2008 FMA European Conference Program

Wednesday, 4 June
1:30 (13.30) pm - 3:00 (15.00) pm

Session 01
  International Competitiveness of US Financial Markets
    Wednesday, 4 June, 1:30 pm - 3:00 pm
The panel will analyze recent well-publicized studies that conclude that the US is losing world financial market share to verify the evidence and, if so, in which markets and whether it matters for the efficient allocation of credit worldwide. The panel will also suggest potential changes in public policy that may correct any declines in US market shares that may be attributed to undue interference with market forces.

Moderator
George Kaufman, Loyola University Chicago

Panelists
Marshall Blume, Wharton School, University of Pennsylvania

Elroy Dimson, London Business School

Franklin Edwards, Columbia University

Session 02
    Investment Policy for Firms
        Wednesday, 4 June, 1:30 pm - 3:00 pm
Firm Diversification and the Value of Corporate Cash Holdings
          Zhenxu Tong, University of Exeter

Discussant: Bogdan Stacescu, University of Zurich

Evolution of Control of Cross-Listed Companies
          Wissam Abdallah, Lebanese American University
          Marc Goergen, University of Sheffield & European Corporate Management Institute

Discussant: James Ang, Florida State University

The Impact of A Stock Listing On Investment Policy
          Frederiek Schoubben, KU-Leuven
          Cynthia Van Hulle, KU-Leuven

Discussant: Christian Andres, University of Bonn

Session 03
    Incentives and Managerial Compensation
        Wednesday, 4 June, 1:30 pm - 3:00 pm
At -The-Money Stock Options, Incentives, and Shareholder Wealth
          Don M Chance, Louisiana State University
          Tung-Hsiao Yang, National Chung Hsing University

Discussant: Ebru Reis, Miami University Ohio

Tests of Two Optimal Incentive Models
          Jean M Canil, University of Adelaide
          Bruce A Rosser, University of Adelaide

Discussant: Abdullah Yavas, Penn State University

Backdating and Directors Incentives: Greed Or Reputation?
          Kristina Minnick, Bentley College
          Mengxin Zhao, Bentley College

Discussant: Stavroula Iliopoulou, Royal Holloway University of London

Session 04
    Risk and Return
        Wednesday, 4 June, 1:30 pm - 3:00 pm
The Long-Run World-Consumption Risk of International Stock Markets
          Jesper Rangvid, Copenhagen Business School

Discussant: Joseph Yagil, Haifa University

Can Political Factors Explain the Behavior of Stock Prices Beyond the Standard Present Value Models
          Tomasz Piotr Wisniewski, University of Leicester

Discussant: Nur Ata, University of Oxford

Do Fama French Factors Work in the Visegrad Countries?
          Petr Zemcik, CERGE-EI
          Magdelena Morgese Borys, CERGE-EI

Discussant: Jan Antell, Swedish School of Economics & Business Administrat

Session 05
    Growth Opportunities and Firm Value
        Wednesday, 4 June, 1:30 pm - 3:00 pm
Costs of Intangibles and Rents From Market Power In the Valuation and Investment of the Multi-Assets Firm
          Alfredo Martin-Oliver, Banco de Espana
          Vicente Salas-Fumas, Universidad de Zaragoza

Discussant: Joao Leitao, University of Beira Interior

Do Investors Recognize the Implicit Economic Benefits From the R&D Spending of the Firm? A Case of Technology Mergers and Acquisitions
          Juha-Pekka Kallunki, University of Oulu
          Elina Lampsa, University of Oulu
          Tomi Laamanen, Helsinki University of Technology

Discussant: Alfredo Martin Oliver, Banco de Espana

How Do Firms React To R&D Subsidies? Evidence From Regression Discontinuity Design
          Nicolas Serrano-Velarde, European University Institute

Discussant: Alexander Wagner, University of Zurich

Session 06
    Stock Return Predictability
        Wednesday, 4 June, 1:30 pm - 3:00 pm
Deviations From Put-Call Parity and Stock Return Predictability
          Martijn Cremers, Yale School of Mgmt
          David Weinbaum, Cornell University

Discussant: Chayawat Ornthanalai, McGill University

Predictive Regressions With Time-Varying Coefficients
          Thomas Dangl, Vienna University of Technology
          Michael Halling, University of Utah

Discussant: Laurent Bodson, University of Liege

Which Parts of the Distribution of Stock Returns Are Predictable?
          Tolga Cenesizoglu, HEC Montreal
          Allan Timmermann, University of California San Diego and CREATES

Discussant: Denitsa Stefanova, HEC Montreal

Session 07
    Information and Market Efficiency
        Wednesday, 4 June, 1:30 pm - 3:00 pm
Asset Pricing and Exchange Rate Risk: A Measurement Problem
          Johan Knif, Swedish School of Economics
          James Kolari, Texas A&M University
          Seppo Pynnonen, University of Vaasa

Discussant: Alex Kostakis, University of York

Legal Corporate Insider Trading and the Price Impact of Private Information: Evidence For Germany
          Wolfgang Aussenegg, Vienna University of Technology
          Robert Ranzi, Vienna University of Technology

Discussant: Andre Betzer, University of Bonn

The Value-Relevance of Foreign Currency Derivatives Disclosures
          Willem FC Verschoor, Radboud University Nijmegen
          Aline Muller, Radboud University Nijmegen

Discussant: Michael Naylor, Massey University

Session 08
    Dynamic Investment Strategies
        Wednesday, 4 June, 1:30 pm - 3:00 pm
Black Swans and Market Timing: How Not To Generate Alpha
          Javier Estrada, IESE Business School

Discussant: Juliana Caicedo-Llano, Universite Paris X Nanterre

Common Effects in Imbalances and Returns: Style-Based Comovement and Flight-To-Quality
          Aditya Kaul, University of Alberta
          Volkan Kayacetin, University of Alberta

