International Markets 1

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Do Emerging Market Stocks Benefit From Index Inclusion?

Burcu Hacibedel, University of Oxford
Jos van Bommel, University of Oxford

Presenting Author: Burcu Hacibedel

Discussant: Ana Paula Serra, CEMPRE Universidad do Porto

IBEX 35: Inclusiones And Exclusiones

Jay Dahya, Baruch College
Laura Galguera-Garcia, University of Oviedo

Presenting Author: Jay Dahya

Discussant: Eva Porras-Gonzalez, Instituto de Empresa

Phoenix Rising: Economic Depression, Corporate Governance Reforms And Changes In Valuations In Finland

Timo Korkeamaki, Gonzaga University
Yrjo Koskinen, Boston University & CEPR
Tuomas Takalo, Bank of Finland

Presenting Author: Toumas Takalo

Discussant: Peter Westerholm, Sydney University

Topics in Corporate Finance

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Shareholder Diversification And Decision To Go Public

Andriy Bodnaruk, University of Maastricht
Eugene Kandel, Hebrew University
Andrei Simonov, HHS

Presenting Author: Andrei Simonov

Discussant : Gregor Gossy, Vienna University

What You Sell Is What You Lend? Explaining Trade Credit Contracts

Mike Burkart, Stockholm School of Economics
Tore Ellingsen, Stockholm School of Economics
Mariassunta Giannetti, Stockholm School of Economics

Presenting Author: Mariassunta Giannetti

Discussant Tram Vu, Monash University

Investment Timing And Endogenous Default

Stefan Hirth, Universität Karlsruhe (TH)
Marliese Uhrig-Homburg, Universität Karlsruhe (TH)

Presenting Author: Stefan Hirth

Discussant : David Hillier, Leeds University

Asset Pricing

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Forecasting Volatility In Asian And European Stock Markets With Asymmetric GARCH Models

Gianfranco Forte, Bocconi University
Matteo Manera, University of Milano Bicocca & Fondazione Eni Enrico Mattei

Presenting Author: Gianfranco Forte

Discussant: Louis Ederington, University of Oklahoma

Asset Pricing In A Monetary Economy With Heterogeneous Beliefs

Benjamin Croitoru, McGill University
Lei Lu, McGill University

Presenting Author: Lei Lu

Discussant: David Feldman, University of New South Wales

Aggregate Idiosyncratic Volatility In G7 Countries

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

Presenting Author: Robert Savickas

Discussant: Pedro Rino Vieira, Instituto Superior de Economie e Gestao

Matters of Policy

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

The Transition to Market-Based Monetary Policy: What Can China Learn from the European Experience?

Lars Oxelheim, Lund University
Jens Forssbaeck, Lund University & Copenhagen Business School

Presenting Author: Jens Forssbaeck

Discussant : Hua Cheng, Paris Dauphine University

The Fed And The Stock Market: An Identification Based On Intraday Futures Data

Stefania D'Amico, Federal Reserve System
Mira Farka, Cal State Fullerton

Presenting Author: Mira Farka

Discussant: Ferre De Graeve, University of Ghent

Uncertainty In Value-At-Risk Estimates Under Parametric And Non-Parametric Modeling

Wolfgang Aussenegg, Vienna University of Technology
Tatiana Miazhynskaia, Vienna University of Technology

Presenting Author: Wolfgang Aussenegg

Discussant : Stephen Sapp, University of Western Ontario

Issues in Banking

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

De Facto Versus De Jure Bank-Insurance Ventures In The Greek Market

Elena Kalotychou, City University
Sotiris K. Staikouras, City University

Presenting Author: Sotiris K. Staikouras

Discussant : Jens Forssbaeck, Lund University

Prompt Corrective Actions And The Valuation Of Deposit Insurance

Jin-Ping Lee, Feng Chia University
Min-Teh Yu, Providence University

Presenting Author: Jin-Ping Lee

Discussant: Sotiris Staikouras, City University

Are Bank Holding Him Company Examination Ratings Biased Cyclically?

Timothy J Curry, FDIC
Gary S. Fissel, FDIC
Gerald A, Hanweck, George Mason University & FDIC

Presenting Author: Timothy J. Curry

Discussant: Donald Fraser, Texas A&M University

Valuation

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Stock Market Response To IFRS/IAS Cash Flows

Juha-Pekka Kallunki, University of Oulu
Eija Paakki, KPMG

Presenting Author: Juha-Pekka Kallunki

Discussant : Stephen Todd, Loyola University Chicago

Capital Budgeting And Political Risk: Empirical Evidence

Martin Holmen, Uppsala University
Bengt Pramborg, Stockholm University

Presenting Author: Martin Holmen

Discussant: Juha-Pekka Kallunki, University of Oulu

Value Relevance Of Fixed Asset Liquidation Value In Determining Firm Market Value

T Maurice Lockridge, Lander University
Uma Sridharan, Lander University

Presenting Author: Uma Sridharan

Discussant to be announced

Mutual Fund Management

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Active Fund Management: The Case Of Global Asset Allocation Funds

Norris L Larrymore, Quinnipiac University
Javier Rodriguez, University of Puerto Rico

Presenting Author: Norris Larrymore

Discussant: Sandeep Singh, SUNY Brockport

Do Families Matter In Institutional Money Management Industry: The Case Of New Portfolio Openings

Janis Berzins, Indiana University

Presenting Author: Janis Berzins

Discussant: Stefan Ruenzi, University of Cologne

Team Management And Mutual Funds

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

Presenting Author: Stefan Ruenzi

Discussant: Joop Huij, Erasmus University Rotterdam

Information Asymmetry

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Excess Control, Stock Liquidity, And Asymmetric Information

Najah Attah, Saint Mary's University
Wai-Ming Fong, Chinese University of Hong Kong

Presenting Author: Najah Attig

Discussant: Omrane Guedhami, Memorial University of Newfoundland

Reputational Bonding With Restricted Global Depositary Receipts

Michael Pinegar, Brigham Young University
Ravi Ravichandran, Brigham Young University

Presenting Author: Ravi Ravichandran

Discussant: Najah Attig, St Mary's University

Issues in New Issues

Thursday, 8 June, 8:00 am - 9:30 am

 

Presentations

Better Regulation And Underwriter Reputation Have Done Nothing For IPO Underpricing Over The 20th Century: Empirical Evidence from IPOs on the London Stock Exchange

