p95 Program sessions revised Feb 26 (1).doc

Eastern Finance Association2003 Annual Meeting

Program Sessions

Session 1-1 Thursday, April 10, 2003 Coronado M8:15 - 9:45

Psychology and Finance

Chair: Thomas E. Willey, Grand Valley State University

Papers:

Interest Sensitive Stocks and Flights to Safe Havens

P.V. Viswanath, Pace UniversityGordon Tang, Hong Kong Baptist University

Discussant: Thomas E. Willey, Grand Valley State University

An Experimental Study of Subjective Discount Rates

Joseph Yagil, Haifa University and Columbia UniversityUri Benzion, The Technion Israel Institute of Technology and Ben Gurion University

Discussant: James E. Owers, Georgia State University

What's in a Name? An Experimental Examination of Investment Behavior

Lucy Ackert, Kennesaw State UniversityBryan Church, Georgia Institute of TechnologyJames G. Tompkins, Kennesaw State UniversityPing Zhang, University of Toronto

Discussant: Beverly B. Marshall, Auburn University

Session 1-2 Thursday, April 10, 2003 Coronado N8:15 - 9:45

Mutual Fund Performance

Chair: Benedicte Reyes, Monmouth University

Papers:

Hybrid Fund Manager Behavior During Financial Crises

George Comer, Georgetown UniversityDiscussant: Barrie A. Bailey, Monmouth University

Identifying Superior Performing Equity Mutual Funds

Ravi Shukla, Syracuse UniversityDiscussant: Amy F. Lipton, Lehigh University

Mutual Fund Performance -- What Really Matters: Style or Risk?

Steven Krull, Hofstra UniversityDiscussant: Lucy Ackert, Kennesaw State University

Session 1-3 Thursday, April 10, 2003 Coronado P8:15 - 9:45

Board Composition & Corporate Misconduct

Chair: Jayant Kale, Georgia State University

Papers:

The Importance of Board Composition in the Event of a CEO Death

Kelly Brunarski, Miami University Kenneth Borokhovich, Cleveland State UniversityYvette Harman, Miami University Maura Skill, University of Dayton

Discussant: Melissa B. Frye, University of Central Florida

The Board Structure of Socially Responsible Firms

Elizabeth Webb, Drexel UniversityDiscussant: Harley "Chip" E. Ryan, Jr., Louisiana State University

Determinants of the Stock Price Reaction to Allegations of Corporate Misconduct: Firm Size, Earnings and Risk Effects

Deborah Murphy, University of TennesseeRonald E. Shrieves, University of TennesseeSamuel L. Tibbs, University of Tennessee

Discussant: Janet D. Payne, Southwest Texas State University

Session 1-4 Thursday, April 10, 2003 Coronado Q8:15 - 9:45

Finance and Economic Development

Chair: Bharat Bhalla, Fairfield University

Papers:

Patterns of Industrial Development Revisited: The Role of Finance

Raymond Fisman, Columbia UniversityInessa Love, World Bank

Discussant: Alicia Garcia-Herrero, Bank of Spain

Why do Countries Develop More Financially than Others?

Lucia Cuadro-Saez, Banco de EspanaAlicia Garcia-Herrero, Bank of SpainSonsoles Gallego, Bank of Spain

Discussant: Jim McIntyre, Jacksonville State University

Intra Industry Effects of Privatization Announcements. Evidence from Developed and Developing Countries.

Isaac Otchere, University of MelbourneDiscussant: Melinda Newman, University of Akron

Session 1-5 Thursday, April 10, 2003 Coronado R8:15 - 9:45

Regulating Liquidity

Chair: Harald Henke, Europa University Viadrina

Papers:

Decimalization and the Ex-dividend-day Behavior of Stock Prices

Dan French, New Mexico State UniversityNatalya Delcoure, University of South Alabama

Discussant: George Schatz, Maine Maritime Academy

Does Price Quote Matter?

Ehsan Nikbakht, Hofstra UniversityDiscussant: Peter R. Locke, George Washington University

A Transaction-Level Analysis of Price Change Volatility and Autocorrelation after the Decimalization

Yan He, San Francisco State UniversityChunchi Wu, Syracuse University

Discussant: Michael Haigh, University of Maryland

Session 1-6 Thursday, April 10, 2003 Coronado S8:15 - 9:45

Debt Contracts and Firm Defaults

Chair: Helen L. Bowers, University of Delaware

Papers:

Corporate Governance and Debt Structure

Sara Robicheaux, Birmingham-Southern CollegeJames A. Ligon, University of Alabama

Discussant: Rodolfo Apreda, Universidad Del Cema

The Zero Debt Puzzle

William Wells, Georgia Sothern UniversityDiscussant: Phyllis Y. Keys, Ohio State University

Detecting the Nonlinear Structure in the Relationship of Financial Ratios and Firm Default

Zheng Wang, Baruch College - City University of New YorkDiscussant: Claire E. Crutchley, Auburn University

Panel Session 1-7 Thursday, April 10, 2003 Cancun8:15 - 9:45

GSEs and Systemic Risk

Chair: Gerald A. Hanweck, George Mason University

Panelists:

Gerald A. Hanweck, George Mason University

Robert S. Seiler, Jr., Office of Federal Housing Enterprise Oversight

Bernard Shull, City University of New York


Insurance and Financing Companies

Chair: William A. Scroggings, Jacksonville State University

Papers:

Assessing the Contestability of the Hong Kong Banking Industry: 1991 - 2000

Rongrong Zhang, University of TennesseeGeorge Philippatos, University of Tennessee

Discussant: Jim McIntyre, Jacksonville State University

The Effect of the Gramm-Leach-Bliley Act on the Insurance Industry

Faith R. Neale, Florida State UniversityWendy D. Habegger, Florida State UniversityPamela P Peterson, Florida State University

Discussant: Larry Lynch, Roanoke College

Inter-industry Contagion and the Competitive Effects of Financial Distress Announcements: Evidence from Commercial Banks and Life Insurance Companies

Elijah Brewer III, Federal Reserve Bank of ChicagoWilliam E. Jackson III, University of North Carolina

Discussant: Christopher Westley, Jacksonville State University


Additional Evidence on Mutual Fund Performance

Chair: Paula Tkac, Federal Reserve Bank of Atlanta

Papers:

Simulating a Socially Screened Enhanced Index Fund

Lloyd Kurtz, Harris Bretall Sullivan & SmithDan D. DiBartolomeo, Northfield Information ServicesSandy Warrick, Northfield Information Services

Discussant: Kimberly C. Gleason, Bentley College

The Relationship Between the Consumer Sentiment Index and the Stock Market

Ronnie Clayton, Jacksonville State UniversityDiscussant: Juan Dempere, Florida Atlantic University

US-based Global Government Bond Fund: Style Analysis and Performance Measurement

Sirapat Polwitoon, Susquehanna UniversityDiscussant: Anita K. Pennathur, Florida Atlantic University


Managerial Incentives

Chair: Douglas Lamdin, University of Maryland - Baltimore County

Papers:

The Impact of Stock Option Incentives on Investment and Firm Value

Daniel Pasternack, Swedish School of Economics and Business AdministrationMatts Rosenberg, Swedish School of Economics and Business Administration

Discussant: Kuldeep Shastri, University of Pittsburgh

Managerial Incentives and Executive Stock Option Repricing: A study of US Casino Executives

Daniel A. Rogers, Portland State UniversityDiscussant: Matts Rosenberg, Swedish School of Economics and Business Administration

Delegated Portfolio Management and Agency

Saltuk Ozerturk, Southern Methodist UniversityDiscussant: Gerald P. Dwyer, Jr., Federal Reserve Bank of Atlanta


Government Influence on Financial Markets and Instruments

Chair: Raj Aggarwal, Kent State University

Papers:

Renegotiations on Sovereign Debt: Reduce or Reschedule?

