Academic Session European Finance Association, Annual Meeting, Berlin 2002

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Academic Sessions

Session 01 - Asset Pricing Models Thursday, August 22, 08:30 - 10:00, Room A Chairperson: Frank De Jong (University of Amsterdam) Presentations Stock and Bond Pricing in an Affine Economy Geert Bekaert (Columbia University) Steven Grenadier (Stanford University) Discussant: Hongjun Yan (London Business School) Revisiting the Shape of the Yield Curve: The Effect of Interest Rate Volatility Charlotte Christiansen (Aarhus School of Business) Jesper Lund (Nykredit Bank, SEB) Discussant: Andreas Reschreiter (University of Durham) 'Maximal' Convenience Yield Model Implied by Commodity Futures Jaime Casassus (Carnegie Mellon University) Pierre Collin-Dufresne (Carnegie Mellon University) Discussant: Stanley E. Zin (Carnegie Mellon University) Session 02 - Law and Finance Thursday, August 22, 08:30 - 10:00, Room B Chairperson: Rezaul Kabir (Tilburg University) Presentations Courts and Banks: Effects of Judicial Enforcement on Credit Markets Marco Pagano (Università di Salerno) Tullio Jappelli (Università di Salerno) Magda Bianco (Banca d'Italia) Discussant: Ulrich Hege (HEC School of Management) Corporate Governance, Capital Market Discipline and the Returns on Investment Klaus Gugler (Universität Wien) Dennis Müller (Universität Wien) Burcin Yurtoglu (Universität Wien) Discussant: Elazar Berkovitch (The Interdisciplinary Center Herzliya) Investor Protection and Earnings Management: An International Comparison Christian Leuz (University of Pennsylvania) Peter D. Wysocki (University of Michigan - Ann Arbor) Dhananjay Nanda (University of Michigan Business School) Discussant: Elroy Dimson (London Business School) Session 03 - Banking Thursday, August 22, 08:30 - 10:00, Room C Chairperson: Viral V. Acharya (London Business School) Presentations Do Bank Risk Management and Regulatory Policy Reduce Risk in Banking? Loriana Pelizzon (London Business School and Università di Padova) Stephen Schaefer (London Business School) Discussant: Robert Bliss (Federal Reserve Bank of Chicago) Market Forces at Work in the Banking Industry: Evidence from the Capital Buildup of the 1990s Kasturi Rangan (Case Western Reserve University) Mark J. Flannery (University of Florida) Discussant: Alistair Milne (City University Business School) Contestability, Technology and Banking Reint E. Gropp (Europäische Zentralbank) Sandrine Corvoisier (Europäische Zentralbank) Discussant: n.n. Session 04 - Financial Analysts Thursday, August 22, 08:30 - 10:00, Room D Chairperson: Gregor Andrade (Harvard University) Presentations Career Concerns of Analysts: Compensation, Termination, and Performance Xi Li (Vanderbilt University) Discussant: Jennifer L. Juergens (Arizona State University) Do Security Analysts Exhibit Persistent Differences in Stock Picking Ability? Richard Willis (Duke University) Michael B. Mikhail (Duke University) Beverly R. Walther (Northwestern University) Discussant: Gregor Andrade (Harvard University) Buy-side Analysts, Sell-side Analysts, and Information Transmission: Theory and Evidence Jun Qian (Boston College) Huanliang Liu (Boston College) Yingmei Cheng (Florida State University) Discussant: Xi Li (Vanderbilt University) Session 05 - Symposium: Capital Structure Thursday, August 22, 08:30 - 10:00, Room E Chairperson: Bjarne Astrup Jensen (Copenhagen Business School) Presentations Capital Structure and Real Assets: Effects of an Implicit Collateral to Debt Holders Christian Riis Flor (University of Southern Denmark) Discussant: Josef Zechner (Universität Wien) Columbus Egg: The Real Determinant of Capital Structure Ivo Welch (Yale University) Discussant: Vidhan K. Goyal (Hong Kong University of Science & Technology) Firm Performance, Capital Structure and the Tax Benefits of Employee Stock Options Kuldeep Shastri (University of Pittsburgh) Kathleen M. Kahle (University of Pittsburgh) Discussant: Tim Adam (Hong Kong University of Science & Technology) Session 06 - Large Shareholders Thursday, August 22, 08:30 - 10:00, Room F Chairperson: Thomas H. Noe (Tulane University) Presentations Shareholder Diversification and the Value of Control Martin Holmen (Uppsala Universitet) Richard Heaney (Australian National University) Discussant: Marc Deloof (University of Antwerp) Crushed by a Rational Stampede: Strategic Share Dumping and Shareholder Insurrections Mukarram Attari (University of Wisconsin at Madison) Suman Banerjee (Tulane University) Thomas H. Noe (Tulane University) Discussant: Amir Rubin (University of British Columbia) Votes Without Dividends: Managerial Control through Bank Trust Departments Renée B. Adams (Federal Reserve Bank of New York) Joao C. Santos (Federal Reserve Bank of New York) Discussant: Susan E.K. Christoffersen (Mc Gill University) Session 07 - Trading Options Thursday, August 22, 08:30 - 10:00, Room G Chairperson: Siegfried Trautmann (Johannes Gutenberg-Universität Mainz) Presentations Equilibrium Open Interest Dietmar P. J. Leisen (Mc Gill University) Kenneth L. Judd (Stanford University) Discussant: n.n. Local Expected Shortfall-hedging Marco Schulmerich (Johannes Gutenberg-Universität Mainz) Siegfried Trautmann (Johannes Gutenberg-Universität Mainz) Discussant: n.n. Sharpening Sharpe Ratios William N. Goetzmann (Yale University) Jonathan Ingersoll (Yale University) Matthew Spiegel (Yale University) Ivo Welch (Yale University) Discussant: Elisa Luciano (Università di Torino) Session 08 - Asset Pricing Theory Thursday, August 22, 10:30 - 12:00, Room A Chairperson: Hermann Göppl (Universität Fridericiana Karlsruhe) Presentations Rational Asset Pricing Implications from Realistic Trading Frictions Jean-Pierre Zigrand (London School