| 2010 FMA Annual Meeting – Academic Paper Sessions
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| Session 006 – Information Content of Short Sales Thursday, October 21, 8:00 am - 9:30 am |
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Chairperson:  David Weinbaum, Syracuse University |
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 Sell the Rumor - Buy the Fact? Ben Marshall Massey University Nuttawat Visaltanachoti Massey University Genevieve Cooper Massey University |
Signaling Pessimism: Short Sales, Information, and Unusual Trade Sizes Benjamin McKay Blau Utah State University |
Do Short Sellers Anticipate Merger Announcements Chip Wade University of Mississippi Benjamin M Blau Utah State University Kathleen Fuller University of Mississippi |
| Presenter: Ben Marshall |
Presenter: Benjamin M. Blau |
Presenter: Chip Wade |
| Discussant: Veljko Fotak, University of Oklahoma |
Discussant: Andriy Shkilko, Wilfrid Laurier University |
Discussant: Alex Kurov, West Virginia University |
| Session 007 – Behavior and Asset Prices Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Arvi Arunachalam, Salisbury University |
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| Return Predictability and Social Dynamics Richard Hule University of Innsbruck Jochen Lawrenz University of Innsbruck |
Why do Financial Strength Measures Forecast Future Stock Returns? Evidence from Subsequent Demand by Institutional Investors Nicole Y. Choi University of Wyoming Richard W. Sias Washington State University |
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| Presenter: Jochen Lawrenz |
Presenter: Nicole Choi |
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| Discussant: Christie Onwujuba-Dike, University of Saint Francis |
Discussant: Arvi Arunachalam, Salisbury University |
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| Session 008 – Derivatives Markets Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Don Chance, Louisiana State University |
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| Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban Bruce David Grundy University of Melbourne Bryan Lim University of Melbourne Patrick Verwijmeren University of melbourne |
Who Pulls the Trigger? Evidence on Corporate Currency Speculation Tom Aabo Aarhus University Marianna Andryeyeva Hansen Novozymes A/S Christos Pantzalis University of South Florida |
The Price Impact of Large Hedging Trades Brian J. Henderson George Washington University Neil D. Pearson University of Illinois |
| Presenter: Bryan Lim |
Presenter: Tom Aabo |
Presenter: Neil Pearson |
| Discussant: Anitha Manohar, Mercer University |
Discussant: Christine Brown, Monash University |
Discussant: Don Chance, Louisiana State University |
| Session 009 – Real Options Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: John W. Kensinger, University of North Texas |
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| Management Views on Real Options in Capital Budgeting H. Kent Baker American University Shantanu Dutta University of Ontario Institute of Technology Samir Saadi Queen's University |
Empirical Estimation of the Option Premium for Residential Redevelopment John M Clapp University of Connecticut Katsiaryna Salavei Fairfield University S. K. Wong The University of Hong Kong |
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| Presenter: H. Kent Baker |
Presenter: Katsiaryna Salavei |
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| Discussant: Spencer A. Case, Baylor University |
Discussant: Hany A. Shawky, University at Albany |
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| Session 010 – The Impact of the Euro Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Louis Gagnon, Queen's University |
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| The Macroeconomic Environment, Financial Development , Technology, and Growth: Evidence from the Accession to the EU Andrey G Zagorchev Lehigh University Youngsoo Bae University of Seoul Geraldo M Vasconcellos Lehigh University |
The Impact of the Euro Conversion on the Return Dynamics of European Financial Markets: A Frequency Domain Approach Axel Grossmann Radford University Emiliano Giudici Stephen F. Austin State University Marc W. Simpson Northern Illinois University |
The Euro and Equity Market Dependence across Industries Söhnke M. Bartram Lancaster University and SSgA Yaw-Huei Jeffrey Wang National Taiwan University |
| Presenter: Andrey G. Zagorchev |
Presenter: Marc Simpson |
Presenter: Yaw-Huei Wang |
| Discussant: Yaw-Huei Jeffrey Wang, National Taiwan University |
Discussant: Walid Ben Omrane, Brock University |
Discussant: Fabio Moneta, Queen's University |
| Session 011 – M&A Financing Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Jarrad Harford, University of Washington |
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| Cash Acquirers: Sources of Funding, Free Cash Flow, and Shareholder Returns Alan Gregory University of Exeter Yuan-Hsin (Chris) Wang Tunghai University |
Blank Check Acquisitions Anh L Tran Cass Business School |
International Cross-Listing , Cash Reserve, and Acquisition Chinmoy Ghosh University of Connecticut Fan He University of Connecticut |
| Presenter: Alan Gregory |
Presenter: Anh L Tran |
Presenter: Fan He |
| Discussant: Matthew Cain, University of Notre Dame |
Discussant: Micah Officer, Loyola Marymount University |
Discussant: Lukas Roth, University of Alberta |
| Session 012 – Investor Behavior and Stock Returns Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Yi Zhou, university of Oklahoma |
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| Disposition Effect and Stock Returns: New Evidence Ajay Bhootra California State University, Fullerton Vivian Weijia Chen The Conference Board, New York Jungshik Hur Louisiana Tech |
Predicting Style Returns: A Comparison of Style Return Continuation and Conditional Momentum in the United States and Emerging Asian Markets Charles D Collver Nova Southeastern University Natcha Limthanakom Nova Southeastern University Hsiao-Ying Chao Nova Southeastern University |
When Does Investor Sentiment Predict Stock Returns? San-Lin Chung National Taiwan University Chi-Hsiou Hung Durham University Chung-Ying Yeh Tunghai University |
| Presenter: Ajay Bhootra |
Presenter: Charles Collver |
Presenter: Chung-Ying Yeh |
| Discussant: Yan Li, Temple University |
Discussant: Yufeng Han, University of Colorado at Denver |
Discussant: Qianqiu Liu, University of Hawaii |
| Session 013 – Fund Managers and Fund Flows Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Hui Zheng, University of Sydney |
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| Mutual Fund Managers and Investor Clientele Puneet Jaiprakash Virginia Tech |
The Effects of Mutual Fund Manager Replacements on Fund Flows Joop Huij Robeco Asset Management / Rotterdam School of Management Simon Lansdorp Erasmus School of Economics Marno Verbeek Rotterdam School of Management |
Comparing Fund Flow Sensitivity for Load versus No-Load Funds Under Different Market States Steve Andrew Nenninger Sam Houston State University |
| Presenter: Puneet Jaiprakash |
Presenter: Simon Lansdorp |
Presenter: Steve Nenninger |
| Discussant: Steve Nenninger, Sam Houston State University |
Discussant: Lorenzo Casavecchia, University of Technology Sydney |
Discussant: Stefan Ruenzi, University of Mannheim |
| Session 014 – Topics in Insurance Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Gene Lai, Washington State University |
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| Optimal Demand for Catastrophic Insurance with Representative Heuristic Agents Jacqueline M. Volkman Wise Fordham University |
Mergers and Acquisitions, Diversification and Performance in the US Property-Liability Insurance Industry Jeungbo Shim Illinois Wesleyan University |
Mortality Portfolio Risk Management Samuel H. Cox University of Manitoba Yijia Lin University of Nebraska - Lincoln Ruilin Tian North Dakota State University Luis F. Zuluaga University of New Brunswick |
| Presenter: Jacqueline Volkman Wise |
Presenter: Jeungbo Shim |
Presenter: Ruilin Tian |
| Discussant: Muhammed Altuntas, University of Cologne |
Discussant: Ruilin Tian, North Dakota State University |
Discussant: Etti Baranoff, Virginia Commonwealth University |
| Session 015 – Foreclosure and Turnover in Real Estate Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Ahmad Etebari, University of New Hampshire |
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| The Impact of the Taxpayer Relief Act of 1997 on Housing Turnover in the US Single Family Residential Market Andrea J. Heuson University of Miami David Ling |
Effects of Bankruptcy Asset Exemptions and Foreclosure Laws on Mortgage Default and Foreclosure Rates Jevgenijs Steinbuks University of Cambridge Chintal A. Desai University of Texas - Pan American Gregory Elliehausen Board of Governors of the Federal Reserve System and George Washington University. |
Has EMU Increased Convergence Among Member Countries’ Public Property Markets? Nafeesa Yunus University of Baltimore Peggy Swanson University of Texas Arlington |
| Presenter: Andrea J. Heuson |
Presenter: Chintal A. Desai |
Presenter: Nafeesa Yunus |
| Discussant: Morgan J Rose, US OCC |
Discussant: Evan Dudley, University of Florida |
Discussant to be announced |
| Session 016 – Asset Sales Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: David Reeb, Temple University |
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| Value Creation from Asset Sales: New Evidence from Bond and Stock Markets Matthew Clayton Indiana University Natalia Reisel Southern Methodist University |
Cross-Border Asset Sales Valentina Salotti Iowa State University Ginka Borisova Iowa State University |
Corporate Asset Purchases - Sales and Governance Kose John New York University William Sodjahin New York University |
| Presenter: Natalia Reisel |
Presenter: Valentina Salotti |
Presenter: William Sodjahin |
| Discussant: Valentina Salotti, Iowa State University |
Discussant: Salla Poyry, HANKEN School of Economics |
Discussant: Gerald P Madden, |
| Session 017 – Loan Sales and Toxic Assets Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Florian Heider, European Central Bank |
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| Adverse Selection, Liquidity, and Market Breakdown Koralai Kirabaeva Bank of Canada |
Aggressive Lending, Loan Sales, and Credit Crisis: Evidence from Lending Practices in Leveraged Buyouts Jerry Cao Singapore Management University Joseph Mason Louisiana State University Wei-Ling Song Louisiana State University |
Shall We Dance? The Rationale for Leveraged Buyout Syndication Betty (H.T.) Wu University of Amsterdam |
| Presenter: Koralai Kirabaeva |
Presenter: Wei-Ling Song |
Presenter: Betty (H.T.) Wu |
| Discussant: Florian Heider, European Central Bank |
Discussant: Franco Fiordelisi, University of Rome III |
Discussant: Sascha Steffen, University of Mannheim |
| Session 018 – Financial Crisis and Banking Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Simon H Kwan, Federal Reserve Bank of San Francisco |
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| The Financial Crisis, Internal Corporate Governance, and the Performance of Publicly-traded US Bank Holding Companies Marcia Millon Cornett Bentley University Jamie John McNutt Southern Illinois University-Carbondale Hassan Tehranian Boston College |
Have Community Banks Reduced Home Foreclosure Rates? Kathy Fogel University of Arkansas Raja Kali University of Arkansas Timothy J Yeager University of Arkansas |
TARP Funds Distribution and Bank Loan Growth Lei Li Boston College |
| Presenter: Jamie John McNutt |
Presenter: Timothy J Yeager |
Presenter: Lei Li |
| Discussant: Bob DeYoung, University of Kansas |
Discussant: Mark Flood, Federal Housing Finance Agency |
Discussant: Christopher James, University of Florida |
| Session 019 – Asset Pricing Anomalies 1 Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Charles Boynton, University of New Haven |
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| Dissecting the Idiosyncratic Volatility Anomaly Linda Chen University of Massachusetts Boston George jiang University of Arizona Danielle Xu Gonzaga University Tong Yao University of Iowa |
Anomalies and Financial Distress Doron Avramov University of Maryland Tarun Chordia Emory University Gergana Jostova George Washington University Alexander Philipov George Mason University |
Momentum in Corporate Bond Returns Gergana Jostova George Washington University Stanislava Nikolova George Mason University and SEC Alexander Philipov George Mason University Christof W. Stahel George Mason University and FDIC |
| Presenter: Danielle Xu |
Presenter: Gergana Jostova |
Presenter: Alexander Philipov |
| Discussant: Gergana Jostova, George Washington University |
Discussant: Charles Boynton, University of New Haven |
Discussant: Sahn-Wook Huh, State University of New York at Buffalo |
| Session 020 – Analyst Forecasts Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: David Dubofsky, University of Louisville |
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| Where does the Investment Value of Target Prices Come From? Zhi Da University of Notre Dame Keejae Hong University of Illinois at Chicago Sangwoo Lee Loyola University Maryland |
Analyst Disagreement and Aggregate Volatility Risk Alexander Barinov University of Georgia |
Learning, Incentive, and Analyst Underreaction to Pension Underfunding Xuanjuan Chen Kansas State University Tong Yao University of Iowa Tong Yu University of Rhode Island Ting Zhang University of Dayton |
| Presenter: Sangwoo Lee |
Presenter: Alexander Barinov |
Presenter: Tong Yu |
| Discussant: Marilyn Wiley, University of North Texas |
Discussant: Yuying Gao, BlackRock |
Discussant: Stephen Sault, Australian National University |
| Session 021 – Idiosyncratic Volatility Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: David E Bray, Florida State University |
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| Realized and Expected Idiosyncratic Volatility: Mispricing or Risk? David R Peterson Florida State University Adam R Smedema Florida State University |
Trading Costs and the Relation Between Idiosyncratic Volatility and Returns Mikael Carl Bergbrant University of South Florida |
The Divergence between Credit Ratings and Market Default Probabilities: Implications for the Idiosyncratic Risk of Rated Firms Oghenovo A. Obrimah Virginia Commonwealth University Puneet Prakash Virginia Commonwealth University |
| Presenter: Adam R. Smedema |
Presenter: Mikael Bergbrant |
Presenter: Puneet Prakash |
| Discussant: Xiaoting Hao, University of Houston |
Discussant: Javier Estrada, IESE Business School |
Discussant: Haim Kassa, University of Cincinnati |
| Session 022 – Bond Pricing, Yields, and Liquidity Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Gady Jacoby, Seton Hall University |
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| Evidence and Implications of the Predictability of High Yield Bond Returns David Peter Simon Bentley University |
Idiosyncratic Volatility versus Liquidity? Evidence from the US Corporate Bond Market Madhu Kalimipalli Wilfrid Laurier University Subhankar Nayak Wilfrid Laurier University |
The Role of Information Asymmetry on Mortgage Loan Pricing: Differential Mortgage Pricing and Racial Composition as 21st Century Redlining Kenneth Daniels Virginia Commonwealth University Brent Smith Virginia Commonwealth University |
| Presenter: David P. Simon |
Presenter: Madhu Kalimipalli |
Presenter: Kenneth Daniels |
| Discussant: Shane Shepherd, Research Affiliated LLC |
Discussant: Bjorn Hagstromer, Stockholm University |
Discussant to be announced |
| Session 023 – Efficiency in Foreign Stock Markets Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Susan Ji, Governors State University |
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| Examining the Determinants of the High Volume Return Premium Alvaro G Taboada University of Tennessee Zhongdong Chen University of Tennessee |
The Return of the Size Anomaly: Evidence from the German Stock Market Amir Amel-Zadeh University of Cambridge |
Are EMU Stock Markets Cycles More Synchronized? Jose Goncalves Dias ISCTE -Lisbon University Institute Sofia Brito Ramos ISCTE -Lisbon University Institute |
| Presenter: Alvaro G. Taboada |
Presenter: Amir Amel-Zadeh |
Presenter: Sofia Brito Ramos |
| Discussant: Bahtiyar Babanazarov, Texas Tech University |
Discussant: Anthony Gu, SUNY Geneseo |
Discussant: Amir Amel-Zadeh, University of Cambridge |
| Session 024 – Volatility, Risk Premia, and Equity Markets Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Naresh Bansal, Saint Louis University |
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| Idiosyncratic Risk Premia and Momentum Doina C. Chichernea University of Toledo Steve L. Slezak University of Michigan |
The Effect of Disclosure Quality on Market Mispricing: Evidence from Derivative Related Loss Announcement Jaiho Chung Korea University Hyungseok Kim Korea University Woojin Kim Korea University Yong Keun Yoo Korea University |
Do Option Open-Interest Changes Foreshadow Future Equity Returns? Andy Fodor Ohio University Kevin Krieger University of Tulsa James Doran Florida State University |
| Presenter: Doina Chichernea |
Presenter: Hyungseok Kim |
Presenter: Kevin Krieger |
| Discussant: Pawan Jain, University of Memphis |
Discussant: Xiaoquan Jiang, Florida International University |
Discussant: Yigit Atilgan, Baruch College |
| Session 025 – Capital Structure and Financial Flexibility Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Guangzhong Li, Baruch College, CUNY |
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| The Impact of Financial Flexibility on Capital Structure Decisions: Some Empirical Evidence Brian J Clark Rensselaer Polytechnic Institute |
What Is Robust in Capital Structure Studies? Douglas O Cook University of Alabama Michael O Keefe University of Texas at Dallas Robert L Kieschnick University of Texas at Dallas |