Pascal Francois, HEC MontrealDiscussant: John H. Thornton, Jr., Kent State University

Impact of Capital Control on Stock Returns: Evidence from Malaysia

Yewmun Yip, San Francisco State UniversityDiscussant: Tara N. Rice, Federal Reserve Bank of Chicago

Emerging Financial Issues and Strategies for Multinational Investments

Kashi Nath Tiwari, KNT's Academic Financial ResearchDiscussant: Seyed Mehdian, University of Michigan - Flint


Competition, Behavior and Liquidity

Chair: Pankaj Jain, University of Memphis

Papers:

Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis

Michael Haigh, University of MarylandJohn List, University of Maryland

Discussant: Damir Tokic, University of Houston - Downtown

Microstructure Differences Between the Two Classes of Dual-Class Firms

Premal P. Vora, Pennsylvania State University - HarrisburgJohn R. Ezzell, Pennsylvania State University

Discussant: Chad Zutter, University of Pittsburgh

The Impact of Competition on Intraday Spreads: QQQ Example

Asli Ascioglu, Bryant CollegeMurat Aydogdu, Bryant College

Discussant: Liang Peng, University of Cincinnati


Bankruptcy Costs

Chair: Pamela P. Peterson, Florida State University

Papers:

A Real Options Approach to Bankruptcy Costs: Evidence from Failed Commercial Banks During the 1990s

Joseph R. Mason, Drexel UniversityDiscussant: Scott Besley, University of South Florida

Corporate Diversification and Industry Shocks: Evidence from Competitors' Bankruptcy Filings

Peter J. DaDalt, Georgia State UniversityJacqueline L. Garner, Drexel UniversityBing-Xuan Lin, University of Rhode Island

Discussant: Ninon Kohers, University of South Florida

Optimization of Corporate Capital Structure. A Quantitative Approach Based on a Joint Probabilistic Prognosis of Event and Time of Bankruptcy

Vladimir Philosophov, Interregional Bankruptcy Service for Central RussiaLeonid Philosophov, Moscow Committee of Bankruptcy Affairs

Discussant: Michael Gombola, Drexel University

Special Session 2-7 Thursday, April 10, 2003 Cancun10:00 - 11:30

Teaching Technical Analysis

Chair: Julie Dahlquist, University of Texas - San Antonio


Bank Lending and Production

Chair: M. Cary Collins, University of Tennessee

Papers:

The Composition of Loan Portfolios

Andreas Pfingsten, University of MuensterKai Rudolph, University of Muenster

Discussant: Alistair Milne, City University Business School, London

Examining the Sources of Productivity Developments in Banks of Emerging Markets

Ihsan Isik, Rowan UniversityDiscussant: Seyed Mehdian, University of Michigan - Flint

Efficiencies and Thrift Takeovers: Evidence from the 1990s

A. Sinan Cebenoyan, Hofstra UniversityElizabeth S. Cooperman, University of Colorado - DenverFatma Cebenoyan, City University of New York

Discussant: Tara N. Rice, Federal Reserve Bank of Chicago


Mutual Fund Fees

Chair: Stephen Pruitt, University of Missouri - Kansas City

Papers:

Economies of Scale in Equity Mutual Funds

Miles Livingston, University of FloridaEdward S. O'Neal, Wake Forest University

Discussant: David Shrider, University of South Carolina

How do Agency Problems Impact Mutual Fund Investor Decisions?

David Shrider, University of South CarolinaDiscussant: Paula Tkac, Federal Reserve Bank of Atlanta

Economies of Scale in the Management of Mutual Funds

D. K. Malhotra, Philadelphia UniversityRand Martin, Bloomsburg University



Executive Compensation Structure

Chair: Ramesh Rao, Oklahoma State University

Papers:

Indexed Executive Stock Options With Ratchet Mechanism and Average Prices

Jian Wu, Rouen Graduate School of Management - FranceDiscussant: Claire E. Crutchley, Auburn University

Golden Parachutes: Managerial Opportunism or Compensation Mechanism

Kenneth Small, University of Tennessee - KnoxvilleDiscussant: Rodolfo Apreda, Universidad Del Cema

Does Option Compensation Induce Managers to Increase Risk-taking?

Joseph H. Meredith, Elon UniversityDiscussant: Helen L. Bowers, University of Delaware


Issues in Cross-Border Growth

Chair: Beverly B. Marshall, Auburn University

Papers:

Intra-Industry Effects of Successful and Unsuccessful Cross Border Acquisitions: A Test of the Acquisition Probability Hypothesis

Edwina Ip, University of MelbourneIsaac Otchere, University of Melbourne

Discussant: Rejin Guo, University of Illinois - Chicago

Risk and Wealth Effects of U.S. Firm Joint Venture Activity

Karen Denning, West Virginia UniversityHeather Hulburt, West Virginia UniversityStephen Ferris, University of Missouri - Columbia

Discussant: Robert S. Parti, Florida State University

Managerial Incentives and International Acquisition Decisions

Dong-Kyoon Kim, State University of New YorkDiscussant: Janet D. Payne, Southwest Texas State University


Trading Systems and Liquidity

Chair: Thomas H. McInish, University of Memphis

Papers:

Financial Market Design and Equity Premium: Electronic versus Floor Trading

Pankaj Jain, University of MemphisDiscussant: Jacqueline L. Garner, Drexel University

When Continuous Trading Becomes Continuous

Harald Henke, Europa University ViadrinaDiscussant: Haiwei Chen, Westminster College

Liquidity Providers on an Electronic Order-Driven Market

Edward Chow, National Chengchi UniversityDiscussant: Premal P. Vora, Pennsylvania State University - Harrisburg


Measuring Risk

Chair: Jinliang Li, Northeastern University

Papers:

The Impact of Clearing on the Credit Risk of a Derivatives Portfolio

Carsten Murawski, University of ZurichDiscussant: Wei Zhang, State University of New York -- Fredonia

How to Include Liquidity in a Market VAR Statistic?