of Economics) Discussant: Peter L. Swan (University of New South Wales) Risk, Robustness and Knightian Uncertainty in Continuous Time, Heterogenous Agents, Financial Equilibria Fabio Trojani (University of Southern Switzerland) Paolo Vanini (University of Southern Switzerland) Discussant: Umberto Cherubini (Università di Bologna) Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-affine Framework Pierre Collin-Dufresne (Carnegie Mellon University) Robert S. Goldstein (Ohio State University) Discussant: n.n. Session 09 - Corporate Bonds Thursday, August 22, 10:30 - 12:00, Room B Chairperson: Ian Cooper (London Business School) Presentations The Jarrow/Turnbull Default Risk Model - Evidence from the German Market Leopold Sögner (Wirtschaftsuniversität Wien) Manfred Frühwirth (Wirtschaftsuniversität Wien) Discussant: Terry Cheuk (University of Hong Kong) Default Compensator, Incomplete Information, and the Term Structure of Credit Spreads Kay Giesecke (Humboldt-Universität zu Berlin) Discussant: Joost Driessen (University of Amsterdam) Is Default Event Risk Priced in Corporate Bonds? Joost Driessen (University of Amsterdam) Discussant: Ilya A. Strebulaev (London Business School) Session 10 - Regulating Financial Markets Thursday, August 22, 10:30 - 12:00, Room C Chairperson: Paul Bennett (New York Stock Exchange, Inc.) Presentations Cooperation in International Banking Supervision: A Political Economy Approach Cornelia Holthausen (Europäische Zentralbank) Thomas Roende (Universität Mannheim) Discussant: n.n. Who is Afraid of Reg FD? The Behavior and Performance of Sell-side Analysts Following the SEC's Fair Disclosure Rules Anup Agrawal (University of Alabama) Sahiba Chadha (University of Alabama) Discussant: Richard Willis (Duke University) Market Response to European Regulation of Business Combinations Nihat Aktas (Université Catholique de Louvain) Richard Roll (University of California - Los Angeles) Eric de Bodt (Université Catholique de Louvain) Discussant: n.n. Session 11 - Momentum Investing Thursday, August 22, 10:30 - 12:00, Room D Chairperson: Peter Hecht (Harvard University) Presentations Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole Spencer Martin (Arizona State University) Discussant: Stefan Nagel (London Business School) Momentum and Turnover: Evidence from the German Stock Market Markus Glaser (Universität Mannheim) Martin Weber (Universität Mannheim) Discussant: Roger Otten (Maastricht University) Do Countries or Industries Explain Momentum in Europe? Marno Verbeek (Erasmus University Rotterdam) Theo E. Nyman (Tilburg University) Laurens Swinkels (Tilburg University) Discussant: Jennifer Conrad (University of North Carolina at Chapel Hill) Session 12 - Symposium: Investment Thursday, August 22, 10:30 - 12:00, Room E Chairperson: Bruce Grundy (University of Melbourne) Presentations Tax Management Strategies with Multiple Risky Assets Michael F. Gallmeyer (Carnegie Mellon University) Ron Kaniel (University of Texas at Austin) Stathis Tompaidis (University of Texas at Austin) Discussant: n.n. Portfolio Allocation Choices in Taxable and Tax-deferred Accounts: An Empirical Analysis of Tax Efficiency Gene Amromin (University of Chicago) Discussant: Richard Stapleton (University of Strathclyde) Some Evidence that a Tobin Tax on Foreign Exchange Transactions may Increase Volatility Bhagwan Chowdhry (University of California - Los Angeles) Robert Aliber (University of Chicago) Shu Yan (University of Arizona) Discussant: Ney O. Brito (Ney O. Brito & Associados and IAFEI - International Association of Finance Executive Institutes) Session 13 - Ownership Structure Thursday, August 22, 10:30 - 12:00, Room F Chairperson: Claudio F. Loderer (Universität Bern) Presentations Are Two Investors Better than One? Peter Simmons (University of York) Anna Maria C. Menichini (Università di Salerno) Discussant: Jun Qian (Boston College) Are European Corporations Fleecing Minority Shareholders? Results from a New Empirical Approach Gilberto Loureiro (Universidade do Minho) Jose Guedes (Universidade Catolica Portuguesa) Discussant: Claudio F. Loderer (Universität Bern) Managerial Labour Market and Governance Role of Shareholder Control Structures in the UK Grzegorz Trojanowski (Tilburg University) Luc Renneboog (Tilburg University) Discussant: Lixin Colin Xu (The World Bank) Session 14 - Econometrics of Financial Markets Thursday, August 22, 10:30 - 12:00, Room G Chairperson: Theo E. Nyman (Tilburg University) Presentations Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans Carsten Sorensen (Copenhagen Business School) Martin Christian Richter (Copenhagen Business School) Discussant: n.n. Stochastic Volatility for L�vy Processes Hélyette Geman (Université Paris IX Dauphine & ESSEC) Peter Carr (Bank of America Securities) Dilip B. Madan (University of Maryland) Marc Yor (Université Paris VI) Discussant: Robert Tompkins (Technische Universität Wien) Modelling Extreme-value Dependence in International Stock Markets Ser-Huang Poon (University of Strathclyde) Michael Rockinger (HEC School of Management) Jonathan Tawn (Lancaster University) Discussant: n.n. Session 15 - Mutual Funds Thursday, August 22, 15:00 - 16:00, Room A Chairperson: Roger Otten (Maastricht University) Presentations Governance and Boards of Directors in Closed-end Investment Companies Larry Dann (University of Oregon) M. Megan Partch (University of Oregon) Diane Del Guercio (University of Oregon) Discussant: Gordon Gemmill (City University Business School) Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows Masahiro Watanabe (Yale University) William N. Goetzmann (Yale University) Stephen Brown (New York University) Takato Hiraki (International University of Japan) Noriyoshi Shiraishi (Rikkyo University) Discussant: Marno Verbeek (Erasmus University Rotterdam) Session 16 - Sovereign Debt Markets Thursday, August 22, 15:00 - 16:00, Room B Chairperson: Michael Adler (Columbia University) Presentations Competition and Intervention in Sovereign Debt Markets Bernhard Paasche (International Monetary Fund) Stanley E. Zin (Carnegie Mellon University) Discussant: n.n. Expropriation Risk and Return in Global Equity Markets Magnus Dahlquist (Duke University and Centre for Economic Policy Research) Ravi Bansal (Duke University) Discussant: Michael Adler (Columbia University) Session 17 - Finance and Accounting Thursday, August 22, 15:00 - 16:00, Room C Chairperson: Anup Agrawal (University of Alabama) Presentations The World Price of Earnings Opacity Hazem Daouk (Cornell University) Utpal Bhattacharya (Indiana University) Discussant: Ronald E. Shrieves (University of Tennessee) Quality of Information and Volatility Around Earnings Announcements Suleiman R. Mohammed (The Institute of Finance Management) Pradeep K. Yadav (University of Strathclyde) Discussant: Hazem Daouk (Cornell University) Session 18 - Insider Trading Thursday, August 22, 15:00 - 16:00, Room D Chairperson: n.n. Presentations Insider Trading and Corporate Control Structures: Evidence from The U.K. Jana P. Fidrmucova (Tilburg University) Luc Renneboog (Tilburg University) Discussant: Arturo Bris (Yale University) Market Timing and Managerial Portfolio Decisions Dirk C. Jenter (Harvard University) Discussant: Viral V. Acharya (London Business School) Session 19 - Symposium: Options and Valuation Thursday, August 22, 15:00 - 16:00, Room E Chairperson: n.n. Presentations On Valuation Before and After Tax in No Arbitrage Models: Tax Neutrality in the Discrete Time Model Bjarne Astrup Jensen (Copenhagen Business School) Discussant: Robert McDonald (Northwestern University) The Tax (Dis)Advantage of a Firm Issuing Options on Its Own Stock Robert McDonald (Northwestern University) Discussant: n.n. Session 20 - Mergers & Acquisitions Thursday, August 22, 15:00 - 16:00, Room F Chairperson: Erik Stafford (Harvard University) Presentations Bank Mergers, Competition and Liquidity Philipp Hartmann (Europäische Zentralbank) Giancarlo Spagnolo (Universität Mannheim) Elena Carletti (Universität Mannheim) Discussant: Juergen Weigand (WHU Otto-Beisheim-Hochschule Koblenz) Shareholder Wealth Effects in the Cross-Border Market for Corporate Control Darius Miller (Indiana University) David R. Kuipers (Texas A&M University) Ajay Patel (Wake Forest University) Discussant: Lawrence Goldberg (University of Miami) Session 21 - Real Options/Hedging Thursday, August 22, 15:00 - 16:00, Room G Chairperson: n.n. Presentations Why Firms Use Non-linear Hedging Strategies Tim Adam (Hong Kong University of Science & Technology) Discussant: Andrea Gamba (Università di Verona) Real Options Valuation: A Monte Carlo Approach Andrea Gamba (Università di Verona) Discussant: Grzegorz Pawlina (Tilburg University) Session 22 - Empirical Asset Pricing Thursday, August 22, 16:30 - 18:00, Room A Chairperson: n.n. Presentations Output and Expected Returns - A Multicountry Study Jesper Rangvid (Copenhagen Business School) Discussant: Christian T. Lundblad (Indiana University) Investors' Activity and Trading Behavior Petri Kyröläinen (University of Oulu) Jukka Perttunen (University of Oulu) Discussant: Ning Gong (University of Melbourne) Do Macroeconomic Announcements Cause Asymmetric Volatility? Peter De Goeij (Katholieke Universiteit Leuven) Wessel Marquering (Erasmus University Rotterdam) Discussant: Charlotte Christiansen (Aarhus School of Business) Session 23 - Leverage & Design of Debt Thursday, August 22, 16:30 - 18:00, Room B Chairperson: Turki Alshimmiri (Kuwait University) Presentations Is Debt Maturity Determined by Asymmetric Information about Short-term or Long-term Earnings? Petra Danisevska (Erasmus University) Discussant: Cesário Mateus (Aarhus School of Business) The Role of Target Leverage in Security Issues and Repurchases Armen Hovakimian (Baruch College) Discussant: Petra Danisevska (Erasmus University) Contingent Control Rights and Managerial Incentives: The Design of Long-term Debt Zsuzsanna Fluck (Michigan State University) Discussant: Yrjö Koskinen (Stockholm School of Economics) Session 24 - Bank Loans Thursday, August 22, 16:30 - 18:00, Room C Chairperson: Reint E. Gropp (Europäische Zentralbank) Presentations Agency Costs, Bank Specialness and Renegotiation Sreedhar T. Bharath (New York University) Discussant: Andreas Pfingsten (Westfälische Wilhelms-Universität Münster) Lazy Entrepreneurs or Dominant Banks? An Empirical Analysis of the Market for SME Loans in the UK Robert Cressy (City University of London) Otto Toivanen (Helsinki School of Economics) Discussant: n.n. The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios Viral V. Acharya (London Business School) Anthony Saunders (New York University) Iftekhar Hasan (New Jersey Institute of Technology) Discussant: Reint E. Gropp (Europäische Zentralbank) Session 25 - Behavioral Finance Thursday, August 22, 16:30 - 18:00, Room D Chairperson: Markku Vieru (University of Oulu) Presentations The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes Raymond R. da Silva Rosa (University of Western Australia) Terry Walter (University of New South Wales) Philip Brown (University of Western Australia) Nick Chappel (University of Sydney) Discussant: n.n. Dying Out or Dying Hard? Disposition Investors in Stock Markets Andreas Oehler (Universität Bamberg) Klaus Heilmann (Universität Bamberg) Volker Laeger (Universität Bamberg) Michael Oberländer (Universität Bamberg) Discussant: Markus Glaser (Universität Mannheim) Disappointment, Pessimism and the Equity Risk Premia Nicolas Nalpas (HEC Montréal) Thierry