Are the Previously Identified Captial Structure Determinants Important? Yongxian Tan Vanderbilt University |
| Presenter: Brian Clark |
Presenter: Michael Keefe |
Presenter: Yongxian Tan |
| Discussant: M Shumi Akhtar, Australian National University |
Discussant: Fariz Huseynov, North Dakota State University |
Discussant: Imen Latrous, Universite du Quebec a Chicoutimi |
| Session 026 – Equity Issuance and Market Timing Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Irena Hutton, Florida State University |
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| Market Feedback and Classification of Market Timing SEOs Konan Chan University of Hong Kong Nandu Nayar Lehigh University Ajai Kumar Singh Case Western Reserve University Wen Yu University of St. Thomas |
Leaders and Followers in a Hot IPO Market Shantanu Banerjee Lancaster University Ismail Ufuk Gucbilmez Lancaster University Grzegorz Pawlina Lancaster University |
Market Volatility and the Timing of IPO Filings Walid Busaba University of Western Ontario Daisy Li University of Western Ontario Guorong Yang University of Western Ontario |
| Presenter: Ajai Singh |
Presenter: Shantanu Banerjee |
Presenter: Walid Busaba |
| Discussant: Irena Hutton, Florida State University |
Discussant: Gonul Colak, Florida State University |
Discussant to be announced |
| Session 027 – Monetary Policy Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Jörg Rocholl, ESMT European School of Management and Technology |
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| Risk, Uncertainty and Monetary Policy Geert Bekaert Columbia Business School Marie Hoerova European Central Bank Marco Lo Duca European Central Bank |
Monetary Policy Surprises and Mortgage Rates Yang Jian University of Colorado-Denver Tracy Xu University of Denver Yufeng Han University of colorado-Denver |
The Effects of Central Banks' Rate Change Patterns on Financial Market Variables Wook Sohn KDI School Byeongmook Sung Bank of Korea |
| Presenter: Marie Hoerova |
Presenter: Tracy Xu |
Presenter: Wook Sohn |
| Discussant: Tobias Adrian, Federal Reserve Bank of New York |
Discussant: Thomas Hildebrand, ESMT European School of Management and Technology |
Discussant: Marie Hoerova, European Central Bank |
| Session 028 – Cost of Capital 1 Thursday, October 21, 8:00 am - 9:30 am |
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| Explicit and Implicit Contracts with Non-Financial Stakeholders and Corporate Capital Structure: The Case of Product Warranties Jayant R. Kale Georgia State University Costanza Meneghetti West Virginia University Husayn Shahrur Bentley College |
Cost of Capital and S&P 500 Index Revisions Lindsay C Baran University of North Carolina at Charlotte Tao-Hsien Dolly King University of North Carolina at Charlotte |
Foreign Exchange Exposure and Cost of Equity for US Companies: Local versus Global CAPM Thomas J. O'Brien University of Connecticut Walter Dolde University of Connecticut Carmelo Giaccotto University of Connecticut Dev R. Mishra University of Connecticut |
| Presenter: Costanza Meneghetti |
Presenter: Lindsay C Baran |
Presenter: Thomas J. O'Brien |
| Discussant: Nazli Saylak, Baruch / CUNY |
Discussant: LiuLing Liu, Rensselaer Polytechnic Institute |
Discussant: Sheryl-Ann K. Stephen, Butler University |
| Session 029 – Constraints on Executive Compensation Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Mark Chen, Georgia State University |
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| Public Opinion and Executive Compensation Camelia M. Kuhnen Northwestern University Alexandra Niessen University of Mannheim |
Shareholder Activism and CEO Pay Yonca Ertimur Duke University Fabrizio Ferri New York University Volkan Muslu University of Texas Dallas |
Is Executive Pay Excessive: New Evidence Jean Milva Canil University of Adelaide Bruce Alexander Rosser Unviersity of Adelaide |
| Presenter: Alexandra Niessen |
Presenter: Fabrizio Ferri |
Presenter: Jean Canil |
| Discussant: Jun Yang, Indiana University (Kelley) |
Discussant: Mark Chen, Georgia State University |
Discussant: Rasha Ashraf, Georgia State University |
| Session 030 – Board Composition 1 Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Kathleen Anne Farrell, University of Nebraska - Lincoln |
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| Shareholders in the Boardroom: Wealth Effects of the SEC’s Rule to Facilitate Director Nominations Ali C Akyol University of Melbourne Wei Fen Lim University of Melbourne Patrick Verwijmeren University of Melbourne |
Is Busy Really Busy? Board Governance Revisited Christian Andres University of Mannheim Mirco Lehmann University of Mannheim |
Globalizing the Boardroom - The Effect of Foreign Directors on Corporate Governance and Firm Performance Ronald Masulis Vanderbilt University Cong Wang Chinese University of Hong Kong Fei Xie George Mason University |
| Presenter: Ali C Akyol |
Presenter: Christian Andres |
Presenter: Fei Xie |
| Discussant: Tina Yang, Villanova University |
Discussant: Harley Ryan Jr., Georgia State University |
Discussant: David Allen Whidbee, Washington State University |
| Session 031 – Governing Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Shrikant P Jategaonkar, Southern Illinois University Edwardsville (SIUE) |
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| The Corporate Governance Endgame – An Economic Analysis of Minority Squeeze-out Regulation in Germany Ettore Croci University of Milan - Bicocca Olaf Ehrhardt University of Applied Sciences Stralsund Eric Nowak Swiss Institute of Finance, University of Lugano |
Governance Through Trading Wady Haddaji University of Amsterdam |
How do Corporate Governance Decisions Affect Bond Holders? Yuan Wang The Penn State University |
| Presenter: Ettore Croci |
Presenter: Wady Haddaji |
Presenter: Yuan Wang |
| Discussant: Shrikant P Jategaonkar, Southern Illinois University Edwardsville (SIUE) |
Discussant: Joonghyuk Kim, Korea University Business School |
Discussant: Jingyi (Jane) Jia, Southern Illinois University Edwardsville (SIUE) |
| Session 032 – Control Thursday, October 21, 8:00 am - 9:30 am |
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| Chairperson: Melissa Williams, University of Houston-Clear Lake |
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| Ownership, Control and Market Liquidity Edith Ginglinger Universite Paris-Dauphine Jacques Hamon Universite Paris-Dauphine |
The Impact of Founding-Family Ownership on Labor Relations: Evidence from French Workplace-Level Data Timothee Waxin Universite Paris Dauphine |
Concentrated Control - Agency Problems and Dividend Policy Vishaal Baulkaran |
| Presenter: Edith Ginglinger |
Presenter: Timothee Waxin |
Presenter: Vishaal Baulkaran |
| Discussant: Yong Lee, University of Houston-Victoria |
Discussant: Khaled Abdou, Penn State University - Berks Campus |
Discussant: Susan Elkinawy, Loyola Marymount University |
| Session 038 – Herding, Traders, and Direction Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Charles Jones, Columbia University |
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| Market Crashes and Institutional Trading Amber Anand Syracuse University Paul Irvine University of Georgia Andy Puckett Kumar Venkataraman Southern Methodist University |
What Causes Herding:Information Cascade or Search Cost ? William T. Lin Tamkang University, Taiwan Shih-Chuan Tsai Ling Tung University David S Sun Kai Nan University |
Asymmetries in the Intraday Dynamics of Equity Returns: A Frequency Domain Approach Emiliano Giudici Stephen F Austin State University Marc W Simpson Northern Illinois University |
| Presenter: Amber Anand |
Presenter: David S. Sun |
Presenter: Emiliano Giudici |
| Discussant: Charles Jones, Columbia University |
Discussant: Mark L Lipson, University of Virginia |
Discussant: Barry Quinn, Queen's University Belfast |
| Session 039 – Mutual Fund Performance Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Swasti Gupta-Mukherjee, Loyola University Chicago |
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| The Rise and Fall of Portfolio Pumping Among US Mutual Funds Truong X. Duong National University of Singapore Felix Meschke University of Minnesota |
Uncommon Value: The Investment Performance of Contrarian Funds Kelsey D Wei University of Texas at Dallas Russ Wermers University of Maryland Tong Yao University of Iowa |
Better than the Original? The Relative Success of Copycat Funds Yu Wang Rotterdam School of Management, Erasmus University Rotterdam Marno Verbeek Rotterdam School of Management, Erasmus University Rotterdam |
| Presenter: Felix Meschke |
Presenter: Kelsey D. Wei |
Presenter: Yu Wang |
| Discussant: Ankur Pareek, Rutgers University |
Discussant: Daniel Deli, DePaul University |
Discussant: Richard (Jinyi) Fu, San Jose State University |
| Session 040 – Commodity Futures Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: J Ronald Hoffmeister, Arizona State University |
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| The Information Flow and Market Efficiency between the US and Chinese Aluminum and Copper Futures Markets Qingfeng Wilson Liu James Madison University Hung-Gay Fung University of Missouri-St. Louis Yiuman Tse University of Texas-San Antonio |
Why Do Expiring Futures and Cash Prices Diverge for Grain Markets? Nicole Aulerich CFTC Raymond P Fishe CFTC & University of Richmond Jeffrey H Harris CFTC & University of Delaware |
The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield Peng Liu Cornell University Ke Tang Remin University |
| Presenter: Qingfeng Wilson Liu |
Presenter: Raymond P Fishe |
Presenter: Peng Liu |
| Discussant: Federico Nardari, University of Houston |
Discussant: Umesh Kumar, SUNY Canton |
Discussant: Marianna Maltseva, Citigroup |
| Session 041 – Corporate Risk Management Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Betty Simkins, Oklahoma State University |
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| Hedging Foreign Currency Portfolios under Switching Regimes Hsiang-Tai Lee National Chi Nan University |
Regime Dependency of Exposure Coefficients and Hedging Behavior in US Airline Industry Stephen D. Treanor California State University - Chico Daniel A. Rogers Portland State University David A. Carter Oklahoma State University Betty J. Simkins Oklahoma State University |
Hedging Strategies of Non-Financial Firms under Different Economic Conditions Wendy Rotenberg University of Toronto |
| Presenter: Hsiang-Tai Lee |
Presenter: Stephen Treanor |
Presenter: Wendy Rotenberg |
| Discussant: Xisong Jin, McGill University |
Discussant: James Weston, Rice University |
Discussant: Betty Simkins, Oklahoma State University |
| Session 042 – Market Reaction to Information: International Evidence Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Jennifer C Huang, University of Texas at Austin |
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| Post-Earnings-Announcement Drift and Foreign Investors' Trading Behavior in Korea Yunsung Eom Hansung University Jaehoon Hahn Yonsei University Wook Sohn KDI School |
Do Latin American Equity Markets Anticipate Corporate Announcements So Much More Than the US Market? Juan Jose Cruces Universidad Torcuato Di Tella Andres Pablo Drenik Universidad de San Andrés |
Do News Announcements affect Volatility Spillovers: Evidence from Implied Volatilities George Jiang University of Arizona Eirini Konstantinidi University of Piraeus George Skiadopoulos University of Warwick |
| Presenter: Jaehoon Hahn |
Presenter: Juan J. Cruces |
Presenter: Eirini Konstantinidi |
| Discussant: Inmoo Lee, Korea Advanced Institute of Science and Technology (KAIST) |
Discussant: Chishen Wei, UT-Austin and SEC |
Discussant: Erkko Etula, New York Fed |
| Session 043 – M&A Advisors Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Thomas Moeller, Texas Christian University |
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| Law Firm Reputation and Mergers and Acquisitions CNV Krishnan Case Western Reserve University Ronald Masulis Vanderbilt University and University of New South Wales |
Do Shareholders Listen? M&A Advisor Opinions and Shareholder Voting David Becher Drexel University Jay Cai Drexel University Wenjing Ouyang Drexel University |
Acquirer M&A Advisors as Underwriters: Is it OK to “Dual" Play? Mine Ertugrul University of Massachussetts Boston Karthik Krishnan Northeastern University |
| Presenter: Ronald Masulis |
Presenter: David Becher |
Presenter: Mine Ertugrul |
| Discussant: Thomas Moeller, Texas Christian University |
Discussant: Vahap Uysal, University of Oklahoma |
Discussant: Jennifer Juergens, University of Texas at Austin |
| Session 044 – Firm Value and the Influence of News Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Marios Panayides, Assistant Professor in Finance, University of Pittsburgh |
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| Do Investment Newsletters Move Markets? Scott Brown University of Puerto Rico Jose Cao-Alvira University of Puerto Rico @ Rio Piedras & Universidad Sergio Arboleda Eric Powers University of South Carolina |
Don’t Believe the Hype: Local Media Slant, Local Advertising, and Firm Value Umit G Gurun University of Texas at Dallas Alexander W Butler Rice University |
Asymmetrical Information from Value Line Timeliness Updates John G Gallo University of Iowa Wikrom Prombutr University of North Carolina at Pembroke Ying Zhang Monmouth University |
| Presenter: Scott Brown |
Presenter: Umit Gurun |
Presenter: Wikrom Prombutr |
| Discussant: Leonce Bargeron, University of Pittsburgh |
Discussant: Marios Panayides, University of Pittsburgh |
Discussant: Yee Cheng (Y.C.) Loon, SUNY - Binghamton University |
| Session 045 – Venture Capital and Private Equity Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: William R. SODJAHIN, NYU Stern |
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| Broken Promises: Private Equity Bid Failures and the Limits of Contract Matthew D. Cain Notre Dame University Steven M. Davidoff University of Connecticut Antonio J. Macias Texas Christian University |
Consortium Deals and the Market for LBOs Andre Gygax University of Melbourne Sarah Hewer Barclays Capital Chander Shekhar University of Melbourne |
The Rise of M &A Exits in Venture Capital: Implications for Capital Recovery Susan Chaplinsky University of Virgiinia Swasti Gupta-Mukherjee Loyola University |
| Presenter: Antonio J. Macias |
Presenter: Andre Gygax |
Presenter: Susan Chaplinsky |
| Discussant: Thomas C. Williams, University of Missouri - St. Louis |
Discussant: Stacey Elizabeth Jacobsen, Indiana University |
Discussant: Liu Yang, UCLA |
| Session 046 – Issues in Life and Health Insurance Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Anna D. Martin, St. John's Unversity |
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| Capital Ratio, Product Risk, and Asset Risk Relationships in the US Health Insurance Industry Etti G. Baranoff Virginia Commenwealth University Thomas W. Sager University of Texas at Austin Bo Shi University of Texas at Austin |
Variable Annuities With Guaranteed Living Benefits and Mortgage Backed Securities: A Capital Crisis for Life Insurers? Etti G. Baranoff Virginia Commenwealth University Thomas W. Sager University of Texas at Austin Bo Shi University of Texas at Austin |
Determinants of the Selling Downgraded Bonds by Life Insurers Gene C. Lai Washington State University Erin Lu Washington State University Tzu-Ting Lin Temple University |
| Presenter: Bo Shi |
Presenter: Bo Shi |
Presenter: Gene Lai |
| Discussant: James Barrese, St. John's Unversity |
Discussant: Ping Wang, St. John's Unversity |
Discussant: Nicos A Scordis, St. John's Unversity |
| Session 047 – Commercial Real Estate Markets and REITs Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Karen Lahey, University of Akron |
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| Liquidity, Accounting Transparency, and the Cost of Capital: Evidence from Real Estate Investment Trusts Bartley Danielsen North Carolina State University David Harrison Texas Tech University Robert Van Ness University of Mississippi Richard Warr North Carolina State University |
The Impact of Real Estate Operating Companies and Global Reits on Performance and Volatility of US Reits Vivek Bhargava Alcorn State University Akash Dania Alcorn State University Randy I Anderson University of Central Florida |
The Market Value of REIT Liquidity William G Hardin III Florida International University Matthew D Hill University of Mississippi G Wayne Kelly Mississippi State University James O Washam Arkansas State University |
| Presenter: Richard Warr |
Presenter: Vivek Bhargava |
Presenter: Matthew D. Hill |
| Discussant: Andrea J Heuson, University of Miami |
Discussant: Mohammad G Robbani, Alabama A&M University |
Discussant: Karen Lahey, University of Akron |
| Session 048 – M&A, IPOs, and Valuation Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: William C Gerken, Auburn University |
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| Costly Arbitrage in Mergers and Acquisitions Sudi Sudarsanam Cranfield University Dzung Viet Nguyen Cranfield University |
Institutional Ownership and IPO Performance: Australian Evidence Ronald G Bird Paul Wooley Centre, University of Technology Sydney Danny Yeung Paul Wooley Centre, University of Technology Sydney |
Cross-sectional Stock Returns on Fundamental Value vs. Market Value in Mergers and Acquisitions: Evidence from Japan Tadanori Yosano Kobe University Yoshinori Shimada Kobe University |
| Presenter: Sudi Sudarsanam |
Presenter: Ron Bird |
Presenter: Tadanori Yosano |
| Discussant: Alan Gregory, University of Exeter |
Discussant: Taufique Samdani, University of Paris Pantheon Sorbonne |
Discussant: Henry Lahr, Technische Universitat Munchen |
| Session 049 – Impact of the Global Financial Crisis Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Robin Lumsdaine, American University |
