2003 Midwest Finance Association 52nd Annual Meeting
(8th Draft 16.2.2003 1)
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Note: This is an experiement in having a web site where authors of
papers can give web addresses from which people can download
the papers prior to the MFA meeting. This web site is voluntary.
Also, we cannot guarantee that the Word files or other files
referenced in the links are virus free. This web site is based on
the MFA program draft produced on Feb. 16, 2003. The MFA will have
a more up-to-date draft of its program at http://www.mfa2003.com,
albeit without any links.
Note: 3/25/03 I have left for St. Louis and as a result will be unable to
add any more links. All the links that were submitted by this time
I have put in place. Unfortunately, relatively few of the presenters
supplied their links.
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Click on the day of the session you want to see:
Thursday, March 27
Friday, March 28
Saturday, March 29
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Click on the time of the session you want to see:
Thursday, March 27:
8:00 a.m. - 9:30 a.m. Sessions
9:45 a.m. - 11:15 a.m. Sessions
11:45 a.m. - 1:15 p.m. Sessions
1:30 p.m. - 3:00 p.m. Sessions
3:15 p.m. - 4:45 p.m. Sessions
5:00 p.m. - 6:00 p.m. MFA Distinguished Lecture
6:00 p.m. - 7:30 p.m. MFA Conference Reception
Click on the time of the session you want to see:
Friday, March 28:
8:00 a.m. - 9:30 a.m. Sessions
9:45 a.m. - 11:15 a.m. Sessions
11:30 a.m. - 1:15 p.m. MFA Conference Luncheon
1:30 p.m. - 3:00 p.m. Sessions
3:15 p.m. - 5:00 p.m. Sessions
Click on the time of the session you want to see:
Saturday, March 29:
9:00 a.m. - 10:30 a.m. Sessions
10:45 a.m. - 12:15 p.m. Sessions
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Click on the session you would like to see:
Thursday, March 27, 8:00-9:30 a.m.
A1 Advances in Contingent Claims Pricing
A2 Corporate Managerial Incentives
A3 Mutual Funds
A4 Bulls, Bears and Bubbles
A5 Analyzing the Analysts
A6 Bank Lending
A7 Corporate Valuation
A8 Symposium on International Financial Market Crises: I. Policy, Stability and Equity Markets
A9 Modeling Corporate Investment Decisions
A10 Rationality and Investor Behavior
A11 Issues in Corporate Finance
A12 Volume, Volatility and Information
Click on the session you would like to see:
Thursday, March 27, 9:45-11:15 a.m.
B1 Banking Sector Design Issues
B2 Delegated Portfolio Management and Mutual Funds
B3 Portfolio Insurance and VaR
B4 Multinational Corporate Finance
B5 International Portfolio Theory Tests
B6 Corporate Governance and Takeovers
B7 Stock Price Predictability in the Long Run
B8 Valuation
B9 Risk Premia in Equity Returns
B10 Panel Discussion: Understanding the Four Es? The Foundation of the CFP? Certification
B13 Symposium on International Financial Market Crises: II. Currency and Stock Market Crises
B14 Optimal Monitoring and Ownership
Click on the session you would like to see:
Thursday, March 27, 11:45 a.m.-1:15 p.m.
C1 Capital at Risk: Commercial Banking
C2 Price Discovery: Large Trades and Arbitrage
C3 Closed End Funds and Real Estate
C4 Pension Management
C5 IPO Valuation
C6 Panel Discussion: Academic Programs and Career Pathways for Students Who Want to Become Financial Planners
C7 Tutorial: Electronic Communications Networks (ECNs): A New Source of Competition for the Traditional Markets
C8 Symposium on International Financial Market Crises: III. Risk Premium, Contagion and Currency
C9 Financial Econometrics
C10 Corporate Financial Policy
C11 Information Technology and Finance
C12 Improving Hedging
Click on the session you would like to see:
Thursday, March 27, 1:30-3:00 p.m.