Chauveau (Université Paris I Panthéon-Sorbonne) Discussant: Jean-Pierre Zigrand (London School of Economics) Session 26 - Modelling Stock Returns Thursday, August 22, 16:30 - 18:00, Room E Chairperson: Philipp Hartmann (Europäische Zentralbank) Presentations Downside Correlation and Expected Stock Returns Joseph Chen (University of Southern California) Andrew Ang (Columbia University and NBER) Yuhang Xing (Columbia University) Discussant: Lubos Pastor (University of Chicago) Bankruptcy Happens: A Study of the Mechanics of Distress-driven CAPM Anomalies Carlos A. Mello-e-Souza (Seattle University) Discussant: Frans De Roon (Tilburg University) Market Integration and Contagion Geert Bekaert (Columbia University) Angela Ng (Hong Kong University of Science & Technology) Campbell R. Harvey (Duke University) Discussant: Joseph Chen (University of Southern California) Session 27 - Capital Structure Thursday, August 22, 16:30 - 18:00, Room F Chairperson: Josef Zechner (Universität Wien) Presentations Repeated Dilution of Diffusely Held Debt Ulrich Hege (HEC School of Management) Pierre Mella-Barral (London Business School) Discussant: n.n. Legal Environment, Capital Structure and Firm Growth. International Evidence from Industry Data Natalia Utrero Gonzalez (Universidad Carlos III) Discussant: Radislav Semenov (University of Nijmegen) Limited Liability Rules, Financial Innovation and Capital Structure Complexity Michel Robe (American University) Discussant: Suman Banerjee (Tulane University) Session 28 - Market Efficiency Friday, August 23, 08:30 - 10:00, Room A Chairperson: Elroy Dimson (London Business School) Presentations Testing Weak-form Efficiency of the Russian Stock Market Natalja V. Abrosimova (University of Cambridge) Dirk Linowski (University of Nijmegen) Discussant: Peter Hecht (Harvard University) Does Risk or Mispricing Explain the Cross-section of Stock Prices? Tuomo Vuolteenaho (Harvard University) Randolph Cohen (Harvard University) Christopher Polk (Northwestern University) Discussant: Thierry Post (Erasmus University) Behavior and Performance of Investment Newsletters Analysts Vicente Pons (Yale School of Manegement) Alok Kumar (Cornell University) Discussant: Raghavendra P. Rau (Purdue University) Session 29 - Hedging Friday, August 23, 08:30 - 10:00, Room B Chairperson: Carsten Sorensen (Copenhagen Business School) Presentations Hedging Non-tradable Risk with Instantaneous Forward Contracts Rafal Wojakowski (Lancaster University) Discussant: Antje Dudenhausen (Universität Bonn) Hedging with Forwards and Puts in Complete and Incomplete Markets Casper Oosterhof (University of Groningen) Simon Benninga (Tel Aviv University) Discussant: Rafal Wojakowski (Lancaster University) Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions Antje Dudenhausen (Universität Bonn) Discussant: n.n. Session 30 - International Asset Pricing Friday, August 23, 08:30 - 10:00, Room C Chairperson: Ney O. Brito (Ney O. Brito & Associados and IAFEI - International Association of Finance Executive Institutes) Presentations Asymmetry of Information in Emerging Markets: Should a Firm Issue Its Securities Locally or Abroad? Nuno C. Martins (Universidade Nova de Lisboa and Bank of Portugal) Discussant: Peter Groznik (Indiana University) On the Strength of the US Dollar: Can it Be Explained by Output Growth? Peter Vlaar (De Nederlandsche Bank) Discussant: Juha Junttila (University of Oulu) An Evaluation of International Asset Pricing Models Magnus Dahlquist (Duke University and Centre for Economic Policy Research) Torbjörn Sällström (Stockholm School of Economics) Discussant: Ian Cooper (London Business School) Session 31 - Venture Capital Contracts Friday, August 23, 08:30 - 10:00, Room D Chairperson: Robert Hansen (Tulane University) Presentations On the Strategic Use of Corporate Venture Financing for Securing Demand Armin Schwienbacher (Université de Namur) Yohannes E. Riyanto (National University of Singapore) Discussant: n.n. Start-up Financing: Banks vs. Venture Capital Augustin Landier (Massachusetts Institute of Technology) Discussant: Hans Hvide (NHH) The Effect of Capital Market Characteristics on the Value of Start-up Firms Roman Inderst (London School of Economics) Holger Müller (New York University) Discussant: n.n. Session 32 - Symposium: Public Finance Friday, August 23, 08:30 - 10:00, Room E Chairperson: Bjarne Astrup Jensen (Copenhagen Business School) Presentations Interjurisdictional Company Taxation in Europe, the German Reform and the New EU Suggested Direction Marcel Gérard (Facultés Universitaires Catholiques de Mons FUCaM) Discussant: n.n. Classical Corporation Tax as a Global Means of Tax Harmonization Jouko Ylä-Liedenpohja (University of Tampere) Seppo Kari (Government Institute for Economic Research) Discussant: Marcel Gérard (Facultés Universitaires Catholiques de Mons FUCaM) Start-ups, Venture Capitalists, and the Capital Gains Tax Soren Bo Nielsen (Copenhagen Business School) Christian Keuschnigg (University of St. Gallen) Discussant: Jouko Ylä-Liedenpohja (University of Tampere) Session 33 - Market Microstructure Friday, August 23, 08:30 - 10:00, Room F Chairperson: Duane Seppi (Carnegie Mellon University) Presentations Market Quality and Trader Behavior in a Manipulated Market: Anatomy of a Squeeze John Merrick (Baruch College) Narayan Y. Naik (London Business School) Pradeep K. Yadav (University of Strathclyde) Discussant: n.n. Dealer Behaviour and Market Quality when Insiders Trade David Hillier (University of Strathclyde) Narayan Y. Naik (London Business School) Pradeep K. Yadav (University of Strathclyde) Discussant: n.n. Institutional Trading Costs and Alternative Trading Systems Jennifer Conrad (University of North Carolina at Chapel Hill) Kevin M. Johnson (Aronson+Partners) Sunil Wahal (Emory University) Discussant: Oliver Hansch (Penn State University) Session 34 - Asset Pricing with Heterogeneous Beliefs Friday, August 23, 10:30 - 12:00, Room A Chairperson: Christian Wolff (Maastricht University) Presentations Is Learning a Dimension of Risk? Andrei Simonov (Stockholm School of Economics) Massimo Massa (INSEAD) Discussant: Piet Sercu (Katholieke Universiteit Leuven) Stock Market Fundamentals and Heterogeneity of Beliefs: Tests Based on a Decomposition of Returns and Volatility Jennifer L. Juergens (Arizona State University) Eric Ghysels (University of North Carolina at Chapel Hill) Discussant: Günter Franke (Universität Konstanz) Information and the Cost of Capital Maureen O'Hara (Cornell University) David Easley (Cornell University) Discussant: Karl Ludwig Keiber (WHU Otto-Beisheim-Hochschule Koblenz) Session 35 - Risk Management Friday, August 23, 10:30 - 12:00, Room B Chairperson: Rajna Gibson (Universität Zürich) Presentations An Empirical Investigation of the Rank Correlation Between Different Risk Measures Carsten Hahn (Westfälische Wilhelms-Universität Münster) Andreas Pfingsten (Westfälische Wilhelms-Universität Münster) Peter Wagner (Westfälische Wilhelms-Universität Münster) Discussant: Ser-Huang Poon (University of Strathclyde) Risk Management for Derivatives in Illiquid Markets: A Simulation Study Rüdiger Frey (Universität Leipzig) Pierre Patie (ETH Zürich) Discussant: Nicole Branger (Johann Wolfgang Goethe-Universität Frankfurt/M.) Asset Price Dynamics with Value-at-Risk Constrained Traders Jón Danielsson (London School of Economics) Jean-Pierre Zigrand (London School of Economics) Hyun Song Shin (London School of Economics) Discussant: Siegfried Trautmann (Johannes Gutenberg-Universität Mainz) Session 36 - International Stock Markets Friday, August 23, 10:30 - 12:00, Room C Chairperson: Marti Subrahmanyam (New York University) Presentations The Price of Inflation and Foreign Exchange Risk in International Equity Markets Cesare Robotti (Federal Reserve Bank of Atlanta) Discussant: Bruno Gerard (Norwegian School of Management) Cross-country Differences in Stock Market Development: A Cultural View Eelke de Jong (University of Nijmegen) Radislav Semenov (University of Nijmegen) Discussant: Astrid Eisenberg (WHU Otto-Beisheim-Hochschule Koblenz) Characterizing Asymmetric Information in International Equity Markets Rui A. Albuquerque (University of Rochester) Gregory H. Bauer (University of Rochester) Martin Schneider (University of California) Discussant: Gaston Gelos (International Monetary Fund) Session 37 - Equity Offerings Friday, August 23, 10:30 - 12:00, Room D Chairperson: Yrjö Koskinen (Stockholm School of Economics) Presentations Price Support by Underwriters in Initial and Seasoned Public Offerings Ekkehart Boehmer (New York Stock Exchange, Inc.) Raymond Fishe (University of Miami) Discussant: Robert Hansen (Tulane University) Aftermarket Short Covering and the Pricing of IPOs Andreas Park (University of Cambridge) Björn Bartling (Ludwig-Maximilian-Universität München) Discussant: Nuno C. Martins (Universidade Nova de Lisboa and Bank of Portugal) Discounting and Underprincing in Seasoned Equity Offers Robert Hansen (Tulane University) Oya Altinkilic (University of Pittsburgh) Discussant: Christoph Kaserer (Technische Universität München) Session 38 - Symposium: Dividend Policy Friday, August 23, 10:30 - 12:00, Room E Chairperson: Kristian Rydqvist (Norwegian School of Management) Presentations Dividend Policy Inside the Firm Mihir Desai (Harvard University) C. Fritz Foley (National Bureau of Economic Research) James R. Hines (National Bureau of Economic Research) Discussant: Efrat Tolkowsky (Technion - Israel Institute of Technology) Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden Sven-Olov Daunfeldt (Umea University) Discussant: n.n. The Market for Legal Ownership Susan E.K. Christoffersen (Mc Gill University) Christopher Geczy (University of Pennsylvania) David Musto (University of Pennsylvania) Adam V. Reed (University of North Carolina) Discussant: Jan Felix Meschke (Arizona State University) Session 39 - Empirical Market Microstructure Friday, August 23, 10:30 - 12:00, Room F Chairperson: Cornelia Holthausen (Europäische Zentralbank) Presentations Price Impact Costs and the Limit of Arbitrage Masahiro Watanabe (Yale University) Werner Stanzl (Yale University) Zhiwu Chen (Yale University) Discussant: Frank De Jong (University of Amsterdam) Do Dealer Firms Manage Inventory on a Stock-by-stock or a Portfolio Basis? Narayan Y. Naik (London Business School) Pradeep K. Yadav (University of Strathclyde) Discussant: Avi Wohl (Tel Aviv University) Towards Deep and Liquid Markets: Lessons from the Open and Close at the London Stock Exchange Ian Tonks (University of Bristol) Andrew Ellul (Indiana University) Hyun Song Shin (London School of Economics) Discussant: Patrik Sandås (University of Pennsylvania) Session 40 - Fund Management Friday, August 23, 14:30 - 16:00, Room A Chairperson: Loriana Pelizzon (London Business School and Università di Padova) Presentations Risk Management with Benchmarking Lucie Teplá (INSEAD) Suleyman Basak (London Business School) Alex Shapiro (New York University) Discussant: Juan-Pedro Gómez López (Norwegian School of Management) Optimal Contracts for Teams of Money Managers Pegaret Pichler (Boston College) Discussant: n.n. International Portfolio Diversification: Industry, Country, and Currency Effects Revisited Frans De Roon (Tilburg University) Bruno Gerard (Norwegian School of Management) Pierre Hillion (INSEAD) Discussant: Peter C. Schotman (Maastricht University) Session 41 - Options Friday, August 23, 14:30 - 16:00, Room B Chairperson: Ton Vorst (Erasmus University Rotterdam