David Chambers, Oxford University
Elroy Dimson, London Business School

Presenting Author: Elroy Dimson

Discussant: Herbert Rijken, Vrije University Amsterdam

The Role Of The Underwriter In The IPO Aftermarket

Frederick Harris, Babcock School, Wake Forest University
Michael Aitken, University of New South Wales
Thomas H. McInish, University of Memphis
Kathryn Wong, University of New South Wales

Presenting Author: Frederick Harris

Discussant: Wolfgang Bessler, University of Giessen

Debt Financing, Venture Capital, And Initial Public Offerings

Christopher B. Barry, Texas Christian University
Vassil T. Mihov, Texas Christian University

Presenting Author: Vassil Mihov

Discussant: Vladimir Ivanov, University of Kansas

International Markets 2

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

The Introduction Of The CAC40 Master Unit And The CAC40 Index Spot-Futures Pricing Relationship

Laurent Deville, Paris-Dauphine University
Carole Gresse, Paris-Dauphine University
Béatricede Séverac, Paris Nanterre University

Presenting Author: Carole Gresse

Discussant: Andrea Heuson, University of Miami

The Forward Exchange Rate Puzzle : Further Evidence

Raj Aggarwal, Kent State University
Brian Lucey, University of Dublin
Sunhil Mohanty, University of St Thomas

Presenting Author: Brian M Lucey

Discussant: Nikoforos Laopodis, Fairfield University

An Examination Of Relative Volatility In The German Debt And Equity Markets

Philip J Young, University of Tennessee at Martin
Robert R Johnson, CFA Institute

Presenting Author: Philip J Young

Discussant: Mira Farka, Cal State Fullerton

Information and Restructuring

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

The Toehold Puzzle

Sandra Betton, Concordia University
B. Espen Eckbo, Dartmouth College
Karin S Thorburn, Dartmouth College

Presenting Author: Karin Thorburn

Discussant: Ravi Ravichandran, Brigham Young University

Internal Capital Market And Bank Monitoring: Evidence From Japanese Spin-Offs

Yoon K Choi, University of Central Florida
Seung H Han, University of Central Florida

Presenting Author: Yoon Choi

Discussant: Karin Thorburn, Dartmouth College

Stock Price Informativeness And Firm Performance: Evidence From Corporate Spinoffs

Youngsuk Yook, University of North Carolina at Chapel Hill

Presenting Author: Youngsuk Yook

Discussant: Yoon Choi, University of Central Florida

Asset Pricing Models

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

On The Noncompensation For Illiquidity In Equilibrium Asset Returns

Christoph Heumann, University of Mannheim

Presenting Author: Christoph Heumann

Discussant: Burcu Hacibedel, University of Oxford

Evaluating A Nonlinear Asset Pricing Model On International Data

Hossein Asgharian, Lund University
Sonnie Carlsson, Lund University

Presenting Author: Sonnie Carlsson

Discussant : Juliana Caicedo-Llano, University of Paris 10

Volatility and Dynamic Hedging

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

Dynamic Hedging Under Jump Diffusion With Transaction Costs

J S Kennedy, University of Waterloo
P A Forsyth, University of Waterloo
Kenneth Vetzal, University of Waterloo

Presenting Author: Kenneth Vetzal

Discussant: Ako Doffou, Sacred Heart University

Volatility Components: Affine Restrictions And Non-Normal Innovations

Peter Christoffersen, McGill University
Kris Jacobs, McGill University
Yintian Wang, McGill University

Presenting Author: Yintian Wang

Discussant : Aaron Gilbert, Auckland University of Technology

Dynamic Hedging Of Complex Option Positions With Transaction Costs

Valeri I Zakamouline, Bodoe Graduate School of Business

Presenting Author: Valeri Zakamouline

Discussant : Robert Savickas, George Washington University

Banking and Investing

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

Managing The Risk Of Loan Prepayments And The Optimal Structure Of Short Term Lending Rates

Duane R Stock, University of Oklahoma
Bryan E Stanhouse, University of Oklahoma

Presenting Author: Duane Stock

Discussant: Tuomas Takalo, Bank of Finland

Banks & Bubbles: How Good Are Bankers At Spotting Winners?

Christopher James, University of Florida
Laura Gonzalez, University of Florida

Presenting Author: Laura Gonzalez

Discussant: Duane Stock, University of Oklahoma

An Empirical Investigation Of The Fed Funds And Repos Markets Between Banks In The USA

Randall L. McFadden, University of Exeter

Presenting Author: Randall McFadden

Discussant : Bogie Ozdemir, Standard & Poors

Personal Finance

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

There’s No Time Like The Present: The Cost Of Delaying Retirement Saving

Alistair Byrne, University of Strathclyde
David Blake, Cass Business School
AndrewCairns Andrew Cairns, Heriot-Watt University
Kevin Dowd, Nottingham University Business School

Presenting Author: Alistair Byrne

Discussant: Uma Sridharan, Lander University

Benefits Of Contribution: Individual Asset Allocation, Diversification And Welfare In A Defined Contribution Pension System

Anders Karlsson, Stockholm University, School of Business
Lars Norden, Stockholm University, School of Business

Presenting Author: Lars Norden

Discussant: Janis Berzins, Indiana University

Adaptive Withdrawals

John J Spitzer, SUNY - Brockport
Jeffrey C Strieter, SUNY - Brockport
Sandeep Singh, SUNY - Brockport

Presenting Author: Sandeep Singh

Discussant : Markku Kaustia, Helsinki School of Economics (tentative)

Portfolio Strategies

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

Dynamic Asset Allocation With Benchmarking And Performance Constraints

Isabelle Gisele Bajeux-Besnainou, The George Washington University
Roland Portait, CNAM - ESSEC
GuillaumeTergny

Presenting Author: Isabelle Bajeux-Besnainou

Discussant: Sofieke VanOsselear, University of Ghent

A New Approach To Modeling And Estimation For Pairs Trading

Binh Do, Monash University, Australia
Robert Faff, Monash University, Australia
Kais Hamza, Monash University, Australia

Presenting Author: Binh Do

Discussant: Andrei Simonov, Stockholm School of Economics

Performance Evaluation Of Portfolio Insurance Strategies

Sofieke Van Osselaer, Ghent University
Jan Annaert, Ghent University
Bert Verstraete, Ghent University

Presenting Author: Sofieke Van Ossselaer

Discussant: Isabelle Bajeux-Besnainou, George Washington University

Compensation and Governance

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

Do Corporate Governance Mechanisms Influence CEO Compensation? An Empirical Investigaton Of UK Companies

Neslihan Ozkan, University of Bristol

Presenting Author: Neslihan Ozkan

Discussant: Marco Bigelli, University of Bologna

Do Entrenched Managers Pay Their Workers More?