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| Crisis to Crisis: FDI Redux Bonnie Buchanan Seattle University Quan V Le Seattle University Meenakshi Rishi Seattle University |
Are Short Sellers Informed? New Evidence from Short Sales on Financial Firms During the 2007-2008 Subprime Mortgage Crisis Ming Liu Binghamton University - SUNY Tongshu Ma Binghamton University - SUNY Yan Zhang Binghamton University - SUNY |
Financialization, Crisis and Commodity Correlation Dynamics Annastiina Silvennoinen Queensland University of Technology Susan Jane Thorp University of Technology Sydney |
| Presenter: Bonnie Buchanan |
Presenter: Ming Liu |
Presenter: Susan Thorp |
| Discussant: Andrey Zagorchev, Lehigh University |
Discussant: Carole Comerton-Forde, The University of Sydney |
Discussant: Simone Dieckmann, University of Osnabrück |
| Session 050 – Bank Lending and Social Lending Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Gregory F. Udell, Indiana University |
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| Diversification or Specialization? An Analysis of Distance and Collaboration in Loan Syndication Networks Jian Cai Federal Reserve Bank of Cleveland Anthony Saunders New York University Sascha Steffen University of Mannheim |
Skin in the Game: The Incentive Structure in Online Social Lending Thomas Hildebrand European School of Management and Technology Manju Puri Duke University and NBER Jörg Rocholl European School of Management and Technology |
Does the Secondary Loan Market Reduce Borrowing Costs? Mark J. Kamstra York University Gordon S. Roberts York University Pei Shao University of Northern British Columbia |
| Presenter: Jian Cai |
Presenter: Thomas Hildebrand |
Presenter: Gordon S. Roberts |
| Discussant: Viorel Roscovan, Erasmus University |
Discussant: Masami Imai, Wesleyan University |
Discussant: Vijay Yerramilli, University of Houston |
| Session 051 – Asset Pricing 1 Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Xiaoxia Lou, University of Delaware |
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| What is the Shape of the Risk-Return Relation? Alberto G.P. Rossi University of California, San Diego Allan Timmermann University of California, San Diego |
Do Asset Pricing Anomalies Reflect Microstructure Noise? Elena Asparouhova University of Utah Hank Bessembinder Univeristy of Utah Ivalina Kalcheva University of Arizona |
Decomposing the Short-term Return Reversal Zhi Da University of Notre Dame Qianqiu Liu University of Hawaii Ernst Schaumburg Federal Reserve Bank of New York |
| Presenter: Alberto Rossi |
Presenter: Ivalina Kalcheva |
Presenter: Qianqiu Liu |
| Discussant: Qiang Kang, University of Miami |
Discussant: Sahn-Wook Huh, State University of New York at Buffalo |
Discussant: Xiaoxia Lou, University of Delaware |
| Session 052 – Stock Market Volatility Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Xiaolu Wang, University of Toronto, Rotman School of Management |
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| Flight-to-Quality Effects across the Cross-section of Stocks Naresh Bansal Saint Louis University Robert Connolly University of North Carolina at Chapel Hill Chris Stivers University of Georgia |
Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns Oliver Boguth University of British Columbia |
Idiosyncratic Return Volatility, Economic Activity, and Managerial Discretion Changling Chen University of Waterloo Alan Guoming Huang University of Waterloo Ranjini Jha University of Waterloo |
| Presenter: Naresh Bansal |
Presenter: Oliver Boguth |
Presenter: Ranjini Jha |
| Discussant: Xiaolu Wang, University of Toronto, Rotman School of Management |
Discussant: Adam Smedema, Florida State University, Department of Finance |
Discussant: Peter de Goeij, Tilburg University, Department of Finance |
| Session 053 – International Markets Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Tom Aabo, Aarhus University |
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| Game Hoarding in Europe: Stock-price Consequences of Local Bias? Tom Aabo Aarhus University Christos Pantzalis University of South Florida Maja Stoholm Sørensen Novo Nordisk A/S |
Testing Weak-Form Market Efficiency: Evidence from the TSE Ilona Shiller University of New Brunswick Ishmael Radikoko BIUST |
The Asset Growth Eff
ect and Market Efficiency: Insights from International Stock Markets Akiko Watanabe University of Alberta Yan Xu University of Rhode Island Tong Yao University of Iowa Tong Yu University of Rhode Island |
| Presenter: Tom Aabo |
Presenter: Ilona Shiller |
Presenter: Yan Xu |
| Discussant to be announced | Discussant: Mazhar M Islam, Florida A&M University |
Discussant: Gil Aharoni, University of Melbourne |
| Session 054 – CDS and TIPs Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Brian Hatch, University of Cincinnati |
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| Cross-Market Liquidity Shocks: Evidence from the CDS, Corporate Bond, and Equity Markets George Theocharides Sungkyunkwan University, SKK GSB Gady Jacoby Seton Hall University George J. Jiang University of Arizona |
Limits To Arbitrage and Types of Liquidity - The Case of CDS Prices Karan Bhanot University of Texas at San Antonio Liang Guo University of Texas at San Antonio |
When do TIPS Prices Adjust to Inflation Information? Quentin C Chu University of Memphis Deborah N Pittman Rhodes College Linda Q Yu University of Wisconsin - Whitewater |
| Presenter: George Theocharides |
Presenter: Karan Bhanot |
Presenter: Quentin C. Chu |
| Discussant: Michael Ferguson, University of Cincinnati |
Discussant: David Manzler, Suffolk University |
Discussant: Doina Chichernea, University of Toledo |
| Session 055 – Information and Prices Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Amir Amel-Zadeh, Judge Business School, University of Cambridge |
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| Information Content of After Hours Earnings Announcements Christine Jiang University of Memphis Tanakorn Likitapiwat University of Memphis Thomas McInish University of Memphis |
Learnig and the Price Discovery Process Jeffery M Mercer Texas Tech University Mark E Moore Texas Tech University Ryan J Whitby Texas Tech University Drew B Winters Texas Tech University |
How Information Transmits to Equity Markets: Earnings Announcements and Volatility Jeff R. Gerlach Sungkyunkwan University Jae Ha Lee Sungkyunkwan University |
| Presenter: Christine Jiang |
Presenter: Drew Winters |
Presenter: Jeff R. Gerlach |
| Discussant: Qian Wenlan, National University of Singapore |
Discussant: Jeff Gerlach, Sungkyunkwan University |
Discussant: Christine X Jiang, University of Memphis |
| Session 056 – Beating the Market Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Susana Yu, Montclair State University |
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| A Random Walk by Fund of Funds Managers? Frans de Roon Tilburg University Jinqiang Guo Tilburg University Jenke ter Horst Tilburg University |
How Mad Is Mad Money:Jim Cramer as a Stock Picker and Portfolio Manager Paul J Bolster Northeastern University Emery A Trahan Northeastern University Anand Venkateswaran Northeastern University |
Where are the Smart Investors? New Evidence of the Smart Money Effect Hsin-Yi Yu National University of Kaohsiung |
| Presenter: Jinqiang Guo |
Presenter: Emery Trahan |
Presenter: Hsin-Yi Yu |
| Discussant: Ying Wang, SUNY - Albany |
Discussant: Lucas Bernard, CUNY, College of Technology |
Discussant: Wikrom Prombutr, UNC Pembroke |
| Session 057 – IPOs and Operating Performance Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Jon Garfinkel, University of Iowa |
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| Management Quality and Operating Performance: Evidence for Canadian IPOs Lorne Nelson Switzer Concordia University Jean Francois Bourdon Concordia University |
The Competitive Effect of Rivals' Earnings News on Initial Public Offerings Hong Qian Oakland University Tony Ruan Xiamen University |
R&D as a Signal for IPO firms Ying Xiao University of Colorado, Boulder |
| Presenter: Lorne Switzer |
Presenter: Hong Qian |
Presenter: Ying Xiao |
| Discussant: Jon Garfinkel, University of Iowa |
Discussant: Xiaoding Liu, University of Florida |
Discussant: Yi Jiang, Cal State Fullerton |
| Session 059 – Topics in International Finance Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Delroy M Hunter, University of South Florida |
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| One Half-Billion Shareholders and Counting: Determinants of Individual Share Ownership around the World Paul Anthony Grout University of Bristol William Megginson Oklahoma University Ania Zalewska University of Bath |
Bilateral Political Relations and the Impact of Sovereign Wealth Fund Investment: A Study of Causality April Knill Florida State University Bong-Soo Lee Florida State University Nathan Mauck Florida State University |
Asia-Pacific Interest Rate Movements: A Tale of A Two-Horse Sleigh Tho Do Quoc Nguyen Rouen Business School Ha Thi Thu Phi Ernst & Young Australia Thuy-Duong To Australian School of Business |
| Presenter: Ania Zalewska |
Presenter: Nathan Mauck |
Presenter: Tho Nguyen |
| Discussant: Delroy M Hunter, University of South Florida |
Discussant to be announced | Discussant: Ana Paula Serra, Universidade do Porto, Portugal |
| Session 060 – Debt Capacity, Cost of Debt, and Firm Location Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Manohar Singh, Penn State University Great Valley |
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| Multimarket Trading and the Cost of Debt: Evidence from Global Bonds Lubomir Petrasek Pennsylvania State University |
Firm Location and Corporate Debt Matteo P. Arena Marquette University Michaël Dewally Marquette University |
Asset Tangibility and Debt Capacity-Empirical Evidence from the US Manufacturing Sector Vinod Venkiteshwaran Texas A&M University-Corpus Christi |
| Presenter: Lubomir Petrasek |
Presenter: Michaël Dewally |
Presenter: Vinod Venkiteshwaran |
| Discussant: Pascal Francois, HEC Montreal |
Discussant: Nguyen Thi Canh, Vietnam National University |
Discussant: Manohar Singh, Penn State University Great Valley |
| Session 062 – Boards: Distance Monitoring and Compensation Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Woojin Kim, Korea University |
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| Does the Location of Directors Matter? Information Acquisition and Monitoring by the Board Zinat Alam Georgia State University Mark Chen Georgia State University Conrad Ciccotello Georgia State University Chip Ryan Georgia State University |
Intensive Board Monitoring and Corporate Strategic Innovation Olubunmi Faleye Northeastern University Rani Hoitash Bentley University Udi Hoitash Northeastern University |
Does Delaware Incorporation Encourage Effective Monitoring? An Examination on Director Compensation Qian Xie East Stroudsburg University |
| Presenter: Mark A. Chen |
Presenter: Olubunmi Faleye |
Presenter: Qian Xie |
| Discussant: Ettore Croci, Universita' degli Studi di Milano - Bicocca |
Discussant: Edith Ginglinger, University of Paris Dauphine |
Discussant: Seonghee Han, Binghamton University |
| Session 063 – Compensation and Ownership Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Jason Smith, University of Kentucky |
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| Executive Compensation and Capital Structure Sheen Liu Washington State University – Vancouver Howard Qi Michigan Tech University Yan Alice Xie University of Michigan – Dearborn |
Intraday Market Liquidity and Ownership Structure in Brazil and Chile Diego C. Cueto Universidad ESAN |
The Value of Foreign Blockholder Activism: Which Home Country Governance Characteristics Matter? Woochan Kim KDI School of Public Policy and Management Taeyoon Sung Yonsei University Shang-Jin Wei Columbia University |
| Presenter: Yan Alice Xie |
Presenter: Diego C. Cueto |
Presenter: Woochan Kim |
| Discussant: Jason Smith, University of Kentucky |
Discussant: Howard Qi, Michigan Tech University |
Discussant: Vijaya Subrahmanyam, Mercer University |
| Session 064 – I/O and Finance Thursday, October 21, 9:45 am - 11:15 am |
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| Chairperson: Martin Boyer, HEC Montreal |
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| Pyramidal Ownership and the Creation of New Firms Jan Bena University of British Columbia Hernan Ortiz-Molina University of British Columbia |
Power Game Between the CEO and Labor: Evidence from Outsourcing Jongmoo Jay Choi Temple University Jose M Plehn-Dujowich Temple University Xiaotian Tina Zhang Saint Mary’s College of California |
Irreversibility, Uncertainty, and Wealth Impact of New Product Announcements Chengru Hu State University of New York at Canton Biqing Huang Angelo State University Xiaowei Liu St. Ambrose University |
| Presenter: Jan Bena |
Presenter: Jongmoo Jay Choi and Xiaotian Tina Zhang |
Presenter: Chengru Hu |
| Discussant: Martin Boyer, HEC Montreal |
Discussant: Huan Cai, University of Utah |
Discussant to be announced |
| Session 070 – SEOs: Pricing and Performance Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson to be announced | ||
| Liquidity, Investor Sentiment, and the Price Discount of SEOs in Australia Ebenezer Asem University of Lethbridge Jessica Chung UBS AG Australia Gloria Tian University of New South Wales |
Investment Horizon and Stock Performance Subsequent to Seasoned Equity Offerings Li Zhang McGill University |
Order Imbalance around Seasoned Equity Offerings Sukwon Kim University of California, Riverside Ronald W Masulis Vanderbilt University |
| Presenter: Ebenezer Asem |
Presenter: Li Zhang |
Presenter: Sukwon Kim |
| Discussant: Monika Trap, University of Cologne |
Discussant: Marietta-Westberg Jennifer, US Securities and Exchange Commission |
Discussant: Ronald Singer, University of Houston |
| Session 071 – Hedge Funds and Bond Funds Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Alan G. Huang, University of Waterloo, School of Accounting and Finance |
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| Geography and Local (Dis)advantage: Evidence from Muni Bond Funds David Rakowski SIU Carbondale Saiying Deng SIU Carbondale |
The Tournament Behavior in Hedge Funds: A Reexamination Gong Zhan University of Massachusetts, Amherst |
Hedge Funds, Stress, and Cross-Market Linkages Michel A Robe American University Bahattin Buyuksahin US CFTC |
| Presenter: Saiying Deng |
Presenter: Gong Zhan |
Presenter: Michel A. Robe |
| Discussant: Lu Zhang, University of Alberta |
Discussant: Javier Rodriguez, University of Puerto Rico |
Discussant: Nikolas Milonas, University of Athens |
| Session 072 – Market Efficiency and Derivatives Strategies Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Madhu Kalimipalli, Wilfrid Laurier University |
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| Determinants of Trading Profits of Individual Traders: Risk Premia or Information Louis Ederington University of Oklahoma Michael Dewally Marquette University Chitru Fernando University of Oklahoma |
Measuring Option Strategy Performance: An Examination of Value Line Option Recommendations Michael Lee Hemler University of Notre Dame Thomas W. Miller, Jr. Saint Louis University |
Deviations from Put-Call Parity and Earnings Announcement Returns Yigit Atilgan Sabanci University |
| Presenter: Louis Ederington |
Presenter: Thomas W. Miller, Jr. |
Presenter: Yigit Atilgan |
| Discussant: Wulin Suo, Queen's University |
Discussant: Yufen Fu, Simon Fraser University |
Discussant: Madhu Kalimipalli, Wilfrid Laurier University |
| Session 073 – Credit Default Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Redouane Elkamhi, University of Iowa, Assistant Professor of Finance |
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| Trading the Bond-CDS Basis - The Role of Credit Risk and Liquidity Monika Trapp University of Cologne |
Inferring Default Correlation from Equity Return Correlation Howard Qi Michigan Tech University Yan Alice Xie University of Michigan – Dearborn Sheen Liu Washington State University – Vancouver |
The Effects of Marginal Tax Rate and Default Risk on Bond Duration: Theory and Evidence Sheen Liu Washington State University – Vancouver Howard Qi Michigan Tech University Yan Alice Xie University of Michigan – Dearborn |
| Presenter: Monika Trapp |
Presenter: Howard Qi |
Presenter: Sheen Liu |
| Discussant: Redouane Elkamhi, University of Iowa, Assistant Professor of Finance |
Discussant: Raunaq S Pungaliya, SKK University, Seoul, Korea |
Discussant to be announced |
| Session 074 – International Corporate Finance Issues Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Denise W. Streeter, Old Dominion University |
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| Cross-Listing and the Value of Bonding under Increased Market Integration Liu Wang Old Dominion University |
Cross-Listings and the Information Environment Carmen Stefanescu ESSEC Business School |
Winner's Curse: New Evidence from Bank Cross-border M&As Hui Dong University of Hong Kong Dan Luo University of Hong Kong |
| Presenter: Liu Wang |
Presenter: Carmen Stefanescu |
Presenter: Hui Dong |
| Discussant: Jeff Hooke, Hooke Associates, LLC |
Discussant: Rafiqul Bhuyan, California State University, San Bernardino |
Discussant: Saeyoung Chang, University of Nevada, Las Vegas |
| Session 075 – M&A and Buyouts Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Tilan Tang, Clemson University |
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| Private and Public Merger Waves Vojislav Maksimovic University of Maryland Gordon Phillips University of Maryland Liu Yang University of California, Los Angeles |
Agency Costs, Asymmetric Information, and the Heterogeneity of Going Private Transactions. Thomas C Williams University of Missouri - St. Louis |
