An Yan, Fordham University

David A Becher , Drexel University
Jennifer L Juergens, Arizona State University

Mengxin Zhao, Bentley College

Terry Walter, University of New South Wales
Alfred Yawson, University of New South Wales
Charles Pang Wing Yeung, Macquarie Bank Limited

Olubunmi Faleye, Northeastern University

Xian Sun, Rensselaer Polytechnic Institute
Bill Francis, Rensselaer Polytechnic Institute/University of South Florida
Iftekhar Hasan, Rensselaer Polytechnic Institute

Debarshi Nandy, York University

Share Price Reactions to Dividends: International Evidence
Thursday, October 13, 9:45 am - 11:15 am
Burnham

Chairperson

Judith Swisher, Western Michigan University

Presentations
Information Effects of Dividends: Evidence from the Hong Kong Market

Louis TW Cheng , Hong Kong Polytechnic University
Hung-Gay Fung, University of Missouri-St. Louis
Tak Yan Leung , Hong Kong Shue Yan College

Discussant

Laurence Blose, Grand Valley State University

Reappearing Dividends: A Tax-Based Test of the Information Content of Dividends

Ayla Kayhan, Louisiana State University

Discussant

Michele O'Neill, University of Idaho

Separating the Stock Market's Reaction to Dividend and Earnings Announcements: The Case of Simultaneous Announcements in Denmark

Carina Sponholtz, University of Aarhus

Discussant

Judith Swisher, Western Michigan University

---

Session Number: 036

Bankruptcy and Bond Ratings
Thursday, October 13, 9:45 am - 11:15 am
Dusable

Chairperson

Bing Han, The Ohio State University

Presentations
Information Asymmetry, Bond Split Rating, and Rating Migration

Miles Livingston , University of Florida
Andy Naranjo, University of Florida
Lei Zhou , Miami University of Ohio

Discussant

Ilona Shiller, University of Manitoba

Liquidation Triggers and the Valuation of Equity and Debt

Alon Raviv, The Hebrew University
Zvi Wiener, The Hebrew University
Dan Galai, The Hebrew University

Discussant

Alexei Egorov, West Virginia University

One is Too Little, Two is Too Much - A Look into the Bond Ratings Black Box

Kose John, New York University
S Abraham Ravid, Rutgers University
Natalia Reisel, Rutgers University

Discussant

Pascal Francois, HEC Montreal

---

Session Number: 037

Venture Capital, R&D, and IPOs
Thursday, October 13, 9:45 am - 11:15 am
Field

Chairperson

Ana Balcarcel, University of Dayton

Presentations
The Asymmetric Adjustment of IPO Prices to Positive versus Negative Information and the Role of R&D in IPO Pricing

Mun-Soo Choi , Soongsil University
Yong H Kim, University of Cincinnati

Discussant

Vladimir Ivanov, University of Kansas

The Role of Venture Capital Backing in Initial Public Offerings: Certification, Screening, or Market Power?

Elena Loutskina, Boston College
Thomas J Chemmanur, Boston College

Discussant

Ana Balcarcel, University of Dayton

What Agency Issues of Independent Venture Capital Firms Influence Underpricing?

Donald C Flagg, University of South Florida

Discussant

John Robinson, Arizona State University

---

Session Number: 038

Asset Pricing under Non-standard Preferences
Thursday, October 13, 9:45 am - 11:15 am
McCormick

Chairperson

John T Scruggs, University of Georgia

Presentations
An International CAPM with Consumption Externalities and Non-financial Wealth

Juan-Pedro Gomez , Instituto de Empresa
Richard Priestley, Norwegian School of Management
Fernando Zapatero , University of Southern California

Discussant

Valery Polkovnichenko, University of Minnesota

Global Asset Returns and Risk Sharing under Habit Formaton

Yuming Li, California State University Fullerton

Discussant

Hui Guo, Federal Reserve Bank St Louis

Does Durability Help Asset Pricing with Habit Formation to Conform with US Data?

Christos Ioannis Giannikos, Baruch College/CUNY
Zhihong Shi, SUNY at Old Westbury

Discussant

George Korniotis, University of Notre Dame

---

Session Number: 039

Closed-end Funds
Thursday, October 13, 9:45 am - 11:15 am
Horner

Chairperson

Christo Pirinsky, Texas A&M University

Presentations
Impact of US and Foreign Stock Market and Macroeconomic Volatilities on Country-Fund Discounts

Thomas Chiang , Drexel University
Doseong Kim, University of Akron
Euiseong Lee , Korean Army

Discussant

Christo Pirinsky, Texas A&M University

A NAV a Day Keeps the Inefficiency Away? Fund Trading Strategies using Daily Values

J Christopher Hughen, Bowling Green State University
Prem G Mathew, Oregon State University
Kent P Ragan, Southwest Missouri State University

Discussant

Vladimir Atanasov, College of William & Mary

Liquidity, Liquidity Risk and the Closed-End Fund Discount

David Manzler, University of Cincinnati

Discussant

Brook Stanley, Texas A&M University

---

Session Number: 040

Credit Models and Applications
Thursday, October 13, 9:45 am - 11:15 am
Wrigley

Chairperson

Frank Xiaoling Zhang, Federal Reserve Board

Presentations
How Profitable Is Capital Structure Arbitrage?