Robert Dubil, San Jose State UniversityDiscussant: Yan He, San Francisco State University

The Estimation of a Firm's Hedging Effects: Marginal Value at Risk (M-Var) Approach

Sam Chung, Long Island UniversityDiscussant: Jinliang Li, Northeastern University


Incorporating CFP Board Requirements into a Finance Curriculum

Chair: Anne Kern, CFP Board of Standards


Economic Effects on Bank Returns

Chair: Seyed Mehdian, University of Michigan - Flint

Papers:

Bank Stock Return Sensitivities to the Long-term and Short-term Interest Rates: A Multivariate GARCH

Iqbal Mansur, Widener UniversityElyas Elyasiani, Temple University

Discussant: Sridhar Sundaram, Grand Valley State University

An Investigation of the Mid-Loan Relationship Between Bank-Lenders and Borrowers

Aron Gottesman, Pace UniversityGordon Roberts, York University

Discussant: Yaman Erzurumlu, University of Central Florida

Can a Lack of Information be Informative? The Evidence from Approved and Denied Loans

Eugene Bland, Francis Marion UniversityDiscussant: Vitaly Guzha, University of Central Florida


The Pricing of Mutual Funds

Chair: D. K. Malhotra, Philadelphia University

Papers:

Assessing Diversification Benefits of Hedge Funds by Kernel Fit

Muzaffer Balta, City University of New YorkDiscussant: Erik Lueders, University of Konstanz

The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing

Ernest Biktimirov, Brock UniversityDiscussant: Ray Sturm, Florida Atlantic University

Clientele Differences in the Market for Exchange-Traded Funds: A Comparison of the Trading Characteristics of ETFs vis-à-vis their Underlying Equities

Stephen Pruitt, University of Missouri - Kansas CityJohn M. Clark, University of Missouri - Kansas CityBonnie F. Van Ness, University of Mississippi

Discussant: Jian Wu, Rouen Graduate School of Management - France


Executive Ownership and Compensation

Chair: Anita K. Pennathur, Florida Atlantic University

Papers:

Who is in Whose Pocket? Director Compensation, Bargaining Power and Board Independence

Harley "Chip" E. Ryan, Jr., Louisiana State UniversityRoy A. Wiggins III, Bentley College

Discussant: Stuart L. Gillan, University of Delaware

Executive Loans

Kathleen M. Kahle, University of PittsburghKuldeep Shastri, University of Pittsburgh

Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University

Ownership Structure and Risk: A Canadian Empirical Analysis

Mohamed Ayadi, Brock UniversityYoser Gadhoum, University of Quebec in Montreal

Discussant: Mengxin Zhao, University of Pittsburgh/Bentley College


International Investment

Chair: Brian M Lucey, University of Dublin

Papers:

Market Concentration Liquidity and Emerging Markets Performance

Harri Ramcharran, University of AkronDiscussant: Lei Zhou, Miami University

Diffusion Indicies for Capital Markets

Lawrence Pohlman, PanagoraDaniel Morillo, Panagora

Discussant: Angela J. Black, University of Aberdeen

The Impact of Sovereign Country Risk and Market Integration on European Stock Markets

Anthony Chambet, University of ZurichRajna Gibson, University of Zurich

Discussant: Shiyun Wang, University of Manchester


Time and Volume

Chair: Yan He, San Francisco State University

Papers:

Trading Takes Time

Liang Peng, University of CincinnatiDiscussant: Ahmet K. Karagozoglu, Hofstra University

A First Look at the Interrelationships Between Priors, Information, Investor Interpretations and Trading

Stephanie Rauterkus, Louisiana State UniversityDiscussant: Peter R. Locke, George Washington University

Option Trading Around Information Events

Dennis J. Whalen, Otterbein CollegeDiscussant: Pankaj Jain, University of Memphis

Tutorial Session 4-6 Thursday, April 10, 2003 Coronado S1:30 - 3:00

Conditional Value-at-Risk, Methodology and Applications: Overview

Chair: Stanislav Uryasev, University of Florida

Panel Session 4-7 Thursday, April 10, 2003 Cancun1:30 - 3:00

The Large Lecture Classroom: What are the Benefits? What are the Pitfalls?

Chair: Pamela P Peterson, Florida State University

Panelists:

Joel Houston, University of FloridaAnthony Byrd, University of Central Florida


Helping Students Understand Risk

Chair: Raj Aggarwal, Kent State UniversityPapers:

The Retrospective Life Insurance Method: A Pedagogic Spreadsheet Application

Betty J. Simkins, Oklahoma State UniversityDavid R. Lange, Auburn University at Montgomery

Discussant: Larry Lynch, Roanoke College

Monte Carlo Simulation: A Hand's On Capital Budgeting Case Study Using @ Risk

Samuel C. Weaver, Lehigh UniversityDiscussant: Lei Zhou, Miami University

A Pedagogical Note on the Recognition and Management of Financial Risk

Mike Barth, Georgia Southern UniversityJohn J. Hatem, Georgia Southern University

Discussant: Samuel C. Weaver, Lehigh University


The Behavior of Mutual Fund Managers

Chair: Oliver Schnusenberg, St. Joseph's University

Papers:

Universal versus Segmented Competition in the Mutual Funds Industry

Marco Navone, Bocconi UniversityDiscussant: Stefan Ruenzi, University of Cologne

Tournaments in the Mutual Fund Industry

Alexander Kempf, University of CologneStefan Ruenzi, University of Cologne

Discussant: Ray Sturm, Florida Atlantic University

Mutual Fund Ownership and the Number Effect

Ken P. Johnston, Georgia Southern UniversityDiscussant: Andrea J. Heuson, University of Miami


Incentive and Corporate Restructuring

Chair: Douglas Lamdin, University of Maryland - Baltimore County

Papers:

The Price of Corporate Acquisition: An Analysis of Merger Premia

Vijay Gondhalekar, University of Michigan - FlintRaymond Sant, Schweser Study Program, Kaplan, Inc.Stephen Ferris, University of Missouri - Columbia

Discussant: Alan Gart, Indiana University of Pennsylvania

Earnings Management, Stock Performance and the Role of Buyout Specialists in Reverse Leveraged Buyouts

De-Wai Chou, National Chung Cheng UniversityMichael Gombola, Drexel UniversityFeng-Ying Liu, Rider University

Discussant: Speros Margetis, University of South Florida

Poison Pills: Do They Affect Takeover Activity?

Ozkan Ozfidan, Virginia Department of Planning and BudgetRamesh Rao, Oklahoma State University

Discussant: Peter J. DaDalt, Georgia State University


International equity markets

Chair: Andy Naranjo, University of Florida

Papers:

What Predicts Volume?

Boyce Watkins, Syracuse UniversityDiscussant: Shaikh Hamid, Southern New Hampshire University

Return Autocorrelation and Institutional Investors in the ADRS Market

Kenneth Yung, Old Dominion UniversityDiane DeQing Li, University of Maryland - Eastern Shore

Discussant: Nikiforos Laopodis, Fairfield University

Implied Cost of Equity and its Determinants: A Case of Emerging Market Equity

Dev R. Mishra, Memorial University of NewfoundlandDiscussant: C. Mitchell Conover, University of Richmond


International Liquidity Issues

Chair: Peter R. Locke, George Washington University

Papers:

Order Imbalance, Return and Volatility During the Thailand Financial Crisis

Nuttawat Visaltanachoti, Nanyang Business SchoolDiscussant: Yan He, San Francisco State University

The Interrelation of Price Volatility and Trading Volume of Currency Options

Ghulam Sarwar, St. Cloud State UniversityDiscussant: Karthik Krishnan, University of Connecticut

Price Formation in FX Market

Ryosuke Wada, Otaru University of CommerceDiscussant: Kashi Nath Tiwari, KNT's Academic Financial Research


Risk Measurement and Management

Chair: Gerald Gay, Georgia State University

Papers:

Risk Management and Portfolio Optimization with Conditional Drawdown-at-Risk

Alexei Chekhlov, Thor Asset Management, Inc.Stanislav Uryasev, University of Florida

Discussant: Anand Venkateswaran, Georgia State University

Model Risk and Regulatory Capital

Jeroen Kerkhof, Tilburg University and CenterBertrand Melenberg, Tilburg University and CenterHans Schumacher, Tilburg University and Center

Discussant: Jouahn Nam, Pace University

Does the Choice of a Risk Measure Matter?