Discussant Hakan Jankensgard, Lund University

Dynamic Hedge Fund Style Analysis With Errors In Variables
          Laurent Bodson, University of Liège
          Alain Coën, University of Quebec
          Georges Hübner, University of Liège

Discussant: Thomas Dangl, Vienna Unviersity of Technology

Session 09
    Issues in Derivatives
        Wednesday, 4 June, 1:30 pm - 3:00 pm
Dynamic Hedging With Futures That Are Subject To Price Limits
          Jonathan Graeme Dark, University of Melbourne

Discussant: Robert Dubil, University of Utah

Matching Non-Synchronous Observations In Derivative Markets: Choosing Windows and Efficient Estimators
          Jimmy E Hilliard, Louisiana State University
          Jitka Hilliard, Louisiana State University

Discussant: William Lin, Tamkang University

On Forecasting Daily Stock Volatility: the Role of Intraday Information and Market Conditions
          Ana Maria Fuertes, Cass Business School
          Marwan Izzeldin, Lancaster University
          Elena Kalotychou, Cass Business School

Discussant: Marcus Larson, Lund University

Session 10
    Consumer Debt Issues
        Wednesday, 4 June, 1:30 pm - 3:00 pm
US and European Household Debt and Credit Constraints: Comparative Micro Evidence From the Last 15 Years
          Jonathan Crook, University of Edinburgh
          Stefan Hochguertel, VU University Amsterdam
Discussant Gregory Elliehausen, George Washington University
Long Run Growth In Mortgage and Consumer Credit: New Perspectives
          Thomas A Durkin, George Washington University
          David A Walker, Georgetown University

Discussant Gabriele Sabato, ABN AMRO

Hybrid Interest Rate Choice in the Subprime Mortgage Market: An Analysis of Borrower Decisions
          Gregory Elliehausen, George Washington University
          Min Hwang, George Washington University
          Jeehoon Park, George Washington University

Discussant Michal Mejstrik, Charles University

Wednesday, 4 June
3:00 (15.00) - 3:30 (15.30) pm

Coffee Break

Wednesday, 4 June
3:30 (15.30) - 5:00 (17.00) pm

Session 11   Evolving Equity Markets: A Global Perspective
    Wednesday, 4 June, 3:30 pm - 5:00 pm
Financial markets today are very different than what the markets were ten or twenty years ago. Markets are realigning and overhauling globally. Examples of changing markets include, but are not limited to growing regional and intercontinental mergers, changing governance from member owned not for profit model to shareholder owned for profit business model, and replacement of trading systems from floor to electronic pathways. This session will discuss the direction, magnitude, and extent of changes taking place in financial markets across globe and the implications of these changes for inter-market competition, and for various stake holders such as retail and institutional investors, regulators, exchange owners, market makers, and finance academics, and practitioners.

Moderator
Walayet Khan, University of Evansville

Panelists
Frank Hatheway, NASDAQ

Albert Menkveld, Vrije Universiteit

Robert A Schwartz, Baruch College

Yair Orgler, Tel Aviv Stock Market

Session 12
    Mergers and Acquisitions
        Wednesday, 4 June, 3:30 pm - 5:00 pm
Top Brass Wheeling and Dealing In M&A Targets
          Jerry Coakley, University of Essex
          Stavroula Iliopoulou, Royal Holloway University of London

Discussant: Linus Siming, Stockholm School of Economics

Accepting Or Rejecting the Bid? the Target's Response To Takeover Offers Based On Its Valuation and Managerial Ownership
          Carsten Brueckner, University of Leipzig

Discussant: Ken Eades, University of Virginia

Managerial Incentives and Takeover Wealth Gains
          Ebru Reis, Miami University

Discussant: Carsten Brueckner, Universitat Leipzig

Session 13
    Management Compensation
        Wednesday, 4 June, 3:30 pm - 5:00 pm
What are the Real Concerns in the Design of CEO Compensation Contracts?
          Stephen Sapp, University of Western Ontario
          Murray Bryant, University of Western Ontario
          June Cotte, University of Western Ontario

Discussant: Ralph Walkling, Drexel University

Shareholders’ Say On Pay: Does It Create Value?
          Jay Cai, Drexel University
          Ralph A. Walkling, Drexel University

Discussant: Laura Starks, University of Texas

Is There A Social Circle Premium in CEO Compensation?
          James S. Ang, Florida State University
          Gregory Nagel, Mississippi State University
          Jun Yang, Indiana University

Discussant: Neslihan Ozkan, University of Bristol

Session 14
    Asset Pricing I
        Wednesday, 4 June, 3:30 pm - 5:00 pm
How Do Commodity Futures Respond To Macroeconomic News
          Dieter Hess, University of Cologne
          He Huang, University of Cologne
          Alexandra Niessen, University of Cologne

Discussant: Ken-ichi Tatsumi, Gakushuin University

Pricing of Currency Risk In Stock Market: Evidence From Finland and Sweden 1970-2005
          Jan Antell, Swedish School of Economics and Business Administration
          Mika Vaihekoski, Lappeenranta University of Technology

Discussant: Elena Kalotychou, Cass Business School

Asset Liquidity and Corporate Hedging
          Niclas Andren, Lund University
          Hakan Jankensgard, Lund University

Discussant: Sotiris Staikouras, Cass Business School

Session 16
    Macroeconomics and Stock Returns
        Wednesday, 4 June, 3:30 pm - 5:00 pm
Macroeconomic Risk and Secular Bull and Bear Markets of the Twentieth Century
          Mark Charles Freeman, Bradford University

Discussant: Deniz Kebabci, San Francisco State University

Regime Changes In the Relationship Between Stock Returns and the Macroeconomy
          Don Bredin, University College Dublin
          Stuart Hyde, Manchester Business School

Discussant: Mark Freeman, Bradford University

Monetary Policy and the Cross-Section of Equity Returns: Small Versus Large and Value Versus Growth
          Paulo Maio, Bilkent University
          Jose Tavares, Universidade Nova de Lisboa