Fan Yu , University of California Irvine

Discussant

Xiaolin Cheng, Rutgers University

Finite Dimensional Realizations for Defaultable Forward Rate Models

Malene Shin Jensen, University of Aarhus

Discussant

George Jiang, University of Arizona

Calibration of the Structural Model of Corporate Bond Spreads

Peter B Lerner, University of Syracuse
Chunchi Wu, University of Syracuse

Discussant

Frank Xiaoling Zhang, Federal Reserve Board

---

Session Number: 041

Money Management Strategies
Thursday, October 13, 9:45 am - 11:15 am
Water Tower

Chairperson

Clemens Sialm, University of Michigan

Presentations
The Determinants and Implications of Fund Cash Holdings: Theory and Evidence

Xuemin (Sterling) Yan , University of Missouri Columbia

Discussant

Clemens Sialm, University of Michigan

On the Consequences of Mutual Fund Tournaments

Wei Li, University of Iowa
Ashish Tiwari, University of Iowa

Discussant

Laura Veldkamp, New York University

The Telling Trades of Mutual Funds

Gina Nicolosi, University of Cincinnati

Discussant

Marcin Kacperczyk, University of British Columbia

---

Session Number: 042

Hedge Funds
Thursday, October 13, 9:45 am - 11:15 am
Gold Coast

Chairperson

Ryan Davies, Babson College

Presentations
From Alpha (Leland's) to Omega: Are Hedge Funds a Good Investment?

Karyl B Leggio , University of Missouri Kansas City
Kevin Seaman, University of Missouri Kansas City

Discussant

Ivilina Popova, Seattle University

Timing Ability in the Focus Market of Hedge Funds

Yong Chen, Boston College

Discussant

Nicole Boyson, Northeastern University

Hedge Fund Performance: 1990-2003

Bill Ding, SUNY at Albany
Hany A Shawky, SUNY at Albany

Discussant

Ryan Davies, Babson College

---

Session Number: 043

REIT Performance
Thursday, October 13, 9:45 am - 11:15 am
Comiskey

Chairperson

Jinliang Li, Northeastern University

Presentations
How Important is the Board of Directors to REIT Performance?

Zhilan Feng, Union University
Chinmoy Ghosh, University of Connecticut
CF Sirmans, University of Connecticut

Discussant

Randy Anderson, Florida International University

REIT Property Type Diversification: Worse Than Naïve?

Randy I Anderson, Florida International University
Justin D Benefield, University of Alabama

Discussant

Jonathan Wiley, University of Alabama

---

Session Number: 044

Option Pricing: Applications 1
Thursday, October 13, 9:45 am - 11:15 am
Ogden

Chairperson

Michael L Hemler, University of Notre Dame

Presentations
Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue

Don M Chance , Louisiana State University
Eric T Hillebrand, Louisiana State University
Jimmy E Hilliard , Louisiana State University

Discussant

Michael L Hemler, University of Notre Dame

Calling Convertible Bonds too Late Can be Rational

Wolfgang Bühler, University of Mannheim
Christian Koziol, University of Mannheim

Discussant

Don M Chance, Louisiana State University

Extending the LYONs Pricing Model

John Harding, University of Connecticut
Shantaram Hegde, University of Connecticut
Ravi Shanker Mateti, University of Connecticut

Discussant

Gautam Vora, University of New Mexico

---

Session Number: 045

Information in Derivatives Markets
Thursday, October 13, 9:45 am - 11:15 am
Wright

Chairperson

Kirby Cundiff, Northeastern State University

Presentations
Information Share of Option Trades During the Earnings Announcement Period

Charles D Collver , Nova Southeastern University

Discussant to be announced
Analyst Forecast Performance and Price Discovery in a Futures Market: The Case of Natural Gas

Gerald D Gay, Georgia State University
Betty J Simkins, Oklahoma State University
Marian Turac, Oklahoma State University

Discussant

Kazuhisa Matsuda, CUNY

Option Volume Contains Information: Empirical Evidence from the US Equity Option Market