Andreas Pfingsten, University of MuensterCarsten Hahn, University of MuensterPeter Wagner, University of Muenster

Discussant: Chen-Miao Lin, Georgia State University


Financial Issues Ahead

Chair: Vincent G. Massaro, Long Island University

Topics/Panelists:

Monetary Policy and Asset Price Inflation

Robert McGee, U.S. Trust Company of New York

The Changing Nature of the Transmission Mechanism of Monetary Policy

Albert E. DePrince, Jr., Middle Tennessee State University

Does Monetary Policy Matter?

Vincent G. Massaro, Long Island University

Default Risk with Endogenous Interest Rates

Christopher D. McGee, Assumption College

Session 6-1 Friday, April 11, 2003 Coronado M8:15 - 9:45

Corporate Government, Auditor Monitoring, and Accounting Scandals

Chair: Robert Schweitzer, University of Delaware

Papers:

The Auditor to Client Revolving Door and Earnings Management

David S. North, University of RichmondBrendan O'Connell, Deakin UniversityMarshall Geiger, University of Richmond

Discussant: Terry L. Campbell II, University of Delaware

Accounting and Governance Deficiencies as Contributors to the Crisis of Confidence

James E. Owers, Georgia State UniversityChen-Miao Lin, Georgia State UniversityRonald C. Rogers, University of South Carolina

Discussant: Phyllis Y. Keys, Ohio State University

Climate for Scandal: Financial Environments that Contribute to Fraud

Beverly B. Marshall, Auburn UniversityClaire E. Crutchley, Auburn UniversityMarlin Jensen, Auburn University

Discussant: M. Andrew Fields, University of Delaware

Session 6-2 Friday, April 11, 2003 Coronado N8:15 - 9:45

Symposium: Financial Institutions

Chair: Lawrence G. Goldberg, University of Miami

Papers:

Payments Services and Commercial Banks

Robert DeYoung, Federal Reserve Bank of ChicagoTara N. Rice, Federal Reserve Bank of Chicago

Discussant: Steven A. Dennis, East Tennessee State University

The Relative Cost Efficiency of Stock versus Mutual Thrifts: Does Organizational Form Matter?

James M. Sfiridis, University of ConnecticutKenneth N. Daniels, Virginia Commonwealth University

Discussant: Sylvia C. Hudgins, Old Dominion University

Loan Loss Provisioning: Cross-Country Evidence

Iftekhar Hasan, Rensselaer Polytechnic InstituteLarry D. Wall, Federal Reserve Bank of Atlanta

Discussant: Julie A Elston, University of Central Florida

Session 6-3 Friday, April 11, 2003 Coronado P8:15 - 9:45

Models of Risk Premia

Chair: Gergana Jostova, George Washington University

Papers:

Time-Varying Risk Premia and the Cross Section of Stock Returns

Hui Guo, Federal Reserve Bank of St. LouisDiscussant: Lei Zhou, Miami University

Firm-Specific Determinants of Nominal Stock Return Risk

Kenneth Kopecky, Temple UniversityTai Yi, University of Sioux Falls

Discussant: Shiyun Wang, University of Manchester

The Pricing Kernel and Time-Series Characteristics of Asset Returns

Erik Lueders, University of KonstanzDiscussant: Alexander Philipov, Boston College

Session 6-4 Friday, April 11, 2003 Coronado Q8:15 - 9:45

IPO Costs and Returns

Chair: Richard Ajayi, University of Central Florida

Papers:

Why do Underwriters Charge Lower Underwriting Fees for IPO in Taiwan?

Hsuan-Chi Chen, Yuan Ze UniversityRobert C.W. Fok, Shippensburg UniversityYu-Jen Wang, Fu Jen Catholic University

Discussant: Alicia Garcia-Herrero, Bank of Spain

How do Different Types of Investors React to New Financial Statement Information?

Anders Ekholm, Swedish School of Economics and Business AdministrationDiscussant: Seyed Mehdian, University of Michigan - Flint

Overconfidence and Investor Size (The Negative News Threshold -- an Explanation for Negative Skewness in Stock Returns)

Anders Ekholm, Swedish School of Economics and Business AdministrationDaniel Pasternack, Swedish School of Economics and Business Administration

Discussant: Richard Ajayi, University of Central Florida

Session 6-5 Friday, April 11, 2003 Coronado R8:15 - 9:45

Information and Market Efficiency

Chair: Douglas Dyer, Tarleton State University

Papers:

Earnings Surprise and the Relative Information Content of Short Interest

Jose Mercado-Mendez, Central Missouri State UniversityRoger J. Best, Central Missouri State UniversityRonald W. Best, State University of West Georgia

Discussant: Iftekhar Hasan, Rensselaer Polytechnic Institute

Herd Behavior in Financial Markets

Wenjin Kang, University of California - Los AngelesDiscussant: J. R. Norsworthy, Rensselaer Polytechnic Institute

Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry?

Albert J. Menkveld, Vrije Universiteit AmsterdamKalok Chan, Hong Kong University of Science and TechnologyZhishu Yang, Tsinghua University

Discussant: Rifat Gorener, Rensselaer Polytechnic Institute

Session 6-6 Friday, April 11, 2003 Coronado S8:15 - 9:45

Dividend Policy & Markets

Chair: Yi Liu, Drexel University

Papers:

Public Debt Markets and Dividend Policy

Vorouj Aivozian, University of TorontoLaurence Booth, University of TorontoSean Cleary, St. Mary's University -- Halifax, Nova Scotia, Canada

Discussant: Yingmei Cheng, Florida State University

Agency Costs and the Decision to Pay Special or Regular Dividends

Kelly Brunarski, Miami University Yvette Harman, Miami University James Kehr, Miami University

Discussant: Joseph H. Meredith, Elon University

Corporate Dividends and Earnings: Is there a long-run equilibrium relationship?

Asim Ghosh, St. Joseph's UniversityRobert Boldin, Indiana University of PennsylvaniaChristopher Coyne, St. Joseph's University

Discussant: Huanliang (Mark) Liu, Boston College

Session 6-7 Friday, April 11, 2003 Coronado T8:15 - 9:45

International Financial Markets

Chair: Ronnie Clayton, Jacksonville State University

Papers:

Observable and Stationary Risk Premia on Foreign Exchange

Kyung-Chun Mun, Truman State UniversityDiscussant: Asim Ghosh, St. Joseph's University

International Financial Market Integration: Evidence from Latin America

Bharat Bhalla, Fairfield UniversityAnand Shetty, Iona College

Discussant: Kenneth Small, University of Tennessee - Knoxville

International Linkages Among Real Long-Term Interest Rates and Their Impact on Monetary Policy

Nikiforos Laopodis, Fairfield UniversityDiscussant: Inessa Love, World Bank

Special Session 7-1 Friday, April 11, 2003 Coronado M10:00 - 11:30

Finance Assessment: Taking Advantage of Classroom Assignments

Chair: Claire S. Bronson, Western New England College


Symposium: Bank Lending

Chair: Lawrence G. Goldberg, University of Miami

Papers:

The Effect of Credit Scoring on Small Business Lending in Low and Moderate-Income Areas

W. Scott Frame, Federal Reserve Bank of AtlantaMichael S. Padhi, Federal Reserve Bank of AtlantaLynn Woosley, Federal Reserve Bank of Atlanta