D1 Credit Risk
D2 Cost of Capital and ROI
D3 Real Options and Employee Options
D4 Insider Transactions and Corporate Behavior
D5 D5 Panel Discussion: Investment Profession Dynamics: Critical Concepts in Practice and the Classroom
D6 Options and Futures
D7 Impact of Institutional and Retail Trading
D8 Hedging Currency-Risk Exposure
D9 Investing and Consumption
D10 Accounting and Finance
Click on the session you would like to see:
Thursday, March 27, 3:15-4:45 p.m.
E1 Panel Discussion: The Impact and Magnitudeof Corporate Governance Systems in Relation to the Search for Shareholder Value
E2 Bad News, Good News: Price Reactions,Analysts and Ratings
E3 Corporate Loans
E4 Replicating Portfolios: A Rainbow of Applications
E5 Trading and Information
E6 Symposium on Diversification of the Multinational Firm: I. Hedging, Diversification and Flexibility
E7 Yield Spreads: Credit, Agency and Tax-Exempt
E8 Dividend Policy
E9 Stock Price Performance around Unique Events
E10 Research by Professor Kerry Back-s Ph.D. Students
E11 Informal Discussion: Financial Issues in China
Click on the session you would like to see:
Thursday, March 27, 5:00-6:00 p.m.
MFA Distinguished Lecture
Thursday, March 27, 6:00-7:30 p.m.
MFA Conference Reception
FRIDAY, March 28
Click on the session you would like to see:
Friday, March 28, 8:00-9:30 a.m.
F1 TIPS, STRIPS and T-Bills
F2 Financial Education: Real Options and MBA Programs
F3 Symposium on Diversification of the Multinational Firm: II. SEOs, Acquisitions and Capital Structure
F4 International Market Linkages: Monetary Policy and Diversification
F5 Corporate Policy and Stock-Return Properties
F6 Institutional Portfolio Strategies
Click on the session you would like to see:
Friday, March 28, 9:45-11:15 a.m.
G1 Foreign Direct Investment
G2 Portfolio Selection
G3 Panel Discussion: Publishing Tips from Journal Editors
G4 Panel Discussion: Valuing Uncertainty in Capital Budgeting Projects: Alternatives
G5 Herding, Crashes and Frenzies
G6 Foreign Exchange Volatility
MFA Conference Luncheon
Pre-registration required
Friday, March 28, 11:30-1:15 p.m.
Click on the session you would like to see:
Friday, March 28, 1:30-3:00 p.m.
H1 International Equity Markets
H2 Tutorial: Learning about Intrinsic Valuation with the Help of an Integrated Valuation Model
H3 Managerial Agency Problems in Banking
H4 Equity Offerings
H5 Security Returns
H6 Implied Density Parameters: Estimation and Alternatives
Friday, March 28, 3:15-5:00 p.m.
J1 Tutorial: What Can Typical Teachers Learn from Exemplary Teachers?
J2 Analyst Forecasts and Market Value
J3 Investing Internationally
J4 Asset-Pricing Tests
J5 Foreign Exchange Risk and Currency Markets
J6 Bank Risk and Regulation: Global Evidence
SATURDAY
Click on the session you would like to see:
Saturday, March 29, 9:00-10:30 a.m.
K1 Volatility Estimation in Options Markets
K2 Individual Investor Behavior and Strategy
K3 Financial Education: New Tricks for Old Dogs
K4 Market Structure and Quality
K5 Anomalies and Oddities
K6 Tutorial: Using Neural Networks for Forecasting Market Variables
Saturday, March 29, 10:45 a.m.-12:15 p.m.
L1 Energy Markets
L2 Capital Structure Choice
L3 Retirement and Long-Term Care Insurance
L4 Banking Issues and Classic Economic Theory
L5 Decimalization, Information and Prices
L6 Dividend Yield and Book to Market Effects
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Thursday, March 27, 8:00-9:30 a.m.