Rafiqul Bhuyan, Midwestern State Univ
Steven Freund, Univ of Massachusetts Lowell
Yuxing Yan, Univ of Pennsylvanis

Discussant

Linh Pham, Monash University

---

Session Number: 046

Short Sales 1
Thursday, October 13, 9:45 am - 11:15 am
Addams

Chairperson

Richard Evans, Boston College

Presentations
Strategic Delivery Failures in US Equity Markets

Leslie Boni , University of New Mexico

Discussant

Adam Reed, UNC Chapel Hill

Short Selling, Death Spiral Convertibles, and the Profitability of Stock Manipulation

John D Finnerty, Fordham University

Discussant

David McLean, Boston College

A Short Look at Bear Raids: Testing the Bid Test

James J Angel, Georgetown University
Michael G Ferri, George Mason University
Steven E Christophe, George Mason University

Discussant

Gunter Strobl, UNC Chapel Hill

---

Session Number: 047

The Scope of Banking Activity
Thursday, October 13, 9:45 am - 11:15 am
Columbian

Chairperson

Robert DeYoung, Federal Reserve Bank Chicago

Presentations
What's Different About Bancassurance? Evidence of Wealth Gains to Banks and Insurance Companies

Paige Fields , Texas A&M University
Donald Fraser, Texas A&M University
James Kolari , Texas A&M University

Discussant

Steven Drucker, Stanford University

E-banks, A Real Threat to Traditional Banks? An Examination of E-bank Efficiency

Ken Cyree, University of Mississippi
Natalya Delcoure, University of South Alabama
Ross Dickens, University of South Alabama

Discussant

Daniel Nolle, OCC

If National Banks were allowed access to the Real Estate Brokerage Market, Would they Benefit? The Community Choice in Real Estate Act

Danielle Lewis, Southeastern Louisiana University
James Webb, Cleveland State University

Discussant

Tara Rice, Federal Reserve Bank Chicago

---

Session Number: 048

Investor Behavior
Thursday, October 13, 9:45 am - 11:15 am
Picasso

Chairperson

Charles Martin, Waschka Capital Investments

Presentations
Mutual Fund Attributes and Investor Behavior

Nicolas Bollen , Vanderbilt University
Mark Cohen, Vanderbilt University

Discussant

Maria Schutte, University of Missouri

Do Losses Linger? Evidence from Proprietary Stock Traders

Ryan Garvey, Duquesne University
Anthony Murphy, University College Dublin
Fei Wu, Massey University

Discussant

Shourun Guo, Boston College

Gone with the Wind: Chicago's Weather and Futures Trading

Piman Limpaphayom, Chulalongkorn University
Peter R Locke, The George Washington University
Pattarake Sarajoti, Chulalongkorn University

Discussant

Tian Tang, University of Alabama

---

Session Number: 049

Sovereign Credit Ratings
Thursday, October 13, 9:45 am - 11:15 am
Haymarket

Chairperson

Rodolfo Martell, Purdue University

Presentations
Legal and Economic Determinants of Sovereign Credit Ratings

Alexander W Butler , University of Texas at Dallas
Larry Fauver, University of Miami

Discussant

Paul Hanouna, Villanova University

More Than They Bargained For: Sovereign Recovery Values in Ecuador

John Hund, University of Texas Austin
Javier Kulesz, UBS Warburg Securities

Discussant

Kuan-Hui Lee, The Ohio State University

Sovereign Credit Ratings, Transparency, and International Portfolio Flows

Amar Gande, Vanderbilt University
David Parsley, Vanderbilt University

Discussant

Magali Valero, University of Michigan Dearborn

---

Session Number: 050

Banks and Borrowers
Thursday, October 13, 9:45 am - 11:15 am
Buckingham

Chairperson

Alli Nathan, Nyenrode/University of Amsterdam

Presentations
Discrimination, Competition, and Relationship vs. Transaction Lending to Small Businesses: Evidence from the 1998 Survey of Small Business Finances

Karlyn Mitchell , North Carolina State University
Douglas K Pearce, North Carolina State University

Discussant

Mark Vaughan, Federal Reserve Bank Richmond

The Effect of Bank Mergers on Loan Prices: Evidence from the US

Isil Erel, Massachusetts Institute of Technology

Discussant

Rich Rosen, Federal Reserve Bank Chicago

Which Loans are Relationship Loans? Evidence from the 1998 Survey of Small Business Finances

Karlyn Mitchell, North Carolina State University
Douglas K Pearce, North Carolina State University

Discussant

Gregory Udell, Indiana University

---

Session Number: 051

Financial Intermediation
Thursday, October 13, 11:30 am - 1:00 pm
Regency Ballroom A

Chairperson

Sris Chatterjee, Fordham University

Presentations
Financial Intermediation and Credit Market Equilibrium: A Model of Matching Market

Kaniska Dam , CORE, Universite Catholique de Louvain

Discussant

Jonathan Wang, Baruch College

Debt Seniority and the Lenders' Incentive to Monitor: Why Isn't Trade Credit Senior?

