|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-5 (Third Floor) |
| A01 | Executive Options |
| Session Chair: | Mingxin Xu - University of North Carolina-Charlotte |
|
| Paper 1 | Exercises of Executive Stock Options on the Vesting Date |
| Authors: | Xudong Fu - University of Alabama |
| Discussant: | PengCheng Zhu - Carleton University |
|
| Paper 2 | Executive Stock Option Exercise and Seasoned Equity Offerings |
| Authors: | Brandon Cline - Clemson University |
| | Xudong Fu - University of Alabama |
| Discussant: | Xiaoying Chen - CalState-Long Beach |
|
| Paper 3 | An Investigation Of Option Compensation To American CEOs |
| Authors: | Xiaoying Chen - Cal State-Long Beach |
| | Mark Holder - Kent State University |
| Discussant: | Francis Laatsch - Bowling Green State University |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-7 (Third Floor) |
| A02 | Payout Policy |
| Session Chair: | Brian Lucey - Trinity College Dublin |
|
| Paper 1 | How Relevant is Dividend Policy under Low Shareholder Protection? |
| Authors: | Peter Szilagyi - University of Cambridge |
| | Luc Renneboog - Tilburg University and ECGI |
| Discussant: | Dror Parnes - University of South Florida |
|
| Paper 2 | The Dynamic Relation Among Investment, Earnings and Dividends |
| Authors: | Lee Dunham - University of Nebraska - Lincoln |
| | Richard DeFusco - University of Nebraska - Lincoln |
| | John Geppert - University of Nebraska - Lincoln |
| Discussant: | Gabriela Mundaca - Frisch Centre for Economic Research |
|
| Paper 3 | A Model for Risky Cash Flows and Tax Shields |
| Authors: | Dean Johnson - Michigan Tech University |
| Discussant: | Steve Beach - Radford University |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-8 (Third Floor) |
| A03 | Boards and Diversity |
| Session Chair: | Richard Dowen - Northern Illinois University |
|
| Paper 1 | Directors, Outsiders and Efficiency : An Analysis of How Board Characteristics Influence Firm Productivity |
| Authors: | Paroma Sanyal - Brandeis University |
| | Laarni Bulan - Brandeis University |
| | Zhipeng Yan - Brandeis University |
| Discussant: | Soku Byoun - Baylor University |
|
| Paper 2 | Gender Diversity and Corporate Governance: Evidence from Audit Fees of the S&P 500 Firms |
| Authors: | Sami Vähämaa - University of Vaasa |
| | Kim Ittonen - University of Vaasa |
| | Johanna Miettinen - University of Vaasa |
| Discussant: | Paroma Sanyal - Brandeis University |
|
| Paper 3 | Evidence on Board Committee Diversity: Are Women Underrepresented? |
| Authors: | Kenneth Small - Coastal Carolina University |
| | Hong Zhu - Loyola College in Maryland |
| | Susan Flaherty - Towson University |
| Discussant: | Niranjan Chipalkatti - Seattle University |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-17 (Third Floor) |
| B01 | Default Risk Premia |
| Session Chair: | Nikola Tarashev - BIS |
|
| Paper 1 | Market Expectations and Default Risk Premium in Credit Default Swap Prices: A Study of Argentine Default |
| Authors: | Frank Zhang - Morgan Stanley |
| Discussant: | Ru Xie - Frankfurt University |
|
| Paper 2 | Macroeconomic Variables, Pricing Kernels and Expected (Default-Free and Defaultable) Bond Returns |
| Authors: | Airu Cheng - UC-Santa Cruz |
| | Yuriy Kitsul - Georgia State University |
| Discussant: | Thomas Breuer - PPE Research Centre |
|
| Paper 3 | The Slope of Spot Credit Spread Curves |
| Authors: | Jingzhi Huang - Penn State |
| | Xiongfei Zhang - Moody's KMV |
| Discussant: | Harvey Stein - Bloomberg LP |
|
| Paper 4 | The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market |
| Authors: | Haibin Zhu - Bank for International Settlements |
| | Nikola Tarashev - Bank for International Settlements |
| Discussant: | David Berger - Washington State University |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-18 (Third Floor) |
| C01 | Banking and Monetary Policy |
| Session Chair: | Geoffrey Hirt - DePaul University |
|
| Paper 1 | The Role of Interbank Markets in Monetary Policy |
| Authors: | Xavier Freixas - Universitat Pompeu Fabra and CEPR |
| | Jose Jorge - CEMPRE and Universidade Porto |
| Discussant: | Alexandra Niessen - University of Cologne |
|
| Paper 2 | Nonlinearities in The British Interest Rate Transmission Mechanism |
| Authors: | Elena Kalotychou - Cass Business School |
| | Ana Fuertes - Cass Business School |
| | Shelagh Heffernan - Cass Business School |
| Discussant: | Levent Yildiran - Bogazici University |
|
| Paper 3 | Integrated with Their Feet: Cross-Border Lending at the German-Austrian Border |
| Authors: | Jarko Fidrmuc - University of Munich |
| | Christa Hainz - University of Munich |
| Discussant: | John Wald - University of Texas-San Antonio |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-10 (Third Floor) |
| C02 | Banking Relations and Pricing Arrangements |
| Session Chair: | Carl Chen - University of Dayton |
|
| Paper 1 | How Do Relationship Lenders Price Loans to Small Firms? “Hold-Up” Costs, Transparency, and Private and Public Security |
| Authors: | Wako Watanabe - Keio University |
| Discussant: | Barry Williams - Bond University |
|
| Paper 2 | Market Power in Local Banking Monopolies |
| Authors: | Paolo Coccorese - University of Salerno |
| Discussant: | Ricardo Correa - Federal Reserve Board |
|
| Paper 3 | Geographic Deregulation and Competition in the U.S. Banking Industry |
| Authors: | Sunil Mohanty - University of St. Thomas |
| | Semih Yildirim - York University |
| Discussant: | Tian-Shyr Dai - National Central University Taiwan |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-11 (Third Floor) |
| C03 | Time Varying Bank Competition and Credit Risk |
| Session Chair: | Gabriela Siller - Tecnológico de Monterrey |
|
| Paper 1 | Checking Account Information and Credit Risk of Bank Customers |
| Authors: | Lars Norden - Indiana University |
| | Martin Weber - University of Mannheim |
| Discussant: | Laetitia Lepetit - University of Limoges |
|
| Paper 2 | How Banking Competition Changed over Time |
| Authors: | Jacob Bikker - De Nederlandsche Bank |
| | Laura Spierdijk - University of Groningen |
| Discussant: | Katherine Wyatt - New York State Banking Department |
|
| Paper 3 | Competition, Capital Regulation, and Bank Risk Taking |
| Authors: | Patrick Behr - Goethe University Frankfurt |
| | Reinhard Schmidt - Goethe University Frankfurt |
| | Ru Xie - Goethe University Frankfurt |
| Discussant: | TeWhan Hahn - Auburn University Montgomery |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CS-530 (Fifth Floor) |
| D01 | Optimal Real and Financial Investments |
| Session Chair: | Yung-Ming Shiu - National Cheng Kung University |