The Effects of Private Equity-Backing in the European Acquisitions of Unlisted Companies Vanessa Joly Université Paris-Dauphine & ESCP-Europe |
| Presenter: Liu Yang |
Presenter: Thomas C. Williams |
Presenter: Vanessa Joly |
| Discussant: Tilan Tang, Clemson University |
Discussant: Yingchou Lin, Missouri University of Science and Technology |
Discussant: Tanja Steigner, Emporia State University |
| Session 076 – Investor Behavior 1 Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Kasper Meisner Nielsen, Hong Kong University of Science & Technology |
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| Irrational Diversification: An Examnation of Individual Portfolio Choice Guido Baltussen Erasmus University Thierry Post Cassn Business School & University of Wales |
Dark Omens in the Sky: Do Superstitious Beliefs Affect Investment Decisions? Gabriele M. Lepori Copenhagen Business School |
Nature or Nurture: What Determines Investor Behavior? Amir Barnea Claremont McKenna College Henrik Cronqvist Claremont McKenna College Stephan Siegel University of Washington |
| Presenter: Guido Baltussen |
Presenter: Gabriele M. Lepori |
Presenter: Henrik Cronqvist |
| Discussant: Kasper Meisner Nielsen, Hong Kong University of Science & Technology |
Discussant: Miao Zhang, University of Hong Kong |
Discussant: Xue Wang, Loyola University New Orleans |
| Session 077 – Topics in Portfolio Management Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Kishore Tandon, Baruch College (City University of New York), New York City NY 10010 |
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| Geometric Mean Maximization: An Overlooked Portfolio Approach? Javier Estrada IESE Business School |
International Diversification with Frontier Markets Kuntara Pukthuanthong San Diego State University Jimmy Yang Oregon State University Dave Berger Oregon State University |
How do Investors Benefit from Culturally Home-biased Diversification? An Empirical Study in China, Hong Kong, and Taiwan Wan-Jiun Paul Chiou Shippensburg University Cheng-Few Lee Rutgers University |
| Presenter: Javier Estrada |
Presenter: Dave Berger |
Presenter: Wan-Jiun Paul Chiou |
| Discussant: Eleni Gousgounis, Stevens Institute of Technology, Hoboken NJ 07030 |
Discussant: Gwendolyn Webb, Baruch College (City University of New York), New York City NY 10010 |
Discussant: Jason Chiu, Rider University, Lawrenceville NJ 08648 |
| Session 078 – Non-bank Financial Institutions Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Steven A. Dennis, University of North Dakota |
||
| The Opaqueness of Structured Bonds in Insurers' Assets Sojung Carol Park California State University, Fullerton Xiaoying Xie California State University, Fullerton |
The Exit Behaviour of Venture Capital Firms Susanne Espenlaub Manchester Business School Arif Khurshed Manchester Business School Abdulkadir Mohamed Manchester Business School |
Venture Capital Ownership Type, Investment Criteria, and Venture Performance Na Dai SUNY at Albany Hoje Jo Santa Clara University Sul Kassicieh University of New Mexico |
| Presenter: Sojung Park |
Presenter: Arif Khurshed |
Presenter: Na Dai |
| Discussant: William Steven Smith, University of North Dakota |
Discussant: Steven A. Dennis, University of North Dakota |
Discussant: James Haskins, University of North Dakota |
| Session 079 – Asset Pricing in Real Estate Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Sanjay Ramchander, Colorado State University |
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| Heterogeneous Investors, Negotiation Strength and Asset Prices in Private Markets: Milena Petrova Syracuse University David C Ling University of Florida |
Mortgage Contract Choice in Subprime Mortgage Markets Gregory Elliehausen Federal Reserve Board Min Hwang George Washington University |
Origination Channels, Prepayment Penalties, and Foreclosure Morgan Joseph Rose OCC and UMBC |
| Presenter: Milena Petrova |
Presenter: Min Hwang |
Presenter: Morgan J. Rose |
| Discussant: Michael Highfield, Mississippi State University |
Discussant: Frank Nothaft, Freddie Mac |
Discussant: Sriram Villupuram, Colorado State University |
| Session 080 – Informed Trading in M&A Deals Thursday, October 21, 11:30 am - 1:00 pm |
||
| Chairperson: Joshua Pierce, University of South Carolina |
||
| Insider Trading in Takeover Targets Anup Agrawal University of Alabama Tareque Nasser University of Alabama |
Hedge Funds in M&A Deals: Is there Exploitation of Private Information? Rui Dai York University Nadia Masoud York University Debarshi K Nandy York University Anthony Saunders New York University |
Insider Trading Regulation and Market Quality: Evidence from ADRs Kee H. Chung State University of New York (SUNY) at Buffalo Hao Zhang Rochester Institute of Technology |
| Presenter: Tareque Nasser/Anup Agrawal |
Presenter: Debarshi Nandy |
Presenter: Hao Zhang |
| Discussant: Shan Yan, Michigan State University |
Discussant: Guojun Chen, Columbia University |
Discussant: Hoontaek Seo, Niagara University |
| Session 081 – Financial Crisis and Fraud Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Rajesh P. Narayanan, Louisiana State University |
||
| Finding Bernie Madoff
: Detecting Fraud by Investment Managers Stephen G. Dimmock Michigan State University William C. Gerken Auburn University |
Hedge Fund Attrition, Survivorship Bias, and Performance: Perspectives from the Global Financial Crisis Xiaoqing Eleanor Xu Seton Hall University Jiong Liu TIAA-CREF Anthony L. Loviscek Seton Hall University |
Should Investors Invest in Hedge Fund-like Mutual Funds? Evidence from the 2007 Financial Crisis Jingzhi Huang Penn State University Ying Wang SUNY - Albany |
| Presenter: William C. Gerken |
Presenter: Xiaoqing Eleanor Xu |
Presenter: Ying Wang |
| Discussant: Ayla Kayhan, Louisiana State Univeristy and U.S. Securities Exchange Commission |
Discussant: Yuying Gao, BlackRock Inc. |
Discussant: George Aragon, Arizona State University and U.S. Securities Exchange Commission |
| Session 082 – International Banking 1 Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Elinda Kiss, Robert H. Smith School of Business, University of Maryland |
||
| Bank Regulatons and Interest Rate Risk: An International Perspective Maxim Zagonov Toulouse Business School Ian Marsh Cass Business School Aneel Keswani Cass Business School |
Margins of International Banking: Is there a Productivity Pecking Order in Banking, Too? Claudia Buch University of Tuebingen Catherine Tahmee Koch University of Zurich Michael Koetter University of Groningen |
Bank Integration and Transmission of Financial Shocks: Evidence from Japan Masami Imai Wesleyan University Seitaro Takarabe Mitsubishi Corporation |
| Presenter: Maxim Zagonov |
Presenter: Catherine Koch |
Presenter: Masami Imai |
| Discussant: Shahnaz Abdullah, University of Maryland |
Discussant: Ouarda Merrouche, World Bank |
Discussant: Pierre Yourougou, Syracuse University |
| Session 083 – Intertemporal Asset Pricing Thursday, October 21, 11:30 am - 1:00 pm |
||
| Chairperson: Maria Schutte, Michigan Technological University |
||
| Testing for the Intertemporal Relation between the Expected Market Risk Premium and Implied Volatility Andy Naranjo University of Florida Mahen Nimalendran University of Florida Sabuhi Sardarli University of Florida |
Safety First, Robust Dynamic Asset Pricing, and the Cross-Section of Expected Stock Returns Ariel Viale Florida Atlantic University Antoine Giannetti Florida Atlantic University Luis Garcia Florida Atlantic University |
The Intertemporal Risk-Return Relation: A Bivariate Model Approach Xiaoquan Jiang Florida International University Bong Soo Lee Florida State University |
| Presenter: Andy Naranjo |
Presenter: Ariel Viale |
Presenter: Xiaoquan Jiang |
| Discussant: Xiaoxia Lou, University of Delaware |
Discussant: Andrei Nikiforov, Rutgers University - Camden |
Discussant: Maria Schutte, Michigan Technological University |
| Session 084 – Fixed Income Risk Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Deniz K Tudor, San Francisco State University |
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| How does a Firm's Default Risk Affect its Expected Equity Return? Kevin Aretz Lancaster University |
On the Negative Association Between Default Risk and Stock Returns Andreas Charitou University of Cyprus Neophytos Lambertides Aston Business School Lenos Trigeorgis University of Cyprus |
Macroeconomic Announcements and Risk Premia in the Treasury Bond Market Fabio Moneta Queen's School of Business |
| Presenter: Kevin Aretz |
Presenter: Neophytos Lambertides |
Presenter: Fabio Moneta |
| Discussant: Pawan Madhogarhia, Penn State University |
Discussant: Yong Wang, Western New England College |
Discussant: Shahnaz Abdullah, University of Mass Boston |
| Session 085 – Event Studies: Train Wrecks, Chemical Spills, and the Super Bowl Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Jay W Wellman, Cornell University |
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| Shareholder Wealth and Trading Volume Response to Train Wrecks Jeffery A. Born Northeastern University |
The Market Effect of Super Bowl Advertising During a Recession Joan Wiggenhorn Florida Institute of Technology Jacqueline K. Eastman Georgia Southern University Rajesh Iyer Bradley University Katy Armul Florida Institute of Technology |
Unexpected Media Coverage and Stock Market Outcomes: Evidence from Chemical Disasters Marie-Aude Laguna Université Paris-Dauphine |
| Presenter: Jeffery A. Born |
Presenter: Joan Wiggenhorn |
Presenter: Marie-Aude Laguna |
| Discussant: Murat Aydogdu, Rhode Island College |
Discussant: Jay W Wellman, Cornell University |
Discussant: Simona Mola, Arizona State University |
| Session 086 – Bonds 2 Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Jeffrey Zhang, University of Dayton |
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| Yield Spreads and Real Interest Rates Jonathan Batten Hong Kong University of Science & Technology Gady Jacoby Seton Hall University Rose C Liao Rutgers Business School |
Credit Spread Changes Within Switching Regimes Olfa Maalaoui KAIST Graduate School of Finance Georges Dionne HEC Montreal Pascal Francois HEC Montreal |
Effect of Equity Risk Factors on Daily Credit Spread Changes Ann Marie Hibbert West Virginia University Ivelina Pavlova University of Houston - Clear Lake Krishnan Dandapani Florida International University Joel Barber Florida International University |
| Presenter: Gady Jacoby |
Presenter: Pascal Francois |
Presenter: Ann Marie Hibbert |
| Discussant: Brian Barrett, University of Miami |
Discussant: Wei Wu, Willamette University |
Discussant: Bill Bobey, Sobey School of Business |
| Session 087 – Comovement Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Christos I. Giannikos, Baruch College, CUNY |
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| Are Comovements Excessive? Maria Kasch University of Mannheim, Department of Finance Asani Sarkar Federal Reserve Bank of New York, Princeton University |
Does Correlated Analyst Coverage Explain Excess Comovement? Ryan Dwight Israelsen Indiana University |
The Value of Active Investing: Case of Excess Comovement of Stock Returns Pengfei Ye Rensselaer Polytechnic Institute |
| Presenter: Asani Sarkar |
Presenter: Ryan Israelsen |
Presenter: Pengfei Ye |
| Discussant: James Conover, University of North Texas |
Discussant: Brian Sloboda, University of Maryland University College |
Discussant: Enrico Onali, Bangor University |
| Session 088 – Market Anomalies Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Mitch Warachka, Singapore Management University |
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| Ranking Stocks and Returns: A Non-Parametric Analysis of Asset Pricing Anomalies Denys Maslov University of Texas at Austin Oleg Rytchkov Temple University |
Transitory Market State and the Joint Occurrence of Momentum and Mean Reversion Ronald Balvers West Virginia University Ou Hu Youngstown State University Dayong Huang University of North Carolina at Geensboro |
Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases Martijn Cremers Yale School of Management Ankur Pareek Rutgers Business School |
| Presenter: Oleg Rytchkov |
Presenter: Dayong Huang |
Presenter: Ankur Pareek |
| Discussant: Mitch Warachka, Singapore Management University |
Discussant: Hui Guo, University of Cincinnati |
Discussant: Ernst Schaumburg, Federal Reserve Bank of New York |
| Session 089 – Private Equity Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Wolfgang Bessler, University of Giessen |
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| The Long-Run Supply and Demand for Venture Capital Funds: Information and Endogenous Entry Chris Yung Univ. of Colorado |
Competitive Effects of Private Equity Investments Hung-Chia Hsu University of Wisconsin Milwaukee Adam V Reed University of North Carolina at Chapel Hill Jorg Rocholl European School of Management and Technology |
Net Asset Value Discounts in Listed Private Equity Funds Henry Lahr Technische Universität München Christoph Kaserer Technische Universität München |
| Presenter: Chris Yung |
Presenter: Hung-Chia Hsu |
Presenter: Henry Lahr |
| Discussant: Hung-Chia Scott Hsu, University of Wisconsin Milwaukee |
Discussant: George J. Papaioannou, Hofstra University |
Discussant: Wolfgang Drobetz, Hamburg University |
| Session 090 – Signaling Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Ania Zalewska, School of Management, University of Bath, UK |
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| Do Common Factors Drive Stock Split Decisions? M. Fabricio Perez Wilfrid Laurier University Andriy Shkilko Wilfrid Laurier University |
Why are Stock Exchange IPOs so Underpriced and Yet Outperform in the Long Run? A Test of the Signaling Hypothesis Isaac Otchere Carleton University |
|
| Presenter: M. Fabricio Perez |
Presenter: Isaac Otchere |
|
| Discussant: Enrico Onali, Bangor University, UK |
Discussant: Hugh Colaco, Merrimack College |
|
| Session 091 – Monetary Policy and Credit Rationing Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Tara Rice, Federal Reserve Board |
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| Spillover Effect of US Monetary Policy on Banks outside the United States Haiyan Yin Indiana University South Bend Jiawen Yang The George Washington University |
The Effect of Monetary Policy on Credit Spreads Tolga Cenesizoglu HEC Montreal Badye Omar Essid HEC Montreal |
The Effect of Credit Rationing, Creditworthiness, and Commitments on Commercial Loan Pricing: Theory and Evidence Kenneth N. Daniels Virginia Commonwealth University Norris L. Larrymore Northwestern University Irvin W. Morgan Bentley University |
| Presenter: Haiyan Yin |
Presenter: Tolga Cenesizoglu |
Presenter: Norris L. Larrymore |
| Discussant: Tara Rice, Federal Reserve Board |
Discussant: Mark Vaughan, National Credit Union Administration |
Discussant: Jonathan Rose, Federal Reserve Board |
| Session 092 – Debt Recovery in Bankruptcy Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Soumendra De, Menlo College |
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| Estimating Market-implied Recovery Rates from Credit Default Swap Premia Timo Stefan Schlaefer Karlsruhe Institute of Technology (KIT) Marliese Uhrig-Homburg Karlsruhe Institute of Technology (KIT) |
Endogenous Bankruptcy and Expected Recovery Wulin Suo Queen's University Wei Wang Queen's University Qi Zhang Queen's University |
Is Recovery Risk Priced in Debt Contracts? The Roles of Bank Regulation, Corporate Governance and Credit Rating Wenchien Liu National Chengchi University Peter Miu McMaster University Yuanchen Chang Chengchi University Bogie Ozdemir BMO Financial Group |
| Presenter: Timo Schlaefer |
Presenter: Wulin Suo |
Presenter: Yuanchen Chang |
| Discussant: Ken-ichi Tatsumi, Gakushuin University |
Discussant: David Sun, Kai Nan University |
Discussant: Soumendra De, Menlo College |
| Session 093 – Replacing CEOs: Severance Agreements and Turnover Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Gemma Lee, Seton Hall University |
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| Paying for Risk or Shareholder Rip-off? An Analysis of Ex-ante Severance Pay Contracts P. Raghavendra Rau University of Cambridge Jin Xu Purdue University |
Marital Prenups? A Look At CEO Severance Agreements Peggy Peiju Huang Indiana University |
CEO Entrenchment and Turnover: Why don’t Bad CEOs Get Fired? Helen Bowers University of Delaware William Latham University of Delaware James Markham University of Delaware |
| Presenter: Raghu Rau |
Presenter: Peggy Huang |
Presenter: Helen Bowers |
| Discussant: Hongfei Tang, Seton Hall University |
Discussant: Shawn Mobb, University of Alabama |
Discussant: Rajarishi Nahata, Baruch College |
| Session 094 – Board Composition 2 Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Jayanthi Sunder, Kellogg School of Management, Northwestern University |
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| CEO Compensation and Board Structure Revisited Katherine Guthrie College of William and Mary Jan Sokolowsky University of Michigan Kam-Ming Wan University of Hong Kong |
Venture Capitalist Directors in IPOs: Busy or Well-Connected? Laura Casares Field Penn State University Michelle Lowry Penn State University Anahit Mkrtchyan Penn State University |
Legal Expertise on Corporate Boards and Audit Committees and Financial Reporting Quality Jayanthi Krishnan Temple University Yuan Wen Georgia Southern University Wanli Zhao Worcester Polytechnic Institute |
| Presenter: Jan Sokolowsky |
Presenter: Anahit Mkrtchyan |
Presenter: Yuan Wen |
| Discussant: Vidhi Chhaochharia, Miami University |
Discussant: Naveen D. Daniel, Drexel University |
Discussant: Jayanthi Sunder, Kellogg School of Management, Northwestern University |
| Session 095 – Governance: Turnover, Analysts, and Agency Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Anzhela Knyazeva, University of Rochester |