Yehning Chen, National Taiwan University

Discussant

Gautam Goswami, Fordham University

High Yield Financing and the Capital Acquistion Process

Wentworth Boynton, University of New Haven

Discussant

Sris Chatterjee, Fordham University

---

Session Number: 052

Predicting Default
Thursday, October 13, 11:30 am - 1:00 pm
Regency Ballroom B

Chairperson

PC Venkatesh, US SEC

Presentations
An Empirical Analysis of Bond Recovery Rates: Exploring a Structural View of Default

Daniel Covitz , Federal Reserve Board
Song Han, Federal Reserve Board

Discussant

Chotibhak Jotikasthira, Indiana University

On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models

Jin-Chuan Duan, University of Toronto
Geneviève Gauthier, HEC Montreal
Jean-Guy Simonato, HEC Montreal

Discussant

Alfred HR Davis, Queens University

Using Securities Market Data to Forecast Bank Failures

Timothy J Curry, FDIC
Peter J Elmer, DeLoitte & Touche
Gary S Fissel, FDIC

Discussant

Somnath Das, University of Illinois Chicago

---

Session Number: 053

Convertible Debt
Thursday, October 13, 11:30 am - 1:00 pm
Regency Ballroom C

Chairperson

Thomas Chemmanur, Boston College

Presentations
Stock Price Response to Calls of Convertible Bonds: Still a Puzzle

Ivan E Brick , Rutgers University
Oded Palmon, Rutgers University
Dilip K Patro , Rutgers University

Discussant

Karen Simonyan, Suffolk University

Back Door Equity Financing, Firm Characteristics, and Shareholders' Wealth

Chao Chen, California State University, Northridge
Le Dong, Tsinghua University
Min-Ming Wen, Shippensburg University

Discussant

Debarshi Nandy, York University

---

Session Number: 057

Outside Blockholders, Closely Held Corporations, and Family Control
Thursday, October 13, 11:30 am - 1:00 pm
Atlanta

Chairperson

Vladimir Atanasov, College of William & Mary

Presentations
Board Size Effects in Closely Held Corporations

Morten Bennedsen , Copenhagen Business School & CEBR
Hans Christian Kongsted, CEBR & University of Copenhagen
Kasper Meisner Nielsen , CEBR & University of Copenhagen

Discussant

Christo Pirinsky, Texas A&M University

Oligarchic Family Control and the Quality of Government

Kathy Fogel, Northern Kentucky University

Discussant

Vladimir Atanasov, College of William & Mary

Variation in the Monitoring Incentives of Outside Blockholders

Kenneth A Borokhovich, Cleveland State University
Kelly R Brunarski, Miami University
Yvette S Harman, Miami University
Robert Parrino, University of Texas Austin

Discussant

Elif Sisli , New York University

---

Session Number: 058

The Value of Independent Boards
Thursday, October 13, 11:30 am - 1:00 pm
San Francisco

Chairperson

David Reeb, Temple University

Presentations
Do Independent Directors and Chairmen Really Matter? The Role of Boards of Directors in Mutual Fund Governance

Stephen P Ferris , University of Missouri Columbia
Xuemin (Sterling) Yan, University of Missouri Columbia

Discussant

Sattar Mansi, Virginia Tech

Board Independence and Corporate Governance: Evidence from Director Resignations

Manu Gupta, University of Missouri Columbia
Paige Fields, Texas A&M University

Discussant

Greg Roth, New Mexico State University

Power Struggles and Communication Breakdown in the Boardroom

Renée Birgit Adams, Stockholm School of Economics
Daniel Ferreira, Stockholm School of Economics

Discussant

David Reeb, Temple University

---

Session Number: 059

What Drives Diversification?
Thursday, October 13, 11:30 am - 1:00 pm
New Orleans

Chairperson

Helen Bowers, University of Delaware

Presentations
What Has Motivated Diversification? Evidence from Corporate Governance

Liu Yang , University of Maryland

Discussant

An Yan, Fordham University

Are Diversifying M&As Operational Hedges?