Discussant: Jesper Rangvid, Copenhagen Business School

Session 17
    Clientele Effects
        Wednesday, 4 June, 3:30 pm - 5:00 pm
Taxes and foreign investors' trading behavior around ex-dividend days
        Yun-lan Tseng, National Ping-Tung Inst of Commerce
        Shing-yang Hu, National Taiwan University

Discussant: Jialin Yu, Columbia University

Top-Down Or Bottom-Up: Commonality In Disagreement and Asset Pricing
          Jialin Yu, Columbia University

Discussant: Volkan Kayecetin, University of Alberta

The Stock Market Reaction To Oil Price Changes
          Sridhar Gogineni, University of Oklahoma

Discussant: Yun-lan Tseng, National Ping Tung Inst of Commerce

Session 18
    Portfolio Management and Risk
        Wednesday, 4 June, 3:30 pm - 5:00 pm
Dynamic Downside Risk Measure and Optimal Investment Behaviors
          Xun Li, Hong Kong Polytechnic University
          Zhenyu Wu, University of Saskatchewan

Discussant: Steinar Ekern, Norwegian School of Economics & Bus Admin

Dependence Modeling of Joint Extremes Via Copulas: A Dynamic Portfolio Allocation Perspective
          Denitsa Stefanova, HEC Montreal

Discussant: Zhenyu Wu, University of Saskatchewan

The Economic Value of Predicting Correlation For Asset Allocation
          He Huang, University of Cologne
          Georg Keienburg, University of Cologne
          Duane R Stock, University of Oklahoma

Discussant: Javier Estrada, IESE Business School

Session 19
    Credit Risk
        Wednesday, 4 June, 3:30 pm - 5:00 pm
Information Sharing Arrangements in the Credit Industry: Ownership and Coverage
          Artashes Karapetyan, University of Zurich
          Bogdan Stacescu, University of Zurich

Discussant: Robert Edmister, Bowling Green State University

Are Credit Spreads Too Low Or Too High? A Hybrid Barrier Option Approach
          William T Lin, Tamkang University
          David S Sun, Taiwan Academy of Banking and Finance

Discussant: Dai Tian-Shyr, National Chiao-Tung University

Estimating Conservative Loss Given Default
          Gabriele Sabato, ABN AMRO

Discussant: Jonathan Crook, University of Edinburgh

Session 20
    Banking and Discipline
        Wednesday, 4 June, 3:30 pm - 5:00 pm
Requiem For Market Discipline and the Specter of TBTF In Japanese Banking
          Adrian Pop, University of Nantes (LEM)
          Diana Pop, University Paris 1 Panthéon-Sorbonne (IAE)

Discussant: Isabelle Distinguin, Universite de Limoges, LAPE

Market Discipline In the Banking Industry: Evidence From Spread Dispersion
          Giuliano Iannotta, Universita' Bocconi

Discussant: Rob Bliss, Wake Forest University

Divergence of Bank Risk Indicators and the Conditions For Market Discipline in Banking
          Jens Forssbaeck, Lund University and Copenhagen Business School

Discussant: Giuliano Iannotta, Bocconi University

Wednesday, 4 June
Keynote Address and Opening Reception

John J McConnell

Professor of Finance
Emanuel T Weiler Distinguished Professor of Management
Krannert School of Management
Purdue University
The neo-renaissance building of the Corn Exchange was built at the end of 19th century After the constitution of independent Czechoslovakia in 1928 and relating growth of exchange activity an extension to the building was constructed in following years The building extension represents a functionalistic formulation of the main façade neo- renaissance principles After closing of the exchange in 1948 the former Corn Exchange was in the possession of the Czechoslovak National Bank, and later it was adapted to the needs of the Czechoslovak Television in 1994, after one hundred years of its existence, the substantially devastated building was re-bought by the Czech National Bank and was recently renovated together with the reconstruction of the Czech National Bank main building The former Corn Exchange is nowadays established as a National Monument.

Sponsored by

 

Friday, 5 June
8:30 am - 10:00 am

Session 21
  Portfolio Construction and Optimization Techniques
    Thursday, 5 June, 8:30 am - 10:00 am
Moderator
Mark Kritzman, Windham Capital Management

Panelists
Javier Estrada, IESE Business School

Will Kinlaw, State Street

Session 22
    Distress
        Thursday, 5 June, 8:30 am - 10:00 am
Multidimensional Distance To Collapse Point and Sovereign Default Prediction
          Roberto Savona, University of Brescia
          Marika Vezzoli, University of Brescia

Discussant: Craig Lewis, Vanderbilt University

Financial versus Social Efficiency of Corporate Bankruptcy Law: The French Dilemma?
          Régis Blazy, Luxembourg University
          Bertrand Chopard, Universite of Nancy 2
          Agnès Fimayer, Luxembourg University
          Jean-Daniel Guigou, Luxembourg University

Discussant: Nico Dewaelheyns, Lessius University College

Resolution of Financial Distress Under Chapter 11: A Dynamic Game Approach
          Amira Annabi, HEC Montreal
          Michele Breton, HEC Montreal
          Pascal Francois, HEC Montreal

Discussant: Regis Blazy, Luxembourg University

Session 23
    Ownership Structure and Financial Decisions
        Thursday, 5 June, 8:30 am - 10:00 am
The Impact of Ownership Characteristics On Persistent High-Cash and Low-Leverage Policies: Evidence From UK Firms
          Aydin Ozkan, University of York
          Leone Leonida, Queen Mary University of London
          Alfonsina Iona, Aston Business School

Discussant: Sridhar Gogineni, University of Oklahoma

Family Ownership, Financing Constraints and Investment Decisions
          Christian Andres, University of Bonn

Discussant: Wendy Rotenberg, University of Toronto

Ownership Changes and Investment in Transition Countries
          Klaus Gugler, University of Vienna
          Evgeni Peev, University of Vienna