Henrik Cronqvist, The Ohio State University
Helena Svaleryd, The Research Institute of Industrial Economics
Fredrik Heyman, Trade Union Institute for Economic Research
Jonas Vlachos, The Research Institute of Industrial Economics
Mattias Nilsson, Worcester Polytechnic Institute

Presenting Author: Mattias Nilsson

Discussant to be announced

CEO Stock Options And Pre-Award Plan Conditions

Bruce Rosser, University of Adelaide

Presenting Author: Bruce Rosser

Discussant: R Charles Moyer, University of Louisville

Event Cycles

Thursday, 8 June, 10:00 am - 11:30 am

 

Presentations

Corporate Event Waves

P Raghavendra Rau, Purdue University & UCLA
Aris Stouraitis, City University of Hong Kong

Presenting Author: Raghu Rau

Discussant: Elroy Dimson, London Business School

Cycles In The IPO Market

Chris Yung, University of Colorado
Gonul Colak, Wichita State University
Wei Wang, University of Colorado

Presenting Author: Chris Yung

Discussant: Wolfgang Aussenegg,

The Determinants Of Market-Wide And Industry-Specific Seasoned Equity Offers Cycles

Vladimir Ivanov Ivanov, University of Kansas
Craig M Lewis, Vanderbilt University

Presenting Author: Vladimir I. Ivanov

Discussant: Gonul Colak, gonul.colak@wichita.edu

Differential Shareholder Rights

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

The Determinants Of The Voting Premium In Italy: The Evidence From 1974 To 2003

Ettore Croci, University of Lugano
Lorenzo Caprio, Università Cattolica di Milano

Presenting Author: Ettore Croci

Discussant: Martin Holmen, Uppsala University

Private And Social Benefits In Dual Class Share Unifications: Evidence From Italy

Marco Bigelli, University of Bologna
Vikas Mehrotra, University of Alberta
P Raghavendra Rau, Purdue University/UCLA

Presenting Author: Raghu Rau

Discussant: Narayanan Jayaraman, Georgia Tech

Minority Shareholder Expropriation In US Publicly-Traded Subsidiaries

Vladimir Atanasov, College of William and Mary
Audra Boone, University of Kansas
David Haushalter, Pennsylvania State University

Presenting Author: Vladimir Atanasov

Discussant: Vassil Mihov, Texas Christian University

Financial Distress

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

Investigating The Early Signals Of Banking Sector Vulnerabilities In Central And East European Emerging Markets

David G Mayes, Bank of Finland & University of Stirling
Kadri Mannasoo, Bank of Estonia

Presenting Author: David Mayes

Discussant: Rob Bliss, Wake Forest University

Are Outlooks And Rating Reviews Capable To Bridge The Gap Between The Agencies Through-The-Cycle And Short-Term Point-In-Time Perspectives?

Edward I Altman, Stern School of Business, New York University
Herbert A Rijken, Vrije University Amsterdam

Presenting Author: Herbert Rijken

Discussant: Yu-Chiang Hu, University of Edinburgh

Developing Financial Distress Prediction Models: A Study Of US, Europe And Japan Retail Performance

Yu-Chiang Hu, University of Edinburgh
Jake Ansell, University of Edinburgh

Presenting Author: Yu-Chiang Hu

Discussant: Gabrielle Sabato, ABN-AMRO

Premium Pricing

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

Is Value Premium A Proxy For Time-Varying Investment Opportunities: Some Time Series Evidence

Hui Guo, Federal Reserve Bank of St. Louis
Robert Savickas, The George Washington University
Jian Yang, Prairie View A&M University

Presenting Author: Hui Guo

Discussant: Sonnie Carlsson, Lund University

The Worldwide Equity Premium: A Smaller Puzzle

Elroy Dimson, London Business School
Paul Marsh, London Business School
Mike Staunton, London Business School

Presenting Author: Elroy Dimson

Discussant: Eric Bentzen, Copenhagen Business School

Structural Versus Temporary Drivers Of Country And Industry Risk

Lieven Baele, Tilburg University, CentER, and Netspar
Koen Inghelbrecht, Ghent University

Presenting Author: Koen Inghelbrecht

Discussant: Elena Kalotychou, City University

Options and Futures

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

Long Memory In Commodity Futures Returns: A Wavelet Analysis

John Elder, North Dakota State University
Hyun Jin, Chung-Ang University

Presenting Author: John Elder

Discussant: Fotios Harmantzis, FX Concepts & Stevens Institute of Technology

Volatility Forecasts For Option Valuations

Louis H Ederington, University of Oklahoma
Wei Guan, University of South Florida - St Petersburg

Presenting Author: Louis Ederington

Discussant: Binh Do, Monash University

Does An Index Futures Split Enhance Trading Activity And Hedging Efficiency Of The Futures Contract?

Lars Norden, Stockholm University

Presenting Author: Lars Norden

Discussant : Yintian Wang, McGill University

Stock Market Effects

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

The Fed Model: The Bad, The Worse, And The Ugly

Javier Estrada, IESE Business School

Presenting Author: Javier Estrada

Discussant: John Elder, North Dakota State University

The Evolving Impact Of Stock Market Shocks And Mortgage Activity On Broad Money Demand

John V Duca, Federal Reserve Bank of Dallas
Richard G Anderson, Federal Reserve Bank of St. Louis

Presenting Author: John V. Duca

Discussant : Hakan Jankensgard, Lund University

Dynamic Interactions Between Private Investment And The Stock Market

Nikiforos T Laopodis, Fairfield University

Presenting Author: Nikiforos Laopodis

Discussant " J Kenton Zumwalt, Colorado State University

Irrationality?

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

Do Security Analysts Speak In Two Tongues?