and ABN Amro) Presentations Pricing Vulnerable Options with Copulas Elisa Luciano (Università di Torino) Umberto Cherubini (Università di Bologna) Discussant: Eric Benhamou (Goldman Sachs International) Non-redundant Options in a Dynamic General Equilibrium Economy Harjoat Bhamra (London Business School) Raman Uppal (London Business School) Leonid Kogan (MIT) Discussant: Gianluca Cassese (Università Commerciale "Luigi Bocconi") Option-implied Risk Aversion Estimates: Robustness and Patterns Robert Bliss (Federal Reserve Bank of Chicago) Nikolaos Panigirtzoglou (Bank of England) Discussant: Stephen J. Taylor (Lancaster University) Session 42 - Stock Markets and the Macroeconomy Friday, August 23, 14:30 - 16:00, Room C Chairperson: George M. von Furstenberg (Fordham University) Presentations Idiosyncratic Consumption Risk and the Cross-section of Asset Returns Kris Jacobs (McGill University) Kevin Q. Wang (University of Toronto) Discussant: Yuming Li (California State University) Consumption Habit and International Stock Returns Yuming Li (California State University) Maosen Zhong (University of Texas at Brownsville) Discussant: Jesper Rangvid (Copenhagen Business School) Growth Volatility and Equity Market Liberalization Christian T. Lundblad (Indiana University) Geert Bekaert (Columbia University) Campbell R. Harvey (Duke University) Discussant: Bernhard Paasche (International Monetary Fund) Session 43 - Structuring IPOs Friday, August 23, 14:30 - 16:00, Room D Chairperson: Ruud van Frederikslust (Erasmus University) Presentations Are Initial Return and IPO Discount the Same Thing? A Comparison of Direct Public Offerings and Underwritten IPOs Tai Ma (National Sun Yat-sen University) Pei Ru Tsai (National Sun Yat-sen University) Discussant: Francois Derrien (Groupe HEC) Issuers, Underwriters and Institutional Investors: Why They All Like the Book-building IPO Procedure Francois Derrien (Groupe HEC) Discussant: Alexander Stomper (Universität Wien) Structuring the IPO: Empirical Evidence on the Primary and Secondary Portion Cynthia Van Hulle (Katholieke Universiteit Leuven) Nancy Huyghebaert (Katholieke Universiteit Leuven) Discussant: Wolfgang Aussenegg (Technische Universität Wien) Session 44 - Conglomerates Friday, August 23, 14:30 - 16:00, Room E Chairperson: Marno Verbeek (Erasmus University Rotterdam) Presentations Diversification Discount or Premium? New Evidence from BITS Establishement-level Data Belén Villalonga (Harvard University) Discussant: n.n. Return Sensitivity to Industry Shocks: Evidence on the (In-)Efficient Use of Internal Capital Markets Joao F. Cocco (London Business School) Jan Mahrt-Smith (London Business School) Discussant: Martin Holmen (Uppsala Universitet) Incentives in Internal Capital Markets: Capital Constraints, Competition, and Investment Opportunities Christian Laux (London School of Economics) Roman Inderst (London School of Economics) Discussant: n.n. Session 45 - Market Efficiency and Microstructure Friday, August 23, 14:30 - 16:00, Room F Chairperson: n.n. Presentations Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange Markku Vieru (University of Oulu) Discussant: Christophe Bisière (University of Perpignan) Investor Awareness and Market Segmentation: Evidence from S&P 500 Index Changes Gregory Noronha (Arizona State University West) Honghui Chen (University of Baltimore) Vijay Singal (Virginia Polytechnic Inst. & State Univ.) Discussant: Darius Miller (Indiana University) Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ Christophe Bisière (University of Perpignan) Bruno Biais (Université de Toulouse) Chester Spatt (Carnegie Mellon University) Discussant: Gregory Noronha (Arizona State University West) Session 46 - Asset Allocation Friday, August 23, 16:30 - 18:00, Room A Chairperson: Lawrence Goldberg (University of Miami) Presentations Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach Alexander Stremme (University of Warwick) Abhay Abhyankar (University of Warwick) Devraj Basu (University of Warwick) Discussant: Alessandro Sbuelz (Tilburg University) Model Misspecification and Under-diversification Raman Uppal (London Business School) Tan Wang (University of British Columbia) Discussant: David Feldman (Ben-Gurion University of the Negev) Long Term Portfolio Strategy Given Uncertain Personal Savings Richard Stapleton (University of Strathclyde) Günter Franke (Universität Konstanz) Sandra Peterson (University of Strathclyde) Discussant: Gene Amromin (University of Chicago) Session 47 - Energy Markets Friday, August 23, 16:30 - 18:00, Room B Chairperson: John Parsons (Charles River Associates Inc.) Presentations Exotics and Electrons: Electric Power Crises and Financial Risk Management Suman Banerjee (Tulane University) Thomas H. Noe (Tulane University) Discussant: Hélyette Geman (Université Paris IX Dauphine & ESSEC) The Price of Power: The Valuation of Power and Weather Derivatives Craig Pirrong (Oklahoma State University) Martin Jermakyan (ElectraPartner.com) Discussant: Thomas H. Noe (Tulane University) Modelling Electricity Prices: International Evidence Juan Ignacio Peña (Universidad Carlos III de Madrid) Alvaro Escribano (Universidad Carlos III de Madrid) Pablo Villaplana (Universidad Carlos III de Madrid) Discussant: Cyriel De Jong (Erasmus University) Session 48 - Emerging Markets Friday, August 23, 16:30 - 18:00, Room C Chairperson: Tom Berglund (Swedish School of Economics & Business Administration) Presentations Crony Lending in Thailand Before the Financial Crisis Yupana Wiwattanakantang (Hitotsubashi University) Raja Kali (University of Arkansas) Chutatong Charumilind (Cornell University) Discussant: Olesya V. Grishchenko (New York University) Budget Constraints and Profitability: Evidence from a Transition Economy