Discussant: Seung-Hun Han, University of Central Florida

Maturity and Corporate Loan Pricing

Aron Gottesman, Pace UniversityGordon Roberts, York University


The Determinants of Secured Loans

John S. Gonas, Belmont UniversityMichael J Highfield, Louisiana Tech UniversityDonald J. Mullineaux, University of Kentucky

Discussant: Seyed Mehdian, University of Michigan - Flint


Portfolio Choice

Chair: Natalya Delcoure, University of South Alabama

Papers:

Investing for the Short Run When Return Volatility is Predictable

Leping Wang, University of PennsylvaniaDiscussant: Harikumar Sankaran, New Mexico State University

Dynamic Portfolio Optimization Under Tracking Error Constraints

Isabelle Bajeux-Besnainou, George Washington UniversityRoland Portait, Conservatoire National des Arts et Métiers and ESSECGuillaume Tergny, Conservatoire National des Arts et Métiers and La Compagnie Financière E. De Rotschild

Discussant: Dan French, New Mexico State University

Another Correlation Risk in Portfolio Optimization

Takaki Hayashi, Columbia UniversityDiscussant: Natalya Delcoure, University of South Alabama


Initial Public Offerings

Chair: Angela J. Black, University of Aberdeen

Papers:

Valuation Effects of Domestic and International Seasoned Canadian Offerings by Firms Cross-Listed on the NYSE/AMEX or NASDAQ

Arturo Rubalcava, Concordia UniversityLawrence Kryzanowski, Concordia University

Discussant: Andrea J. Heuson, University of Miami

Management Behaviour and Market Response

Josef Schuster, London School of EconomicsJinhui Luo, London School of Economics

Discussant: Oliver Schnusenberg, St. Joseph's University

IPO: Internet Stocks and the Bubble Economy

Yuli Su, San Francisco State UniversityMing-ngar Tsoi, San Francisco State University

Discussant: Brian M Lucey, University of Dublin


Markets, Crises and Crashes

Chair: Anita K. Pennathur, Florida Atlantic University

Papers:

Introduction of Derivatives Exchanges in Emerging Markets

Ahmet K. Karagozoglu, Hofstra UniversityHatice Pinar Ersen, Undersecretariat for Foreign Trade Prime Ministry

Discussant: Nivine Richie, Susquehanna University

The Asymptotic Distribution of Extreme Changes in Asian Exchange Rates

Raj Aggarwal, Kent State UniversityMin Qi, Kent State University

Discussant: Marilyn K. Wiley, Florida Atlantic University

Modeling Market Crashes as Phase Transition and Traders' Behavior

Rossitsa Yalamova, Kent State UniversityDiscussant: Terrance R. Skantz, Florida Atlantic University


Dividend Policy

Chair: Malcolm Baker, Harvard Business School

Papers:

Dividend Surprises, Agency Costs and Corporate Monitoring

Kelly Brunarski, Miami University Yvette Harman, Miami University James Kehr, Miami University

Discussant: Phyllis Y. Keys, Ohio State University

An Examination of the Long-run Market Reaction to Announcement of Dividend Omissions and Reductions

Yi Liu, Drexel UniversitySamuel H. Szewczyk, Drexel UniversityZaher Zantout, Rider University

Discussant: Robert Boldin, Indiana University of Pennsylvania

A Catering Theory of Dividends

Malcolm Baker, Harvard Business SchoolJeffrey Wurgler, New York University

Discussant: Gerald P. Dwyer, Jr., Federal Reserve Bank of Atlanta


Foreign Exchange Exposure and Hedging

Chair: Bharat Bhalla, Fairfield University

Papers:

Derivatives Hedging, Geographical Diversification, and Firm Market Value

Bengt Pramborg, Stockholm UniversityDiscussant: Larry Fauver, University of Miami

Transaction vs. Economic Exposure: Which has Greater Cash Flow Consequences?

Anna D. Martin, Fairfield UniversityLaurence Mauer, St. John's University

Discussant: Dev R. Mishra, Memorial University of Newfoundland

Hedging Foreign Exchange Risk: A Multifactor Analysis

James Ross McCown, Florida Atlantic UniversityKy-Hwang Yuhn, Florida Atlantic University

Discussant: Ronnie Clayton, Jacksonville State University

Panel Session 7-8 Friday, April 11, 2003 Cancun10:00 - 11:30

Analyzing a Country's Financial Stability

Chair: Philip F. Bartholomew, International Monetary Fund


Emerging Markets

Chair: George W. Trivoli, Jacksonville State University

Papers:

Predictability in Emerging Sovereign Debt Markets

Gergana Jostova, George Washington UniversityDiscussant: Pascal Francois, HEC Montreal

On Return and Return Dispersion in Emerging Capital Markets

Eric Girard, Indiana State UniversityAmit Sinha, Indiana State University

Discussant: Walter Hlawitschka, Fairfield University

Markov Chains in Predictive Models of Currency Crises -- With Applications to Southeast Asia

Tayyeb Shabbir, University of PennsylvaniaDiscussant: Bengt Pramborg, Stockholm University


Regulation, Policy, and Capital

Chair: Scott Besley, University of South Florida

Papers:

Efficiency and Factor Substitution in U.S. Savings Institutions: The Impact of Regulatory Changes

Harri Ramcharran, University of AkronDiscussant: David Leahigh, King's College

National Treatment in U.S. Regulatory Policy: Evidence From Financial Modernization Reform

Rajesh Narayanan, Ohio UniversityNanda Rangan, Ohio UniversitySridhar Sundaram, Grand Valley State University

Discussant: Vladimir Kotomin, University of Central Florida

Bank Capital Regulation and Incentives for Risk-Taking

Alistair Milne, City University Business School, LondonA. Elizabeth Whalley, University of Warwick

Discussant: Alan Gart, Indiana University of Pennsylvania


Market Efficiency

Chair: Richard Ajayi, University of Central Florida

Papers:

The Merger and Acquisition Process from Beginning to the End: A Short-Run versus Long-run Performance of Canadian Bidder Firms

George Athanassakos, Wilfrid Laurier UniversityDiscussant: Weishen Wang, University of Central Florida

An Examination of the Market Reaction to Stock Splits

Roger J. Best, Central Missouri State UniversityRonald W. Best, State University of West Georgia

Discussant: Seyed Mehdian, University of Michigan - Flint

The Market to Book Controversy: An Analysis from the Viewpoint of Expected Earnings

Richard J. Kish, Lehigh UniversityDavid H. Myers, Lehigh University

Discussant: Roger J. Best, Central Missouri State University


Equity Issue Performance, Shareholder, and Analysts

Chair: George Papaioannou, Hofstra University

Papers:

The Long-run Consequences of Dual-Class IPOs: A Comparison of Dual- and Single-Class Long-run

Chad Zutter, University of PittsburghDiscussant: Craig Dunbar, University of Western Ontario

The Evolution of Equity Financing: A Comparison of Dual-Class and Single-Class SEOs

Chad Zutter, University of PittsburghScott Smart, Indiana University

Discussant: John C. Yeoman, North Georgia College and State University

Initiation of Analyst Coverage and Long-Term Market Performance of Newly Public Firms

Rejin Guo, University of Illinois - ChicagoSomnath Das, University of Illinois - ChicagoHuai Zhang, University of Illinois - Chicago