|
| Paper 1 | Anatomy of An Unusual Merger: ABI |
| Authors: | Daniel Tessoni - Rochester Institute of Technology |
| | Stan Hoi - Rochester Institute of Technology |
| | Ashok Robin - Rochester Institute of Technology |
| Discussant: | Marlene Reed - Baylor University |
|
| Paper 2 | Selecting the Best” Government-sponsored Defined Benefit Annuity |
| Authors: | Joseph McCormack - U. of Houston-Clear Lake |
| Discussant: | Pat Obi - Purdue University |
|
| Paper 3 | The Airbus A380 |
| Authors: | Andreas Schueler - Universitaet der Bundeswehr Munich |
| | Gerald Feslmeier - Universitaet der Bundeswehr Munich |
| Discussant: | Karl Borden - University of Nebraska-Kearney |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CS-544 (Fifth Floor) |
| D02 | Mutual funds: Fee Structure, Pricing and Performance |
| Session Chair: | Angelo Baglioni - Catholic University Milan |
|
| Paper 1 | Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences |
| Authors: | Hendrik Scholz - Catholic University of Eichstaett-Ingolstadt |
| | Martin Rohleder - Catholic University of Eichstaett-Ingolstadt |
| | Marco Wilkens - Catholic University of Eichstaett-Ingolstadt |
| Discussant: | Scott Yonker - Ohio State |
|
| Paper 2 | Performance Analysis of New Mutual Funds: a Bayesian Approach |
| Authors: | Aymen Karoui - HEC Montréal |
| Discussant: | Yoon Shin - Loyola College in Maryland |
|
| Paper 3 | Mutual Fund Starts: Performance, Characteristics and the Relation with Stock Markets |
| Authors: | Aymen Karoui - HEC Montréal |
| | Iwan Meier - HEC Montréal |
| Discussant: | Chintal Desai - George Washington University |
|
| Paper 4 | A Dynamic Model of Mutual Fund Management Fees |
| Authors: | Scott Yonker - Ohio State |
| Discussant: | Gökçe Soydemir - University of Texas – Pan American |
|
|
|
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-6 (Third Floor) |
| D03 | Excess Returns, Risk Aversion and Volatility |
| Session Chair: | Jaya Bishwal - University of North Carolina at Charlotte |
|
| Paper 1 | A Decomposition of Holding Period Empirical Excess Returns |
| Authors: | George Chang - Grand Valley State |
| | Philip Horvath - Bradley University |
| Discussant: | Kridsda Nimmanunta - Chulalongkorn University |
|
| Paper 2 | Time Variability in Market Risk Aversion |
| Authors: | David Berger - Washington State University |
| | Harry Turtle - Washington State University |
| Discussant: | Steven Dennis - University of North Dakota |
|
| Paper 3 | Earnings Forecasts and Idiosyncratic Volatilities |
| Authors: | Sana Mohsni - Concordia University |
| | Lawrence Kryzanowski - Concordia University |
| Discussant: | Jose Olivares - Universidad de Desarrollo |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CR-9 (Third Floor) |
| F01 | International Asset Market Volatility |
| Session Chair: | Jim Estes - Cal State- San Bernardino |
|
| Paper 1 | Return and Volatility Linkages across Countries: An Empirical Examination of Selected Southeast Asian Countries |
| Authors: | Rafiqul Bhuyan - Cal State-San Bernardino |
| | Syed Ahmed - Cameron University |
| | Mohammed Ansari - Cal State-San Bernardino |
| Discussant: | Carol Osler - Brandeis International Business School |
|
| Paper 2 | International Transmission Effects of Volatility between Financial Markets in the G-7 since the introduction of the Euro |
| Authors: | Lucia Morales - Dublin Institute of Technology |
| | Mary O'Donnell - University of Limerick |
| Discussant: | Qiang Bu - Penn State Harrisburg |
|
| Paper 3 | Asymmetric Impact of News on Return Volatility |
| Authors: | Joon Song - University of Findlay |
| Discussant: | Neven Valev - Georgia State University |
|
|
| Panel Session |
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| Salon J (Third Floor) |
| I01 | Research Grant Opportunities in Equipment Leasing |
| Panel Chair: | James Johnson - Northern Illinois University |
|
| Panel Member 1: Harry Kaplun - Frost National Bank |
| Panel Member 2: Lisa Levine - Equipment Leasing and Finance Foundation |
| The panelists will discuss the commercial leasing problems businesses encounter and the types of research problems they are seeking to fund. They will also address opportunities for publishing in Journal of Equipment Lease Financing and discuss the proprietary database that is available for use in leasing research. Equipment Leasing and Finance Foundation expects to fund $250,000 in research grants this year. |
|
| Panel Session |
| Thursday, February 28, 2008, 8.00 am - 9.30 am |
| CS-514 (Fifth Floor) |
| I02 | Teaching Tools in Finance |
| Panel Chair: | Larry Belcher - Stetson University |
|
| Panel Member 1: Frank Wyrostek - University of St. Francis |
| Panel Member 2: Jean Snavely - Western Kentucky University |
| Panelists will discuss hands-on training in managing funds, technology, and developments in interactive learning systems for the efficient delivery of new concepts in finance. In particular the authors will critically analyze the benefits of clicker systems, adobe Breeze software in the instructional process. They will also evaluate the growth of student managed investment funds and the managerial challenges faced by faculty advisers. |
|
| Symposium Session |
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-9 (Third Floor) |
| A03S | Cross Border Mergers and Acquisitions I |
| Session Chair: | Richard Dowen - Northern Illinois University |
|
| Paper 1 | Price Pressure Effect in Indian Cross-Border Acquisitions |
| Authors: | PengCheng Zhu - Carleton University |
| | Shavin Malhotra - Carleton University |
| Discussant: | Ha-Chin Yi - Texas State University |
|
| Paper 2 | Cross-border Bank Acquisitions: Is there a Performance Effect? |
| Authors: | Ricardo Correa - Federal Reserve Board |
| Discussant: | Rasoul Rezvanian - Northeastern Illinois University |
|
| Paper 3 | Acquisition Premiums: Evidence of Home Bias |
| Authors: | Paul Komiak - Texas A&M International University |
| Discussant: | Gilles Cigerza - Washington University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| Salon J (Third Floor) |
| A04 | Stock Repurchases |
| Session Chair: | Zaur Rzakhanov - Analysis Group, Inc. |
|
| Paper 1 | Short-term Returns of UK Share Buyback Activity |
| Authors: | Zhiqi Wang - University of Reading |
| | Carol Padgett - University of Reading |
| Discussant: | Evgenia Golubeva - University of Oklahoma |
|
| Paper 2 | UK Share Repurchase Activity: The Effects of Free Cash Flow and Signalling |
| Authors: | Zhiqi Wang - University of Reading |
| | Carol Padgett - University of Reading |
| Discussant: | Suk Lee - Loyola University |