Devin M Shanthikumar, Harvard Business School

Presenting Author: Devin Shanthikumar

Discussant: Sris Chatterjee, Fordham University

Equilibrium Asset Prices And Welfare Analysis With Irrational Explanation Of The Information

Lei Lu, McGill University

Presenting Author: Lei Lu

Discussant: Christoph Heumann, University of Mannheim

Are Investors Home Biased? - Evidence From Germany

Andreas Oehler, Bamberg University
Marco Rummer, University of Oxford
Thomas Walker, Concordia University, Montreal
Stefan Wendt, Bamberg University

Presenting Author: Stefan Wendt

Discussant: Alexandra Niessen, University of Cologne

Performance Evaluation

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

Mutual Fund Daily Conditional Performance : Selectivity And Timing Measurements

Frank Coggins, Sherbrooke University
Marie-Claude Beaulieu, Laval University
Michel Gendron, Laval University

Presenting Author: Frank Coggins

Discussant: Gregory Noronha, University of Washington Tacoma

Index Changes And Losses To Investors In S&P 500 And Russell 2000 Index Funds

Honghui Chen, University of Central Florida
Gregory Noronha, University of Washington Tacoma
Vijay Singal, Virginia Tech

Presenting Author: Gregory Noronha

Discussant: Jay Dahya, Baruch College

The Performance Of Investment Grade Corporate Bond Funds: Evidence From The European Market

Leif Holger Dietze, Catholic University of Eichstaett-Ingolstadt
Oliver Entrop, Catholic University of Eichstaett-Ingolstadt
Marco Wilkens, Catholic University of Eichstaett-Ingolstadt and University of New South Wales

Presenting Author: Oliver Entrop

Discussant: Frank K Reilly, University of Notre Dame

Compensation Issues

Thursday, 8 June, 13:30 pm - 15:00 pm

 

Presentations

Effect Of Managerial Equity Holdings And Compensation On Capital Structure: A Pooled Cross-Sectional Analysis

Richard A. Lord, Montclair State University

Presenting Author: Richard A. Lord

Discussant: Philip Young, University of Tennessee Martin

CEO External Network Ties And CEO Compensation

James J Cordeiro, SUNY Brockport

Presenting Author: James Cordeiro

Discussant: Youngsuk Yook, UNC Chapel Hill

How Stockholders View Option Repricing: Evidence From '6 And 1' Option Exchanges

Fangyi Jin, University of Konstanz

Presenting Author: Atul Gupta

Discussant: Atul Gupta, Bentley College

Desperately Seeking Performance

Thursday, 9 June, 1:30 - 3:00

 

Presentations

Employee Layoffs, Shareholder Wealth, and Firm Performance

David Hiller, University of Leeds
Andrew Marshall, University of Aberdeen
Patrick McColgan, University of Aberdeen
Samwel Werema, University of Strathclyde

Presenting Author: David Hillier

Discussant : Neslihan Ozkan, University of Bristol

The Performance of Yankee Issuers' Original IPOs

Ting Yang, Auckland University of Technology
Sie Ting Lau, Nanyang Tech University

Presenting Author: Ting Yang

Discussant : Peng Cheng, University of Surrey

Credit Risk and Macroeconomic Uncertainty

Lars Oxelheim, Lund University
Clas Wihlborg, Copenhagen Business School

Presenting Author: Lars Oxelheim

Discussant: Jeannette Switzer, Loyola University Chicago

Dividends

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Separating The Stock Market's Reaction To Simultaneous Dividend And Earnings Announcements

Carina Sponholtz, University of Aarhus

Presenting Author: Carina Sponholtz

Discussant: Howard Chan, University of Melbourne

Long-Term Stock Performance Following Extraordinary And Special Cash Dividends

De-Wai Chou, Yuan Ze University
Yi Liu, Capital University
Zaher Zantout, Rider University

Presenting Author: Yi Liu

Discussant: Xin Chen, University of Minnesota

Dividend Clientele: Tax Or The Prudent Man Rule?

Xin Chen, University of Minnesota

Presenting Author: Xin Chen

Discussant : David Ikenberry, University of Illinois

Analyst Effects

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

The Reaction Of The Italian Stock Market To Changes Of Recommendations

Enrico Maria Cervellati, University of Bologna
Antonio Carlo Francesco Della Bina, University of Bologna
Stefano Giulianelli, Passepartout S.A.

Presenting Author: Antonio Carlo Franceco Della Bina

Discussant: Pyung Yoon, Chungnam National University

Forecast Bias And Analyst Independence

Steven K Todd, Loyola University Chicago
Phillip J McKnight, University of St. Andrews

Presenting Author: Steven Todd

Discussant: Enrico Maria Cervellati, Universita di Bologna

Systematic Errors In Analysts’ Forecasts: Evidence From Analysts’ Use Of Inflation Information

Sudipta Basu, Emory University
Stanimir Markov, Emory University
Lakshmanan Shivakumar, London Business School

Presenting Author: Lakshmanan Shivakumar

Discussant: Devin Shanthikumar, Harvard Business School

Factors Affecting Returns

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Do Yields On Government Sponsored Enterprise (GSE) Issues Include Risk Premia? A Time Series Approach

Timothy R Burch, University of Miami
Andrea Heuson, University of Miami

Presenting Author: Andrea Heuson

Discussant: Lieven De Moor, KU Leuven

The External Finance Premium And The Macroeconomy: US Post-WWII Evidence

Ferre De Graeve, Ghent University

Presenting Author: Ferre De Graeve

Discussant: John Duca, Federal Reserve Bank Dallas

Country And Sector Effects In International Stock Returns Revisted

Lieven De Moor, KU Leuven
Piet Sercu, KU Leuven

Presenting Author: Lieven De Moor

Discussant: Koen Inghelbrecht, University of Ghent

Bond Pricing

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Contagion: Evidence From The Bond Market

George Theocharides, University of Arizona

Presenting Author: George Theocharides

Discussant: Iraj Fooladi, Dalhousie University

Do The Recovery Rate And The Accounting Regime Matter For Pricing Corporate Bonds? Evidence From Models With Incomplete Accounting Information

Dirk Herkommer, Goethe University

Presenting Author: Dirk Herkommer

Discussant: Kenneth R Vetzal, University of Waterloo

Models Of Time Varying Expected Price Change And Variance For US Treasury Bonds

Duane Stock Robert Stock, University of Oklahoma
S. Lakshmivarahan, University of Oklahoma
Naren Pappu,

Presenting Author: Duane Stock

Discussant: Xiaoquan Jiang, University of Northern Iowa

Real Options: Models and Theory

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Evaluating Uncertain Income Streams Under A Regime-Switching Process

George Y Wang, National Kaohsiung University of Applied Science, Taiwan

Presenting Author: George Y. Wang

Discussant to be announced

Hedging, Real Options, And The Asymmetric Exposure Of US Mncs

David A Carter, Oklahoma State University
Christos Pantzalis, University of South Florida
Betty J Simkins, Oklahoma State University

Presenting Author: Betty Simkins

Discussant: Aline Muller, Radboud University Nijmegen

Invesment And Competition

Evrim Akdogu, Southern Methodist University
Peter MacKay, Hong Kong University of Science and Technology

Presenting Author: Peter MacKay

Discussant: Nicos Koussis, University of Cyprus Nicosia

Foreign Markets

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Equity Market Comovement And Contagion: A Sectoral Perspective

Kate Phylaktis, Cass Business School
Lichuan Xia, Cass Business School

Presenting Author: Kate Phylaktis

Discussant: Ian Cooper, London Business School

Excess Comovement In International Equity Markets: Evidence From Cross-Border Mergers

Richard A Brealey, London Business School
Ian A Cooper, London Business School
Evi Kaplanis

Presenting Author: Ian Cooper

Discussant: Kenneth Ahern, UCLA

Do Foreign Investors Feel Threatened By Reduced Profitability?