Discussant: Zuzana Fungacova, Bank of Finland

Session 25
    SOX
        Thursday, 5 June, 8:30 am - 10:00 am
The Effect of the Sarbanes-Oxley Act On CEO Pay For Luck
          Teodora Paligorova, Bank of Canada

Discussant: Tomas Jandik, University of Arkansas

Executive Compensation: New Vs. Old Economy and the Impact of Nasdaq Crash and Sarbanes Oxley Act
          João Paulo Vieito, Polytecnhic Institute of Viana do Castelo
          António Cerqueira, FEP- Porto University
          Elisio Brandão, FEP - Porto University
          Walayet Khan, University of Evansville

Discussant: Jianhua Zhang, University of Gothenberg

The Impact of the Sarbanes-Oxley Act On the Costs of Going Public - An Empirical Analysis
          Christoph Kaserer, TU Munich
          Alfred A, Georgia State University
          Stefan Obernberger, TU Munich

Discussant: Betty Simkins, Oklahoma State University

Session 26
    Security Analysts and Informed Trading
        Thursday, 5 June, 8:30 am - 10:00 am
Informed Trading Before Analyst Downgrades: Evidence From Short Sellers
          Stephen E. Christophe, George Mason University
          Michal G. Ferri, George Mason University
          Jim Hsieh, George Mason University

Discussant: Gordon Alexander, University of Minnesota

Dispersion In Analysts' Earnings Forecasts and Credit Rating
          Doron Avramov, University of Maryland
          Tarun Chordia, Emory University
          Gergana Jostova, George Washington University
          Alexander Philipov, George Mason University

Discussant: Tunde Kovacs, Northeastern University

Strategic Trading by Corporate Insiders
          Andre Betzer, University of Bonn
          Daniel Metzger, London School of Economics
          Erik Thiessen, University of Bonn

Discussant: Peter de Goeij, Tilburg University

Session 27
    Studies in Volatility
        Thursday, 5 June, 8:30 am - 10:00 am
How Asymmetric Is U.S. Stock Market Volatility?
          Louis H Ederington, University of Oklahoma
          Wei Guan, University of South Florida - St. Petersburg

Discussant: John Kensinger, University of North Texas

Pricing Interest Rate Derivatives Under Stochastic Volatility
          Nabil Tahani, York University
          Xiaofei Li, York University

Discussant : Ivalina Popova, Seattle University

Volatility Forecasting and Liquidity: Large Sample Evidence Using Individual Stocks
          Peter Brous, Seattle University
          Ufuk Ince, University of Washington, Bothell
          Ivilina Popova, Seattle University

Discussant: Louis Ederington, University of Oklahoma

Session 28
    Contagion
        Thursday, 5 June, 8:30 am - 10:00 am
Banking and Currency Crises In Emerging Market: the Magnified Effect of Twin Crises On Output
          Cesario Mateus, University of Greenwich Business School
          Li Shun Yeoh, University of Greenwich Business School

Discussant: Willem Verschoor, Radboud University Nijmgen

Risk Contagion Among International Stock Markets
          Hossein Asgharian, Lund University
          Marcus Nossman, Lund University

Discussant: Jorg Bley, American University of Sharjah

The Contagion Effects of Financial Crises On Stock Markets of Developed Countries
          Manuel Rocha Armada, University of Minho
          João Leitão, University of Beira Interior
          Julio Lobão, University Lusíada

Discussant: Marcus Nossman, Lund University

Session 29
    Bank Regulation I
        Thursday, 5 June, 8:30 am - 10:00 am
Banking Passivity and Regulatory Failure In Emerging Markets: Theory and Evidence from the Czech Republic
          Gerard Roland, University of California Berkeley
          Jan Hanousek, CERGE-EI

Discussant: Stanley Nollen, Georgetown University

The Use of Accounting and Stock Market Data To Predict Bank Rating Changes: The Case of South East Asia
          Amine Tarazi, Université de Limoges, LAPE
          Isabelle Distinguin, Université de Limoges, LAPE

Discussant: Tim Curry, FDIC & George Mason University

Deposit Insurance Coverage, Ownership, and Banks’ Risk-Taking in Emerging Markets
          Clas Wihlborg, Chapman University
          Apanard Angkinand, University of Illinois, Springfield

Discussant: Maria Fabiana Penas, Tilburg University

Session 30
    Behavioral Finance I
        Thursday, 5 June, 8:30 am - 10:00 am
Small Chances and Large Gains: Why Riskier Firms Grant More Employee Stock Options
          Oliver Spalt, University of Mannheim

Discussant: Valeri Zakamouline, University of Agder

Self Control and Debt: Evidence From Data On Credit Counselling
          Nur Ata Nurcan, University of Oxford
          Alena Bicakova, CERGE-EI

Discussant: Greg Elliehausen, George Washington University

 

Thursday, 5 June
10:00 am - 10:30 am

Coffee Break

Thursday, 5 June
10:30 am - 12:00 noon

Session 31
  Monetary Policy, Market Liquidity, and Financial Stability
    Thursday, 5 June, 10:30 am - 12:00 noon
Recent events in the credit markets have highlighted the role of monetary policy in determining the risk-taking of the banks and the role of liquidity for financial stability. This panel will summarize recent research on this issue and discuss their policy implications.