|
| Paper 3 | Do Stockholders Benefit From Repurchases? |
| Authors: | Joan Wiggenhorn - Barry University |
| | Dave Jackson - UT-Pan American |
| Discussant: | Gabriel de la Fuente - University of Valladolid |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-5 (Third Floor) |
| A05 | Corporate Governance and Pension Funding |
| Session Chair: | Sebastian Lobe - University of Regensburg |
|
| Paper 1 | Corporate Governance and Ownership Structure in Emerging Markets: Evidence from Latin America |
| Authors: | Diego Cueto - Concordia University |
| Discussant: | Hiroyuki Aman - Nagasaki University |
|
| Paper 2 | The Effect of Internationally Accepted Accounting Principles and Other Determinants on Pension Funding in Germany |
| Authors: | Sebastian Lobe - University of Regensburg |
| | Christian Stadler - University of London |
| Discussant: | Cynthia Campbell - Iowa State University |
|
| Paper 3 | Valuation of a Hydro-Electricity Power Project: An Emerging Market Investment Proposal |
| Authors: | Richard Ottoo - Pace University |
| Discussant: | Stefano Mazzotta - Kennesaw State University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CS-514 (Fifth Floor) |
| A06 | Project Expansion, Entry Modes and Executive Option Contracts |
| Session Chair: | James Refalo - Cal State Los Angeles |
|
| Paper 1 | Real Options in The Electricity Sector: ENDESA’S Expansion in Latin America |
| Authors: | Susana Alonso - University of Valladolid |
| | Valentín Azofra - University of Valladolid |
| | Gabriel de la Fuente - University of Valladolid |
| Discussant: | John Theis - Columbus State University |
|
| Paper 2 | Foreign Direct Investment and Economic: An Empirical Investigation |
| Authors: | John Theis - Columbus State University |
| | Kirk Heriot - Columbus State University |
| | Noel D. Campbell - University of Central Arkansas |
| Discussant: | Susana Alonso - University of Valladolid |
|
| Paper 3 | Valuation Of Options and Grants In Cases of Wrongful Termination |
| Authors: | Douglas Berg - Sam Houston State |
| | Robert Stretcher - Sam Houston State |
| Discussant: | Timothy Michael - University of Houston |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CS-530 (Fifth Floor) |
| A07 | Valuation and Culture |
| Session Chair: | Marlene Reed - Baylor University |
|
| Paper 1 | Creditor Protection and Accrual Quality:The Effect of State Laws |
| Authors: | Mei Cheng - University of Arizona |
| | Sattar Mansi - Virginia Tech |
| | John Wald - UT-San Antonio |
| Discussant: | Sam Tibbs - East Carolina University |
|
| Paper 2 | Valuation of a Target: Barclays Banks’ Proposed Acquisition of Nile Bank |
| Authors: | Richard Ottoo - Pace University |
| Discussant: | Daniel Tessoni - E. Philip Saunders College of Business: RIT |
|
| Paper 3 | Wendy's Sugar Shack: Effective Rate Calculations for Credit Card Merchant Contracts |
| Authors: | Karl Borden - University of Nebraska |
| Discussant: | Susana Alonso - University of Valladolid |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-7 (Third Floor) |
| A08 | Compensation Incentives |
| Session Chair: | Vahe Lskavyan - Ohio University |
|
| Paper 1 | Golden Parachutes As Managerial Incentives |
| Authors: | Jorge Brusa - Texas A&M International |
| | Wayne Lee - University of Arkansas |
| | Carole Shook - University of Arkansas |
| Discussant: | Emmanuel Morales-Camargo - University of New Mexico |
|
| Paper 2 | Vulnerable Executive Compensation |
| Authors: | Alexander Wagner - University of Zurich |
| | Florian Peters - University of Zurich |
| Discussant: | Aiyaswami Prasad - Ohio Northern University |
|
| Paper 3 | Is Executive Compensation Different Across S&P Listed Firms? |
| Authors: | João Vieito - Polytecnhic Institute of Viana do Castelo |
| | Antonio Cerqueira - Porto University |
| | Elísio Brandão - Porto University |
| | Walayet Khan - University of Evansville |
| Discussant: | Sheng Huang - Washington University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-6 (Third Floor) |
| B02 | Large Risks |
| Session Chair: | Jason Wei - University of Toronto |
|
| Paper 1 | Distress Risk Premia in Stock and Bond Returns |
| Authors: | Andrew Zhang - University of Arizona |
| Discussant: | Kris Boudt - Katholieke Universiteit Leuven |
|
| Paper 2 | Bubbles and Crashes with Multidimensional Uncertainty |
| Authors: | Antonio Doblas-Madrid - Michigan State University |
| Discussant: | Antonio Camara - Oklahoma State |
|
| Paper 3 | The Real Nature of Credit Rating Transitions |
| Authors: | Axel Eisenkopf - University of Frankfurt |
| Discussant: | Andrew Zhang - University of Arizona |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-17 (Third Floor) |
| B03 | Ratings and Credit Risk |
| Session Chair: | Jean Helwege - Penn State |
|
| Paper 1 | A Generalized Single Factor Model of Portfolio Credit Risk |
| Authors: | Paul Kupiec - FDIC |
| Discussant: | Duc Khuong Nguyen - ISC Paris School of Management, France |
|
| Paper 2 | Forced Selling of Fallen Angels |
| Authors: | Brent Ambrose - Penn State |
| | Nianyun Cai - University of Michigan -Dearborn |
| | Jean Helwege - Penn State |
| Discussant: | Kenneth Daniels - VCU |
|
| Paper 3 | Impact of Information Asymmetry on Municipal Bond Yields: An Empirical Analysis |
| Authors: | Demissew Ejara - University of New Haven |
| | Kenneth Daniels - Virginia Commonwealth University |
| Discussant: | Sunti Tirapat - Chulalongkorn University |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-18 (Third Floor) |
| C04 | Financial Stability |
| Session Chair: | Paul Kupiec - FDIC |
|
| Paper 1 | Effects of International Interbank Lendings on Twin Crises |
| Authors: | Levent Yildiran - Bogazici University |
| | Erhan Uluceviz - Bogazici University |
| Discussant: | Nadia Doytch - GC CUNY |
|
| Paper 2 | The Effect of Industry Consolidation and Deposit Insurance Reform on the Resiliency of the U.S. Bank Insurance Fund |
| Authors: | Kenneth Jones - FDIC |
| | Robert Oshinsky - FDIC |
| Discussant: | Christine Bradley - FDIC |
|
| Paper 3 | Financial Linkages, Shocks to Fundamentals and Contagion |
| Authors: | Augusto Hasman - Universidad Carlos III de Madrid |
| | Margarita Samartín - Universidad Carlos III de Madrid |
| Discussant: | Rima Turk-Ariss - Lebanese American University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-10 (Third Floor) |
| C05 | Banks and Financial System Risks |
| Session Chair: | John Schatzberg - University of New Mexico |
|
| Paper 1 | Tests on the Accuracy of Basel II |
| Authors: | Simone Varotto - University of Reading |
| Discussant: | Aneta Hryckiewicz - Johann Wolfgang Goethe-University |
|