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| Blockholders on Boards and CEO Compensation - Turnover and Firm Valuation Anup Agrawal University of Alabama Tareque Nasser University of Alabama |
Analyst Coverage and Corporate Governance Quality Pornsit Jiraporn Pennsylvania State University - SGPS Young S. Kim Northern Kentucky University J.C. Kim Northern Kentucky University |
Does Competition Always Mitigate Agency Problems? Evidence from Business Combination Laws Yuehua Tang Georgia State University |
| Presenter: Anup Agrawal |
Presenter: Pornsit Jiraporn |
Presenter: Yuehua Tang |
| Discussant: Anzhela Knyazeva, University of Rochester |
Discussant: Jie Cai, Drexel University |
Discussant: Karthik Krishnan, Northeastern University |
| Session 096 – Effects of Management Compensation Thursday, October 21, 11:30 am - 1:00 pm |
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| Chairperson: Daniel Metzger, London School of Economics |
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| Market Based CEO Pay - Aggregation of Information and Short-Termism in the Stock Market Riccardo Calcagno Vrije Universiteit Amsterdam Florian Heider European Central Bank |
An Empirical Analysis of Stock Repurchases as an Earnings Management Mechanism Kathleen A Farrell University of Nebraska Lincoln Emre Unlu University of Nebraska Lincoln Jin Yu St Cloud State University |
Takeover Defenses and Executive Compensation in IPOs Nina Baranchuk University of Texas at Dallas Robert Kieschnick University of Texas at Dallas Rabih Moussawi Wharton Research Data Services |
| Presenter: Florian Heider |
Presenter: Kathleen Farrell |
Presenter: Nina Baranchuk |
| Discussant: Jan Bena, University of British Columbia |
Discussant: Oliver Spalt, Tilburg University |
Discussant: Daniel Metzger, London School of Economics |
| Session 102 – Security Market Structure Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Pamela C. Moulton, Fordham university/Cornell University |
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| Causes and Effects of Demutualization of Financial Exchanges Chinmay Jain University of Memphis Pankaj K. Jain University of Memphis |
Why Designate Market Makers? Affirmative Obligations and Market Quality Hendrik Bessembinder University of Utah Jia Hao Wayne State University Michael Lemmon University of Utah |
A Glimpse into the Dark Pool: Price Formation, Transaction Cost and Market Share of the Crossing Network Mao Ye Cornell University |
| Presenter: Chinmay Jain |
Presenter: Jia Hao |
Presenter: Mao Ye |
| Discussant: Lin Peng, Baruch College, CUNY |
Discussant: Michael Pagano, Villanova University |
Discussant: Sabrina Buti, University of Toronto |
| Session 103 – Mutual Fund Fees Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Johan Sulaeman, Southern Methodist University (Cox) |
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| Are Mutual Fund Fees Excessive? Evidence from Index Funds John C. Adams University of Texas Arlington Sattar Mansi Viginia Tech Takeshi Nishikawa University of Colorado Denver |
The Effect of Idiosyncratic Risk-Taking on Mutual Fund Performance and Fees Lorenzo Casavecchia University of Technology Sydney Hardy Hulley University of Technology Sydney |
The Impact of Shrouded Fees: Evidence from a Natural Experiment in the Indian Mutual Fund Market Santosh Shrikant Anagol University of Pennsylvania |
| Presenter: John Adams |
Presenter: Lorenzo Casavecchia |
Presenter: Santosh Anagol |
| Discussant: Tao Shu, University of Georgia |
Discussant: Russell E. Jame, Emory University |
Discussant: Johan Sulaeman, Southern Methodist University |
| Session 104 – Stocks and Options Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Yuzhao Zhang, Temple University |
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| On the Ex-Ante Cross-Sectional Relation Between Risk and Return Using Option-Implied Information Ren-Raw Chen Fordham University Dongcheol Kim Korea University Durga Panda Rutgers University |
Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models Natalia Beliaeva Suffolk University Sanjay Nawalkha University of Massachusetts |
The Joint Cross Section of Stocks and Options Andrew Ang Columbia University and NBER Turan G Bali Baruch College, CUNY Nusret Cakici Fordham University |
| Presenter: Dongcheol Kim |
Presenter: Natalia Beliaeva |
Presenter: Turan G. Bali |
| Discussant: Zhiguang Wang, South Dakota State University |
Discussant: Lars Stentoft, HEC Montréal |
Discussant: Yuzhao Zhang, Temple University |
| Session 105 – Foreign Currency Exposure and Debt Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Abdullah Mamun, University of Saskatchewan |
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| Asymmetric Foreign Exchange Exposure and Foreign Currency Denominated Debt: International Evidence Taek Ho Kwon Chungnam National University Sung C Bae Bowling Green State University |
Does Firms' Exchange Rate Exposure Affect their Cost of Debt? Evidence from Bank Loan Terms Bill B Francis Rensselaer Polytechnic Institute Delroy M Hunter University of South Florida |
Exchange Rate Exposure - Foreign Currency Debt and the Use of Derivatives: Evidence from Brazil Jose Luiz Rossi Insper |
| Presenter: Sung C. Bae |
Presenter: Delroy Hunter |
Presenter: Jose Luiz Rossi Junior |
| Discussant: Alain Krapl, University of Connecticut |
Discussant: Basma Majerbi, University of Victoria |
Discussant: Uluc Aysun, University of Connecticut |
| Session 106 – Information and Foreign Markets Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Bill Elliott, University of Texas at El Paso |
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| Local and Foreign Institutional Investors, Information Asymmetries, and State Ownership Xiaoya Ding Queen's University Yang Ni Queen's University |
Accounting Quality, Earnings Management and Cross-Listings: The Case of China YingChou Lin Missouri University of Science and Technology LiLi Eng Missouri University of Science and Technology |
Mandatory IFRS Reporting and Analysts’ Information Yung Chiang Yang Nanyang Technological University |
| Presenter: Xiaoya Ding |
Presenter: YingChou Lin |
Presenter: Yung Chiang Yang |
| Discussant: Ata Yesilyaprak, Columbus State University |
Discussant: Masha Barulina, University of Texas at El Paso |
Discussant: Jagadish Dandu, University of Texas at El Paso |
| Session 107 – Takeover Motives Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Kangzhen Xie, Washington University in St Louis |
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| Back to Basics: How Important are Differential Market Valuations for Takeovers? Gerald Thomas Garvey BlackRock Todd Milbourn Washington University in St. Louis Kangzhen Xie Washington University in St. Louis |
Synergies Disclosure in Mergers and Acquisitions Peter Roosenboom Erasmus University Marie Dutordoir Manchester Business School Manuel Vasconcelos Erasmus University |
The Death of the Deal: Are Withdrawn Acquisition Deals Informative of CEO Restraint? Stacey Elizabeth Jacobsen Indiana University |
| Presenter: Kangzhen Xie |
Presenter: Manuel Vasconcelos |
Presenter: Stacey E Jacobsen |
| Discussant: Joshua Pierce, South Carolina State University |
Discussant: Shekhar Shetty, Salisbury State University |
Discussant: Chris Yung, University of Virginia |
| Session 108 – Investor Characteristics and Portfolio Choice Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Naomi E. Boyd, West Virginia University |
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| Pound Wise and Penny Foolish? OTC Stock Investor Demographics and Portfolios Abhishek Varma Illinois State University John Nofsinger Washington State University |
Trading Behavior of Style and Multi-Style Investors Douglas W Blackburn Fordham University William N Goetzmann Yale University Andrey D Ukhov Indiana University |
How Valuable is the Knowledge of Finance in Diversification Decisions? Ann Marie Hibbert West Virginia University Edward Lawrence Florida International University Arun Prakash Florida International University |
| Presenter: Abhishek Varma |
Presenter: Douglas Blackburn |
Presenter: Ann Marie Hibbert |
| Discussant: Naomi E. Boyd, West Virginia University |
Discussant: Akin Sayrak, Sabanci University |
Discussant: Ying Zhang, Monmouth University |
| Session 109 – Portfolio Choice Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Lingjie Ma, BMO Asset Management |
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| The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors Louis Ederington University of Oklahoma Janya Golubeva |
Optimal Portfolio Choice with Wash Sale Constraints Bjarne Astrup Jensen Copenhagen Business School Marcel Marekwica Copenhagen Business School |
Optimal Tax-Timing and Asset Allocation when Tax Rebates on Capital Losses are Limited Marcel Marekwica Copenhagen Business School |
| Presenter: Louis Ederington |
Presenter: Marcel Marekwica |
Presenter: Marcel Marekwica |
| Discussant: Ajay Zutshi, DuPont Capital Management |
Discussant: Larry Pohlman, Alfred Berg Invesment |
Discussant: Lingjie Ma, BMO Asset Management |
| Session 110 – Short Sale Regulation Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Adam V Reed, UNC |
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| Worldwide Short Selling: Regulations and Activity Archana Jain University of Memphis Pankaj K Jain University of Memphis Thomas H McInish University of Memphis Michael McKenzie University of Sydney |
Short Selling: Information or Manipulation? Carole Comerton-Forde University of Sydney Talis J Putnins University of Sydney |
Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets Robert H. Battalio University of Notre Dame Paul Schultz University of Notre Dame |
| Presenter: Archana Jain |
Presenter: Carole Comerton-Forde |
Presenter: Robert Battalio |
| Discussant: Veljko Fotak, University of Oklahoma |
Discussant: Andriy Shkilko, Wilfrid Laurier University |
Discussant: Benjamin Blau, Utah State University |
| Session 111 – Optimal Investment and the Real Estate Dynamics Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Kimberly Goodwin, University of Southern Mississippi |
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| Sustainability and the Dynamics of Green Buildings Piet MA Eichholtz Maastricht University Nils Kok UC Berkeley John M Quigley UC Berkeley |
The Optimal Portfolio Weight for Real Estate With Liquidity Risk and Uncertainty Aversion Shaun Alexander Bond University of Cincinnati Steve Slezak University of Michigan |
Heterogeneous Agents and Asset Dynamics: The Role of Investment Horizon Wenlan Qian National University of Singapore |
| Presenter: Nils Kok |
Presenter: Shaun Bond |
Presenter: Wenlan Qian |
| Discussant: Shaun Bond, University of Cincinnati |
Discussant: Kimberly Goodwin, University of Southern Mississippi |
Discussant to be announced |
| Session 112 – New Developments in Portfolio Selection Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Clemens Sialm, University of Texas, Austin |
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| Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection Redouane Elkamhi University of Iowa Denitsa Stefanova VU University Amsterdam |
On Mean Variance Portfolio Optimization: Improving Performance Through Better Use of Hedging Relations Shingo Goto University of South Carolina Yan Xu University of Rhode Island |
Portfolio Risk Forecasting Valentin Braun Goethe University Andreas Hackethal Goethe University |
| Presenter: Denitsa Stefanova |
Presenter: Shingo Goto |
Presenter: Valentin Braun |
| Discussant: Oleg Rytchkov, Temple University |
Discussant: Yufeng Han, University of Colorado Denver |
Discussant: Ashraf Al Zaman, Saint Mary's University |
| Session 113 – Causes and Amplifiers of the Financial Crisis: Predatory Lending, Short-Termism, and Credit Contraction Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Umesh Kumar, SUNY Canton |
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| Cross-Border Banking and the International Transmission of Financial Distress during the Financial Crisis of 2007-2008 Alexander Popov European Central Bank Gregory F. Udell Indiana University |
Seeds of the Crisis: The Shareholder Wealth Effects of Early Subprime Litigatio James E. McNulty Flori Ariel M. Viale Florida Atlantic University |
The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008 Ayako Yasuda UC Davis Massimo Massa INSEAD Alberto Manconi INSEAD |
| Presenter: Alexander Popov |
Presenter: James McNulty |
Presenter: Ayako Yasuda |
| Discussant: Sojung Park, Cal State Fullerton |
Discussant: Lakshmi Balasubramanyan, Indiana State University |
Discussant: Alexander Groh, EM Lyon Business School |
| Session 114 – Bank M&A's 1 Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Klaus Schaeck, Bangor Business School |
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| Corporate Culture and M&A Results in the European Banking Franco Fiordelisi University of Rome III Duccio Martelli University of Rome Tor Vergata |
Can Credit Union Performance Improve Through Mergers? the Case of State Farm Credit Union Consolidation Keldon J Bauer Illinois State University Linda L Miles Illinois State University |
Efficiency and Market Power Gains in Megabank Mergers Erik Devos University of Texas at El Paso Srinivasan Krishnamurthy North Carolina State University Rajesh Narayanan Louisiana State University |
| Presenter: Franco Fiordelisi |
Presenter: Keldon Bauer |
Presenter: Srinivasan Krishnamurthy |
| Discussant: Masami Imai, Wesleyan University |
Discussant: John O. S. Wilson, University of St. Andrews |
Discussant: Lamont K. Black, Board of Governors of the Federal Reserve System |
| Session 115 – Asset Pricing Anomalies 2 Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Celim Yildizhan, University of Michigan |
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| Growth/Value, Market-Cap, and Momentum Jun Wang University of Alabama Robert Brooks University of Alabama |
The Cross-Section of Jumps Around Earnings Announcements Haigang Zhou Cleveland State University John Qi Zhu Shanghai Jiao Tong University |
Do Takeovers Drive the Size Effect? Bradley Allen Goldie Pennsylvania State University |
| Presenter: Jun Wang |
Presenter: John Qi Zhu |
Presenter: Bradley A. Goldie |
| Discussant: Licheng Sun, Old Dominion University |
Discussant: Y Eser Arisoy, IESEG School of Management |
Discussant: John Qi Zhu, Shanghai Jiao Tong University |
| Session 116 – Testing Stock Market Efficiency Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Chengping Zhang, George Fox University |
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| Political Geography and Stock Returns: The Value Implications of Indirect Access to Political Power Chansog Kim City University of Hong Kong Christos Pantzalis University of South Florida Jung Chul Park Louisiana Tech University |
Know Thy Neighbor: Industry Clusters, Information Spillovers and Market Efficiency Joseph Engelberg UNC-Chapel Hill Arzu Ozoguz UNC-Chapel Hill Sean Wang UNC-Chapel Hill |
The Role of Limits to Arbitrage and the Asset Growth Anomaly F.Y. Eric C. Lam City University of Hong Kong K.C. John Wei Hong Kong University of Science and Technology |
| Presenter: Christos Pantzalis |
Presenter: Arzu Ozoguz |
Presenter: F.Y. Eric C. LAM |
| Discussant: Jeff Wongchoti, Massey University |
Discussant: Ron Bird, University of Technology Sydney |
Discussant: Chaoli Guo, University of Hong Kong |
| Session 117 – Information Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Harley Ryan, Georgia State University |
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| When Do Analysts Add Value? Evidence from Corporate Spinoffs Emilie Feldman Harvard Business School Stuart Gilson Harvard Business School Belen Villalonga Harvard Business School |
Substitution or Complementarity between “Soft” Information and “Hard” Information: Why and Which Effect on Bank Profitability? Aymen Smondel Université Paris-Dauphine Hervé Alexandre Université Paris-Dauphine |
|
| Presenter: Belen Villalonga |
Presenter: Aymen Smondel |
|
| Discussant: Zhi Li, Tulane University |
Discussant: Costanza Meneghetti, West Virginia University |
|
| Session 118 – Valuation Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: George Theocharides, SKK GSB, Sungkyunkwan University |
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| Non-Convexities in the 10-year Treasury Note Market George Theocharides Sungkyunkwan University Christopher G. Lamoureux University of Arizona |
Information Asymmetry, Supply Chain Characteristics and Bond Yield Spreads Tsung-Kang Chen Fu Jen Catholic University Hsien-Hsing Liao National Taiwan University Hui-Ju Kuo National Taiwan University Yu-Ling Hsieh National Taiwan University |
Pension Obligation Overhang and Corporate Bond Seniority: Evidence from Bond Ratings - Default Probability and Recovery Rate Jeffrey Zhang University of Dayton |
| Presenter: George Theocharides |
Presenter: Tsung-Kang Chen |
Presenter: Jeffrey Zhang |
| Discussant: Michael J. Fleming, Federal Reserve Bank of New York |
Discussant: George Theocharides, SKK GSB, Sungkyunkwan University |
Discussant: Tsung-Kang Chen, Fu Jen Catholic University |
| Session 119 – Insider Trading 1 Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Bonnie Van Ness, University of Mississippi |
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| Can Traders Beat the Market? Evidence from Insider Trades Murli Rajan University of Scranton Qin Lei Southern Methodist University Xuewu Wang University of Scranton |
Time Varying Liquidity Trading, Private Information and Insider Trading Xuewu Wang University of Scranton |
How much does an Illegal Insider Trade? Alex Frino The University of Sydney Stephen Satchell Cambridge University Brad Wong The University of Sydney Hui Zheng The University of Sydney |
| Presenter: Qin Lei |
Presenter: Xuewu Wang |
Presenter: Hui Zheng |
| Discussant: Xiankui Hu, Arkansas State University |
Discussant: Bonnie Van Ness, University of Mississippi |