Directors Row 41, Fourth Floor
Chair: Thomas Root
Drake University
The Pricing Kernel and Time-Series Characteristics of Asset Returns
Erik Lueders
ZEW and University of Konstanz
Discussant: Paul Ehling
University of Pennsylvania
Arbitrage with Fixed Costs and Interest Rate Models
Elyès Jouini
Université Paris Dauphine
Hedi Kallal
Citadel Investment Group
Clotilde Napp
Université Paris Dauphine
Discussant: David R. Shaffer
Villanova University
Existence of an Optimal Portfolio for Every Investor in an Arrow-Debreu Economy
James Huang
Lancaster University
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 42, Fourth Floor
Chair: George Alexandrou
University of Essex
Performance Incentives, Performance Pressure and Executive Turnover
Narayanan Subramanian
Brandeis University
Atreya Chakraborty
Brattle Group and Brandeis University
Shahbaz Sheikh
Brandeis University
Discussant: Ruediger Fahlenbrach
The Wharton School
The Cost of Equity-Based Compensation to Shareholders: Evidence from Firms' Security Issue Decisions
Fei Xie
Vanderbilt University
Discussant: George Alexandrou
University of Essex
Corporate Governance and CEO Incentives: A Test of the Substitution Hypothesis
Ruediger Fahlenbrach
The Wharton School
Discussant: Narayanan Subramanian
Brandeis University
Thursday, March 27, 8:00-9:30 a.m.
St. Louis A, Fourth Floor
Chair: Michael J. Alderson
Saint Louis University
Tournaments in Mutual Fund Families
Alexander Kempf
University of Cologne
Stefan Ruenzi
University of Cologne
Discussant: Lan Chen
East West Center
Mutual Fund Manager Ability with Time-Varying Market Exposures
Laurens Swinkels
Tilburg University
Pieter Jelle Van der Sluis
ABP Investments
Marno Verbeek
Erasmus University Rotterdam
Discussant: William Lepley
University of Wisconsin-Green Bay
Universal versus Segmented Competition in the Mutual
Fund Industry
Marco Navone
Bocconi University
Discussant: Michael J. Alderson
Saint Louis University
Thursday, March 27, 8:00-9:30 a.m.
St. Louis C, Fourth Floor
Chair: L. Ann Martin
University of Colorado at Denver
Introducing Non-Linear Dynamics to a Two-Regime Market Model: Theory and Evidence
Viajaya B Marisetty
Monash University
George Woodward
Monash Univeristy
Discussant: L. Ann Martin
University of Colorado at Denver
Periodically Collapsing Non-Linear Speculative Bubbles in the Equally Weighted CRSP Index
Amit Sinha
Indiana State University
Megan Y. Sun
Kent State University
Discussant: Alexei Goriaev
New Economic School
Financial Bubbles under Heterogeneity of Risk-Tolerance and Beliefs
Haim Kedar-Levy
Ben Gurion University of the Negev
Discussant: Stanley A. Martin
University of Colorado at Boulder
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 43, Fourth Floor
Chair: John C. Banko
Northern Illinois University
The Value of Successive Analysts' Recommendations
Said Elfakhani
American University of Beirut
Zeina Halabieh
American University of Beirut
Discussant: John C Banko
Northern Illinois University
Using the Binomial Distribution to Analyze Analysts’ Opinions
Erik Benrud
University of Baltimore
Discussant: Raymond M. Brooks
Oregon State University
Analysts' Bias in International Earnings Forecasts
Seung-Woog (Austin) Kwag
Utah State University
Discussant: Kemal Saatcioglu
Koç University
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 45, Fourth Floor
Chair: Anne Gleason
University of Central Oklahoma
An Explanation of the Mortgage Refinancing Index [1990-2001]
Chiaku Ndu
Eastern Connecticut State University
Jill L. Wetmore
Saginaw Valley State University
Discussant: Kenneth A. Carow
Indiana University
Maturity and Corporate Loan Pricing
Aron Gottesman
Pace University
Gordon Roberts
York University
Discussant: Mary Ann Lawrence
KeyCorp
The Composition of Loan Portfolios
Andreas Pfingsten
University of Muenster
Kai Rudolph
University of Muenster
Discussant: Mark Vaughan
Federal Reserve Bank of St. Louis
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 44, Fourth Floor
Chair: Edgar Norton
Illinois State University
Ownership Structure, Corporate Governance and Corporate Performance: the Case of Nigeria
Folasade Lillian Ayonrinde
Nigerian Economic Society
Olayinka Adenikinju
Nigerian Economic Society
Discussant: Piman Limpaphayom
Chulalongkorn University
Do Firms Earn the Cost of Capital Considering Tax Effects of Debt and Provisions: German Evidence
Andreas Schueler
University of Regensburg
Discussant: Paul Molander
Illinois State University
Ownership Structure and Post Issue Operating Performance of SEO Firms in Thailand
Piman Limpaphayom
Sasin GIBA of Chulalongkorn University
Anchalee Ngamwutikul
Thammasat University
Discussant: Edgar Norton
Illinois State University
Crises: I. Policy, Stability and Equity Markets
Thursday, March 27, 8:00-9:30 a.m.