Moderator
Steven Ongena, CentER-Tilburg University and CEPR

Panelists
Jose Luis Peydro Alcalde, European Central Bank

Martin Summer, Oesterreichische Nationalbank

Christian Upper, Bank for International Settlements

Jan Cermak, CSOB

Session 32
    Global Markets
        Thursday, 5 June, 10:30 am - 12:00 noon
Asymmetric Linkages between High-frequency DEM/USD and GBP/USD Exchange Rates
          Kate Phylaktis, Cass Business School
          Long Chen, Cass Business School

Discussant: Stuart Hyde, Manchester Business School

Improving the Financial Setting for FDI Inflows into Czech Republic and Slovakia
          Edward M Jankovic, Fairfield University and Pace University

Discussant: Nargess Kayhani, Mount Saint Vincent University

European Stock Market Integration: Fact or Fiction?
          Jorg Bley, American University of Sharjah

Discussant: Kate Phylaktis, Cass Business School

Session 33
    Managers and Boards
        Thursday, 5 June, 10:30 am - 12:00 noon
Managerial Power and Shareholder Intervention
          Pablo Ruiz-Verdú, Universidad Carlos III de Madrid

Discussant: David Tan, University of New South Wales

The Diversity of Corporate Board Committees and Financial Performance
          David A. Carter, Oklahoma State University
          Frank D'Souza, Loyola College Maryland
          Betty Jo Simkins, Oklahoma State University
          W Gary Simpson, Oklahoma State University

Discussant: Urs Waelchli, Universitat Bern

&nsbp
Session 34
    Asset Pricing II
        Thursday, 5 June, 10:30 am - 12:00 noon
Failure of Asset Pricing Models: Transaction Cost, Irrationality, Or Missing Factors
          Joon Chae, Seoul National University
          Cheol-Won Yang, Seoul National University

Discussant: Amira Annabi, HEC Montreal

Asset Pricing With Heterogeneous Consumers: When the Data Has Yet To Meet A Theory It Likes
          Olesya Grishchenko, Penn State University
          Marco Rossi, Penn State University

Discussant: Petr Zemcik, CERGE-EI

Modeling and Forecasting of Realized Volatility Based On High-Frequency Data: Evidence From An Emerging Market
          Huimin Chung, National Chiao Tung University
          Chin-Sheng Huang, National Yunlin University of Science and Technology
          Tseng-Chan Tseng, National Yunlin University of Science and Technology

Discussant: Jonathan Dark, University of Melbourne

Session 35
    Cost of Capital and Firm Value
        Thursday, 5 June, 10:30 am - 12:00 noon
Asset Allocation under Bivariate Regime Switching FIGARCH with Maturity Effects
          Jonathan Dark, University of Melbourne
          Ron Guido, State Street Global Advisors
          Kathleen Walsh, University of New South Wales

Discussant: Petko Kalev, Monash University

Estimating the Intrinsic Value of An Enterprise With An Integrated Financial Management System
          James A Gentry, University of Illinois
          Frank K Reilly, University of Notre Dame

Discussant: John Finnerty, Fordham University

Company Valuation Risk Sharing and the Government's Cost of Capital
          Daniel Kreutzmann, University of Cologne
          Soenke Sievers, University of Cologne

Discussant: Massimiliano Barbi, Catholic University of Milan

Session 36
    Equity Pricing I
        Thursday, 5 June, 10:30 am - 12:00 noon
Cross-Industry Diversification: Integration or Bubble?
          Emilio Grisolia, Lehman Brothers
          Marco Navone, Universita Bocconi

Discussant: Xijuan (Angel) Liao, University of Edinburgh

IPO Pricing: Growth Rates Implied In Offer Prices
          Giordano Maria Cogliati, University of Bergamo
          Stefano Paleari, University of Bergamo
          Silvio Vismara, University of Bergamo

Discussant: Wolfgang Aussenegg, Vienna University of Technology

Market Reactions To Intangible Information: Underreaction, Overreaction, and Firm Characteristics
          Yen-cheng Chang, University of Washington

Discussant: Paulo Maio, Bilkent University

Session 37
    Option Pricing I
        Thursday, 5 June, 10:30 am - 12:00 noon
American Put Index Options Early Exercise Premium Estimation
          Ako Doffou, Sacred Heart University

Discussant: Bruce Benet, Central Michigan University

Option Pricing and Momentum
          Juan Carlos Rodríguez, Tilburg University and CentER

Discussant: Jitka Hilliard, Louisiana State University

The Structure of Jumps in Returns and Volatility: Evidence From Returns With Implications For Option Pricing
          Peter Christoffersen, McGill University
          Kris Jacobs, McGill University
          Chayawat Ornthanalai, McGill University

Discussant: Juan Carlos Rodriguez, Tilburg University

Session 38
    Portfolio Management Strategies
        Thursday, 5 June, 10:30 am - 12:00 noon
Simplifying and Generalizing Some Efficient Frontier and CAPM Related Results
          Steinar Ekern, NHH - Norwegian School of Economics and Business Administration

Discussant: Pierre Six, University of Paris 1 Sorbonne

The Price of Socially Responsible Investment
          Javier Gil-Bazo, Universidad Carlos III de Madrid
          André Portela, Universidad Carlos III de Madrid
          Pablo Ruiz-Verdú, Universidad Carlos III de Madrid

Discussant: Iraj Fooladi, Dalhousie University

Syndication To Overcome Transaction Costs of Cross-Border Investments? Evidence From A Worldwide Private Equity Deals' Dataset
          Tereza Tykvová, ZEW Mannheim
          Andrea Schertler, Kiel University

Discussant: Christophe Godlewski, University of Strasbourg

Session 39
    Policy Information, and Consequences
        Thursday, 5 June, 10:30 am - 12:00 noon
Can the Market Fix A Wrong Administrative Decision? Massive Delisting On the Prague Stock Exchange
          Zuzana Fungacova, Bank of Finland

Discussant: Evzen Kocenda, CERGE-EI

Do Foreigners Facilitate Information Transmission?
          Kee-Hong Bae, Queen's University
          Arzu Ozoguz, UNC-Chapel Hill
          Hongping Tan, University of Northern British Columbia

Discussant: Stephen Christophe, George Mason University

Australia's Monetary Policy and the Bank Bill Term Premium
          David Tan, University of New South Wales
          Kathleen Walsh, University of New South Wales

Discussant: Delroy Hunter, University of South Florida

Session 40
    Institutional Investors
        Thursday, 5 June, 10:30 am - 12:00 noon
Disposition Bias and Overconfidence In Institutional Trades
          Sofieke Van Osselaer, Ghent University
          Dries Heyman, Ghent University
          Jan Annaert, Antwerp University
          Michèle Vanmaele, Ghent University