Discussant: Kevin D. Broom, Baylor University |
| Session 120 – Anomalies and Risk Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Qianqiu Liu, University of Hawaii |
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| Firm Expansion and Stock Price Momentum Peter Mikael Nyberg Aalto University Salla Fanny Pöyry Hanken School of Economics |
Information Risk and the Value Premium Qiang Kang University of Miami Lixin Huang Georgia State University |
Stock Returns and New-Keynesian Factors: The Role of Monetary Policy and the Capital Market Imperfection Sungjun Cho Manchester Business School |
| Presenter: Salla Poyry |
Presenter: Qiang Kang |
Presenter: Sungjun Cho |
| Discussant: Joon Chae, Seoul National University |
Discussant: Hui Guo, University of Cincinnati |
Discussant: Qiang Kang, University of Miami |
| Session 121 – Effects of IPOs Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Paul Spindt, Tulane University |
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| The Real Benefits of being Public: Evidence from Public and Private Firms Sandra Mortal University of Memphis Natalia Reisel Southern Methodist University |
Political Connection and Post-IPO Firm Values in Singapore James S. Ang Florida State University David K. Ding Massey University & Singapore Management University Tiong-Yang Thong Singapore Management University |
IPO Cycles, Firm Characteristics, and the Role of Underwriters Susan Christoffersen McGill University Amrita Nain McGill University Ya Tang McGill University |
| Presenter: Natalia Reisel |
Presenter: David K. Ding |
Presenter: Ya Tang |
| Discussant: Paul Spindt, Tulane |
Discussant: N. K. Chidambaran, Fordham |
Discussant: An Yan, Fordham |
| Session 122 – Share Repurchase 1 Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Sean Cleary, Queen's University |
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| Earnings Management Around Accelerated Share Repurchases Ahmet Can Kurt University of Pittsburgh |
Mandatory Disclosure and Firm Behavior: Evidence from Share Repurchases Alice Adams Bonaime University of Kentucky |
Corporate Repurchase Decisions Following Mutual Fund Sales Evan Dudley University of Florida Ani Manakyan University of Florida |
| Presenter: Ahmet Can Kurt |
Presenter: Alice Bonaime |
Presenter: Ani Manakyan |
| Discussant: Sean Cleary, Queen's University |
Discussant: Min Maung, University of Alberta |
Discussant: Amedeo DeCesari, Aston University |
| Session 123 – International Banking 2 Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Loretta Mester, Federal Reserve Bank of Philadelphia |
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| Exchange Rates and Foreign Direct Investment: Evidence for sub-Saharan Africa Adil H. Elsharif Gulf University for Science and Technology (GUST) |
Domestic and International Determinants of Foreign Direct Investment in Latin America Omar M. Al Nasser University of Houston – Victoria Gökçe Soydemir University of Texas-Pan American |
Banking Market Integration in the SADC Countries: Evidence from Interest Rate Analyses Meshach Aziakpono Rhodes University Stefanie Kleimeier Maastricht University Harald Sander University of Applied Sciences Cologne |
| Presenter: Adil H. Elsharif |
Presenter: Omar M. Al Nasser |
Presenter: Stefanie Kleimeier |
| Discussant: Esin Cakan, University of New Haven |
Discussant: Pierre Yourougou, Syracuse University |
Discussant: Scott Deacle, Temple University |
| Session 124 – Effects of Bankruptcy and Laws Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Ron Giammarino, University of British Columbia |
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| The Effect of Bankruptcy on Strategic Alliance Partners Audra Boone University of Kansas Vladimir Ivanov Securities Exchange Commission |
Impact of Change in Bankrupcty Laws on Leverage: International Evidence Padma Kadiyala Pace University Kose John New York University Ranjan D'Mello Wayne State University |
The Bankruptcy Effects on Future Small and Medium - Sized Firm Lending Ken B. Cyree University of Mississippi Philip L. Tew Arkansas State University |
| Presenter: Vladimir Ivanov |
Presenter: Padma Kadiyala |
Presenter: Philip Tew |
| Discussant: Michael Hertzel, Arizona State University |
Discussant: Hernan Ortiz-Molina, University of British Columbia |
Discussant: Kenneth Ayotte, Northwestern University |
| Session 125 – Compensation Policy and Managerial Incentives Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Zhieng (Alan) Yan, New Jersey Institute of Technology |
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| The Economic Consequences of Perk Disclosure Yaniv Grinstein Cornell University David Weinbaum Syracuse University Nir Yehuda Cornell University |
Managerial Incentive Horizons and the Quality of Firms’ Information Environments Jianxin (Daniel) Chi Arizona State University Manu Gupta Virginia Commonwealth University Shane A. Johnson Texas A&M University |
Does CEO Contract Horizon Matter for Investment? Moqi Xu INSEAD |
| Presenter: David Weinbaum |
Presenter: Jianxin (Daniel) Chi |
Presenter: Moqi Xu |
| Discussant: Fabrizio Ferri, New York University |
Discussant: Liu Wang, Providence College |
Discussant: S Abraham Ravid, Rutgers University |
| Session 126 – Board Composition 3 Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Lalitha Naveen, Temple University |
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| Workers on the Board and Shareholder Wealth: Evidence from a Natural Experiment Stefan Petry UCLA |
On the Internationalization of the Corporate Supervisory Board Lars Oxelheim Lund University Aleksandra Gregoric Copenhagen Business School Trond Randoy University of Agder Steen Thomsen Copenhagen Business School |
Good News Is Endogenous Umit G Gurun University of Texas at Dallas |
| Presenter: Stefan Petry |
Presenter: Lars Oxelheim |
Presenter: Umit G. Gurun |
| Discussant: Rose Liao, Rutgers University |
Discussant: Lalitha Naveen, Temple University |
Discussant: Lingling Wang, Tulane |
| Session 127 – Governance through Management and Ownership Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: David J Denis, Purdue University |
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| Unraveling the Corporate Black Box: How Do CEOs Create Value for Their Firms? Varouj A. Aivazian University of Toronto Tat-kei Lai University of Toronto Mohammad Rahaman Saint Mary University |
Family Controlled Firms and Informed Trading: Evidence from Short Sales Ronald Anderson American University David Reeb Temple University Wanli Zhao Worcester Polytechnic Institute |
What Determines the Allocation of Managerial Ownership within Firms? Stephen G. Dimmock Michigan State University William C. Gerken Auburn University Jennifer Marietta-Westberg Securities and Exchange Commission |
| Presenter: Tat-kei Lai |
Presenter: Wanli Zhao |
Presenter: William C. Gerken |
| Discussant: Murali Jagannathan, Binghamton University |
Discussant: Srinivasan Krishnamurthy, North Carolina State University |
Discussant: Byoung-Hyoun Hwang, Purdue University |
| Session 128 – Earnings Management Thursday, October 21, 2:30 pm - 4:00 pm |
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| Chairperson: Jose M. Plehn-Dujowich, Temple University |
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| Executive Compensation Management: Smoothing or Swinging? Xudong Fu SIU Edwardsville James A. Ligon The University of Alabama |
Bonus-Driven Repurchases Yingmei Cheng Florida State University Jarrad Harford University of Washington Tianming Zhang Florida State University |
EPS Dilution after SEOs and Earnings Management Hui Di Indiana University – Purdue University Fort Wayne Eugenie Goodwin Louisiana Tech University Dalia Marciukaityte Cleveland State University and Drexel University |
| Presenter: Xudong Fu |
Presenter: yingmei cheng |
Presenter: Dalia Marciukaityte |
| Discussant: Arun Upadhyay, University of Alaska at Anchorage |
Discussant: Qun Wu, SUNY Oneonta |
Discussant: Sehyun Sean Yoo, Belmont University |
| Session 129 – International Evidence on Mutual Funds Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Vihang Errunza, McGill University |
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| Out of Sight - Not Out of Mind: The Evidence from Taiwan Mutual Funds Robert (Chi-Wing) Fok University of Wisconsin-Parkside Yu-Jane Liu Peking University Jin-Ying Wang Ming Chuan University |
Are There Disadvantaged Clienteles in Mutual Funds? Evidence from German Mutual Fund Investors Stephan Jank University of Tuebingen |
Do Mutual Funds Trade Differently at Home and Abroad? Sandy Lai Singapore Management University Lilian Ng University of Wisconsin-Milwaukee Bohui Zhang University of New South Wales Zhe Zhang Singapore Management University |
| Presenter: Robert (Chi-Wing) Fok |
Presenter: Stephan Jank |
Presenter: Zhe Zhang |
| Discussant: Hai Ta, McGill University |
Discussant: Ana Paula Serra, University of Porto |
Discussant: Basma Majerbi, University of Victoria, Canada |
| Session 130 – Financial Contracting Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Stuart Gillan, Texas Tech |
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| Financing and Managerial Support with (Some) Optimistic Entrepreneurs Laurent Vilanova University of Lyon 2 |
Investor Objective and Contractual Design: Evidence from the PIPE Deals Na Dai SUNY at Albany Christopher W. Anderson University of Kansas |
A Special Feature of Line of Credit Contract: Borrowing Base Mark Flannery University of Florida Xiaohong (Sara) Wang University of Florida |
| Presenter: Laurent Vilanova |
Presenter: Na Dai |
Presenter: Xiaohong (Sara) Wang |
| Discussant: Matthew Clayton, Indiana University |
Discussant: Stuart Gillan, Texas Tech |
Discussant: Hayong Yun, Notre Dame |
| Session 134 – Microstructure Metrics Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Shane A. Corwin, University of Notre Dame |
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| Range-Based Proxies for Liquidity and Order Imbalance Andrei Jirnyi Northwestern University |
The Effects of Non-Trading on the Illiquidity Ratio: Simulations and Asset Pricing Tests Patricia L Chelley-Steeley Aston Business School Neophytos Lambertides Aston Business School James M Steeley Aston Business School |
A New Method to Estimate PIN (Probability of Informed Trading) Yuxing Yan Wharton Research Data Services |
| Presenter: Andrei Jirnyi |
Presenter: James M Steeley |
Presenter: Yuxing Yan |
| Discussant: Ryan Davies, Babson College |
Discussant: Ivalina Kalcheva, University of Arizona |
Discussant: Lance Young, University of Washington |
| Session 136 – Firm Leverage Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Kristine Hankins, U Kentucky |
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| Do Firms have a Target Leverage? Evidence from Credit Markets Redouane Elkamhi University of Iowa Raunaq Pungaliya University of Iowa Anand Vijh University of Iowa |
Leverage and Risk: Evidence from Project-Specific Capital Structure Soku Byoun Baylor University Sean Sehyun Yoo Belmont University Jaemin Kim San Diego State University |
Why do Firms Issues Debt and Equity? Mufaddal H. Baxamusa University of St. Thomas Sunil K. Mohanty University of St. Thomas Ramesh P. Rao Oklahoma State University |
| Presenter: Redouane Elkamhi |
Presenter: Sean Sehyun Yoo |
Presenter: Mufaddal H. Baxamusa |
| Discussant: Murali Jagannathan, SUNY Binghamton |
Discussant: Kristine Hankins, U Kentucky |
Discussant: Richard Warr, NC State University |
| Session 137 – Isssues in Corporate Risk Management Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Robert McLeod, University of Alabama |
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| The Use of Credit Default Swaps in the Insurance Industry: Evidence from US Life and Property-Casualty Insurance Companies Hung-Gay Fung University of Missouri-St. Louis Min-Ming Wen California State University, Los Angeles Gaiyan Zhang University of Missouri-St. Louis |
Implementation of Enterprise Risk Management: Evidence from the German Property-Liability Insurance Industry Muhammed Altuntas University of Cologne Thomas R. Berry-Stölzle University of Georgia Robert E. Hoyt University of Georgia |
Enterprise Risk Management: Strategic Antecedents - Risk Integration and Performance Yijia Lin University of Nebraska - Lincoln Min-Ming Wen California State University Los Angeles Jifeng Yu University of Nevada, Las Vegas |
| Presenter: Gaiyan Zhang |
Presenter: Muhammed Altuntas |
Presenter: Yijia Lin |
| Discussant: D K Malhotra, Philadelphia University |
Discussant to be announced | Discussant to be announced |
| Session 138 – ETFs and Investment Skills Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Truong Xuan Duong, National University of Singapore |
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| Divergent Investment Skills across Investor Types Before and After Earnings Announcements Henk Berkman University of Auckland Paul Koch University of Kansas Joakim Westerholm University of Sydney |
Are Vanguard’s EtFs Cannibalizing the Firm’s Index Funds? Anna Agapova Florida Atlantic University |
Do Institutional Investors Have Market Timing Skills? Evidence from ETFs Biljana Nikolic University of Missouri Andy Puckett University of Tennessee Xuemin (Sterling) Yan University of Missouri |
| Presenter: Paul Koch |
Presenter: Anna Agapova |
Presenter: Biljana Nikolic |
| Discussant: Anna Agapova, Florida Atlantic University |
Discussant: Truong Xuan Duong, National University of Singapore |
Discussant: Paul Koch, University of Kansas |
| Session 139 – Studies on Chinese Stock Markets Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: K.C. Chen, California State University, Fresno |
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| Block Trades on the Shanghai Stock Exchange Longzhen Fan Fudan University, China Bill Hu Arkansas State University Christine Jiang University of Memphis |
Information Asymmetry, Price Discovery, and the Chinese B-Share Discount Puzzle Liu Wang Old Dominion University |
The Anatomy of Short Sales and a Suggested Trading Strategy: Evidence from the Hong Kong Stock Market Crystal Xiaobei Chen Northeastern Illinois University |
| Presenter: Bill Hu |
Presenter: Liu Wang |
Presenter: Crystal Xiaobei Chen |
| Discussant: Wenbin Tang, Limestone College |
Discussant: Phyllis Keys, Morgan State University |
Discussant: Yingchou Lin, Missouri University of Science and Technology |
| Session 140 – Investor Behavior 2 Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Jeremy K Page, University of Texas at Austin |
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| Probability Weighting Functions Implied by Options Prices Valery Polkovnichenko University of Texas at Dallas Feng Zhao University of Texas at Dallas |
Decision Making and Risk Aversion in the Cash Cab Richard Bliss Babson College Mark Potter Babson College Chris Schwarz University of California - Irvine |
Purchase and Redemption Decisions of Mutual Fund Investors and the Role of the Fund Families Michael Wedow Deutsche Bundesbank Stephan Jank University of Tübingen |
| Presenter: Feng Zhao |
Presenter: Chris Schwarz |
Presenter: Michael Wedow |
| Discussant: Jeremy K Page, University of Texas at Austin |
Discussant: Gabriele M. Lepori, Copenhagen Business School |
Discussant: Russell Jame, Emory |
| Session 141 – What Should we be Teaching our Students? Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: William T Chittenden, Texas State University |
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| Economic Training Boosts Cooperation - A Contradiction? Evelyn Korn Philipps-Universitaet Marburg Stephan Meisenzahl Philipps-Universitaet Marburg |
Cross-Functional Course Design for the Accelerated Mba Program Bhanu Balasubramanian Emporia State University Tanja Steigner Emporia State University Kevin Coulson Emporia State University |
Are Finance Students Prepared to Face the Challenge? The Financial Crisis Aftermath: Is Ethics a Key to the Puzzle? Valeria Martinez Fairfield University |
| Presenter: Stephan Meisenzahl |
Presenter: Balasubramanian & Steigner |
Presenter: Valeria Martinez |
| Discussant: Margot Quijano, Texas State University |
Discussant: William T Chittenden, Texas State University |
Discussant: Kenneth Moon, Texas State University |
| Session 142 – Market Regulation Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: D Scott Lee, Texas A&M University |
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| The Efficacy of Regulation SHO in Resolving Naked Shorts Clay M. Moffett University of North Carolina Wilmington Robert Brooks University of Alabama Jin Q. Jeon Western Oregon University |
Hedge Fund Regulation and Misreported Returns Douglas Cumming York University Schulich School of Business Na Dai SUNY Albany |
The Value of Capital Market Regulation: IPOs versus Reverse Mergers Cecile Carpentier Laval University Douglas Cumming York University Jean-Marc Suret Laval University |
| Presenter: Clay M. Moffett |
Presenter: Douglas Cumming |
Presenter: Douglas Cumming |
| Discussant: Jennifer Marietta-Westberg, Securities and Exchange Commission |
Discussant: Lori Walsh, Securities and Exchange Commission |
Discussant: Laura Field, Pennsylvania State University |
| Session 143 – Time-Varying Fund Performance Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Carolyn Wang, Illinois Institute of Technology |
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| Time-Varying Performance of International Mutual Funds Harry J. Turtle Washington State University Chengping Zhang Washington State University |
Short-Term Persistence in Mutual Fund Performance: A Revisit Udomsak Wongchoti Massey University Fei Wu Massey University John Whitfield Massey University |
On Time Varying Mutual Fund Performance Xiaolu Wang University of Toronto |
| Presenter: Chengping Zhang |
Presenter: Udomsak Wongchoti |
Presenter: Xiaolu Wang |
| Discussant: Van T Nguyen, Morgan State University |