Marian Rizov (Katholieke Universiteit Leuven) Discussant: n.n. What Drives Equity Returns in Central and Eastern Europe Magdalena Sokalska (Warsaw School of Economics) Discussant: Dirk Linowski (University of Nijmegen) Session 49 - IPO Pricing Friday, August 23, 16:30 - 18:00, Room D Chairperson: Maureen O'Hara (Cornell University) Presentations Mispricing in IPO Methods and the Predictive Ability of Investors' Interest for New Issues Salim Chahine (Audencia-Nantes) Discussant: Vicente Pons (Yale School of Manegement) Who Knows What When? - The Information Content of Pre-IPO Market Prices Gunter Löffler (Johann Wolfgang Goethe-Universität Frankfurt/M.) Erik Theissen (Universität Bonn) Patrick F. Panther (Commerzbank AG) Discussant: Carsten Kruppe (Humboldt-Universität zu Berlin) Sticky Prices: IPO Pricing on Nasdaq and the Neuer Markt Alexander Stomper (Universität Wien) Wolfgang Aussenegg (Technische Universität Wien) Pegaret Pichler (Boston College) Discussant: Imre Kiss (Humboldt-Universität zu Berlin) Session 50 - Internal Capital Markets Friday, August 23, 16:30 - 18:00, Room E Chairperson: Gabriella Chiesa (Università di Bologna) Presentations Allocation of Decision-making Authority Milton Harris (University of Chicago) Artur Raviv (Northwestern University) Discussant: Sudipto Dasgupta (Hong Kong University of Science & Technology) On the Value of Influence Activities: Is Lobbying in Internal Capital Markets Always Detrimental to the Firm? Volker Laux (Johann Wolfgang Goethe-Universität Frankfurt/M.) Discussant: Andreas Park (University of Cambridge) Internal Capital Markets: The Insurance-contagion Trade-off Ulrich Hege (HEC School of Management) Lorand Ambrus-Lakatos (Central European University) Discussant: n.n. Session 51 - Short Selling and Short Squeezes Friday, August 23, 16:30 - 18:00, Room F Chairperson: n.n. Presentations An Examination of Heterogeneous Beliefs with a Short Sale Constraint Michael F. Gallmeyer (Carnegie Mellon University) Burton Hollifield (Carnegie Mellon University) Discussant: n.n. Multiple Unit Auctions and Short Squeezes Ilya A. Strebulaev (London Business School) Kjell G. Nyborg (London Business School) Discussant: n.n. Heterogeneous Beliefs, Short Sale Constraint, and the Effect of Index Option Initiation on Price, Utility and Volatility Amir Rubin (University of British Columbia) Alan Kraus (University of British Columbia) Discussant: Benjamin Croitoru (McGill University) Session 52 - Agency Problems and Incentives Saturday, August 24, 08:30 - 10:00, Room A Chairperson: n.n. Presentations Managers, Workers, and Corporate Control Paolo F. Volpin (London Business School) Marco Pagano (Università di Salerno) Discussant: Sanjay Banerji (McGill University) The Choice of the Medium of Exchange in Acquisitions: A Direct Test of the Double-sided Asymmetric Information Hypothesis Thomas Chemmanur (Boston College) Imants Paeglis (Concordia University) Discussant: Micah Officer (University of Southern California) Agency Problems are Ameliorated by Stock Market Liquidity: Monitoring, Information and the Use of Stock-based Compensation Peter L. Swan (University of New South Wales) Gerald Garvey (Claremont Graduate University) Discussant: n.n. Session 53 - Volatility Saturday, August 24, 08:30 - 10:00, Room B Chairperson: Randolph Cohen (Harvard University) Presentations Measuring Private Information Trading in Emerging Markets Olesya V. Grishchenko (New York University) Jianping Mei (New York University) Lubomir P. Litov (New York University) Discussant: Eva Liljeblom (Swedish School of Economics & Business Administration) Modelling the Implied Probability of Stock Market Declines Martin Scheicher (Österreichische Nationalbank) Ernst Glatzer (Österreichische Nationalbank) Discussant: n.n. Forecasting Sterling/Dollar Volatility: Implied Volatilities versus Long Memory Intraday Models Shiu-yan Pong (Lancaster University) Stephen J. Taylor (Lancaster University) Mark Shackleton (Lancaster University) Xinzhong Xu (Lancaster University) Discussant: Theo E. Nyman (Tilburg University) Session 54 - EMU and the Euro Saturday, August 24, 08:30 - 10:00, Room C Chairperson: Ulrich Hege (HEC School of Management) Presentations Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations Kjell G. Nyborg (London Business School) Ilya A. Strebulaev (London Business School) Ulrich Bindseil (Europäische Zentralbank) Discussant: Witold Rutkowski (Higher School of Economics and Arts in Skierniewice) The Impact of the Euro on Foreign Exchange Rate Risk Exposures Söhnke M. Bartram (Lancaster University) Stefanie Kleimeier-Ros (Universiteit Maastricht) Andrew Karolyi (Ohio State University) Discussant: Pål E. Korsvold (Norwegian School of Management) Foreign Exchange Markets' Perceptions of EMU Participation by Finland, France, Italy, and Portugal Bernd Wilfling (HWWA Hamburg) Discussant: n.n. Session 55 - Credit Markets Saturday, August 24, 08:30 - 10:00, Room D Chairperson: Xavier Freixas (Universitat Pompeu Fabra) Presentations Competition and Strategic Information Acquisition in Credit Markets Robert Hauswald (University of Maryland) Robert Marquez (University of Maryland) Discussant: Gabriella Chiesa (Università di Bologna) Multiple Lenders and Corporate Distress: Evidence on Debt Restructuring Antje Brunner (Freie Universität Berlin) Jan Pieter Krahnen (Johann Wolfgang Goethe-Universität Frankfurt/M.) Discussant: Clas Wihlborg (Copenhagen Business School) The Optimal Concentration of Creditors Arturo Bris (Yale University) Ivo Welch (Yale University) Discussant: n.n. Session 56 - Corporate Finance Saturday, August 24, 08:30 - 10:00, Room E Chairperson: Frans Tempelaar (University of Groningen) Presentations The Impact of Bankruptcy Rules on Risky Project Choice and Skill