| Paper 2 | Downturn Credit Portfolio Forecasts |
| Authors: | Daniel Rösch - Leibniz University |
| | Harald Scheule - University of Melbourne |
| Discussant: | Simone Varotto - University of Reading |
|
| Paper 3 | Financial System Architecture and Systematic Risk |
| Authors: | Jose Jorge - CEMPRE and Universidade de Porto |
| Discussant: | Nusret Muslim - Bogazici University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-8 (Third Floor) |
| D04 | Pricing, Hedging, and Diversification |
| Session Chair: | Sergey Barabanov - University of St. Thomas |
|
| Paper 1 | Analysis of the Investment Potential and Inflation-Hedging Ability of Precious Metals |
| Authors: | James McCown - Oklahoma City University |
| | John Zimmerman - Oklahoma City University |
| Discussant: | Sotiris Staikouras - Cass Business School |
|
| Paper 2 | Price Delay and Price Delay-adjusted Asset Pricing Model |
| Authors: | Ping-Wen Sun - LSU |
| Discussant: | James Hackard - Southern Illinois University Edwardsville |
|
| Paper 3 | Non Gaussian Diversification |
| Authors: | François Desmoulins-Lebeault - University of Paris XII |
| Discussant: | Subhankar Nayak - Wilfrid Laurier University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CR-11 (Third Floor) |
| D05 | Institutional Ownership |
| Session Chair: | Fabio Castiglionesi - Tilburg University |
|
| Paper 1 | Why Managers Hold Shares of Their Firm: An Empirical Analysis |
| Authors: | Stefan Ruenzi - University of Cologne |
| | Ulf von Lilienfeld-Toal - University of Frankfurt |
| Discussant: | Larry Holland - University of Arkansas at Little Rock |
|
| Paper 2 | The Persistence and Transition of Institutional Ownership |
| Authors: | Xuying Cao - University of Texas- Dallas |
| Discussant: | Stefan Ruenzi - Centre for Financial Research- Cologne |
|
| Paper 3 | Price Momentum and Institutional Holding |
| Authors: | Jiunlin Chen - Louisiana State |
| | Shuya Chuang - Tainan University of Technology |
| Discussant: | Laurence Blose - Grand Valley State University |
|
| Paper 4 | Does Institutional Ownership Create Value? |
| Authors: | Dar-Hsin Chen - National Taipei University, |
| | Jianguo Chen - Massey University |
| | Lloyd Blenman - University of North Carolina-Charlotte |
| Discussant: | Robert Irons - Dominican University |
|
|
|
| Thursday, February 28, 2008, 10.00 am - 11.30 am |
| CS-544 (Fifth Floor) |
| H01 | Market Quality |
| Session Chair: | Wako Watanabe - Keio University |
|
| Paper 1 | Internalization and Market Quality: An Empirical Investigation |
| Authors: | Norris Larrymore - Quinnipiac University |
| | Albert Murphy - SUNY- Old Westbury |
| Discussant: | Jeff Whitworth - University of Houston-Clear Lake |
|
| Paper 2 | NYSE Execution Quality Subsequent to Migration to Hybrid |
| Authors: | Jose Gutierrez - UT-San Antonio |
| | Yiuman Tse - UT-San Antonio |
| Discussant: | Camilla Mazzoli - Università Politecnica Marche |
|
| Paper 3 | Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment: Evidence from the Montreal Exchange |
| Authors: | Lorne Switzer - Concordia University |
| | Haibo Fan - Concordia University |
| Discussant: | Kuan-Cheng Ko - National Central University |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-5 (Third Floor) |
| A09 | Issues in Takeovers |
| Session Chair: | Jianguo Chen - Massey University |
|
| Paper 1 | Mega vs. Boutique:Who is the Better Financial Advisor in Mergers and Acquisitions? |
| Authors: | Jie Wei - University of Cincinnati |
| | Weihong Song - University of Cincinnati |
| Discussant: | Xiaolou Yang - Humboldt State University |
|
| Paper 2 | The Relation among R&D Capital of Targets, Acquirers' Return, and IPRD Write-offs |
| Authors: | Kyojik Song - Sungkyunkwan University |
| | Kathy Hsu - University of Louisiana-Lafayette |
| | Youngsang Kim - Northern Kentucky University |
| Discussant: | Sergey Barabanov - University of St. Thomas |
|
| Paper 3 | Market Misvaluation, Managerial Horizon, and Acquisitions |
| Authors: | Huasheng Gao - University of British Columbia |
| Discussant: | Jie Wei - University of Cincinnati |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-6 (Third Floor) |
| A10 | Equity Issuance |
| Session Chair: | Kenneth Daniels - VCU |
|
| Paper 1 | In Good Times or in Bad: Market Conditions, Fundamentals, and The Equity Issuance Decision |
| Authors: | Alexander Butler - UT-Dallas |
| | Yin Li - UT-Dallas |
| Discussant: | Renata Herrerias - Instituto Tecnologico Autonomo de Mexico |
|
| Paper 2 | Liquidity Changes around Seasoned Public Equity Offerings and Private Equity Placements: Transaction Costs, Trading Activity, and Price Impacts |
| Authors: | Hong Qian - Oakland University |
| Discussant: | John Schatzberg - University of New Mexico |
|
| Paper 3 | Do Seasoned Offerings Really Signal Anything Significant from Insiders? |
| Authors: | Rob Hull - Washburn University |
| | Sungkyu Kwak - Washburn University |
| | Rosemary Walker - Washburn University |
| Discussant: | Jarkko Peltomäki - University of Vaasa |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-7 (Third Floor) |
| A11 | Corporate Governance |
| Session Chair: | Wallace Davidson - Southern Illinois University |
|
| Paper 1 | Corporate Governance As a Commitment and Signalling Device |
| Authors: | Angelo Baglioni - Catholic University Milan |
| Discussant: | Amanda Carmignani - Bank of Italy |
|
| Paper 2 | Aggregate Governance Quality and Capital Structure |
| Authors: | Young Kim - Northern Kentucky University |
| | Pornsit Jiraporn - Penn State |
| | Jang-Chul Kim - North Dakota State University |
| Discussant: | Angelo Baglioni - Catholic University Milan |
|
| Paper 3 | Corporate Governance: Theory and Evidence |
| Authors: | Indraneel Chakraborty - University of Pennsylvania |
| Discussant: | Andy Kim - University of Minnesota |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-11 (Third Floor) |
| A12 | Dividend Changes |
| Session Chair: | Stefan Ruenzi - Centre for Financial Research- Cologne |
|
| Paper 1 | The Announcement Effect of Cash Dividend Changes on Share Prices: An Empirical Analysis of China |
| Authors: | Dar-Hsin Chen - National Taipei University |
| | Chun-Da Chen - Tennessee State University, |
| | Wan-Wei Tang - Vanderbilt University |
| | Chien-Chung Nieh - Tamkang University |
| Discussant: | Sebastian Lobe - University of Regensburg |
|
| Paper 2 | Who Smooth Dividends |
| Authors: | Zhaoxia Xu - Bank of Canada |
| | Laurence Booth - University of Toronto |
| Discussant: | |
|
| Paper 3 | Dividend Initiation Returns and Unemployment |
| Authors: | Vahap Uysal - University of Oklahoma |