Otgontsetseg Erhemjamts, Bentley College
Jayant R Kale, Georgia State University

Discussant

William Latham, University of Delaware

---

Session Number: 060

Cash and Payout Policy
Thursday, October 13, 11:30 am - 1:00 pm
Burnham

Chairperson

Chenchu Bathala, Cleveland State University

Presentations
Dividend Policy, Shareholder Rights, and Corporate Governance

Pornsit Jiraporn , Texas A&M International University

Discussant

Edward Waller, University of Houston Clear Lake

Is Cash More Valuable for Constrained Firms?

Valeriy Sibilkov, Purdue University

Discussant

Wei Liu, American University

Bond and Stockholder Reactions to Open Market Repurchase Announcements

Takeshi Nishikawa, St John's University
Andrew K Prevost, Ohio University
Ramesh P Rao, Oklahoma State University

Discussant

Andrea Heuson, University of Miami

---

Session Number: 061

Bond Pricing Theory
Thursday, October 13, 11:30 am - 1:00 pm
Dusable

Chairperson

Rob Neal, Indiana University

Presentations
Modeling the Payment at Default on Credit Default Swaps

Mihail Ushakov , Syracuse University
Yildiray Yildirim, Syracuse University

Discussant

Xin Wang, Rice University

Underpricing of Convertible Preferred Stock Offerings: A Contingent Claims Approach

Anthony K Byrd, University of Central Florida
Vitaly S Guzhva, Embry-Riddle Aeronautical University
Pradipkumar Ramanlal, University of Central Florida

Discussant

Ghassem Homaifar, Middle Tennessee State University

Models of Time Varying Expected Price Change and Variance for U. S. Treasury Bonds

Naren Pappu, University of Oklahoma
S Lakshmivarahan, University of Oklahoma
Duane R Stock, University of Oklahoma

Discussant

Thomas Root, Drake University

---

Session Number: 062

IPO Returns and Proceeds
Thursday, October 13, 11:30 am - 1:00 pm
Field

Chairperson

Ha-Chen Yi, Texas State University

Presentations
Assets in Place, Growth Opportunities and IPO Returns

Kee Chung, SUNY Buffalo
Mingsheng Li, University of Louisiana Monroe
Linda Q Yu, University of Wisconsin Whitewater

Discussant

Spencer Case, Texas State University

Why Do Investors Leave Money on the Table?

Daniel J Bradley, Clemson University
John S Gonas, Belmont University
Michael J Highfield, Mississippi State University

Discussant

Jacqueline Garner, Drexel University

---

Session Number: 063

Asset Pricing Theory with Frictions
Thursday, October 13, 11:30 am - 1:00 pm
McCormick

Chairperson

Rui Albuquerque, University of Rochester/Boston University

Presentations
Investor Protection and Asset Pricing

Rui Albuquerque , University of Rochester
Neng Wang, Columbia University

Discussant

Ping He, University of Illinois Chicago

Asset Pricing Dynamics in a Fragile Economy

Cristian-Ioan Tiu, University of Texas Austin
Uzi Yoeli, University of Texas Austin

Discussant

Patrick Kelly, University of South Florida

Market Liquidity and Asset Prices under Costly Participation

Jennifer C. Huang, University of Texas Austin
Jiang Wang, Massachuetts Institute of Technology

Discussant

Arzu Ozoguz, Queen's University

---

Session Number: 064

Corporate Characteristics and Stock Returns
Thursday, October 13, 11:30 am - 1:00 pm
Horner

Chairperson

Len Schneck, Eastern Kentucky University

Presentations
Distress Risk Information in Accruals

Jeffrey Ng , University of Pennsylvania

Discussant

Anna Martin, Fairfield University

Long-run Performance following Quality Management Certification

Eurico J Ferreira, Indiana State University
Amit K Sinha, Indiana State University
Dale Varble, Indiana State University

Discussant

Christina Atanasova, University of York

Firm Value: an Examination of Outsourcing Transactions

Ning Gao, University of Pittsburgh

Discussant

Len Schneck, Eastern Kentucky University

---

Session Number: 065

Fixed Income Valuation
Thursday, October 13, 11:30 am - 1:00 pm
Wrigley

Chairperson

George Jiang, University of Arizona

Presentations
Pricing Interest Rate Caps in a Generalized Affine Model with Stochastic Volatility and Correlation: Empirical Evidence

Andrei Baliakin , Cornell University
Alexei Egorov, West Virginia University
Haitao Li , Cornell University

Discussant

George Jiang, University of Arizona

The Valuation of TIPS with an Analytical Two-Factor Cox-Ingersoll-Ross Term Structure Model with Correlated Factors

Ren-Raw Chen, Rutgers University
Bo Liu, Rutgers University
Xiaolin Cheng, Rutgers University