Discussant: Dalia Marciukaityte, Louisiana Tech University

Do Institutional Trades Stabilize the Retail Investor Dominated Market?
          Wei Li, The Hong Kong Polytechnic University
          Steven Shuye Wang, The Hong Kong Polytechnic University

Discussant: Natasha Todorovic, Cass Business School

The Impact of Manager Changes On Fund Performance
          Andrew Clare, Cass Business School
          Svetlana Sapuric, Cass Business School
          Natasa Todorovic, Cass Business School

Discussant: Steven Shuye Wang, Hong Kong Polytechnic University

Thursday, 5 June
12:00 noon - 2:00 pm

Luncheon

Thursday, 5 June
2:00 (14.00) pm - 3:30 (15.30) pm

Session 41
  Current Issues in Corporate Governance
    Thursday, 5 June, 2:00 pm - 3:30 pm
Possible current issues include the implications of the subprime crisis and options backdating for governance.

Moderator
Charles Elson, University of Delaware

Panelists
Ralph Walkling, Drexel University

Laura Starks, University of Texas Austin

Jonathan Karpoff, University of Washington

Session 42
    Capital Structure and Investment
        Thursday, 5 June, 2:00 pm - 3:30 pm
Is the Corporate Diversification Decision a Financial Matter?
          Maurizio La Rocca, University of Calabria
          Tiziana La Rocca, University of Calabria
          Raffaele Stagliano, University of Toulouse

Discussant: Roberto Mura, Manchester Business School

Financial Flexibility and Investment Decisions:Evidence From Low- Leverage Firms
          Roberto Mura, Manchester Business School
          Maria Teresa Marchica, Manchester Business School

Discussant: Laurent Fresard, University of Neuchatel

A Test of the Substitution Between Debt and Leases Using Sale-And-Leaseback Transactions
          James Schallheim, University of Utah
          Kyle Wells, Dixie State College
          Ryan Whitby, Texas Tech University

Discussant: Philip Valta, University of Lausanne

Session 43
    International Corporate Governance
        Thursday, 5 June, 2:00 pm - 3:30 pm
Do Investors React To Corporate Governance News? An Empirical Analysis For the Spanish Market.
          Francisco José Callado Muñoz, Universitat de Girona
          Natalia Utrero González, Universitat de Autonoma Barcelona

Discussant: Cesario Mateus, University of Greenwich

The Impacts of Corporate Governance On the Performance of Privatized Firms In Vietnam
          Giang Tran, Dauphine University of Paris

Discussant: John Goodell, Baldwin-Wallace College

Multiple Blockholders and Firm Valuation: Evidence Form the Czech Republic
          Ondrej Nezdara, Swedish School of Ecnomics and Business Administration

Discussant: Francisco Callado Munoz, Universitat de Girona

Session 44
    Issues in IPOs I
        Thursday, 5 June, 2:00 pm - 3:30 pm
Why European Firms Go Public?
          Franck Bancel, ESCP-EAP
          Usha Mittoo, University of Manitoba

Discussant: Johanna Koeter-Kant, VU University Amsterdam

Idiosyncratic Risk, Short-Sale Constraints, and Other Market Frictions In IPO Stocks
          Rodney Boehme, Wichita State University
          Gonul Colak, Florida State University

Discussant: Jean-Marc Suret, Laval University

The Role of Uninformed Investors in An Optimal IPO Mechanism
          Alexey Malakhov, University of Arkansas

Discussant: Carole Gresse, University Paris Dauphine

Session 45
    Firm Value
        Thursday, 5 June, 2:00 pm - 3:30 pm
Political Connectedness and Firm Performance - Evidence From Germany
          Alexandra Niessen, University of Cologne and Centre for Financial Research
          Stefan Ruenzi, University of Cologne and Centre for Financial Research

Discussant: Maria Teresa Marchica, Manchester Business School

Shareholder Value: Principles, Declarations, and Actions
          Petra Joerg, Universität Bern
          Claudio Loderer, Universität Bern
          Lukas Roth, Penn State University
          Urs Waelchli, Universität Bern

Discussant: An Rommens, University of Antwerp

Interlocking Directorates and Business Groups: Belgian Evidence
          An Rommens, University of Antwerp
          Ludo Cuyvers, University of Antwerp
          Marc Deloof, University of Antwerp

Discussant: Don Chance, Louisiana State University

Session 46
    Factors affecting Equity Returns
        Thursday, 5 June, 2:00 pm - 3:30 pm
The Market Valuation of Bonus Issues In An Inflationary Environment
          Cahit Adaoglu, Eastern Mediterranean University
          M Ameziane Lasfer, Cass Business School

Discussant: Kathy Walsh, University of New South Wales

The Impact of Transfer Restrictions On Stock Prices
          John D. Finnerty, Fordham University

Discussant: Wenxuan Hou, Bradford University

Consideration and Release of Trading Constraint
          Wenxuan Hou, Bradford University
          Sydney Howell, Manchester Business School

Discussant: Oliver Rui, Chinese University of Hong Kong

Session 47
    Option Pricing II
        Thursday, 5 June, 2:00 pm - 3:30 pm
Integrating Multiple Commodities In A Model of Stochastic Price Dynamics
          Raphael Paschke, University of Mannheim
          Marcel Prokopczuk, University of Mannheim

Discussant: Spencer Case, Texas State University

The Impact of Options Introduction On the Price and Volatility of Underlying Securities: A Study of American Depository Receipts
          Spencer A Case, Texas State University
          Janet Payne, Texas State University

Discussant: Dries Heyman, Ghent University

Volatilities Implied By Price Changes in the S&P 500 Options and Futures Contracts
          Jitka Hilliard, Louisiana State University