Discussant: Christopher Gadarowski, Cornell University


Bond Portfolio Analysis

Chair: J. Edward Graham, University of North Carolina at Wilmington

Papers:

Plain and Enlarged Separation Portfolios: On their Use when Arbitraging and Synthesizing Securities

Rodolfo Apreda, Universidad Del CemaDiscussant: Pradipkumar Ramanial, University of Central Florida

The Information in Forward Rates -- Evidence from U.S. Treasury STRIPS

Qing (Grace) Hao, University of FloridaMiles Livingston, University of Florida

Discussant: James T. Lindley, University of Southern Mississippi

A Highly Accurate Measure of Bond Price Sensitivity to Interest Rates

Miles Livingston, University of FloridaLei Zhou, Miami University

Discussant: Oliver Schnusenberg, St. Joseph's University


Investment Decisions

Chair: Claire E. Crutchley, Auburn University

Papers:

Acquiring Privately-Held Firms: A Costly Search Perspective

Jouahn Nam, Pace UniversityP.V. Viswanath, Pace University

Discussant: Leonard L. Lundstrum, North Carolina State University

Does costly long-term informed trading cause under-investment in projects with long-term cashflows? The LEAPS evidence

Leonard L. Lundstrum, North Carolina State UniversityCraig Holden, Indiana University

Discussant: Helen L. Bowers, University of Delaware

An analytical theory of project investment

Jing Chen, University of Northern British ColumbiaDiscussant: David A. Carter, Oklahoma State University


Incentives and Operating Performance

Chair: Julie Cagle, Xavier University

Papers:

Operating Performance and Free Cash Flow of Asset Buyers

Steven Freund, University of Detroit - MercyAlexandros Prezas, Suffolk UniversityGopala K. Vasudevan, Northeastern University

Discussant: Terry D. Nixon, Miami University

CEO Incentives, Cash Flow, and Investment

John Paul Broussard, Rutgers UniversitySheree Buchenroth, West Chester UniversityEugene Pilotte, Rutgers University

Discussant: Thomas Coe, Quinnipiac University

E-Commerce and Value Added?

Karen Denning, West Virginia UniversityHeather Hulburt, West Virginia University

Discussant: James E Pawlukiewicz, Xavier University

Special Session 8-8 Friday, April 11, 2003 Cancun2:00 - 3:30

Corporate Governance at the Crossroads

Chair: Janet D. Payne, Southwest Texas State University

Topics/Panelists:

The Current Legal Environment As It Relates To Corporate Governance Panelist

Stuart L. Gillan, University of Delaware

The Role of Institutional Investors in Corporate Governance

Paula Tkac, Federal Reserve Bank of Atlanta

CEO/Board Compensation

Helen L. Bowers, University of Delaware

Board of Director Composition

Stephen Ferris, University of Missouri - Columbia


Banking and Financial Market Risks

Chair: Anand Shetty, Iona College

Papers:

Expectations and Asset Prices: Evidence from Prospect Theory

Ding Li, Rensselaer Polytechnic InstituteIrvin Morgan, Rensselaer Polytechnic InstituteRichard Shuler, New York Department of Public ServiceJ. R. Norsworthy, Rensselaer Polytechnic InstituteRifat Gorener, Rensselaer Polytechnic Institute

Discussant: Jouahn Nam, Pace University

The Threat of Systemic Risk in Banking -- Evidence for Europe

Martin Schueler, Centre for European Economic ResearchDiscussant: Thomas Lutton, Office of Federal Housing Enterprise Oversight

Crisis in the Jamaican Financial Sector: Can Interest Rate Risk Explain Profitability and Solvency Problems Facing the Financial Sector?

Ruth Clarke, Nova Southeastern UniversityTwila-Mae Logan, Nova Southeastern UniversityDorothy Alexander-Smith, University of the West Indies

Discussant: Beverly B. Marshall, Auburn University


Small Business Lending

Chair: Robert Schweitzer, University of Delaware

Papers:

Small Business and the Value of Community Financial Institutions

Jonathan A. Scott, Temple UniversityWilliam C. Dunkelberg, Temple University

Discussant: Robert DeYoung, Federal Reserve Bank of Chicago

An Investigation into Small Business Lending Performance at Large and Small Banks

David A. Carter, Oklahoma State UniversityJames E. McNulty, Florida Atlantic University

Discussant: Harold A. Black, University of Tennessee

Revisiting Lender Liability Under CERCLA

James E Pawlukiewicz, Xavier UniversityJulie Cagle, Xavier University

Discussant: Terry L. Campbell II, University of Delaware


GARCH models

Chair: Gregory Bauer, University of Rochester

Papers:

Information Transmission amoung Major Equity Markets: Common Effects vs. Competitive Effects

Chin-Wen Hsin, Yuan Ze UniversityDiscussant: Gerald Madden, Suffolk University

Bayesian Analysis of Stochastic Betas

Gergana Jostova, George Washington UniversityAlexander Philipov, Boston College

Discussant: Lance Young, University of Rochester

Intraday Periodicity and Volatility Spillovers between International Stock Index Futures Markets

Jinliang Li, Northeastern UniversityChunchi Wu, Syracuse University

Discussant: Keith Vorkink, Brigham Young University


Equity Offerings: Sweeteners and Other Seasonings

Chair: Manak C. Gupta, Temple University

Papers:

Do Investors Ever Learn from Seasoned Equity Offerings? Evidence from Recurring SEOs

Michael Gombola, Drexel UniversityYueh-Fang Ho, Drexel UniversityFeng-Ying Liu, Rider University

Discussant: Zheng Wang, Baruch College - City University of New York

Total Equity Risk and Seasoned Stock Offerings

Richard Gregory, University of South Carolina - SpartanburgMojib Ahmed, University of the South Pacific

Discussant: Dalia Marciukaityte, Louisiana Tech University

Why do Firms Issue Private Placements of Equity with Warrants: Sweetener, Signaling, or Staged Financing?

Dalia Marciukaityte, Louisiana Tech UniversityAnita K. Pennathur, Florida Atlantic University

Discussant: Jun Qian, Boston College


Bond Yields and Issue Characteristics

Chair: Wei Zhang, State University of New York -- Fredonia

Papers:

The Choice between Mandatory and Ordinary Convertible Securities: An Examination of Signaling and Agency Effects

Shantaram Hegde, University of ConnecticutKarthik Krishnan, University of Connecticut

Discussant: Lei Zhou, Miami University

Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads on Bond Indexes

Weipeng Kong, Pennsylvania State UniversityJing-zhi Huang, Pennsylvania State University

Discussant: Yewmun Yip, San Francisco State University

The Role of Debt Insurance

Sergei A. Davydenko, London Business SchoolDiscussant: Patricia Clarke, Simmons College


Stock Pricing

Chair: George Athanassakos, Wilfrid Laurier University

Papers:

A Family of Proxies for Tests of Behavioral Effects

Ricardo J. Rodriguez, University of MiamiDiscussant: Barry Marchman, Florida State University

The Nonlinear Behavior of Stock Prices

Douglas Patterson, Virginia Polytechnic InstituteDebra Skaradzinski, University of Massachusetts - Boston

Discussant: Mohamed Ayadi, Brock University

Derivation of Theoretical Model to Value Internet Stocks

Damir Tokic, University of Houston - DowntownDiscussant: James M. Sfiridis, University of Connecticut