| | Evgenia Golubeva - University of Oklahoma |
| Discussant: | Christian Stadler - University of London |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-17 (Third Floor) |
| B04 | Correlated Defaults |
| Session Chair: | Jun Yang - Acadia University |
|
| Paper 1 | Default Dependence: the Equity Default Nexus |
| Authors: | Jun Yang - Bank of Canada |
| Discussant: | Jason Wei - University of Toronto |
|
| Paper 2 | Modelling Simultaneous Defaults: A Top-Down Approach |
| Authors: | Michael Kunisch - Universität Karlsruhe |
| | Marliese Uhrig-Homburg - Universität Karlsruhe |
| Discussant: | Greg Roth - New Mexico State University |
|
| Paper 3 | On Pricing CDOs with Meixner Distribution |
| Authors: | Kridsda Nimmanunta - Chulalongkorn University |
| | Anant Chiarawongse - Chulalongkorn University |
| | Sunti Tirapat - Chulalongkorn University |
| Discussant: | Aslan Behnamian - University of Alberta |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CS-514 (Fifth Floor) |
| C06 | Bank Loan Syndication, Spreads and Failure Prediction |
| Session Chair: | Socorro Quintero - Oklahoma City University |
|
| Paper 1 | Macroeconomic Disturbances, Intermediation Spread and Bank Supervision |
| Authors: | Suheyla Ozyildirim - Bilkent University |
| Discussant: | Paulo Maio - Bilkent University |
|
| Paper 2 | Prior Stock-Splits and Volatility Changes Surrounding the Corporate Restructuring Announcements |
| Authors: | Chintal Desai - George Washington University |
| | Robert Savickas - George Washington University |
| Discussant: | Wan-Wei Tang - Vanderbilt University |
|
| Paper 3 | Government, Public Budgeting and Financial Crisis |
| Authors: | Augusto Hasman - Universidad Carlos III de Madrid |
| | Ángel López - IESE Business School |
| Discussant: | Vahap Uysal - University of Oklahoma |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-10 (Third Floor) |
| C07 | Asset Restructuring, Mergers and Banking Efficiency |
| Session Chair: | Gordon Alexander - University of Minnesota |
|
| Paper 1 | Why Do Banks Securitize Assets? |
| Authors: | Alfredo Martin-Oliver - Bank of Spain |
| | Jesus Saurina - Bank of Spain |
| Discussant: | Natalya Delcoure - University of St. Thomas |
|
| Paper 2 | How Much Would Banks Be Willing To Pay To Become Too-Big-To-Fail and To Capture Other Benefits? |
| Authors: | Julapa Jagtiani - Federal Reserve Bank of Kansas City |
| | Elijah Brewer - DePaul University |
| Discussant: | Bradley Stevenson - The University of Akron |
|
| Paper 3 | The Impact of Bank Mergers on Efficiency: Empirical Evidence from the German Banking Industry |
| Authors: | Galia Georgiev - University of Hohenheim |
| | Hans-Peter Burghof - University of Hohenheim |
| Discussant: | Lili Xie - Ball State University |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CS-530 (Fifth Floor) |
| D06 | Retirement and Mutual Funds |
| Session Chair: | Larry Prather - Southeastern Oklahoma State |
|
| Paper 1 | Deferred Compensation for Career Employees in Public Defined Benefit Pension Plans: The Colorado PERa Case |
| Authors: | Elizabeth Cooperman - University of Colorado - Denver |
| | Michael Mannino - University of Colorado-Denver |
| Discussant: | Frank Wyrostek - University of St. Francis |
|
| Paper 2 | Index funds or ETFs: the case of the S&P 500 |
| Authors: | Larry Prather - Southeastern Oklahoma State |
| | Ting-Heng Chu - East Tennessee State |
| | John Topuz - Southeastern Oklahoma State |
| | Imtiaz Mazumder - SUNY Institute of Technology |
| Discussant: | Hua Chen - Georgia State University |
|
| Paper 3 | Diversification, Expenses, and Performance for 401(k) Plans: A Blended Six Index Funds Approach |
| Authors: | Haiwei Chen - Cal State- San Bernardino |
| | Jim Estes - Cal State- San Bernardino |
| Discussant: | Mihai Badescu - Holy Family University |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-18 (Third Floor) |
| F03 | Relationships in Financial Transactions |
| Session Chair: | Xiaoying Chen - CalState-Long Beach |
|
| Paper 1 | The Relationship Between Borrower Risk and Loan Maturity: New Evidence From Small Business Lending |
| Authors: | Karolin Kirschenmann - University of Heidelberg, Germany |
| | Lars Norden - Indiana University |
| Discussant: | Umesh Kumar - UT-San Antonio |
|
| Paper 2 | Relationship Banking - Not only a Lending Phenomenon |
| Authors: | Oliver Vins - Johann Wolfgang Goethe University, Frankfurt |
| | Thomas Bloch - Johann Wolfgang Goethe University, Frankfurt |
| Discussant: | Régis Blazy - University of Luxembourg |
|
| Paper 3 | Does Distance Still Matter? Evidence from the Venture Capital Market |
| Authors: | Mehmet Goktan - UT-Dallas |
| | Alexander Butler - UT-Dallas |
| Discussant: | Thomas Zorn - University of Nebraska Lincoln |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-9 (Third Floor) |
| F04 | Cross Border Mergers and Acquisitions II |
| Session Chair: | Sabrina Khanniche - University Paris X |
|
| Paper 1 | How can Financial Sector FDI Spur Growth in Emerging Europe? |
| Authors: | Markus Eller - Center for Economic and Financial Research, Moscow |
| | Peter Haiss - Vienna University |
| | Katharina Steiner - Vienna University |
| Discussant: | Diego Cueto - Concordia University |
|
| Paper 2 | Depositary Receipts and Firm Value: Evidence From Firms Domiciled in Eastern Europe and Russia |
| Authors: | Elena Smirnova - SUNY-Old Westbury |
| Discussant: | Axel Grossmann - Radford University |
|
| Paper 3 | Ownership Control and Valuation Changes For Earnings Announcements Around US Cross-listings By Canadian Firms |
| Authors: | Arturo Rubalcava - University of Regina |
| | Lawrence Kryzanowski - Concordia University |
| Discussant: | Mika Vaihekoski - Lappeenranta University of Technology and Bank of Finland |
|
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CS-544 (Fifth Floor) |
| H02 | Liquidity |
| Session Chair: | Valeria Martinez - Fairfield University |
|
| Paper 1 | What Is The Relationship Between Investor Holding Period and Liquidity? |
| Authors: | Bernt Odegaard - Norwegian School of Management |
| | Randi Naes - Norges Bank |
| Discussant: | Brett Olsen - University of Idaho |
|
| Paper 2 | A Cross-Country Model for The Influence of the Pre-Trade Transparency on Market Liquidity and Price Volatility |
| Authors: | Caterina Lucarelli - Università Politecnica Marche |
| | Camilla Mazzoli - Università Politecnica Marche |
| | Giulio Palomba - Università Politecnica Marche |
| Discussant: | Melanie Cao - York University |
|
| Paper 3 | Underpricing and Liquidity |
| Authors: | Emmanuel Morales-Camargo - University of New Mexico |
| Discussant: | Isabella Massa - Ca' Foscari University |
