catering Theory Elisabete Neves Instituto Politecnico de Coimbra Julio Pindado Universidad de Salamanca Chabela de la Torre Universidad de Salamanca	Psychological Aspects in Determining Dividend Policy Walter Aerts University of Antwerp Geert Van Campenhout Catholic University Brussels Tom Van Caneghem European University College Brussels	Rent Extraction by Large Shareholders: Evidence using Dividend Policy in the Czech Republic Jan Bena LSE and CERGE-EI Jan Hanousek CERGE-IE, Prague
Discussant: Kristi Minnick, Bentley College	Discussant: Elisabete Neves, Instituto Politecnico de Coimbra	Discussant: Walid Ben-Amar, University of Ottawa