Discussant

Alexei Egorov, West Virginia University

Time-Variation in Term Premia in the Term Structure of Interest Rates

Ron Jongen, Maastricht University
Christian CP Wolff, Maastricht University & CEPR
Willem FC Verschoor, Maastricht University & Radboud University

Discussant

Ren-Raw Chen, Rutgers University

---

Session Number: 066

Optimal Diversification Strategies
Thursday, October 13, 11:30 am - 1:00 pm
Water Tower

Chairperson

Nick Bollen, Vanderbilt University

Presentations
As Asset Allocation Perspective of Real Estate: the Case of Real Estate Investment Trusts

Hsuan-Chi Chen , Yuan Ze University
Keng-Yu Ho, National Central University
Chiuling Lu , Yuan Ze University
Cheng-Huan Wu, Yuan Ze University

Discussant

Craig Lewis, Vanderbilt University

Countries versus Industries in Europe: A Normative Portfolio Approach

Javier Estrada, IESE Business School
Mark Kritzman, Windham Capital Management
Simon Myrgren, State Street Associates
Sebastien Page, State Street Associates

Discussant

Nick Bollen, Vanderbilt University

Diversification Benefits of Treasury Inflation Protected Securities.

Abdullah Mamun, Massey University
Nuttawat Visaltanachoti, Massey University

Discussant

Veronika Krepely, Vanderbilt University

---

Session Number: 067

Timing Ability and Persistence in Mutual Funds
Thursday, October 13, 11:30 am - 1:00 pm
Gold Coast

Chairperson

Lingjie Ma, PanAgora Asset Management

Presentations
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance

Joop Huij , Erasmus University Rotterdam
Marno Verbeek, Erasmus University Rotterdam

Discussant

Yong Chen, Boston College

Liquidity Timing in Mutual Funds

Charles Cao, Pennsylvania State University
Timothy T Simin, Pennsylvania State University
Ying Wang, Pennsylvania State University

Discussant

George Y Chang, Bradley University

Mutual Fund Managers Do Have Managerial Skills: Evidence from Bond Mutual Fund Performance

Ding Du, California State University Bakersfield
Zhaodan Huang, Utica College

Discussant

W Brian Barrett, University of Miami

---

Session Number: 068

Conflicts of Interest
Thursday, October 13, 11:30 am - 1:00 pm
Comiskey

Chairperson

Timothy A Barnes, LeBoeuf Lamb Greene & MacRae LLP

Presentations
Creditor Rights, Short Maturity Debt, and the Incentive to Manage Earnings

Manu Gupta , SIU Edwardsville
Inder K Khurana, University of Missouri Columbia
Raynolde Pereira , University of Missouri Columbia

Discussant

Kenneth Norton, Nova Southeastern University/Gardner Webb University

Is IPO Underpricing Related to Litigation Risk? Evidence Based on the Private Securities Litigation Reform Act of 1995

Yun Zhu, Michigan State University

Discussant

Rina Ray, Indiana University

Conflicts of Interest, Regulations and Stock Recommendations

Leonardo Madureira, University of Pennsylvania

Discussant

Sophie Shive, University of Michigan

---

Session Number: 069

Option Pricing: Theory and Estimation
Thursday, October 13, 11:30 am - 1:00 pm
Ogden

Chairperson

Cyrus Ramezani, Cal Poly University San Luis Obispo

Presentations
An Empirical Assessment of the Double Exponential Jump-Diffusion Process

Cyrus Ramezani , California Polytechnic University San Luis Obispo
Yong Zeng, University of Missouri Kansas City

Discussant

Nabil Tahani, York University

Exotic Options Pricing under Stochastic Volatility

Nabil Tahani, York University

Discussant

Peter Lerner, University of Syracuse

Option Pricing and Implied Volatility Surfaces with the Generalized Tempered Stable Processes

Junjie Zhou, University of Delaware
Patrick S Hagan, Bloomberg LP
Gilberto Schleiniger, University of Delaware

Discussant

John Laski, Nyack College

---

Session Number: 070

Option Pricing Theory
Thursday, October 13, 11:30 am - 1:00 pm
Wright

Chairperson

Thomas Busch, University of Aarhus

Presentations
Option Pricing for the Transformed-Binomial Class

Antonio Camara , University of Michigan Flint
San-Lin Chung, National Taiwan University

Discussant

Scott Beyer, University of Wisconsin Oshkosh

Generalized Analytical Upper Bounds for American Option Prices

San-Lin Chung, National Taiwan University
Hsieh-Chung Chang, National Central University