St. Louis B, Fourth Floor
Chair: Christopher Anderson
University of Kansas
WTO Financial Services Commitments: Determinants and Impact on Financial Stability
Nico Valckx
University of Antwerp and European Central Bank
Discussant: Michael J. Dueker
Federal Reserve Bank of St. Louis
Credit Distortion and Financial Crisis
Jing Chen
University of Northern British Columbia
Discussant: Viviana Fernandez
University of Chile
A Multilateral Approach to Examining the Comovements among Major World Equity Markets
Chin-Wen Hsin
Yuan Ze University, Taiwan
Discussant: Luis Garcia-Feijóo
Creighton University
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 48, Fourth Floor
Chair: Kenneth A. Kim
University at Buffalo (SUNY)
Modeling the Optimal Investment Opportunity under Uncertainty
Frank A. Michello
Middle Tennessee State University
Zachariah Sinkala
Middle Tennessee State University
Discussant: Sumit Agarwal
FleetBoston Financial
Distortions in Corporate Investment Decisions
Evrim Akdogu
Washington University
Discussant: J. Christopher Hughen
Bowling Green State University
Management vs. Equity: Stochastic Control-Theoretic Foundations of the Free Cash Flow Hypothesis
Abel Cadenillas
University of Alberta
Steven P. Clark
University of North Carolina at Charlotte
Discussant: Elizabeth S. Cooperman
University of Colorado at Denver
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 46, Fourth Floor
Chair: John R. Wingender, Jr.
Creighton University
Information Asymmetry, Price Momentum, and the Disposition Effect
Günter Strobl
The Wharton School
Discussant: John R. Wingender, Jr
The Rationality of Index Investing vs. the Sport of Investing
David Eagle
Eastern Washington University
Discussant: John R. Wingender, Jr.
Creighton University
Thursday, March 27, 8:00-9:30 a.m.
St. Louis H, Fourth Floor
Chair: Kuntara Pukthuanthong
University of California, Irvine
The Timing, Magnitude and Composition of Shareholder Losses in Bankrupt Firms
Daniel C. Indro
Penn State University - Great Valley
Robert T. Leach
University of South Carolina - Aiken
Wayne Y. Lee
University of Arkansas
Discussant: Christopher Dussold
Southern Illinois University at Edwardsville
Valuation of Investment Companies in Chile
Carlos Maquieira
Universidad de Chile
Salvador Zurita
Universidad Adolfo Ibáñez
Valeria García
Universidad de Chile
María Luisa Velasco
Univerisdad de Chile
Discussant: To be announced
Divided Policy and the Ex-Dividend Day Stock Price Behavior : The Case of Korea
Sungmin Kim
Hanyang University
Discussant: Kam C. Chan
University of Dayton
Thursday, March 27, 8:00-9:30 a.m.
Directors Row 47, Fourth Floor
Chair: Richard J. Dowen
Northern Illinois University
A First Look at the Interrelationships between Priors, Information, Investor Interpretations and Trading
Volume
Stephanie Yates Rauterkus
Louisiana State University
Discussant: Richard J. Dowen
Northern Illinois University
Predictable Time Variation in Investor Sentiment: A Tale of 3 Moments
Boyce Watkins
Syracuse University
Discussant: Philip A. Horvath
Bradley University
A Note on the Intra-Day Volatility of Equity Markets: A Volume Story?