Governance, Performance and Compensation

Chair: M. Andrew Fields, University of Delaware

Papers:

Agency Conflicts in Financial Institutions: the Influence of Fiduciary, Block and Dispersed Ownership on Executive Compensation

Peter Went, Bucknell UniversityDiscussant: John F. Manley, Iona College

Are banks differently affected by changing credit market conditions? Evidence from bank stock returns

Astrid Van Landschoot, Ghent UniversityRudi Vander Vennet, Ghent UniversityLieven Baele, Ghent University

Discussant: James Murtagh, Rensselaer Polytechnic Institute

The Performance Characteristics of Financial Holding Companies

James Murtagh, Rensselaer Polytechnic InstituteDiscussant: David Nawrocki, Villanova University

Tutorial Session 9-8 Friday, April 11, 2003 Cancun3:45 - 5:15

Islamic Finance

Chair: Shaikh Hamid, Southern New Hampshire University

Session 10-1 Saturday, April 12, 2003 Coronado M8:30 - 10:00

Timing Effects in Markets

Chair: Marilyn K. Wiley, Florida Atlantic University

Papers:

Time Varying Equity Market Integration in Europe

Raj Aggarwal, Kent State UniversityBrian M Lucey, University of DublinCal Muckley, University of Dublin

Discussant: Ravi Shukla, Syracuse University

The Weekend Effect in the U.S. Stock Market: A New Look

Samer A.M. Al-Rjoub, Hashimite UniversityM. Kabir Hassan, University of New OrleansOscar Varela, University of New Orleans

Discussant: Patricia Clarke, Simmons College

Is the January Effect Economically Exploitable? Evidence from Athens Stock Exchange

Shiyun Wang, University of ManchesterTheocharis Koutianoudis, University of Manchester

Discussant: Sergei A. Davydenko, London Business School

Session 10-2 Saturday, April 12, 2003 Coronado N8:30 - 10:00

Bank Relationship

Chair: Stephen D. Smith, Georgia State University

Papers:

Financial Performance of Microfinance Institutions: A Comparison of Performance with Regional Commercial Banks by Geographic Regions

Michael Tucker, Fairfield UniversityDiscussant: Iftekhar Hasan, Rensselaer Polytechnic Institute

The Value of Banking Relationships During a Financial Crisis: Evidence from Failures of Japanese Banks

Elijah Brewer III, Federal Reserve Bank of ChicagoHesna Genay, Federal Reserve Bank of ChicagoWilliam Curt Hunter, Federal Reserve Bank of ChicagoGeorge Kaufman, Loyola University - Chicago

Discussant: Adrian Cowan, University of Alabama - Birmingham

Bank relationships in France

Benedicte Reyes, Monmouth UniversityDiscussant: Thomas Lutton, Office of Federal Housing Enterprise Oversight

Session 10-3 Saturday, April 12, 2003 Coronado P8:30 - 10:00

Mergers & Acquisitions

Chair: Jayant Kale, Georgia State University

Papers:

Mergers Among Debt Underwriters

Wei-ling Song, Drexel UniversityLawrence G. Goldberg, University of Miami

Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University

Opportunity in Mergers and Acquisitions

James S. Ang, Florida State UniversityYingmei Cheng, Florida State University

Discussant: M. Andrew Fields, University of Delaware

The Value of Being Public: The use of Reverse Takeovers as a Mechanism to Obtain an Exchange Listing

Kimberly C. Gleason, Bentley CollegeLeonard Rosenthal, Bentley CollegeChip Wiggins, Bentley College

Discussant: Jacqueline L. Garner, Drexel University

Session 10-4 Saturday, April 12, 2003 Coronado Q8:30 - 10:00

Information, Trading, and Stock Price

Chair: Douglas Dyer, Tarleton State University

Papers:

Financial Institutions Stock Reaction to Stock Splits

Sunil Mohanty, University of St. ThomasDoocheol Moon, SUNY -- Old Westbury

Discussant: Cameli Rotaru, Florida Atlantic University

How Profitable Day Traders Trade: An Examination of Trading Profits

Ryan Garvey, Duquesne UniversityAnthony Murphy, University College Dublin

Discussant: Douglas Dyer, Tarleton State University

On the Efficacy of Regulation Fair Disclosure: Theory & Evidence

Christopher Gadarowski, Cornell UniversityPraveen Sinha, Cornell University

Discussant: George Papaioannou, Hofstra University

Session 10-5 Saturday, April 12, 2003 Coronado R8:30 - 10:00

The Impact of a Terrorist Attack on U.S. Equities

Chair: William H. Dare, Oklahoma State University

Papers:

Has Investment in the Stock Market Become Riskier Due to the Events of September 11?

Angela J. Black, University of AberdeenDiscussant: Jose Mercado Mendez, Central Missouri State University

The Market's Reaction to Unexpected, Catastrophic Events: The Case of Airline Stock Returns and the September 11th Attacks

Betty J. Simkins, Oklahoma State UniversityDavid A. Carter, Oklahoma State University

Discussant: William H. Dare, Oklahoma State University

Share Price Volatility of Transportation Companies Before and After September 11, 2001 and an Analysis of Earnings and Share Prices of Transportation Companies Filing for Bankruptcy Protection After September 11,

George Schatz, Maine Maritime AcademyDiscussant: Betty J. Simkins, Oklahoma State University

Session 10-6 Saturday, April 12, 2003 Coronado S8:30 - 10:00

Industry Effects

Chair: Tarun K. Mukherjee, University of New Orleans

Papers:

Executive Compensation and Corporate Production Efficiency: A Stochastic Frontier Approach

H Young Baek, Nova Southeastern UniversityJose A. Pagan, University of Texas - Pan American

Discussant: Carmen Cotei, University of New Orleans

Executive Compensation and Excess Performance

H Young Baek, Nova Southeastern UniversityJoung W. Kim, Concordia University

Discussant: Elisabetha Pana, University of New Orleans

The Impact of the 1992 Energy Policy Act on Financial Decisions of the Electric Utility Industry: A Survey

Tarun K. Mukherjee, University of New OrleansWei He, University of New Orleans

Discussant: David R Wolfe, University of New Orleans

Session 10-7 Saturday, April 12, 2003 Coronado T8:30 - 10:00

Trading Strategies

Chair: Jonathan Clarke, Georgia Institute of Technology

Papers:

Market Timing via Dividend Yields and Interest Rates

William J. Trainor, Jr., Western Kentucky UniversityDiscussant: Karyl Leggio, University of Missouri - Kansas City

Evaluating the Effectiveness of Dollar-Cost Averaging Using Risk-Adjusted Performance Measures

Karyl Leggio, University of Missouri - Kansas CityDonald Lien, University of Texas - San Antonio

Discussant: Erik Lueders, University of Konstanz

The Effect of Pre-Formation Price on Momentum Profits

Robert Savickas, George Washington UniversityZhan Onayev, George Washington University

Discussant: Jonathan Clarke, Georgia Institute of Technology

Session 10-8 Saturday, April 12, 2003 Cancun8:30 - 10:00

Investment and MBOs

Chair: Isaac Otchere, University of Melbourne

Papers:

Real Options, Irreversible Investment and Firm Uncertainty: New Evidence from U.S. Firms

Laarni Bulan, Brandeis UniversityDiscussant: John C. Yeoman, North Georgia College and State University