|
|
| Panel Session |
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| Salon J (Third Floor) |
| I03 | BATS: Changing Faces of Exhanges |
| Panel Chair: | James Angel - Georgetown University |
|
| Panel Member 1: Randy Williams - BATS Trading |
| Panel Member 2: Ken Conklin - BATS Trading |
| In just two years of operation, the BATS ECN has captured nearly 10 percent market share in U.S. equities and filed an application to become an exchange. Prof. James Angel of Georgetown University and Randy Williams of BATS will discuss the company’s impact on the marketplace, as well as the overall impact of alternative trading venues on sell-side and buy-side institutions. |
|
|
| Thursday, February 28, 2008, 1.30 pm - 3.00 pm |
| CR-8 (Third Floor) |
| J01 | Southwestern Publishing Special Focus Group (By Invitation Only) |
| Session Chair: | |
|
| Add a paper to this session |
| Edit Discussants and Chair |
| Email Session Participants |
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-5 (Third Floor) |
| A13 | Global and Cross-Listed Equity |
| Session Chair: | Jacques Préfontaine - Sherbrooke University |
|
| Paper 1 | The Decision to Cross-List: The Case of Chinese IPOs and ADRs |
| Authors: | Tao-Hsien King - University of North Carolina-Charlotte |
| | Cinder Zhang - University of North Carolina-Charlotte |
| Discussant: | Julapa Jagtiani - Federal Reserve Bank of Kansas City |
|
| Paper 2 | Valuation Effects of the Sarbanes-Oxley Act on Cross-listed Canadian Firms |
| Authors: | Vishaal Baulkaran - Wilfrid Laurier University |
| Discussant: | Elena Smirnova - SUNY, College at Old Westbury |
|
| Paper 3 | Changes in Underwriters’ Practice and the Underpricing of U.S. Global Initial Public Offerings |
| Authors: | Nianyun Cai - University of Michigan - Dearborn |
| | Heiwai Lee - University of Michigan - Dearborn |
| | Magali Valero - University of Michigan - Dearborn |
| Discussant: | Arze Karam - University Paris X |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-6 (Third Floor) |
| A14 | Capital Budgeting Decisions |
| Session Chair: | MaryAnn Lawrence - Key Corp & Cleveland State University |
|
| Paper 1 | EVA Revisited |
| Authors: | Tarun Mukherjee - University of New Orleans |
| | Prakash Deo - University of Houston |
| Discussant: | MaryAnn Lawrence - Key Corp & Cleveland State University |
|
| Paper 2 | Valuation of Strategic Abandonment Decision |
| Authors: | Chien-Chih Peng - Morehead State University |
| | Ming-Long Wang - National Cheng-Kung University |
| Discussant: | Dror Parnes - University of South Florida |
|
| Paper 3 | The Cost of A Generalized Term Loan and Internal Equity Mix for Capital Budgeting Analysis |
| Authors: | Keishiro Matsumoto - University of the Virgin Islands |
| | Eustace Esdaille - University of the Virgin Islands |
| | Aubrey Washington - University of the Virgin Islands |
| Discussant: | Fabian Gleisner - Johann Wolfgang Goethe-University |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-9 (Third Floor) |
| A15 | Cross-Border Takeovers and FDI |
| Session Chair: | Chu-Sheng Tai - Texas Southern University |
|
| Paper 1 | Ownership Concentration and Foreign Direct Investment |
| Authors: | Vahe Lskavyan - Ohio University |
| | Mariana Spatareanu - Rutgers University |
| Discussant: | Alexander Groh - GSCM - Montpellier Business School |
|
| Paper 2 | Acquiring Foreign Firms Far Away Might Be Hazardous To Your Share Price: Evidence from Germany |
| Authors: | Michael Grote - Goethe University |
| | Fabian Ruecker - Goethe University |
| Discussant: | Charles Beauchamp - Middle Tennessee State University |
|
| Paper 3 | The Impact of Country Risk Factors on U.S. Financials in Cross-border Acquisitions |
| Authors: | Halil Kiymaz - Rollins College |
| Discussant: | James Nguyen - Johnson C. Smith University |
|
|
| Symposium Session |
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-18 (Third Floor) |
| C08 | Banking Structure |
| Session Chair: | Richard Buttimer - University of North Carolina-Charlotte |
|
| Paper 1 | Banking Competition and Capital Ratios |
| Authors: | Klaus Schaeck - Cass Business School |
| | Martin Cihak - International Monetary Fund |
| Discussant: | Agnès Fimayer - University of Luxembourg |
|
| Paper 2 | The Impact of Market Structure, Contestability and Institutional Environment on Banking Competition |
| Authors: | Jacob Bikker - De Nederlandsche Bank |
| | Laura Spierdijk - University of Groningen |
| Discussant: | Alfredo Martin-Oliver - Bank of Spain |
|
| Paper 3 | Information Sharing, Foreign Bank Entry, and Access to Credit |
| Authors: | Lili Xie - Ball State University |
| | Charles Kahn - University of Illinois |
| Discussant: | Anna Chernobai - Syracuse University, Whitman School of Mngt |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CS-514 (Fifth Floor) |
| C09 | Monetary Policy Effects, Bank Entry and Insurance Guarantees |
| Session Chair: | Kenneth Jones - FDIC |
|
| Paper 1 | Loss Sharing Rules for Bank Holding Companies: An Assessment of the Federal Reserve's Source of Strength Policy and the FDIC's Cross-Guarantee Authority |
| Authors: | Kenneth Jones - FDIC |
| | Chris Bradley - FDIC |
| Discussant: | Wendy Edelberg - Federal Reserve Board |
|
| Paper 2 | Economic Determinants and Entry Modes of Foreign Banks into Central and Eastern Europe |
| Authors: | Oskar Kowalewski - Warsaw School of Economics |
| | Aneta Hryckiewicz - Johann Wolfgang Goethe-University |
| Discussant: | Celso Brunetti - Johns Hopkins University |
|
| Paper 3 | A Theory of Linkage between Monetary Policy and Banking Failure in Developing Countries |
| Authors: | Raulin Cadet - Université de Rennes |
| Discussant: | Pierre Yourougou - Syracuse University |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-7 (Third Floor) |
| C10 | Board of Directors Issues |
| Session Chair: | Elena Kalotychou - Cass Business School |
|
| Paper 1 | Director Tenure and the Compensation of Bank CEOs |
| Authors: | Elizabeth Cooperman - University of Colorado-Denver |
| | John Byrd - University of Colorado-Denver |
| | Glenn Wolfe - University of Toledo |
| Discussant: | Scott Yonker - Ohio State |
|
| Paper 2 | Corporate Board Networks and Corporate Governance |
| Authors: | Mihai Badescu - Holy Family University |
| | Parveen Gupta - Lehigh University |
| | James Dearden - Lehigh University |
| Discussant: | Eduardo Pablo - IESA |
|
| Paper 3 | What Has Happened over the Past 10 years to the Selection of Retired CEOs as Board Members? |
| Authors: | Changmin Lee - Indiana University |
| Discussant: | Andreas Schueler - Universitaet der Bundeswehr Munich |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-10 (Third Floor) |