Tom Berglund, Swedish School of Economics and Business Adm.
Joakim Westerholm, University of Sydney

Presenting Author: Tom Berglund

Discussant : Petya Platikanova, University Pompeu Fabra

Blasts from the Past

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Two Currencies, One Model? Evidence From The Wall Street Journal Forecast Poll

Georg Stadtmann, WHU - Otto Beisheim School of Management
Michael Frenkel, WHU - Otto Beisheim School of Management
Jan Rülke, WHU - Otto Beisheim School of Management

Presenting Author: Georg Stadtmann

Discussant : Sunil Mohanty, University of St Thomas

Doctoral Programs In Finance: Academic Contents, Placement And Research Productivity

Jorge Brusa, Texas A&M International University
Michael Carter, University of Arkansas
George Heilman, Winston Salem State University

Presenting Author: Jorge Brusa

Discussant: Thomas Moosbrucker, University of Cologne

The Historical Analysis Of Credit Risk Spreads: The Shifting Sands Since 1919

Frank K Reilly, University of Notre Dame
David J Wright, University of Wisconsin Parkside
James A Gentry, University of Illinois

Presenting Author: Frank Reilly

Discussant: Benton Gup, University of Alabama Tuscaloosa

Hedge Fund Performance

Friday, 9 June, 8:00 am - 9:30 am

 

Presentations

Does The Choice Of Performance Measure Influence The Evaluation Of Hedge Funds?

Martin Eling, University of St. Gallen
Frank Schuhmacher, University of Leipzig

Presenting Author: Martin Eling

Discussant: Olivier Entrop, Catholic University of Eichstaett-Ingolstadt

Minimizing The Impact Of Biases In Hedge Fund Data

Nusret Cakici, Columbia University
Sris Chatterjee, Fordham University

Presenting Author: Sris Chatterjee

Discussant: John Merrick, College of William & Mary

Have Hedge Funds Added Value During The Last 24 Months? A Comparison Of Italian And European Funds Of Hedge Funds

Ruggero Bertelli, University of Siena

Presenting Author: Ruggero Bertelli

Discussant: Martin Eling, University of St Gallen

Risk Management

Friday, 9 June 2006, 10:00 am – 11:30 am, Room 351

Moderator: Clas Wihlborg, Professor of Finance, Copenhagen Business School

Panelists

Abol Jalilvand, Dean, Loyola University
Enterprise Risk Management: Conceptual and Applied Perspectives

Betty Simkins, Associate Professor, Oklahoma State University

Natacha Valla, Banque-France

Michael Bernhardtz, Deloitte and Touche
ERM: Objectives and Challenges

Agency Costs and Monitoring

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Ownership Concentration In Privatized Firms: The Role Of Disclosure Standards, Auditor Choice, And Auditing Infrastructure

Omrane Guedhami, Memorial University of Newfoundland
Jeffrey Pittman, Memorial University of Newfoundland

Presenting Author: Omrane Guedhami

Discussant: Lakshmanan Shivakumar, London Business School

Agency Costs, Executive Compensation And External Monitoring: A Stochastic Frontier Approach

Craig A Depken, II, University of Texas at Arlington
Giao X Nguyen, University of Texas at Arlington
Salil K Sarkar, University of Texas at Arlington

Presenting Author: Salil K. Sarkar

Discussant: Richard Lord, Montclair State University

Dominant Shareholders And Allied Directors: A Simple Model And Evidence From 22 Countries

Jay Dahya, Baruch College
Orlin Dimitriov, York University
John McConnell, Purdue University

Presenting Author: Jay Dahya

Discussant: Mariassunta Gianneti, HHS

Share Repurchases

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Share Repurchases As A Tool To Mislead Investors: Evidence From Earnings Quality And Stock Performance

Konan Chan, National Taiwan University
David Ikenberry, University of Illinois
Inmoo Lee, National University of Singapore
Yanzhi Wang, National University of Singapore

Presenting Author: Dave Ikenberry

Discussant: Yi Liu, Capital University

Share Repurchases And Firm Behavior

Adri De Ridder, Royal Institute of Technology

Presenting Author: Adri De Ridder

Discussant: Jorge Brusa, Texas A&M International University

The Signaling Mechanism Of Share Repurchase Programs

Jin Wang, Queen's University
Lewis D Johnson, Queen's University

Presenting Author: Jin Wang

Discussant: James Cordeiro, SUNY Brockport

Issues in Asset Pricing

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Systematic Variations In January

Eric Bentzen, Copenhagen Business School
Björn Hansson, Lund University

Presenting Author: Eric Bentzen

Discussant: Richard Sweeney, Georgetown University

The CAPM Relation for Inefficient Portfolios

David Feldman, University of New South Wales
George Diacogiannis, University of Piraeus

Presenting Author: David Feldman

Discussant : Jose Fernandes, Universidad Carlos III de Madrid

Size, Book-To-Market, Volatility And Stock Returns

Walid Saleh, The Hashemite University

Presenting Author: Dr. Walid Saleh

Discussant: Seppo Pynnonen, University of Vaasa

More Microstructure

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Volatility Components: Evidence Of The Behaviour Of The Portuguese Stock Market

Sónia R Sousa, Universidade do Porto
Ana Paula Serra, CEMPRE- Universidade do Porto

Presenting Author: Ana Paula Serra

Discussant: Jonathan Dark, Monash University

The Role Of Time In Price Discovery: Ultra-High Frequency Trading In A Limit Order Book Mar

Bernard Ben Sita, Swedish School of Economics
P Joakim Westerholm, University of Sydney

Presenting Author: P. Joakim Westerholm

Discussant: Frederick Harris, Wake Forest University

Trading Default Swaps Via Interdealer Brokers: Issues Towards An Electronic Platform

Yalin Gündüz, University of Karlsruhe
Torsten Lüdecke, University of Karlsruhe
Marliese Uhrig-Homburg, University of Karlsruhe

Presenting Author: Yalin Gündüz

Discussant : Carole Gresse, Paris Dauphine University

Credit Risk

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Importance Sampling for Integrated Market and Credit Portfolio Models

Peter Grundke, University of Cologne

Presenting Author: Peter Grundke

Discussant: George Theocharides, University of Arizona

Modeling Credit Risk For SMEs: Evidence From The US Market

Edward Altman, New York University
Gabriele Sabato, ABN-AMRO Bank

Presenting Author: Gabriele Sabato

Discussant: Kasper Roszbach, Riksbank

Is Firm Interdependence Within Industries Important For Portfolio Credit Risk?