Formation under Credit Rationing Clas Wihlborg (Copenhagen Business School) Shubhashis Gangopadhyay (Indian Statistical Institute, Delhi Centre and SERFA) Discussant: n.n. Financial Constraints and Investment-Cash Flow Sensitivity Zhangkai Huang (University of Oxford) Discussant: n.n. Corporate Cash Holdings: An Empirical Investigation of UK Companies Aydin Ozkan (University of York) Neslihan Ozkan (University of Liverpool) Discussant: Turki Alshimmiri (Kuwait University) Session 57 - Trading Mechanisms Saturday, August 24, 08:30 - 10:00, Room F Chairperson: Piet Sercu (Katholieke Universiteit Leuven) Presentations Transparency, Liquidity and Price Formation Barbara Rindi (Università Bocconi) Discussant: Alexander Guembel (University of Oxford) The Information Content of the Demand and Supply Schedules of Stocks Avi Wohl (Tel Aviv University) Avner Kalay (Tel Aviv University) Discussant: Masahiro Watanabe (Yale University) Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions Kristian Rydqvist (Norwegian School of Management) Matti Keloharju (Helsinki School of Economics) Kjell G. Nyborg (London Business School) Discussant: Alexei Goriaev (Tilburg University) Session 58 - Equity-based Compensation Saturday, August 24, 10:30 - 12:00, Room A Chairperson: n.n. Presentations Stock Based Compensation: Firm-specific Risk, Efficiency and Incentives Vicky Henderson (University of Oxford) Discussant: Tom Berglund (Swedish School of Economics & Business Administration) The Equity Mix in Executive Compensation: An Investigation of Cross-country Differences Ajay Patel (Wake Forest University) Robert Nash (Wake Forest University) Stephen Bryan (Wake Forest University) Discussant: Sahiba Chadha (University of Alabama) Earnings Management and Executive Compensation: A Case of Overdose of Option and Underdose of Salary? Pengjie Gao (University of Tennessee) Ronald E. Shrieves (University of Tennessee) Discussant: Levon Babalyan (University of Fribourg) Session 59 - Estimating Densities Saturday, August 24, 10:30 - 12:00, Room B Chairperson: n.n. Presentations The Relation Between Implied and Realised Probability Density Functions Robert Tompkins (Technische Universität Wien) Iliana Anagnou (University of Warwick) Mascia Bedendo (University of Warwick) Stewart Hodges (University of Warwick) Discussant: Martin Mandler (Justus-Liebig-Universität Gießen) Comparing Risk-neutral Probability Density Functions Implied by Option Prices - Market Uncertainty and ECB-council Meetings Martin Mandler (Justus-Liebig-Universität Gießen) Discussant: n.n. Nonparametric Specification Testing for Continuous-time Models with Application to Spot Interest Rates Yongmiao Hong (Cornell University) Haitao Li (Cornell University) Discussant: n.n. Session 60 - Exchange Rates Saturday, August 24, 10:30 - 12:00, Room C Chairperson: Pål E. Korsvold (Norwegian School of Management) Presentations U.S. Exchange Rates and Currency Flows Dagfinn Rime (Norges Bank and Stockholm Institute for Financial Research) Discussant: Bernd Wilfling (HWWA Hamburg) Linear and Nonlinear Exchange Rate Exposure and the Price of Exchange Rate Risk Bernt Arne Odegaard (Norwegian School of Management) Richard Priestley (Norwegian School of Management) Discussant: Söhnke M. Bartram (Lancaster University) A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs Milind Shrikhande (Georgia State University) Gautam Goswami (Fordham University) Liuren Wu (Fordham University) Discussant: Jaime Casassus (Carnegie Mellon University) Session 61 - Credit Risk Saturday, August 24, 10:30 - 12:00, Room D Chairperson: Wolfgang Bühler (Universität Mannheim) Presentations Structural Models of Corporate Bond Pricing: An Empirical Analysis Jing-zhi Huang (Penn State University) Jean Helwege (Ohio State University) Young Ho Eom (Yonsei University) Discussant: n.n. An Empirical Comparison of Default Swap Pricing Models Patrick Houweling (Erasmus University Rotterdam and Rabobank International) Ton Vorst (Erasmus University Rotterdam and ABN Amro) Discussant: n.n. Credit Risk Orderings Implicit in Ratings and Bond Market Yields Alex P. Taylor (University of Cambridge) William Perraudin (University of London) Discussant: n.n. Session 62 - Corporate Finance and Product Markets Saturday, August 24, 10:30 - 12:00, Room E Chairperson: Kjell G. Nyborg (London Business School) Presentations Manipulation, the Allocational Role of Prices and Production Externalities Alexander Guembel (University of Oxford) Itay Goldstein (Duke University) Discussant: Robert Hauswald (University of Maryland) Strategic Choices of Capital Structure in Oligopolies: Theory and Evidence Evgeny Lyandres (University of Rochester) Discussant: Josep A. Tribó (Universidad Carlos III) Real Options in an Asymmetric Duopoly: Who Benefits from Your Competitive Disadvantage? Grzegorz Pawlina (Tilburg University) Peter M. Kort (Tilburg University) Discussant: Mark Shackleton (Lancaster University) Session 63 - Liquidity Saturday, August 24, 10:30 - 12:00, Room F Chairperson: Patrik Sandås (University of Pennsylvania) Presentations Model Uncertainty and Liquidity Stanley E. Zin (Carnegie Mellon University) Bryan Routledge (Carnegie Mellon University) Discussant: n.n. The Price of Future Liquidity: Time-varying Liquidity in the U.S. Treasury Market Bernd Hanke (London Business School) David Goldreich (London Business School) Purnendu Nath (London Business School) Discussant: John Merrick (Baruch College) An Empirical Analysis of Stock and Bond Market Liquidity Asani Sarkar (Federal Reserve Bank of New York) Tarun Chordia (Emory University) Avanidhar Subrahmanyam (University of California - Los Angeles) Discussant: Bryan Routledge (Carnegie Mellon University)

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