Discussant: Adrian Pop, University of Nantes

Session 48
    Optimal Portfolio Management
        Thursday, 5 June, 2:00 pm - 3:30 pm
Stock Selection With Full-Scale Optimization and Differential Evolution
          Bjorn Hagstromer, Aston Business School
          Jane M. Binner, Aston Business School

Discussant: Keith Brown, University of Texas

Optimal Consumption and Portfolio Strategies When Relative Risk Aversion From Consumption Differs From Relative Risk Aversion From Wealth
          Pierre Six, University of Paris 1 Sorbonne

Discussant: Bjorn Hagstromer, Aston Business School

How Good Are the Investment Options Provided By Defined Contribution Plan Sponsors?
          Keith C. Brown, University of Texas
          W Van Harlow, Fidelity Investments

Discussant: Joachim Inkmann, Tilburg University

Session 49
    International Investing
        Thursday, 5 June, 2:00 pm - 3:30 pm
Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China
          Kai Li, University of British Columbia
          Tan Wang, University of British Columbia
          Yan-Leung Cheung, City University Hong Kong
          Ping Jiang, City University Hong Kong

Discussant: Huimin Chung, National Chiao Tung University

Patterns of International Portfolio Investment: the Role of Expropriation Risk At Home and Destination
          Woochan Kim, University of Texas at Austin
          Taeyoon Sung, Yonsei University
          Shang-Jin Wei, Graduate School of Columbia University

Discussant: Kai Li, University of British Columbia

Does Emerging Market Liberalization Help Or Hinder Local Monetary Policy?
          Bill B Francis, Rensselaer Polytechnic Institute
          Delroy M Hunter, University of South Florida
          Patrick J Kelly, University of South Florida

Discussant: Iuliana Ismailescu, University of Massachusetts Amherst

Session 50
    Behavioral Finance II
        Thursday, 5 June, 2:00 pm - 3:30 pm
Gender Differences Among Analyst Recommendations
          Peter de Goeij, Tilburg University and CentER
          Kristien Smedts, Catholic University of Leuven

Discussant: Stefan Ruenzi, University of Cologne

The Efficiency of Stock-Based Incentives: Experimental Evidence
          Steven Huddart, Penn State University
          Abdullah Yavas, Penn State University

Discussant: Juha-Pekka Kallunki, University of Oulu

Managerial Biases and Selective Hedging
          Tim Adam, National University of Singapore
          Chitru Fernando, University of Oklahoma
          Evgenia Golubeva, University of Oklahoma

Discussant: Oliver Spalt, University of Mannheim

Thursday, 5 June
3:00 (15.00) - 3:30 (15.30) pm

Coffee Break

Thursday, 5 June
4:00 (16.00) pm - 5:30 (17.30) pm

Session 51
  Behavioral Finance
    Thursday, 5 June, 4:00 pm - 5:30 pm
This session is organized to discuss the past and future of behavioural finance. Theoretical work incorporating behavioural preferences into a single cogent framework as well as supporting empirical work and work based on other methodologies including experiments surveys and interviews will be discussed. Emphasis will be on future "where is behavioural finance headed"? Has a process of moving to the middle already begun?

Moderator
Sotiris Staikouras, Cass Business School

Panelists
Hersh Shefrin, Santa Clara University

Werner DeBondt, DePaul University

Gulnur Muradoglu, Cass Business School

Session 52
    Taxes
        Thursday, 5 June, 4:00 pm - 5:30 pm
A Martingale Approach To Compute the Value of Debt Tax Shields
          Massimiliano Barbi, Catholic University of Milan

Discussant: Raphael Paschke, University of Mannheim

Revisiting MM’s Tax Correction Model: A Comparative Static Analysis of Shareholder Tax Gains
          James W. Kolari, Texas A&M University

Discussant: Soenke Sievers, Universitat zu Koln

Measuring the Tax Subsidy in Private Equity and Hedge Fund Compensation
          Karl Okamoto, Drexel University
          Thomas J Brennan, Drexel University

Discussant: James Kolari, Texas A&M University

Session 53
    Ownership
        Thursday, 5 June, 4:00 pm - 5:30 pm
On the Relevance of Ownership Structure In Determining the Maturity of Debt
          Maria Teresa Marchica, Manchester Business School

Discussant: Diego Cueto, Concordia University

The Role of Families In Acquisition Decisions: Evidence From Large European Companies
          Lorenzo Caprio, Universita' Cattolica Milano
          Ettore Croci, Universita' di Milano- Bicocca
          Alfonso Del Giudice, Universita' Cattolica Milano

Discussant: Frederiek Schoubben, KU Leuven

Equity Markets Don't Fit All Companies: An Analysis of Public-To-Private Deals in Continental Europe
          Manuela Geranio, Università Bocconi
          Giovanna Zanotti, Università Bocconi

Discussant: Edith Ginglinger, University Paris Dauphine

Session 54
    Compensation Issues around the World
        Thursday, 5 June, 4:00 pm - 5:30 pm
CEO Compensation and Firm Performance: An Empirical Investigation of UK Panel Data
          Neslihan Ozkan, University of Bristol

Discussant: Francesca Arnaboldi, Universita degli Studi di Milano

Top Management Pay In China
          Michael Firth, Lingnan University of Hong Kong
          TY Leung, City University of Hong Kong
          Oliver M. Rui, Chinese University of Hong Kong

Discussant: Joao Paulo Vieito, Polytechnic Institute of Viana do Castelo

Executive Compensation and Macroeconomic Fluctuations
          Lars Oxelheim, Lund Institute of economic research, Lund University
          Clas Wihlborg, Chapman University
          Jianhua Zhang, University of Gothenburg

Discussant: Zhenxu Tong, University of Exeter

Session 55
    Management and Value
        Thursday, 5 June, 4:00 pm - 5:30 pm
The Executive Turnover Risk Premium
          Alexander Wagner, University of Zurich
          Florian S Peters, University of Zurich