Kenneth Carling, IFAU
Lars Ronnegard, Uppsala University
Kasper Roszbach, Sveriges Riksbank (Bank of Sweden)

Presenting Author: Kasper Roszbach

Discussant: Dirk Herkommer, Goethe University Frankfurt

Risk Management 1

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Risk Management And Corporate Governance: The Importance Of Independence And Financial Knowledge For The Board And The Audit Committee

Georges Dionne, HEC Montreal
Thouraya Triki, IESEG

Presenting Author: Thouraya Triki

Discussant: Andreas Oehler, Bamberg University

Operational Risk And Reference Data: Exploring Costs, Capital Requirements And Risk Mitigation

Allan D Grody, New York University & Financial InterGroup
Fotios C Harmantzis, FX Concepts & Stevens Institute of Technology
Gregory J Kaple, Integrated Management Services Inc.

Presenting Author: Fotios Harmantzis

Discussant : George Wang, National Kaohsiung University of Applied Science

Risk Management And Shareholder Returns: Evidence From The Use Of Reinsurance

Nicos A Scordis, St John's University
James Barrese, St John's University

Presenting Author: Nicos A Scordis

Discussant: Peter MacKay, Hong Kong University of Science & Technology

More Issues in European Banking

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Product Diversification In The European Banking Industry: Risk And Loan Pricing

Amine Tarazi, LAPE, University of Limoges
Philippe Rous, LAPE, University of Limoges
Emmanuelle Nys, University of Limoges
Laetitia Lepetit, LAPE, University of Limoges

Presenting Author: Pr Amine Tarazi

Discussant: Olivier deJonghe, University of Ghent

Does The Stock Market Value Bank Diversification?

Rudi Vander Vennet, Ghent University
Lieven Baele, Tilburg University
Olivier De Jonghe, Ghent University

Presenting Author: Olivier De Jonghe

Discussant: Franco Fiordelisi, University of Rome III

Market Structure And Relationship Lending: Effects On The Likelihood Of Credit Tightening In The Italian Banking Industry

Virginia Tirri, Banca Intesa
Fabrizio Guido Guelpa, Banca Intesa

Presenting Author: Virginia Tirri

Discussant: Ruggero Bertelli, University of Siena

Plats du Jour

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Ownership Society? Evidence On Investors As Voters

Markku Kaustia, Helsinki School of Economics
Sami Torstila, Helsinki School of Economics

Presenting Author: Sami Torstila

Discussant : Katrin Gottschalk, European University Viadrina

Initiating Analyst Coverage, Analyst Reputation And Management Earnings Forecasts In A Continuous Disclosure Environment

Rob Brown, University of Melbourne
Howard Wei-Hong Chan, University of Melbourne
Yew Kee Ho, National University of Singapore

Presenting Author: Howard Chan

Discussant: Antonio Della Bina, University of Bologna

The Performance Of Venture-Backed IPOs In Germany: Exit Strategies, Lock-Up Periods, And Bank Ownership

Wolfgang Bessler, University of Giessen
Andreas Kurth, University of Giessen

Presenting Author: Wolfgang, Bessler

Discussant: Paula Hill, Leeds University

Banking

Friday, 9 June, 10:00 am - 11:30 am

 

Presentations

Underground Banking And Immigration

Benton Gup, The University of Alabama Tuscaloosa

Presenting Author: Benton Gup

Discussant: Narjess Kayhani, Mount St Vincent University

Bank Moral Hazard And The Disciplining Factors Of Risk Taking: Evidence from Asian Banks during 1998-2003

Agusman Agusman, Australian National University
Gary S Monroe, Australian National University
Dominic Gasbarro, Murdoch University
J Kenton Zumwalt, University of Western Australia and Colorado State University

Presenting Author: J Kenton Zumwalt

Discussant Tim Curry, FDIC

Assessing The Effects Of Collaterals And Guarantees On Loan Pricing Under The IRB Approach: A Comparative-Static Analysis

Riccardo De Lisa, University of Cagliari - Italy
Massimo Marchesi, European Commission
Francesco Vallascas, University of Cagliari - Italy
Stefano Zedda, University of Cagliari - Italy

Presenting Author: Riccardo De Lisa

Discussant: David Mayes, Bank of Finland

Topics in Corporate Finance 2

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Diversification, Refocusing, And Firm Value

Gonul Colak, Wichita State University

Presenting Author: Gonul Colak

Discussant: Mattias Nilsson, Worchester Polytechnic Institute

The Market For Non-Executive Directors

Rajesh Chakrabarti, Georgia Tech
Richard Fu, Georgia Tech
Narayanan Jayaraman, Georgia Tech
Rasha Ashraf, Georgia Tech

Presenting Author: Narayanan Jayaraman

Discussant: Thouraya Triki, IESEG School of Management

Shareholder Valuation Of Hedging

Les Coleman, University of Melbourne

Presenting Author: Dr Les Coleman

Discussant: Nicos Scordis, St John's University

Dividend Policy

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

The Change In The Information Content Of Dividend Announcements: Abnormal Returns And Operating Performance

Laura T Starks, University of Texas at Austin
Pyung S Yoon, Chungnam National University

Presenting Author: Pyung S. Yoon

Discussant: Jin Wang, Queen's University

Analyst Coverage And Dividend Policy

Kai Li, University of British Columbia
Xinlei Zhao, Kent State University

Presenting Author: Kai Li

Discussant: Carina Sponholz, University of Aarhus

The Impact Of Controlling Shareholders’ Marginal Tax Rates On The Dividend Decision

Martin Holmen, Uppsala University
John Knopf, University of Connecticut
Stefan Peterson, Storebrand Investments

Presenting Author: Martin Holmén

Discussant: Kai Le, University of British Columbia

Many Happy Returns

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Dimension And Book-To-Market Ratio Again - The English Case

Pedro Rino Vieira, Instituto Superior de Economie e Gestao
José Azevedo Pereira, Universidade Técnica de Lisboa - Instituto Superior de Economia e Gestão

Presenting Author: Pedro Rino Vieira

Discussant: Salil Sarkar, University of Texas Arlington

Hot Hands In Bond Funds Or Persistence In Bond Fund Performance

Joop Huij, Erasmus University Rotterdam
Jeroen Derwall, Erasmus University Rotterdam

Presenting Author: Joop Huij

Discussant: Frank Coggins, Sherbrooke University

Abnormal Returns In The Vicinity Of Insider Transactions: Unbiased Estimates For Germany

Marco Klinge, Roland Berger Strategy Consultants
Udo Seifert, Humboldt Universitat zu Berlin
Richard Stehle, Humboldt Universitat zu Berlin

Presenting Author: Udo Seifert

Discussant : Amzaleg Yaron, Ben-Gurion University

Insider Trading

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Does Cross-Listing Mitigate Insider Trading?