Discussant

Thomas Busch, University of Aarhus

Testing the Martingale Restriction for Option Implied Densities

Thomas Busch, University of Aarhus

Discussant

Mark Bertus, Auburn University

---

Session Number: 071

Information Production and Limit Order Trading
Thursday, October 13, 11:30 am - 1:00 pm
Addams

Chairperson

Kumar Venkataraman, Southern Methodist University

Presentations
Bookbuilding

Archishman Chakraborty , Baruch College, CUNY
Michael S Pagano, Villanova University
Robert A Schwartz , Baruch College, CUNY

Discussant

Kumar Venkataraman, Southern Methodist University

Buy-Side and Sell-Side: The Industrial Organization of Information Production in the Securities Industry

Zhaohui Chen, Temple University

Discussant

Ramabhadran Thirumalai, Indiana University

Monitoring and Limit Order Submission Risks

Wai-Man Liu, University of New South Wales

Discussant

Marios Panayides, University of Utah

---

Session Number: 072

Bank Funding and Runs
Thursday, October 13, 11:30 am - 1:00 pm
Columbian

Chairperson

Steven Dennis, East Tennessee State University

Presentations
Managing the Risk of Deposit Disintermediation and the Optimal Structure of Input Prices

Bryan Stanhouse , University of Oklahoma
Matthew Ingram, University of Oklahoma

Discussant

Stanislava Nikolov, George Mason University

Money and Modern Bank Runs

David R Skeie, Federal Reserve Bank New York

Discussant

Jamal Al-Khasawneh, University of New Orleans

Should the FHLB Worry about the FDIC: The Impact of Federal Home Loan Bank Advances on the Bank-Insurance Fund

Rosalind L Bennett, FDIC
Mark D Vaughan, Federal Reserve Bank Richmond
Timothy J Yeager, Federal Reserve Bank St Louis

Discussant

John Ammer, Federal Reserve Board

---

Session Number: 073

Market and Investor Behavior
Thursday, October 13, 11:30 am - 1:00 pm
Picasso

Chairperson

Andrew Roper, University of Wisconsin Madison

Presentations
Comovement After Joining an Index: Spillovers of Nonfundamental Effects

Brent W Ambrose , University of Kentucky
Dong W Lee, University of Kentucky
Joe Peek , University of Kentucky

Discussant

Mila Getmansky, University of Mass Amherst

Noise Trader Risk: Evidence from the Siamese Twins

John T Scruggs, University of Georgia

Discussant

Paul Gao, Northwestern University

Status Quo Bias and the Number of Alternatives - An Empirical Illustration from the Mutual Fund Industry

Alexander Kempf, University of Cologne
Stefan Ruenzi, University of Cologne

Discussant

Xavier Garza Gomez, University of Houston Victoria

---

Session Number: 074

Forecasting Exchange Rates
Thursday, October 13, 11:30 am - 1:00 pm
Haymarket

Chairperson

Ike Mathur, SIU Carbondale

Presentations
Foreign Exchange Rates Don't Follow a Random Walk

Hui Guo , Federal Reserve Bank St Louis
Robert Savickas, George Washington University

Discussant

Ike Mathur, SIU Carbondale

Forecasting Currency Excess Returns: Can We Exploit the Forward Bias?

Miguel Villanueva, University of Wyoming

Discussant

Tao Wang, City University of New York

Rationality, Heterogeneity and Learning in Foreign Exchange Survey Forecasts

Richard Cohen, University of Alaska Anchorage
Carl S Bonham, University of Hawaii Manoa

Discussant

Catherine Bonser-Neal, Indiana University

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Session Number: 075

Small Business Financing and Decision Making
Thursday, October 13, 11:30 am - 1:00 pm
Buckingham

Chairperson

Julia S Kwok, University of Wisconsin Superior

Presentations
Credit Gap in Small Businesses: Some New Evidence

Atreya "Chuck" Chakraborty , University of Massachusetts Boston
Rajiv Mallick, Merrill Lynch

Discussant

Julia S Kwok, University of Wisconsin Superior

Community Banks and the Boundaries of the Firm: Further Evidence From Small Business Owners

Jonathan A Scott, Temple University

Discussant

Irv DeGraw, Washington College

The Capital Budgeting Decisions of Small Businesses

Morris G Danielson, Saint Joseph's University
Jonathan A Scott, Temple University

Discussant

J William Petty, Baylor University

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Session Number: 076

Institutional Investor Decision Making
Thursday, October 13, 2:00 pm - 3:30 pm
Regency Ballroom A

Chairperson

Morris Danielson, Saint Joseph's University

Presentations
Clientele Effects in the Pension Fund Industry

Armen Hovsepian , Carnegie Mellon University

Discussant

Jill Wetmore, Saginaw Valley State University

Locating Decision Rights: Evidence from the Mutual Fund Industry

George D Cashman, Arizona State University
Daniel N Deli, Arizona State University