| C11 | Integrated Credit and Market Risks in Bank Portfolios |
| Session Chair: | Dan Jubinski - St. Joseph's University |
|
| Paper 1 | The Standardized Approach in the U.S.: Credit Risk Mitigation and Other Options |
| Authors: | Katherine Wyatt - New York State Banking Department |
| Discussant: | Albert Murphy - SUNY- Old Westbury |
|
| Paper 2 | Inter-Risk Diversification Effects of Integrated Market and Credit Risk Analysis |
| Authors: | Thomas Breuer - PPE Research Centre |
| | Martin Jandacka - Vorarlberg University of Applied Sciences |
| | Klaus Rheinberger - Vorarlberg University of Applied Sciences |
| | Martin Summer - Austrian National Bank |
| Discussant: | Mark Holder - Kent State University |
|
| Paper 3 | Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model |
| Authors: | Nikola Tarashev - Bank for International Settlements |
| | Haibin Zhu - Bank for International Settlements |
| Discussant: | Iwan Meier - HEC Montréal |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-11 (Third Floor) |
| C12 | Banking Competition and Risk Assessment |
| Session Chair: | John Wald - University of Texas-San Antonio |
|
| Paper 1 | Factors Determining Bank Risk: A European Perspective |
| Authors: | Richard Heaney - Royal Melbourne Institute of Technology |
| | Mamiza Haq - Royal Melbourne Institute of Technology |
| Discussant: | Zhaoxia Xu - Bank of Canada |
|
| Paper 2 | The Causal Relationship Between Bank Capital and Profitability |
| Authors: | Raymond Cox - University of Ontario Institute of Technology |
| | David E. Hutchison - Westwood Development Group |
| Discussant: | Edward Lawrence - Florida International University |
|
| Paper 3 | Lending to Uncreditworthy Borrowers |
| Authors: | Rajdeep Sengupta - Federal Reserve Bank of St. Louis |
| Discussant: | Joseph Vu - DePaul University |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-8 (Third Floor) |
| D07 | Asset Pricing and Valuation Theory |
| Session Chair: | Frank Zhang - Morgan Stanley |
|
| Paper 1 | A Two-Factor Asset Pricing Model based on the Fat Tail Distribution of Firm Sizes |
| Authors: | Yannick Malevergne - Ecole de Management de Lyon |
| | Didier Sornette - ETH Zurich |
| Discussant: | Lei Zhang - INSEAD |
|
| Paper 2 | A Simple and Flexible Valuation Model in Continuous Time |
| Authors: | Larry Holland - University of Arkansas at Little Rock |
| Discussant: | Liuren Wu - Baruch College |
|
| Paper 3 | Measuring Agency Cost Premium in Funds Management |
| Authors: | Socorro M. Quintero - Oklahoma City University |
| | Ronnie J. Shaw - Oklahoma City University |
| | Michael Baur - Ball State University |
| | Lloyd Blenman - University of North Carolina-Charlotte |
| Discussant: | Hening Liu - Northern Illinois University |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CR-17 (Third Floor) |
| D08 | Optimal Portfolio Estimation |
| Session Chair: | Steven Clark - University of North Carolina-Charlotte |
|
| Paper 1 | Modeling the Dependence Structure between Bonds and Stocks: A Multidimensional Copula Approach |
| Authors: | Long Kang - Indiana University |
| Discussant: | Alejandro Garcia - Bank of Canada |
|
| Paper 2 | Portfolio Optimization under Parameter Uncertainty |
| Authors: | Daniel Niedermayer - Universität Basel |
| Discussant: | Steinar Ekern - NHH - Norwegian School of Economics and Business Administration |
|
| Paper 3 | Simplifying and Generalizing Some Efficient Frontier and CAPM Related Results |
| Authors: | Steinar Ekern - Norwegian School of Economics and Business Administration |
| Discussant: | Aymen Karoui - HEC Montréal |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CS-530 (Fifth Floor) |
| G01 | Guarantee Fees, Insurance Purchase and Swap Risks |
| Session Chair: | Svetlana Boyarchenko - University of Texas, Austin |
|
| Paper 1 | LIBOR Market Model with Jump Risk: An Empirical Analysis for Pricing Quanto Range Accrual Interest Rate Swap |
| Authors: | Shin-Yun Wang - National Dong Hwa University |
| | Shih-Kuei Lin - National University of Kaohsiung |
| Discussant: | Svetlana Boyarchenko - University of Texas, Austin |
|
| Paper 2 | Revisiting the Main Determinants of Insurance Purchase: An Empirical Study on Crop Insurance Policies in France |
| Authors: | Geoffroy Enjolras - University of Montpellier I |
| | Patrick Sentis - Montpellier Business School |
| Discussant: | Yunbi An - University of Windsor |
|
| Paper 3 | Pricing of Principal-Protected Funds in China: Are the Guarantee Fees High? |
| Authors: | Yunbi An - University of Windsor |
| | Chonghui Jiang - University of Electronic Science and Technology of China |
| | Yongkai Ma - University of Electronic Science and Technology of China |
| Discussant: | Geoffroy Enjolras - University of Montpellier I |
|
|
|
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| CS-544 (Fifth Floor) |
| H03 | Trading Volume and Productivity Growth |
| Session Chair: | Maxim Zagonov - Cass Business School |
|
| Paper 1 | Not All Trading Volumes Are Created Equal: Capital Gains Overhang and Volume Premium after Earnings Announcements |
| Authors: | Kenton Hoyem - University of Alberta |
| | Wonseok Choi - JP Morgan |
| | Jung-Wook Kim - University of Alberta |
| Discussant: | Ana Serra - CEMPRE and University of Porto |
|
| Paper 2 | Duration, Trading Volume and The Price Impact of Trades in An Emerging Futures Market |
| Authors: | Lavern McFarlane - Manchester Business School |
| Discussant: | Christoph Müller - University of Cologne |
|
| Paper 3 | Cost Efficiency, Technological Progress and Productivity Growth of Public, Private, and Foreign Banks in People’s Republic of China: Evidence from Pre and Post WTO Accession |
| Authors: | Seyed Mehdian - University of Michigan-Flint |
| | Rasoul Rezvanian - Northeastern Illinois University |
| | Rima Turk-Ariss - Lebanese American University |
| Discussant: | Jens Grunert - University of Tuebingen |
|
|
| Panel Session |
| Thursday, February 28, 2008, 3.30 pm - 5.00 pm |
| Salon J (Third Floor) |
| I04 | Fundamental Indexing |
| Panel Chair: | Jack Wildermuth - Research Affiliates |
|
| Panel Member 1: Michael Sebastian - Ennis Knupp + Associates |
| Panel Member 2: Robert Arnott - Research Affiliates |
| Rob Arnott, Chairman of Research Affiliates, will "challenge the
challengers" of the Fundamental Indexing concept. Rob will attempt to refute criticisms of the concept levied by cap weighting proponents Jack Bogle of Vanguard, Harvard Professor Andre Perold, Princeton Professor Burt Malkiel and Stanford Professor Emeritus Bill Sharpe.Join us for a lively debate.