MBO Withdrawals and Determinants of Shareholders' Wealth

Pornsit Jiraporn, Texas A&M InternationalWallace N. Davidson III, Southern Illinois University - CarbondaleHong Qian, Pennsylvania State University

Discussant: John H. Thornton, Jr., Kent State University

Why Are Some MBOs Never Consummated? An Analysis of Corporate Governance, Firm Characteristics and Stock Market Reactions

Portnsit Jiraporn, Texas A&M International UniversityYoung Kim, Southern Illinois University - CarbondaleWallace N. Davidson III, Southern Illinois University - CarbondaleHong Qian, Pennsylvania State University

Discussant: Isaac Otchere, University of Melbourne

Session 11-1 Saturday, April 12, 2003 Coronado M10:15 - 11:45

Mispricing in Equities

Chair: Kashi Nath Tiwari, KNT's Academic Financial Research

Papers:

A Robust Test for Bubbles in Emerging Stock Markets

Ako Doffou, Claremont Graduate UniversityDiscussant: Alexander Philipov, Boston College

Pinpointing Stock Market Overreaction and Under-reaction for Losers

Stephen J. Larson, Eastern Illinois UniversityDiscussant: Angela J. Black, University of Aberdeen

Are We Discounting the Future... or the Hereafter? Bubbles versus Growth Stocks: The U.S. Auto Industry as a Case Study

Michael Long, Rutgers UniversityRobert Porter, Rutgers University

Discussant: Jing Chen, University of Northern British Columbia

Session 11-2 Saturday, April 12, 2003 Coronado N10:15 - 11:45

M&A in Banking

Chair: Hesna Genay, Federal Reserve Bank of Chicago

Papers:

The Consolidation and Efficiency in the U.S. Banking Industry: The Impact of Regulations

Harri Ramcharran, University of AkronDiscussant: Ihsan Isik, Rowan University

Long-Term Bank Performance following a Merger/Acquisition in the 1990s

Terry D. Nixon, Miami UniversityJulie Cagle, Xavier University

Discussant: Kenneth Small, University of Tennessee - Knoxville

Can Post-Merger Success in Bank Holding Company Mergers Be Predicted Before the Fact?

Morris Knapp, Miami-Dade Community CollegeAlan Gart, Indiana University of Pennsylvania

Discussant: M. Cary Collins, University of Tennessee

Session 11-3 Saturday, April 12, 2003 Coronado P10:15 - 11:45

Debt Financing

Chair: Ehsan Nikbakht, Hofstra University

Papers:

Pricing inflation-indexed and foreign currency linked convertible bonds with credit risk

Alon Raviv, Hebrew UniversityYoram Landskroner, New York University and Hebrew University

Discussant: Cesare Robotti, Federal Reserve Bank of Atlanta

Multifactor Closed-Form Term Structure Solution Arising from the Heath-Jarrow-Morton Methodology

Chen Guo, University of OttawaDiscussant: Weipeng Kong, Pennsylvania State University

A Mathematical Model of Optimal Debt Financing Policy for a Firm

Manak C. Gupta, Temple UniversityDiscussant: Haiwei Chen, Westminster College

Session 11-4 Saturday, April 12, 2003 Coronado Q10:15 - 11:45

The Information Content of Analysts and Corporate Announcements

Chair: Thomas Coe, Quinnipiac University

Papers:

Buy-side Analysts, Sell-side Analysts, and Information Transmission: Theory and Evidence

Yingmei Cheng, Florida State UniversityHuanliang (Mark) Liu, Boston CollegeJun Qian, Boston College

Discussant: Laarni Bulan, Brandeis University

Do Analysts' Overweight Earnings Information?

Alexander von Nandelstadh, Swedish School of Economics and Business AdministrationDiscussant: James E Pawlukiewicz, Xavier University

The Reaction of Corporate Bond Values to Call Announcements

Thomas Coe, Quinnipiac UniversityDiscussant: Wendy D. Habegger, Florida State University

Session 11-5 Saturday, April 12, 2003 Coronado R10:15 - 11:45

The Effect of News on Stock Prices

Chair: Boyce Watkins, Syracuse University

Papers:

Asset Price Processes Under Hara-Utility

Erik Lueders, University of KonstanzDiscussant: Boyce Watkins, Syracuse University

Contagion and Industry Risk: Evidence from Banking Industry

Chu-Sheng Tai, Texas A&M University - KingsvilleDiscussant: Christopher Richardson, Department of Justice

Large Price Declines, News, Liquidity, and Trading Strategies: An Intraday Analysis

Vladimir Zdorovtsov, University of South CarolinaFrank Fehle, University of South Carolina

Discussant: Stephanie Rauterkus, Louisiana State University

Session 11-6 Saturday, April 12, 2003 Coronado S10:15 - 11:45

Corporate Value Creaters and Killers -- Myth or Reality

Chair: Bhavesh Patel, Myers University

Papers:

Intangible Capital in the Pharmaceutical & Chemical Industry

Katherine Gleason, University of New OrleansMark Klock, George Washington University

Discussant: Sabyasachi Sengupta, XLRI

The impact of strikes on shareholders' wealth: Empirical evidence from the 1990s

Sherry Wang, San Francisco State UniversityYewmun Yip, San Francisco State UniversityYuli Su, San Francisco State University

Discussant: Pornsit Jiraporn, Texas A&M International

The Valuation Effects of Naming Rights Deals

Edward Waller, University of Houston - Clear LakeYvette Bendeck, University of Houston - Clear LakeSue Neeley, University of Houston - Clear Lake

Discussant: Joseph Farhut, University of New Orleans

Session 11-7 Saturday, April 12, 2003 Coronado T10:15 - 11:45

Real Estate

Chair: Elijah Brewer III, Federal Reserve Bank of Chicago

Papers:

The Returns to Homeownership: An MSA Level Analysis from 1989 to 1999

Christopher Brown, Western Kentucky UniversityIndudeep Chhachhi, Western Kentucky University

Discussant: Ricardo J. Rodriguez, University of Miami

The Effects of Charm Listing Prices on House Transaction Prices

Marcus Allen, Florida Atlantic UniversityWilliam H. Dare, Oklahoma State University

Discussant: Harold A. Black, University of Tennessee

Alternatives to Home Investment

Ki C. Han, Suffolk UniversitySuk Hun Lee, Loyola University - ChicagoDavid Y. Suk, Rider University

Discussant: Paul Calem, Federal Reserve Board

Session 11-8 Saturday, April 12, 2003 Cancun10:15 - 11:45

Diversification Discount and Agency Issues

Chair: Thomas Chen, St. John's University

Papers:

The Effect of Agency Costs on the Value of Single Segment and Multi-Segment Firms

John H. Thornton, Jr., Kent State UniversityJouahn Nam, Pace University

Discussant: H Young Baek, Nova Southeastern University

The Role of Information Asymmetry Due to Diversification in Explaining the Firm Value Discount

Young Kim, Southern Illinois University - CarbondaleIke Mathur, Southern Illinois University - CarbondaleJouahn Nam, Pace University

Discussant: Lloyd P. Blenman, University of North Carolina - Charlotte

Optimal Pricing in a Principal-Agent Framework: Why Ticket Rationing Occurs so Frequently

John C. Yeoman, North Georgia College and State UniversitySteven L. Jones, Indiana University

Discussant: Ramon P. DeGennaro, University of Tennessee

Documents

p95 Program sessions revised Feb 26 (1).doc