Discussant: Nancy Anderson, Mississippi College |
Discussant to be announced |
| Session 144 – Bankruptcy: Causes and Spread Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Teodora Paligorova, Bank of Canada |
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| Financial Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy Bidisha Chakrabarty Saint Louis University Gaiyan Zhang University of Missouri, St. Louis |
Bad Luck or Bad Policy: Why Do Firms Fail? Mohammad Mozahidur Rahaman |
The Value of Investment Banking Relationships: Evidence from the Collapse of Lehman Brothers Chitru Fernando University of Oklahoma Anthony May University of Oklahoma William Megginson University of Oklahoma |
| Presenter: Bidisha Chakrabarty |
Presenter: Mohammad M. Rahaman |
Presenter: Anthony May |
| Discussant: Lawrence Kryzanowski, Concordia University |
Discussant: Emmanuell Alanis, Texas A&M University |
Discussant: Teodora Paligorova, Bank of Canada |
| Session 145 – Syndicated Loans and Security Design Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Gordon Roberts, Schulich School of Business, York University |
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| Competition or Collaboration? The Reciprocity Effect in Loan Syndication Jian Cai Federal Reserve Bank of Cleveland |
Financial Intermediation and Delegated Security Design Ulrich Schuewer Goethe-University Frankfurt |
Participation by Investment Banks and Non-Bank Financial Entities in Loan Syndications Pankaj Kumar Maskara Eastern Kentucky University Donald J. Mullineaux University of Kentucky |
| Presenter: Jian Cai |
Presenter: Ulrich Schuewer |
Presenter: Pankaj Kumar Maskara |
| Discussant: Debarshi Nandy, Schulich School of Business, York University |
Discussant: Archishman Chakraborty, Schulich School of Business, York University |
Discussant: Pei Shao, University of Northern British Columbia |
| Session 146 – CDS and Derivatives Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Douglas D. Evanoff, Federal Reserve Bank of Chicago |
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| BHC Derivatives Usage, Cost of Debt and Lending Patterns Saiying Deng Southern Illinois University Carbondale Elyas Elyasiani Temple University Connie Mao Temple University |
Impact of Credit Default Spread Changes on Stock Returns Patrick Trutwein European Business School ity Darmstadt |
Systemic Risk versus Individual Firms’ Liquidity Constraints: Evidence from the Credit Default Swaps Market during the 2008 Crisis Wei-Ling Song Louisiana State University Cihan Uzmanoglu Louisiana State University |
| Presenter: Elyas Elyasiani |
Presenter: Sanjay Ramchander |
Presenter: Wei-Ling Song |
| Discussant: James T. Moser, Commodity Futures Trading Commission |
Discussant: Jose M. Liberti, DePaul University |
Discussant: Gary D. Koppenhaver, Illinois State University |
| Session 147 – International Finance Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Dobrina Georgieva, University of St Thomas |
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| Does the Growing Presence of Large Domestic Blockholders around the World Affect Bank and Banking Sector Performance? Alvaro G Taboada University of Tennessee |
What Drives Foreign Expansion of the Top 100 Multinational Banks? the Role of the Credit Reporting System Hsiangping Tsai Yuan Ze University Yuanchen Chang National Chengchi University Pei-Hsin Hsiao Yuan Ze University |
Uninvited US Investors? Economic Consequences of Involuntary Cross-listings Peter Iliev Penn State University Darius Miller Southern Methodist University Lukas Roth University of Alberta |
| Presenter: Alvaro G. Taboada |
Presenter: Yuanchen Chang |
Presenter: Peter Iliev |
| Discussant: Giacomo Nocera, Universita Bocconi |
Discussant: Haiyan Yin, Indiana University South Bend |
Discussant: Dobrina Georgieva, University of St Thomas |
| Session 148 – Portfolios and Value Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Zhipeng (Alan) Yan, New Jersey Institute of Technology |
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| Debt, Equity, and Asset Values with Chapter 11, Chapter 7, and Business Cycles: A Structural Equilibrium Approach Min Jiang University of Iowa Redouane Elkamhi University of Iowa |
How do Insurers Manage Credit Risk Exposure of Corporate Bond Portfolios? An Analysis Based on Background Risk Xuanjuan Chen Kansas Ctate University Tong Yao University of Iowa Tong Yu University of Rhode Island |
What Explains Preferred Habitat: Insights from Insurers' Treasury Bond Portfolios Xuanjuan Chen Kansas State University Zhenzhen Sun University of Rhode Island Tong Yao University of Iowa Tong Yu University of Rhode Island |
| Presenter: Min Jiang |
Presenter: Xuanjuan Chen |
Presenter: Zhenzhen Sun |
| Discussant to be announced | Discussant: Yanbo Jin, Cal State Northridge |
Discussant to be announced |
| Session 149 – Factor Models Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Yan Li, Temple University |
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| Determining the Rank of the Beta Matrix in a Factor Model with Factor-Candidate Regressors Seung C. Ahn Arizona State University and Sogang University Alex R. Horenstein Instituto Tecnológico Autónomo de México Na Wang Arizona State University |
Asset Pricing Under Two Trees: Financial Leverage and Taxes Chune Young Chung Washington State University Seung Mo Choi Washington State University |
Testing Conditional Factor Models: A Nonparametric Approach Yan Li Temple University Liyan Yang University of Toronto |
| Presenter: Alex Horenstein |
Presenter: Chune Young Chung |
Presenter: Yan Li |
| Discussant: Yan Li, Temple University |
Discussant: Yiqun Mou, Columbia University |
Discussant: Yuewu Xu, Fordham University |
| Session 150 – Share Repurchase 2 Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Alice Adams Bonaime, University of Kentucky |
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| Insider Ownership, Institutional Ownership, and the Timing of Open Market Stock Repurchases Amedeo De Cesari Aston University Susanne Espenlaub Manchester Business School Arif Khurshed Manchester Business School Michael Simkovic |
The Determinants of Share Repurchases in Europe Dimitrios Andriosopoulos Cass Business School Meziane Lasfer Cass Business School |
Share Repurchases as a Manipulation Tool: Evidence from Insider Trading John A. Doukas Old Dominion University Shourun Guo Duke Energy Corp. Weihong Song University of Cincinnati |
| Presenter: Amedeo De Cesari |
Presenter: Dimitrios Andriosopoulos |
Presenter: Weihong Song |
| Discussant: Jill Kirby, Butler University |
Discussant: Ani Manakyan, University of Florida |
Discussant: Alice Adams Bonaime, University of Kentucky |
| Session 151 – The Cross-Section of Returns: Cash, Investor Recognition, and Idiosyncratic Volatility Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Thomas Henker, University of New South Wales |
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| Skewness from High-Frequency Data Predicts the Cross-Section of Stock Returns Diego A Amaya HEC Montreal Aurelio Vasquez McGill University |
Retail Investor Recognition and the Cross Section of Stock Returns Eric C. Chang University of Hong Kong Chaoli GUO University of Hong Kong |
The Firm's Efficiency of Cash Utilization and the Cross-Section of Expected Stock Returns Satyajit Chandrashekar State Street Global Advisors Ramesh K. S. Rao University of Texas at Austin Hongfei Tang Seton Hall University |
| Presenter: Diego Amaya |
Presenter: Chaoli Guo |
Presenter: Hongfei Tang |
| Discussant: Jian Du, University of Massachusetts |
Discussant: Vivek Sharma, University of Michigan Dearborn |
Discussant: Paulo Maio, Durham Business School |
| Session 152 – Index Changes and Firm Value Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Issouf Soumaré, Laval University |
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| The Impact of Passive Investing on Corporate Valuations David Nanigian The American College Michael Finke Texas Tech University Eric Belasco Texas Tech University |
Asymmetric Responses to S&P 500 Index Additions and Deletions: Ambiguous Information and Divergence of Opinions Jin Yu St. Cloud State University Haigang Zhou Cleveland State University |
Asymmetric Price Responses to Changes in the S&P 500 List Haigang Zhou Cleveland State University |
| Presenter: David Nanigian |
Presenter: Jin Yu |
Presenter: Haigang Zhou |
| Discussant: Haigang Zhou, Cleveland State University |
Discussant: David Nanigian, The American College |
Discussant: Issouf Soumaré, Laval University |
| Session 153 – Corporate Investment Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Richard Smith, University of California Riverside |
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| Stock Prices and Corporate Investment Armen Hovakimian Baruch College Huajing Hu Baruch College |
Investment-Cash Flow Sensitivity: Evidence from Deregulation Jaideep Chowdhury Virginia Tech Raman Kumar Virginia Tech Dilip Shome Virginia Tech |
Corporate Investment Propensities Joseph P. Ogden University at Buffalo-SUNY Shanhong Wu University of Arkansas at Fort Smith |
| Presenter: Huajing Hu |
Presenter: Jaideep Chowdhury |
Presenter: Joseph P. Ogden |
| Discussant: Eric Lam, City University of Hong Kong |
Discussant: Hong V Nguyen, University of Scranton |
Discussant: Richard Smith, University of California Riverside |
| Session 154 – Shareholder Activism 1 Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Nicole Boyson, Northeastern University |
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| Intense Shareholder Activists Nicole M Boyson Northeastern University Robert Mooradian Northeastern University ont size=-1> Shareholder Activism Through Proxy Proposals: The European Perspective Peter Cziraki Stanford University Luc Renneboog Tilburg University Peter Gabor Szilagyi University of Cambridge |
Shareholder Activism in the Virginia Company of London - 1606-1624 Thomas William Hall Christopher Newport University |
|
| Presenter: Nicole Boyson |
Presenter: Peter Szilagyi |
Presenter: Thomas Hall |
| Discussant: David Cicero, University of Delaware |
Discussant: Joon Ho Hwang, Korea University |
Discussant: Jan Mahrt-Smith, University of Toronto |
| Session 155 – Directors, CEOs, and M&A Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Natalie Oh, University of New South Wales |
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| Does Director Liability Protection Matter? Iness Aguir University Of Texas at San Antonio Natasha Burns University Of Texas at San Antonio John K Wald University Of Texas at San Antonio |
The Role of Board of Directors in CEO Succession: Theory and Evidence Qianru(Cheryl) Qi Krannert School of Management, Purdue University |
Director Stock Ownership and Acquisition Activity of Firms Kathleen Farrell University of Nebraska-Lincoln Rashiqa Kamal University of Wisconsin-Whitewater |
| Presenter: Iness Aguir |
Presenter: Qianru (Cheryl) Qi |
Presenter: Rashiqa Kamal |
| Discussant: Qin Lian, Louisiana Tech University |
Discussant: Rashiqa Kamal, University of Wisconsin Whitewater |
Discussant: Steven Cahan, University of Auckland |
| Session 156 – Executive Compensation and Firm Performance Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Otgontsetseg Erhemjamts, Bentley University |
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| Performance for Pay? The Relationship between CEO Incentive Compensation and Future Stock Price Performance Michael J Cooper University of Utah Huseyin Gulen Purdue University P Raghavendra Rau University of Cambridge |
Pay for Performance? CEO Compensation and Acquirer Returns in Bank Holding Companies Kristina Minnick Bentley College Haluk Unal University of Maryland Liu Yang UCLA |
Firm Age and Performance Claudio Loderer University of Bern - Institut für Finanzmanagement Urs Waelchli University of Bern - Institut für Finanzmanagement |
| Presenter: Raghu Rau |
Presenter: Liu Yang |
Presenter: Urs Waelchli |
| Discussant: Otgontsetseg Erhemjamts, Bentley University |
Discussant: Costanza Meneghetti, West Virginia University |
Discussant: Qian Li, Midwestern State University |
| Session 157 – Governance, Performance, and Commitment Friday, October 22, 8:00 am - 9:30 am |
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| Chairperson: Patrick Lach, Eastern Illinois University |
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| Does Corporate Governance Matter for Equity Returns? Dean Diavatopoulos Villanova University Andy Fodor Ohio University |
Independent Directors and Corporate Performance: Evidence from Listed Firms in China Harjeet S Bhabra Concordia University Tiemei Li University of Windsor |
Is Cross-Listing a Commitment Mechanism? Evidence from Cross-Listings around the World Woojin Kim Korea University Business School Jaiho Chung Korea University Business School Hyejin Cho Korea University Business School |
| Presenter: Dean Diavatopoulos |
Presenter: Harjeet S. Bhabra |
Presenter: Woojin Kim |
| Discussant: Richard Taffler, Manchester Business School |
Discussant: Le Vinh Danh, Ton Duc Thang University |
Discussant: Diego Cueto, Universidad ESAN |
| Session 158 – Institutional Investors 1 Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Woodrow Johnson, US SEC |
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| A-B-C (Alpha-Beta-Churn) of Equity Picks by Institutional Investors and Robust Superiority of Hedge Funds Richard Chung The Hong Kong Polytechnic University Siu Kuen Scott Fung California State University, East Bay Jayendu Patel Harvard University |
Do Institutional Investors have an Ace Up Their Sleeves? -- Evidence from Confidential Filings of Portfolio Holdings Vikas Agarwal Georgia State University Wei Jiang Columbia University Yuehua Tang Georgia State University Baozhong Yang Georgia State University |
An Anatomy of the Information Content of Institutional Ownership Wenlan Qian National University of Singapore |
| Presenter: Siu Kuen Scott Fung |
Presenter: Yuehua Tang |
Presenter: Wenlan Qian |
| Discussant: Fan Chen, University of Mississippi |
Discussant: Woodrow Johnson, US SEC |
Discussant: Shuang Feng, University of Massachussets |
| Session 159 – Managerial Incentives Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Diane Denis, Purdue University |
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| Managerial Risk Incentives and Covenant Structure Timothy Fan University of Texas at Dallas |
Are Managers Incentivized to Split Their Stocks? Erik Devos University of Texas at El Paso William B Elliott University of Texas at El Paso Richard S Warr North Carolina State University |
Why do CEO Retirement Policies Affect Firm Value? Murali Jagannathan Binghamton University - SUNY Yee Cheng Loon Binghamton University - SUNY |
| Presenter: Timothy Fan |
Presenter: William B Elliott |
Presenter: Murali Jagannathan |
| Discussant: Stefan Petry, University of Cambridge |
Discussant: Vincent Intintoli, Southern Illinois University Carbondale |
Discussant: Seoyoung Kim, Purdue University |
| Session 163 – Microstructure 1 Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Robert A Van Ness, University of Mississippi |
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| Regulation NMS and Market Quality Kee H. Chung State University of New York (SUNY) at Buffalo Chairat Chuwonganant Kansas State University |
Dealer Competition and Financial Market Performance Chi Sheh SolBridge International School of Business Nathaniel Wilcox Chapman University |
Order Submission, Revision and Cancellation Aggressiveness during the Market Preopening Period Ike Johnson Manchester Business School Stuart Hyde Manchester Business School Mike Bowe Manchester Business School |
| Presenter: Chairat Chuwonganant |
Presenter: Chi Sheh |
Presenter: Ike Johnson |
| Discussant: Benjamin M Blau, Utah State University |
Discussant: Naomi E Boyd, West Virginia |
Discussant: Xiankui Hu, Arkansas State University |
| Session 165 – Capital Structure: Theory and Dynamics Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Dirk Hackbarth, University of Illinois |
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| In Search of Conclusive Evidence: How to Test for Adjustment to Target Capital Structure Armen Hovakimian CUNY-Baruch College Guangzhong Li CUNY-Baruch College |
Capital Structure and the Changing Role of Off-Balance-Sheet Lease Financing Laurel A. Franzen Loyola Marymount University Kimberly J. Rodgers American University Timothy T. Simin Pennsylvania State University |
A Theory of Capital Structure, Price Impact, and Long-Run Stock Returns under Heterogeneous Beliefs Thomas J. Chemmanur Boston College Mark H. Liu University of Kentucky Onur Bayar University of Texas at San Antonio |
| Presenter: Guangzhong Li |
Presenter: Kimberly J. Rodgers |
Presenter: Onur Bayar |
| Discussant: Kristine Hankins, University of Kentucky |
Discussant: Guangzhong Li, Baruch, CUNY |
Discussant: Radha Gopalan, Washington University at St Louis |
| Session 166 – Risk Dependencies Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Aparna Gupta, Rensselaer Polytechnic Institute |
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| Internationally Correlated Jumps Kuntara Pukthuanthong San Diego State University Richard Roll UCLA |
Volatility Transmission Among Developed Countries Mohammad G. Robbani Alabama A&M University Rafiqul B. Rafiq California State University-San Bernardino |
Crisis and Risk Dependencies Peter Grundke University of Osnabrück Simone Dieckmann University of Osnabrück |
| Presenter: Kuntara Pukthuanthong |
Presenter: Mohammad G. Robbani |
Presenter: Simone Dieckmann |
| Discussant: Farooq Malik, Univ. of Southern Mississippi |
Discussant: Yongyang Su, Suffolk University |
Discussant: Robert Sollis, Newcastle University, UK |
| Session 167 – Portfolio Diversification Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Scott C. Linn, R.W. Moore Chair in Finance and Economic Development, Price College of Busi |