|
|
|
| Friday, February 29, 2008, 8.00 am - 9.30 am |
| CR-2 (Third Floor) |
| A16 | Small Business Investment |
| Session Chair: | Viviana Fernandez - University of Chile |
|
| Paper 1 | Capital Budgeting Practices of Small Businesses: Evidence from Rural America |
| Authors: | Larry Prather - Southeastern Oklahoma State |
| | Dan Benco - Southeastern Oklahoma State |
| | John Topuz - Southeastern Oklahoma State |
| | David Romer - Southeastern Oklahoma State |
| Discussant: | Larry Bauer - Memorial University of Newfoundland |
|
| Paper 2 | Compensating Balances and Smaller Businesses: Empirical Evidence |
| Authors: | James Johnson - Northern Illinois University |
| | Natalie Churyk - Northern Illinois University |
| Discussant: | Young Kim - Northern Kentucky University |
|
| Paper 3 | The Financial Growth Life Cycle: An Empirical Examination of Irish SMEs |
| Authors: | Ciarán Mac an Bhaird - Trinity College Dublin |
| | Brian Lucey - Trinity College Dublin |
| Discussant: | Abdullah Makame - Birmingham Business School (UK) |
|
|
|
| Friday, February 29, 2008, 8.00 am - 9.30 am |
| CR-3 (Third Floor) |
| A17 | Valuation |
| Session Chair: | Haigang Zhou - Cleveland State University |
|
| Paper 1 | Company Valuation, Risk Sharing and the Government's Cost of Capital |
| Authors: | Soenke Sievers - University of Cologne |
| | Daniel Kreutzmann - University of Cologne |
| Discussant: | Vishaal Baulkaran - Wilfrid Laurier University |
|
| Paper 2 | Effect of Regulation FD: Firm Disclosures and Structural Changes in Asset Pricing Models |
| Authors: | Edward Lawrence - Florida International University |
| | Arun Prakash - Florida International University |
| | Gordon Karels - University of Nebraska |
| Discussant: | Jennifer Bethel - Babson College |
|
| Paper 3 | Misvaluation and Corporate Spin-offs |
| Authors: | Ying-Chou Lin - University of Missouri-Rolla |
| Discussant: | Norris Larrymore - Quinnipiac University |
|
|
|
| Friday, February 29, 2008, 8.00 am - 9.30 am |
| CR-4 (Third Floor) |
| A18 | Liquidity Effects and Creditor Concentration |
| Session Chair: | Amanda Carmignani - Bank of Italy |
|
| Paper 1 | Costs and Benefits of Creditor Concentration: An Empirical Approach |
| Authors: | Amanda Carmignani - Bank of Italy |
| | Massimo Omiccioli - Bank of Italy |
| Discussant: | Fariz Huseynov - University of Memphis |
|
| Paper 2 | Warrants, Ownership Concentration, and Liquidity |
| Authors: | Brett Olsen - University of Idaho |
| | Paul Brockman - University of Missouri |
| Discussant: | Ritesh Kumar - Indian Institute of Management |
|
| Paper 3 | Liquidity, a Blessing or Curse for Block Holders |
| Authors: | Yan Zhang - Indiana University |
| Discussant: | Augusto Hasman - Universidad Carlos III de Madrid |
|
|
|
| Friday, February 29, 2008, 8.00 am - 9.30 am |
| CR-5 (Third Floor) |
| A19 | Bankruptcy Issues |
| Session Chair: | Peter Szilagyi - University of Cambridge |
|
| Paper 1 | Valuing Options when Stockholders Face Bankruptcy Risk |
| Authors: | Antonio Camara - Oklahoma State |
| | Betty Simkins - Oklahoma State |
| Discussant: | Peter Szilagyi - University of Cambridge |
|
| Paper 2 | The Systematic Module of Bankruptcy Risk |
| Authors: | Dror Parnes - University of South Florida |
| Discussant: | Jens Forssbaeck - Lund University |
|
| Paper 3 | Financial or Social Efficiency under Corporate Bankruptcy? The French Dilemma |
| Authors: | Régis Blazy - University of Luxembourg |
| | Bertrand Chopard - University of Nancy 2 |
| | Jean-Daniel Guigou - University of Luxembourg |
| | Agnès Fimayer - University of Luxembourg |
| Discussant: | Hendrik Scholz - Catholic University of Eichstaett-Ingolstadt |
|
|
|
| Friday, February 29, 2008, 8.00 am - 9.30 am |
| CR-1 (Third Floor) |
| C13 | Bank Lending and Firm Performance |
| Session Chair: | Yannick Malevergne - EM-Lyon |
|
| Paper 1 | Firm Volatiliy and Banks: Evidence from US Banking Deregulation |
| Authors: | Gustavo Suarez - Federal Reserve Board |
| | Ricardo Correa - Federal Reserve Board |
| Discussant: | Zhiqi Wang - University of Reading |
|
| Paper 2 | Banks’ Ownership Structure, Risk and Performance |
| Authors: | Romulo Magalhaes - Universidad Carlos III de Madrid |
| | Maria Gutierrez - Universidad Carlos III de Madrid |
| | Josep Tribo - Universidad Carlos III de Madrid |
| Discussant: | Marcel Marekwica - University of Regensburg |
|
| Paper 3 | Variance and Semivariance Decomposition in Emerging Market Equities: The Impact of Market Integration |
| Authors: | Steve Beach - Radford University |
| Discussant: | Halil Kiymaz - Rollins College |
|
|
|
| Friday, February 29, 2008, 8.00 am - 9.30 am |
| CS-514 (Fifth Floor) |
| C14 | Bank Margins, Mutual Funds and Growth |
| Session Chair: | Hong Qian - Oakland University |
|
| Paper 1 | On Performance & Tracking Error in Exchange-Traded Funds and Index Mutual Funds |
| Authors: | S |