Christos I. Giannikos
Baruch College
Hany Guirguis
Manhattan College
Deniz Ozenbas
Montclair State University
Discussant: Rakesh Bharati
Southern Illinois University at Edwardsville
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 45, Fourth Floor
Chair: Erika Gilbert
Illinois State University
State Banks, Institutions, and Financial Development
Svetlana Andrianova
Loughborough University
Panicos Demetriades
University of Leicester
Anja Shortland
University of Leicester
Discussant: Erika Gilbert
Illinois State University
Payments Settlement under Limited Enforcement: Private Versus Public Systems
Charles M. Kahn
University of Illinois at Urbana-Champaign
William Roberds
Federal Reserve Bank of Atlanta
Discussant: R. Alton Gilbert
Federal Reserve Bank of St. Louis
Funds
Thursday, March 27, 9:45-11:15 a.m.
St. Louis A, Fourth Floor
Chair: Stuart Michelson
Stetson University
Delegated Portfolio Management and Agency
Saltuk Ozerturk
Southern Methodist University
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
Mutual Fund Potential Capital Gain Exposure and Future Returns
Stuart Michelson
Stetson University
Rich Fortin
New Mexico State University
Discussant: Mary Ann Lawrence
KeyCorp
The Relative Impact of Different Classification Schemes on Mutual Fund Flows
Alexei Goriaev
New Economic School
Discussant: Haim Kedar-Levy
Ben Gurion University of the Negev
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 44, Fourth Floor
Chair: James Refalo
Long Island University
Model Uncertainty and Portfolio Insurance
Bernhard Nietert
Passau University,Chair of Finance
Discussant: David Eagle
Eastern Washington University
The Impact of Financial Technologies on Stock Prices
James Refalo
C.W. Post
Manoj Dalvi
C.W. Post
Discussant: Mark Hoven Stohs
California State University, Fullerton
Does the Choice of a Risk Measure Matter?
Carsten Hahn
University of Muenster
Andreas Pfingsten
University of Muenster
Peter Wagner
University of Muenster
Discussant: Diderik Lund
University of Oslo
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 43, Fourth Floor
Chair: Hung-Gay Fung
University of Missouri - St. Louis
Changes in Corporate Governance and Home-Bias: Evidence from Japan
Luis Garcia-Feijóo
Creighton University
Christopher W. Anderson
University of Kansas
Terry L. Campbell II
University of Delaware
Discussant: Katherine L. Jackson
Indiana University South Bend
Rights Issues in China: Development, Regulation and Announcements Effects
Hung-Gay Fung
University of Missouri - St. Louis
Wai K. Leung
Chinese University of Hong Kong
Jiang Zhu
University of Hong Kong
Discussant: Jacky So
Southern Illinois University at Edwardsville
Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry?
Albert Menkveld
Vrije Universiteit Amsterdam
Zhishu Yang
Tsinghua University Beijing
Discussant: J. Christopher Hughen
Bowling Green State University
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 49, Fourth Floor
Chair: Steven P. Clark
University of North Carolina at Charlotte
Explaining Theoretical Portfolio Flows
Paul Ehling
HEC Lausanne, FAME, Wharton
Discussant: David VanderLinden
University of Southern Maine
Volatility Spillovers are Originated from Common Factors
Anya Khanthavit
Thammasat University
Suluck Pattarathammas
Thammasat University
Discussant: Demissew Ejara
University of Massachusetts - Boston
Do Efficient Portfolios Really Matter? The Case for Investors in the NAFTA Region
Mahfuzul Haque
Indiana State University
Tarek Zaher
Indiana State University
Eric Girard
Indiana State University
Discussant: Brent J. Lekvin
Michigan Technological University
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 41, Fourth Floor
Chair: Raymond Brooks
Oregon State University
Pyramids and Takeover
Manfred Jäger
University of Halle
Discussant: Evrim Akdogu
Washington University
Corporate Governance and Expected Stock Returns: Evidence from Germany
Wolfgang Drobetz
Universität Basel
Andreas Schillhofer
WHU Koblenz
Heinz Zimmermann
Universität Basel
Discussant: Ingyu Chiou
Eastern Illinois University
Evidence of the Impact of Management Resistance to Takeovers on the Wealth of Target Shareholders
Krishnan Maheswaran
University of Melbourne
Sean Pinder
University of Melbourne
Discussant: Raymond Brooks
Oregon State University
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 42, Fourth Floor
Chair: Cynthia J. Campbell
Iowa State University
Gradual Information Diffusion and Contrarian Strategies
Atakan Yalcin
Koç University
Discussant: Nancy L. Beneda
University of North Dakota
Stock Market Prices Are Not Predictable in the Long Run: Evidence from a New Specification Test
Ding Du
West Virginia University
Discussant: Cynthia J. Campbell
Iowa State University
Is the Spanish Stock Market Efficient? An Answer Based On Non-Linear Prediction Methods
Marcos Álvarez Díaz
University of Vigo
Lucy Amigo Dobaño
University of Vigo
Francisco Rodríguez de Prado
University of Vigo
Discussant: Melissa V. Melancon
University of Louisiana at Monroe
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 46, Fourth Floor
Chair: Diane M. Lander
Southern New Hampshire University
An Empirical Test of the Accounting-Based Residual Income Model and the Traditional Dividend Discount
Model
Xiaoquan Jiang (John)
University of Alaska Fairbanks
Bong-Soo Lee
University of Houston
Discussant: David VanderLinden
University of Southern Maine
How Did the Market Evaluate the Effects of a Microsoft Breakup?