Adriana Korczak, Cass Business School
Meziane Ameziane Lasfer, Cass Business School

Presenting Author: Adriana Korczak

Discussant: Yalin Gunduz, University of Karlsruhe

Insider Trading, Regulation, And The Components Of Bid-Ask Spreads

Bart Frijns, Auckland University of Technology
Aaron Gilbert, Auckland University of Technology
Alireza Tourani-Rad, Auckland University of Technology

Presenting Author: Alireza Tourani-Rad

Discussant: Norris Larrymore, Quinnipiac University

Do What Insiders Do: Abnormal Performances After The Release Of Insiders’ Relevant Transactions

Emanuele Bajo, University of Bologna
Barbara Petracci, University of Bologna

Presenting Author: Emanuele Bajo

Discussant: Adriana Korczak, City University

International Corprorate Finance

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Are Firms Cross-Listed In Non-US Markets Worth More?

Qian Sun, Xiamen University
Wilson H.S. Tong, Hong Kong Polytechnic University
Yujun Wu, Fudan University

Presenting Author: Qian Sun

Discussant: Georg Stadtmann, WHU

Rational Manipulation By Large Stockholders: The Hijacking Of An Election

Naveen Khanna, Michigan State University
Jennifer Marietta-Westberg, Michigan State University

Presenting Author: Naveen Khanna

Discussant: Vladimir Atanasov, College of William & Mary

Intellectual Capital And The Long-Run Performance Of Technology Firms: An Empirical Analysis Of Initial Public Offerings In Germany

Wolfgang Bessler, University of Giessen
Claudia Bittelmeyer, University of Giessen

Presenting Author: Wolfgang, Bessler

Discussant: Qian Sun, Xiamen University

Risk Management 2

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Basel Requirement Of Downturn LGD: Modeling And Estimating PD & LGD Correlations

Peter Miu, McMaster University
Bogie Ozdemir, Standard & Poors

Presenting Author: Bogie Ozdemir

Discussant: Peter Grundke, University of Cologne

The Impact Of Corporate Derivative Usage On Foreign Exchange Risk Exposure

Aline Muller, Radboud University Nijmegen
Willem FC Verschoor, Radboud University Nijmegen

Presenting Author: Dr. Aline Muller

Discussant: Gianfranco Forte, Bocconi University

Domestic Elasticity Of Default-Free Foreign Bonds

Iraj J Fooladi, Dalhousie University
Gady Jacoby, New York University & University of Manitoba
Gordon S Roberts, York University
Zvi Wiener, Hebrew University of Jerusalem

Presenting Author: Iraj J. Fooladi

Discussant : Laetitia Lepetit, University of Limoges

Issues in European Banking

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Information Technology And Economic Performance: Some Evidence From The EU Banking Industry

Elena Beccalli, London School of Economics & University of Macerata

Presenting Author: Elena Beccalli

Discussant: Riccardo de Lisa, Universita degli Studi di Cagliari

Do Cost And Profit Efficiency Drive Shareholder Value? Evidence From European Banking

Franco Fiordelisi, University of Rome III
Phil Molyneux, University of Wales, Bangor

Presenting Author: Franco Fiordelisi

Discussant: Elena Beccalli, London School of Economics

Competition, Efficiency and Agency Costs: An Analysis Of Franchise Values In European Banking

Olivier De Jonghe, Ghent University
Rudi Vander Vennet, Ghent University

Presenting Author: Olivier De Jonghe

Discussant: Laura Gonzalez, University of Florida

Sex, Peanuts, and Size

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

Small Trader Reactions To Consecutive Earnings Surprises: A Market Test Of Behavioral Theory

Devin Shanthikumar, Harvard Business School

Presenting Author: Devin Shanthikumar

Discussant: John Griffin, University of Texas Austin

Sex Matters: Gender And Mutual Funds

Alexandra Niessen, University of Cologne
Stefan Ruenzi, University of Cologne

Presenting Author: Alexandra Niessen

Discussant: Anders Anderson, Swedish Institute for Financial Research

Is Online Trading Gambling With Peanuts?

Anders ES Anderson, Swedish Institute for Financial Research

Presenting Author: Anders Anderson

Discussant: Kathleen Walsh, University of New South Wales

Methodology 1

Friday, 9 June, 13:30 pm - 15:00 pm

 

Presentations

The Role Of Heterogeneity In Early Warning Systems For Sovereign Debt Crises

Elena Kalotychou, Cass Business School
Ana-Maria Fuertes, Cass Business School

Presenting Author: Elena Kalotychou

Discussant: Randall McFadden,University of Exeter

Testing Market Efficiency With Lagged Instruments: Is The Explanatory Variable Integrated?

Bo Sjo, Griffith University
Richard J Sweeney, Georgetown University

Presenting Author: Richard J. Sweeney

Discussant to be announced

Pricing CDOs With Correlated Variance Gamma Distributions

Thomas Moosbrucker, University of Cologne

Presenting Author: Thomas Moosbrucker

Discussant to be announced

Asset Spending

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Role Of Competition In Capital Allocation For R&D Expenditure

Alyaswami Prasad, University of Connecticut

Presenting Author: Aiyaswami Natesa Prasad

Discussant : Houcem Smaoui, Laval University

The Relation Between R&D Expenditure And Future Market Returns: Does Expensing versus Capitalization Matter?