Discussant

Erik Devos, Ohio Univ

Institutional Investors' Trading Behavior in Mergers and Acquisitions

Rasha Ashraf, Georgia Institute of Technology
Narayanan Jayaraman, Georgia Institute of Technology

Discussant

Oliver Schnusenberg, University of North Florida

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Session Number: 077

What Affects Default?
Thursday, October 13, 2:00 pm - 3:30 pm
Regency Ballroom B

Chairperson

Jean Helwege, University of Arizona

Presentations
The Detection and Dynamics of Financial Distress: Large-sample Empirical Analyses

Joseph P Ogden , University at Buffalo SUNY
Julie M Fitzpatrick, Gannon University

Discussant

Susan Lewis, CreditSights

The Role of Corporate Governance on the Probability and Resolution of Financial Distress

Esmeralda O Lyn, Hofstra University
Milena Petrova, University of Florida
Andrew C Spieler, Hofstra University

Discussant

Dan Covitz, Federal Reserve Board

Measuring Creditworthiness under Macroeconomic Uncertainty

Lars Oxelheim, Lund University
Clas Wihlborg, Copenhagen Business School

Discussant

Ilona Shiller, University of Manitoba

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Session Number: 078

Dynamic Capital Structure
Thursday, October 13, 2:00 pm - 3:30 pm
Regency Ballroom C

Chairperson

Raj Aggarwal, Kent State University

Presentations
Capital Structure Dynamics and Stock Returns

Jie Cai , University of Iowa
Zhe Zhang, Singapore Management University

Discussant

Bassem Hijazi, University of North Texas

Testing the Market Timing Theory of Capital Structure

Rongbing Huang, Kennesaw State University
Jay R Ritter, University of Florida

Discussant

Robert Kieschnick, University of Texas Dallas

Which Version of the Equity Market Timing Affect Capital Structure

Abdelaziz Chazi, United Arab Emirates University
Niranjan Tripathy, University of North Texas

Discussant

Gustavo Grullon, Rice University

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Session Number: 082

Laws and Corporate Governance: Delaware Incorporation, the Cadbury Report, and OBRA
Thursday, October 13, 2:00 pm - 3:30 pm
Atlanta

Chairperson

Kathleen Farrell, University of Nebraska Lincoln

Presentations
Board Composition, Ownership Structure and the Cadbury Committee Report

Jay Dahya , Baruch College, CUNY

Discussant

Donna Paul, Washington State University

Does Delaware Incorporate Affect Bondholder Wealth?

Maya Waisman, Rensselaer Polytechnic Institute
Iftekhar Hasan, Rensselaer Polytechnic Institute

Discussant

Murali Jagannathan, Binghamton University

Financial Contracts for CEOs: Expropriation or Effective Corporate Governance?

Olivier JP Maisondieu Laforge, University of Nebraska Omaha
Yong H Kim, University of Cincinnati

Discussant

David Whidbee, Washington State University

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Session Number: 083

The Impact of Sarbanes-Oxley
Thursday, October 13, 2:00 pm - 3:30 pm
San Francisco

Chairperson

Emry Unlu, University of Missouri Columbia

Presentations
Did Sarbanes-Oxley Make Being Public Prohibitive? Evidence from Going Private Transactions

Kimberly C Gleason , Florida Atlantic University
Jeff Madura, Florida Atlantic University
Leonard Rosenthal , Bentley College

Discussant

Maria Schutte, University of Missouri Columbia

Effects and Unintended Consequences of the Sarbanes-Oxley Act on Corporate Boards

James S Linck, University of Georgia
Jeffry M Netter, University of Georgia
Tina Yang, University of Georgia

Discussant

Andrew Prevost, Ohio University

THE IMPACT OF THE SARBANES-OXLEY ACT OF 2002: A PERSPECTIVE FROM CFOS

Zhuoming Joe Peng, SUNY Oswego
William P. Dukes, Texas Tech University

Discussant

Brett Olsen, University of Missouri Columbia

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Session Number: 084

The Diversification Discount
Thursday, October 13, 2:00 pm - 3:30 pm
New Orleans

Chairperson

Alireza Tourani-Rad, Auckland University of Technology

Presentations
Can the Coinsurance Effect Explain the Diversification Discount?

Rong Guo , Georgia State University

Discussant

An Yan, Fordham University

The Role of Organizational Form of Business Group in the Corporate Diversification - Firm Performance Relationship

Rejie George, Tilburg University
Rezaul Kabir, University of Stirling

Discussa