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| Digital Portfolio Theory: Portfolio Size, versus Alpha, Beta, and Horizon Risk C. Kenneth Jones University of Maryland University College |
Global Stock Market Interdependencies and Portfolio Diversification Brian M Lucey Trinity College Dublin Cal B Muckley University College Dublin |
Inflation, Commodity Prices, and Portfolio Diversification Robert Biolsi CME Group |
| Presenter: C. Kenneth Jones |
Presenter: Cal Muckley |
Presenter: Robert Biolsi |
| Discussant: Zhongkui Wang, Finance Department at Syracuse University |
Discussant: Ashraf Al Zaman, Associate Professor of Finance, Department of Finance, Information Systems, |
Discussant: Ali Ebrahim, The University of Tennessee, Knoxville--Department of Finance |
| Session 168 – Business in China Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Shuming Bai, The University of Texas of the Permian Basin |
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| Business Groups in China Jia He Chinese University of Hong Kong Oliver Rui Chinese University of Hong Kong Xiaolei Zha Chinese University of Hong Kong |
Changes in Tax Policy and Earnings Management: Evidence from Chinese Market Rui Lu Sun Yat-sen University Bingxuan Lin University of Rhode Island T. Jeffrey Zhang University of Dayton |
Foreign Investment vs. State Ownership: Is There a Political Pressure? The Illustrative Case of Qualified Foreign Institutional Investors in China Wei Huang University of Hawaii at Manoa Tao Zhu Jinan University |
| Presenter: Oliver M. Rui |
Presenter: T. Jeffrey Zhang |
Presenter: Wei Huang |
| Discussant: Wei Huang, University of Hawaii at Manoa |
Discussant: Oliver M. Rui, Chinese University of Hong Kong |
Discussant: Shuming Bai, University of Texas of the Permian Basin |
| Session 169 – Effects of Managerial Optimism Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Susan Ji, Governors State University |
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| Managerial Overoptimism, Excess Leverage, and Post-Financing Performance Kenneth Borokhovich Cleveland State University Beth Hegab Louisiana Tech University Dalia Marciukaityte Cleveland State University and Drexel University |
Entrepreneurial Optimism, Credit Availability, and Cost of Financing: Evidence from US Small Businesses Na Dai SUNY at Albany Vladimir Ivanov U.S. Securities and Exchange Commission |
CEO Overconfidence and International Merger and Acquisition Activity Stephen P. Ferris University of Missouri Narayanan Jayaraman Georgia Institute of Technology Sanjiv Sabherwal University of Texas at Arlington |
| Presenter: Kenneth Borokhovich |
Presenter: Na Dai |
Presenter: Narayanan Jayaraman |
| Discussant: Carrie Pan, Santa Clara University |
Discussant: Shahnaz Abdullah, University of Massachusetts Boson |
Discussant: Na Dai, SUNY at Albany |
| Session 170 – Content and Pedagogy in the Classroom 1 Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Daryl Manullang, University of Rhode Island |
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| The Impact of Dyslexia on Financial Education: A New Method for Teaching Time Value of Money to Dyslexic Students Daria Joy Auciello University of Nebraska-Lincoln |
Introducing Linear Regression: an Example Using Basketball Statistics Tom Arnold University of Richmond Jonathan M Godbey Georgia State University |
The Equity Premium in 100 Textbooks Pablo Fernández López IESE Business School |
| Presenter: Daria Auciello |
Presenter: Jonathan Godbey |
Presenter: Pablo Fernandez |
| Discussant: Valeria Martinez, Fairfield University |
Discussant: Daryl Manullang, University of Rhode Island |
Discussant: Jonathan Godbey, Georgia State University, |
| Session 171 – Legal Issues in Corporate Finance Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Philip L Tew, Arkansas State University |
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| The Cross-Country Variability in Equity Issue Spread and Underpricing: Price Risk or Litigation Risk? Manu Gupta Virginia Commonwealth University Oghenovo Obrimah Virginia Commonwealth University Nanda K Rangan Virginia Commonwealth University |
Litigation Risk and Corporate Cash Holdings Matteo P. Arena Marquette University Brandon Julio London Business School |
Class Action Lawsuits and Executive Option Exercise Behavior Daniel Bradley University of South Florida Brandon Cline Clemson University Qin Lian Louisiana Tech University |
| Presenter: Manu Gupta |
Presenter: Matteo P. Arena |
Presenter: Qin Lian |
| Discussant: Gergena Kostova, RPI |
Discussant: Liu Ling, RPI |
Discussant: Philip Tew, Arkansas State University |
| Session 172 – Fund Performance 1 Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Anna Agapova, Florida Atlantic University |
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| Hedge Fund Systemic Risk Contribution, Capital Structure, and Performance Joenväärä Juha University of Oulu |
Fixed-Income Fund Performance: Impact of Sponsor Ownership and Role of Luck and Ability in Tail Membership Mohamed A. Ayadi Brock University Lawrence Kryzanowski Concordia University |
Hedge Fund Characteristics and Performance Persistence Manuel Ammann University of St.Gallen, Switzerland Otto Rudolf Huber Credit Suisse AG, Zurich, Switzerland and University of St.Gallen, Switzerland Markus Max Schmid University of St.Gallen, Switzerland |
| Presenter: Juha Joenväärä |
Presenter: Lawrence Kryzanowski |
Presenter: Otto Huber |
| Discussant: Nicole Boyson, Northeastern University |
Discussant: Jason Greene, Southern Illinois University Carbondale |
Discussant: Vikas Agarwal, Georgia State University |
| Session 173 – Investments Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Zhipeng (Alan) Yan, New Jersey Institute of Technology |
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| Does the Market Matter for More than Investment? Jason M Smith University of Kentucky |
Uninformed Momentum Traders Emre Konukoglu University of Toronto |
Persistence of Beliefs in an Investment Experiment Jeremy Ko Securities and Exchange Commission Zhijian (James) Huang University of Wisconsin-Milwaukee |
| Presenter: Jason Smith |
Presenter: Emre Konukoglu |
Presenter: Zhijian (James) Huang |
| Discussant: Samuel Bulmash, University of South Florida |
Discussant: Remco Zwinkels, Erasmus University Rotterdam |
Discussant: Zhipeng (Alan) Yan, New Jersey Institute of Technology |
| Session 174 – Bank Efficiency Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Laura Gonzalez, Fordham University |
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| Why do Foreign Banks Withdraw from Other Nations? Oskar Kowalewski Warsaw School of Economics Aneta Hryckiewicz Goethe University |
Does Competition Influence Bank Failures? Zuzana Fungacova Bank of Finland Laurent Weill Universite de Strasbourg |
Securitization, Competition and Effciency Jung-Hyun Ahn Rouen Business School Regis Breton University of Orleans |
| Presenter: Oskar Kowalewski |
Presenter: Zuzana Fungacova |
Presenter: Jung-Hyun Ahn |
| Discussant: Laura Gonzalez, Fordham University |
Discussant: Joao Santos, Fed Res Bank New York |
Discussant: Lin Guo, Suffolk University |
| Session 175 – Crisis: Individual Investors Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Julapa Jagtiani, Federal Reserve Bank of Philadelphia |
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| Household Investments in Structured Financial Products: Pulled or Pushed? Eric C. Chang University of Hong Kong Dragon Yongjun Tang University of Hong Kong Miao Zhang University of Hong Kong |
Individual Investors and the Financial Crisis Na Wang Arizona State University |
What the Market Watched: Bloomberg News Stories and Bank Returns as the Financial Crisis Unfolded Robin L. Lumsdaine American University |
| Presenter: Miao Zhang |
Presenter: Na Wang |
Presenter: Robin L. Lumsdaine |
| Discussant: Pawan Madhogarhia, Penn State University - Fayette |
Discussant: Randall Valentine, Georgia Southwestern State University |
Discussant: Gang Nathan Dong, Rutgers University |
| Session 176 – The Financial Crisis Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Brad Stevenson, Bellarmine University |
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| Market Reaction to Corporate News and the Influence of the Financial Crisis Andreas Neuhierl University of Augsburg Anna Scherbina University of California, Davis Bernd Schlusche University of California, Berkeley |
Market Discipline of Financial Institutions and the Mortgage Lending Crisis of 2007-2008 Jill L Wetmore Saginaw Valley State University Chiaku Chukwuogor Eastern Connecticut State University |
When Flight-To-Quality Becomes Flight-To-Size: An Empirical Investigation of Too-Big-To-Fail Perception by Depositors Raquel de Freitas Oliveira Central Bank of Brazil Rafael Schiozer Fundacao Getulio Vargas - FGV Lucas Ayres Barros University of Sao Paulo |
| Presenter: Anna Scherbina |
Presenter: Jill Wetmore |
Presenter: Rafael Schiozer |
| Discussant: Vanessa Holmes, Penn State University |
Discussant: Scott Miller, Pepperdine University |
Discussant: Addullah Mamun, University of Saskatchewan |
| Session 177 – Liquidity Creation and Liquidity Risk Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Paolo Fulghieri, University of North Carolina |
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| Bank Liquidity Creation and Risk Taking during Distress Allen N Berger Moore School of Business, Wharton Financial Institutions Center, Tilburg University Christa HS Bouwman Case Western Reserve University & Wharton Financial Institutions Center Thomas Kick Deutsche Bundesbank Klaus Schaeck University of Bangor |
Do Credit Rating Agencies Underestimate Liquidity Risk? Radhakrishnan Gopalan Washington University in St. Louis Fenghua Song Penn State University Vijay Yerramilli Indiana University |
Credit Unions as Liquidity Creators Elisabeta Pana Illinois Wesleyan University Tarun Mukherjee University of New Orleans |
| Presenter: Klaus Schaeck |
Presenter: Fenghua Song |
Presenter: Elisabeta Pana |
| Discussant: Tanju Yorulmazer, NYFed |
Discussant: Gunter Strobl, University of North Carolina |
Discussant: David Skeie, NYFed |
| Session 178 – Momentum and Markets Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Zhuoming Peng, University of Arkansas at Fort Smith |
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| Momentum and Downside Risk Byoung-Kyu Min The Ohio State University Tong Suk Kim KAIST |
Positive Feedback Trading Activity and Momentum Profits Thomas C. Chiang Drexel University Xiaoli Liang University of Texas at Arlington Jian Shi University of Texas at Arlington |
Price and Earnings Momentum: An Explanation Using Return Decomposition Qinghao Mao Hong Kong University of Science and Technology K.C. John Wei Hong Kong University of Science and Technology |
| Presenter: Byoung-Kyu Min |
Presenter: Jian Shi |
Presenter: Qinghao Mao |
| Discussant: Ben Marshall, Massey University |
Discussant: Keshav Gupta, Kutztown University |
Discussant: Lin Zou, Texas Woman’s University |
| Session 179 – IPO Underwriting Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Shaokang Wang, University of Buffalo |
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| Underwriter Reputation and IPO Duration Hugh Colaco Merrimack College Frank D'Souza Loyola University Maryland |
Underwriter Compensation Structure: Can it Really Bond Underwriters? Jacqueline L. Garner Drexel University Beverly B. Marshall Auburn University |
Local Underwriter Oligopolies and IPO Underpricing Xiaoding R. Liu University of Florida Jay R. Ritter University of Florida |
| Presenter: Hugh Colaco |
Presenter: Jacqueline L. Garner |
Presenter: Xiaoding Liu |
| Discussant: Worawat Margsiri, Fordham University |
Discussant: Yiming Qian, University of Iowa |
Discussant: An Yan, Fordham University |
| Session 180 – The Cross-Section of Returns: External Financing and Leverage Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Anthony Yanxiang Gu, |
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| External Financing, Access to Debt Markets, and Stock Returns F.Y. Eric C. Lam City University of Hong Kong K.C. John Wei Hong Kong University of Science and Technology |
Leveraged CAPM Jörg Seidel University of Hamburg |
Private Investment and Public Equity Returns Robert Couch Willamette University Wei Wu Willamette University |
| Presenter: F.Y. Eric C. LAM |
Presenter: Jörg Seidel |
Presenter: Robert Couch |
| Discussant: Xiaoquan Jiang, Florida Internatinal University |
Discussant: Tai David Yi, SUNY Fredonia |
Discussant: Zhiguang Wang, South Dakota State University |
| Session 181 – Earnings, Accruals, Order Backlog, and Stock Returns Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Anthony Dewayne Holder, Case Western Reserve University |
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| The Accrual Volatility Anomaly Satiprasad P. Bandyopadhyay University of Waterloo Alan Guoming Huang University of Waterloo Tony S. Wirjanto University of Waterloo |
Connecting the Dots: The Accruals Quality Premium Vs. the Value Premium Doina Cornelia Chichernea University of Toledo Diana Wei Office of the Comptroller of the Currency Anthony Dewayne Holder Case Western Reserve University |
Information in Order Backlog: Change versus Level Zhiqiang Wang School of Management, Xiamen University Li Gu Fordham University Siyi Li University Illinois, Urbana-Champaign Jianming Ye Baruch College |
| Presenter: Alan Huang |
Presenter: Doina Chichernea |
Presenter: Zhiqiang Wang |
| Discussant: Viet Nga Cao, Edinburgh University |
Discussant: Peter Mikael Nyberg, Aalto University |
Discussant: Qingqing Chang, University of Cincinnati |
| Session 182 – Corporate Cash Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Gary Emery, University of Oklahoma |
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| Corporate Payout Policy, Cash Savigs, and the Cost of Consistency: Evidence from a Structural Estimation Hamed Mahmudi University of Toronto Michael Pavlin University of Toronto |
Cash Holding and Investment Behavior Following a Change in Credit Ratings Hinh D. Khieu University of Southern Indiana Mark K. Pyles College of Charleston |
Option Value of Cash Jialin Yu Columbia University |
| Presenter: Hamed Mahmudi |
Presenter: Hinh Khieu |
Presenter: Jialin Yu |
| Discussant: Jialin Yu, Columbia University |
Discussant: Gary Emery, University of Oklahoma |
Discussant: Hamed Mahmudi, University of Toronto |
| Session 183 – International Corporate Governance 1 Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Chris J Muscarella, Penn State University |
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| Bond Performance in Mergers and Acquisitions: The Impact and Spillover of Governance and Legal Standards Luc Renneboog Tilburg University and ECGI Peter Gabor Szilagyi Judge Business School - University of Cambridge |
Does Governance Travel Around the World? Reena Aggarwal Georgetown University Isil Erel Ohio State University Miguel Ferreira Universidade Nova de Lisboa Pedro Matos University of Southern California |
Trade-off Effects between Firm-level Governance Mechanisms across Legal Regimes Zaifeng Fan University of Wisconsin Milwaukee Linda Yu University of Wisconsin Whitewater |
| Presenter: Peter Szilagyi |
Presenter: Reena Aggarwal |
Presenter: Zaifeng Fan |
| Discussant: Tatyana V Sokolyk, University of Wyoming |
Discussant: Michelle B Lowry, Penn State University |
Discussant: Chris J Muscarella, Penn State University |
| Session 184 – Director Networks Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Michael Fuerst, University of Miami |
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| Board Networks and the Cost of Corporate Debt Tuugi Chuluun Loyola University Maryland Andrew Prevost Ohio University John Puthenpurackal University of Nevada – Las Vegas |
CEO-Director Connections and Corporate Fraud N K Chidambaran Fordham University Simi Kedia Rutgers University Nagpurnanand R Prabhala University of Maryland |
Board Connections and M &A Transactions Ye Cai University of North Carolina at Chapel Hill Merih Sevilir University of North Carolina at Chapel Hill |
| Presenter: Andrew Prevost |
Presenter: NK Chidambaran |
Presenter: Ye Cai |
| Discussant: Michael Fuerst, University of Miami |
Discussant: Larry Fauver, University of Tennesee-Knoxville |
Discussant: Gennaro Bernile, University of Miami |
| Session 185 – Effects of Executive Compensation on Risk Taking Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Hongfei (Frank) Tang, Seton Hall University |
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| The 2007-2009 Financial Crisis and Executive Compensation: Alon Raviv Brandeis University Yoram Landskroner New York University |
Stocks or Options: Risk Choices and Compensation Design Bo Sun Federal Reserve Board Mark Carey Federal Reserve Board |
The Incentive Effect of Executive Stock Options on Corporate Investment Strategy: the Evidence of Strategic Alliance Yenn-Ru Chen National Cheng Kung University Ariel J.Y. Chen National Cheng Kung University |
| Presenter: Alon Raviv |
Presenter: Bo Sun |
Presenter: Yenn-Ru Chen |
| Discussant: Fred Bereskin, University of Delaware |
Discussant: Alon Raviv, Brandeis University |
Discussant: Peggy Huang, Indiana University |
| Session 186 – Shareholder Activism 2 Friday, October 22, 9:45 am - 11:15 am |
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| Chairperson: Belen Villalonga, Harvard Business School |
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| Distance Matters! Shareholder Proximity and Corporate Policies Vidhi Chhaochharia University of Miami Alok Kumar University of Texas at Austin Alexandra Niessen University of Mannheim |
Large Shareholder Diversification and Corporate Risk-Taking Mara Faccio Purdue University Maria-Teresa Marchica Manchester Business School Roberto Mura Manchester Business School |
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