Howard Wei-Hong Chan, University of Melbourne
Robert Faff, Monash University
Yew Kee Ho, National University of Singapore

Presenting Author: Howard Chan

Discussant: Walid Saleh, The Hashemite University

The Impact Of Market Feedback On Post IPO Capital Expenditures

Paula Hill, Leeds University
David Hillier, Leeds University

Presenting Author: Paula Hill

Discussant: Ting Yang, Auckland University of Technology

Capital Structure

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Imperfect Market Or Imperfect Theory: A Unified Analytical Theory Of Production And Capital Structure Of Firms

To Be Announced

Presenting Author: Jing Chen

Discussant: Jing Chen, University of Northern British Columbia

Ownership, Institutions, And Capital Structure: Evidence From Chinese Firms

Kai Li, University of British Columbia
Heng Yue, Peking University
Longkai Zhao, Peking University

Presenting Author: Kai Li

Discussant: Cesario Mateus, Aarhus School of Business

Managerial Control And Investment And Financing Options With Debt Financing Constraints

Nicos P Koussis, University of Cyprus Nicosia
Spiros H. Martzoukos, University of Cyprus Nicosia

Presenting Author: Koussis Nicos

Discussant: Stefan Hirth, Universität Karlsruhe

Financial Asset Pricing

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Stochastic Interest Rates And Short Maturity Currency Options

Ako Doffou, Sacred Heart University

Presenting Author: Ako Doffou

Discussant: Valeri Zakamouline, Bodoe Graduate School of Business

Equity Market Volatility And Expected Risk Premium

Long Chen, Michigan State University
Hui Guo, Federal Reserve Bank of St. Louis
Lu Zhang, University of Rochester

Presenting Author: Hui Guo

Discussant: Javier Estrada, IESE

Asset Pricing Under Alternative Investment Horizons

Kathleen D Walsh, University of New South Wales

Presenting Author: Kathleen Walsh

Discussant : Samer Al-Rjoub, Hashemite University

Institutional Trading

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Investors' Herding & Corporate Governance In A Concentrated Market

Viet Do, Monash University
Monica Guo-Sze Tan, Deakin University
P Joakim Westerholm, University of Sydney

Presenting Author: Peter Westerholm

Discussant: Emanuele Bajo, University of Bologna

Institutional Investors’ Trading Behavior In Mergers And Acquisitions

Rasha Ashraf, Georgia Tech
Narayanan Jayaraman, Georgia Tech

Presenting Author: Narayanan Jayaraman

Discussant: Tom Berglund, Swedish School of Economics

(PDF file not available) Who Drove And Burst The Tech Bubble?

John M Griffin, University of Texas at Austin
Jeffrey H Harris, University of Delaware
Selim Topaloglu, Queen's University

Presenting Author: Selim Topaloglu

Discussant: Alistair Byrne, University of Strathclyde

Country and Industry Effects

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Equity Issues And Aggregate Market Returns Under Information Asymmetry

Xiaoquan Jiang, University of Northern Iowa
Bong-Soo Lee, Florida State University

Presenting Author: Xiaoquan Jiang

Discussant : Quang Ngoc Nguyen, University of New South Wales

Peer Pressure: Industry Group Impacts On Stock Valuation Precision And Contrarian Strategy Performance

Turan G. Bali, Baruch College
K Ozgur Demirtas, Baruch College
Armen Hovakimian, Baruch College
John J Merrick, Jr, College of William and Mary

Presenting Author: John J. Merrick, Jr.

Discussant : Azian Madun, University of Bath

The Adjustments Of Stock Prices To Information About Inflation: Evidence Form MENA Countries

Samer Am Al-Rjoub, Hashemite University

Presenting Author: Samer Al-Rjoub

Discussant : Kate Phylaktis, City University

Risk Management 3

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Evolution Of Risk Management As An Integrated Field Of Study: Evidence From International Data

Abol Jalilvand, Loyola University Chicago
Jeannette A Switzer, Loyola University Chicago

Presenting Author: Abol Jalilvand

Discussant: Betty Simkins, Oklahoma State University

Volatility Spillovers And Multi-Period Hedging Of Multiple Exposures

Jonathan Dark, Monash University

Presenting Author: Jonathan Dark

Discussant : Kulwinder Banipal, Tulane University

Managing Operational Risk: Framework For Financial Institution

Suman Banerjee, Tulane University
Kulwinder Banipal, Tulane University

Presenting Author: Kulwinder Banipal

Discussant: Les Coleman, University of Melbourne

Banking in Emerging Markets

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

The Foreign Bank Effect On Lending By Commercial Banks Incorporated In Thailand

Chantal Herberholz, Chulalongkorn University

Presenting Author: Chantal Herberholz

Discussant: Virginia Tirri, Banca Intesa

Factors Underlying The Credit Risk Exposure Of Sovereign Loans

Elena Kalotychou, Cass Business School
Sotiris K Staikouras, Cass Business School

Presenting Author: Elena Kalotychou

Discussant: Laetitia Lepetit, University of Limoges

Financial Integration And Entrepreneurial Activity: Evidence From Foreign Bank Entry In Emerging Markets

Mariassunta Giannetti, SSE, CEPR & ECGI
Steven Ongena, CentER Tilburg University & CEPR

Presenting Author: Mariassunta Giannetti

Discussant: Chantal Herberholz, Chulalongkorn University

How Markets Work

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Price Aggressiveness And Quantity: How Are They Determined In A Limit Order Market?

Ingrid Lo, The Bank of Canada
Stephen Sapp, University of Western Ontario

Presenting Author: Stephen Sapp

Discussant: Maria Pacurar, Dalhousie University

Effects Of Rights Issue On Share Liqudity: A Study On The Swedish Stock Exchange

Maria Gardangen, Lund University

Presenting Author: Maria Gardangen

Discussant : Anna Agapova, Georgia State University

Intraday Value at Risk (IVaR) using Tick-by-Tick data with Application to the Toronto Stock Exchange

Georges Dionne, HEC Montreal & CREF
Pierre Duchesne, CREF & Universite de Montreal
Maria Pacurar, Dalhousie University

Presenting Author: Maria Pacurar

Discussant to be announced

Methodology 2

Friday, 9 June, 15:30 pm - 17:00 pm

 

Presentations

Sample Selection And Event Study Estimation

Kenneth Robinson Ahern, UCLA

Presenting Author: Kenneth R. Ahern

Discussant: Maria Gardangen, Lund University

Do Fundamentals Explain Returns?

Eva Raquel Porras-Gonzalez, Instituto de Empresa

Presenting Author: Eva R. Porras

Discussant : Lars Norden, Swedish School of Economics

Event Study Methodology: Correction For Cross-Sectional Correlation In Standardized Abnormal Return Tests

James Kolari, Texas A&M University
Seppo Pynnonen, University of Vaasa

Presenting Author: Seppo Pynnonen

Discussant: Udo Seifert, Humboldt Universitat zu Berlin