Discussant: Claudio Loderer, Universitat Bern

Financing Decisions and Discretionary Accruals: Managerial Manipulation Or Managerial Overoptimism
          Dalia Marciukaityte, Louisiana Tech University
          Samuel H. Szewczyk, Drexel University

Discussant: Stephen Sapp, University of Western Ontario

Is Management Quality Value Relevant?
          Vineet Agarwal, Cranfield School of Management
          Richard Taffler, University of Edinburgh
          Mike Brown, Nottingham Trent University

Discussant: Marco Bigelli, University of Bologna

Session 56
    International Equity Pricing
        Thursday, 5 June, 4:00 pm - 5:30 pm
Equity Premia In Emerging Markets: An Investigation of National Characteristics
          Raj Aggarwal, University of Akron
          John W Goodell, Baldwin-Wallace College

Discussant: Benton Gup, University of Alabama

The Reaction of Asset Prices To Macroeconomic Announcements In New EU Markets: Evidence From Intraday Data
          Jan Hanousek, CERGE-EI
          Evzen Kocenda, Charles University
          Ali M Kutan, SIU Edwardsville

Discussant: Magdalena Malinowska, Universitat zu Koln

Is the Long-Run Performance of Cross-Listed Firms Anomalous?
          Cecile Carpentier, Laval University
          Jean-Francois L'Her, la Caisse de depot et placement du Quebec
          Jean-Marc Suret, Laval University

Discussant: Suherman, University of Jakarta

Session 57
    Funds and Funds of Funds
        Thursday, 5 June, 4:00 pm - 5:30 pm
Mutual Fund Starts: Performance, Characteristics and the Relation With Stock Markets
          Aymen Karoui, HEC Montreal
          Iwan Meier, HEC Montreal

Discussant: Vaneesha Boney, University of Denver

Reputation and Mutual Fund Choice
          Laura T Starks, University of Texas at Austin
          Michael C Yates, Auburn University

Discussant: Pablo Ruiz-Verdu, Universidad Carlos III Madrid

Selectivity and Timing Performance of Funds of Hedge Funds: A Time-Varying Approach
          Oliver Schwindler, Bamberg University
          Marco Rummer, Oxford University

Discussant: Roberto Savona, University of Brescia

Session 58
    Risk Management
        Thursday, 5 June, 4:00 pm - 5:30 pm
Default Dependence: the Equity Default Relationship
          Stuart Turnbull, University of Houston
          Jun Yang, Bank of Canada

Discussant: Janya Golubeva, University of Oklahoma

  Risk Management With Value-At-Risk and Stress Testing: An Alternative To Conditional Value-At-Risk
          Gordon J. Alexander, University of Minnesota
          Alexandre M. Baptista, The George Wshington University
          Shu Yan, University of South Carolina

Discussant: Gabriele Sabato, ABN AMRO

Session 59
    Bank Regulation II
        Thursday, 5 June, 4:00 pm - 5:30 pm
Does Bank Monitoring Benefit Or Hurt Shareholders? Mergers For Coinsurance During Japan’s Banking Crisis In the 1990s
          Huong N Higgins, Worcester Polytechnic Institute

Discussant: Fulbert Tchana Tchana, University of Cape Town

The Welfare Cost of Banking Regulation
          Fulbert Tchana Tchana, University of Cape Town

Discussant: Jens Forssbaeck, Lund University

 
Session 60
    Firm Financing Decisions
        Thursday, 5 June, 4:00 pm - 5:30 pm
Manager Characteristics and Capital Structure: Theory and Evidence
          Sanjai Bhagat, University of Colorado, Boulder
          Brian Bolton, University of New Hampshire
          Ajay Subramanian, Georgia State University

Discussant: Aydin Ozkan, Hull University

Financial Strength and Product Market Performance: the Real Effects of Corporate Cash Holdings
          Laurent Fresard, University of Neuchatel

Discussant Brian Bolton, University of New Hampshire

Strategic Behavior, Financing, and Stock Returns
          Philip Valta, University of Lausanne

Discussant: James Gentry, University of Illinois

Thursday, 5 June
7:00 (19.00) pm

Gala Dinner (advance reservations required)

The Gala dinner will take place in the Smetana Hall of the Municipal House, Prague's most prominent Art Nouveau building. The history of the site where Prague's Municipal House now stands is both interesting and complex. The adjacent Powder Tower, a unique fragment of Prague's Old Town fortifications dating from the Gothic period, recalls the times when an important trade route arrived at this point. This was probably only one of many reasons why King Wenceslas IV decided in the late 14th century to establish his residence in this area, beside the fortification walls. The residence was given the name King's Court. From the 16th century - time of Habsburgs' reign in Bohemia - the former royal residence was unoccupied

Friday, 6 June
8:30 am - 10:00 am

Session 61
  Employee Stock Options: How Can They be Redesigned to Improve their Economic Efficiency?

    Friday, 6 June, 8:30 am - 10:00 am
The panel will explore the reasons why employee stock options have often produced undesirable incentive effects and suggest modifications that might improve the instrument’s economic efficiency. The panel will include an employee compensation consultant who will identify important differences in ESO structures between the US and Europe and explain the rationale for the main differences. It will also address the valuation problems and the social, ethical, and public policy issues that arise on both sides of the Atlantic especially with the more complex ESO structures.

Moderator
John Finnerty, Fordham University & Finnerty Economic Consulting

Panelists
John Boatright, Loyola University Chicago

Robert Kolb, Loyola University Chicago

Andy Restaino, Towers Perrin

Session 62
    Dividend Policy
        Friday, 6 June, 8:30 am - 10:00 am
Impact of Inclusion in the S&P 500 Index on a Stock's Trading Volume and Return Volatility
          Eric Lin, Sacramento State University
          John Kensinger, University of North Texas

Discussant: Blake Phillips, University of Alberta

International Differences In Dividend Policy: Catering, Legal, and Cultural Effects
          Stephen P Ferris, University of Missouri Columbia