Steven J. Shapiro
University of New Haven
Edward Downe
University of New Haven
Matthew O'Connor
Quinnipiac University
Discussant: Elisa Rinastiti Muresan
Long Island University
An Examination of the Characteristics of Pre-Offer Share Revisions in IPOs
Irv DeGraw
Eckerd College
Patricia A. Ryan
Colorado State University
Discussant: L. Ann Martin
University of Colorado at Denver
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 47, Fourth Floor
Chair: Kuntara Pukthuanthong
University of California, Irvine
Expected Dividend Growth Rate and Stock Returns
Huafeng Chen
University of Chicago
Discussant: Kuntara Pukthuanthong
University of California, Irvine
Value and Size Effects: Now You See Them, Now You
Don't
Jan Annaert
Ghent University
John Crombez
Ghent University
Bart Spinel
Ghent University
Frederiek van Holle
Ghent University
Discussant: Glenn N. Pettengill
Emporia State University
Time-Series Properties of the Equity Risk Premium: A Reexamination
Rakesh Bali
Adelphi University, NY
Hany Guirguis
Manhattan College, NY
Discussant: Michael Alderson
Saint Louis University
Thursday, March 27, 9:45-11:15 a.m.
St. Louis C, Fourth Floor
Moderator: Kathryn Ioannides
CFP® Board
Staff of the Certified Financial Planner Board of
Standards will provide an overview of the recurring job
analysis and requirements for initial CFP® Certification:
Education, Examination, Experience, and Ethics.
Attendees will learn more about the CFP, including the
requirements for certification beyond the educational
component. Time for questions from the audience will
be included.
B11 Finance Faculty Development and Teaching
Scholarship
Thursday, March 27, 9:45-11:15 a.m.
Rose Garden, Fourth Floor
Moderator: Gary Koppenhaver
Iowa State University
Panelists:
James A. Gentry
University of Illinois at Urbana-Champaign
Dixie Mills
Illinois State University
John R. Wingender, Jr.
Creighton University
The panel will discuss faculty development initiatives,
especially in the area of teaching, from a panel of
finance faculty and administrators from a variety of
schools. The panelists will review current standards,
teaching development initiatives, and barriers to
success at their school. The goal is to share information
about practices across MFA member schools, especially
as they apply to the development of finance faculty.
B12 Corporate Hedging
Thursday, March 27, 9:45-11:15 a.m.
Directors Row 48, Fourth Floor
Chair: Jussi Keppo
University of Michigan
Investment, Cash Flow and Corporate Hedging
Sanjay Deshmukh
DePaul University
Stephen C. Vogt
Mesirow Financial
Discussant: Frank A. Michello
Middle Tennessee State University
CEO Compensation and the Corporate Decision to Hedge
Janikan Supanvanij
Saint Louis University
Discussant: Young S. Kim
Southern Illinois University at Carbondale
Evaluating Hedging Errors: An Asymptotic Approach
Takaki Hayashi
Columbia University
Per A. Mykland
University of Chicago
Discussant: Jussi Keppo
University of Michigan
Crises: II. Currency and Stock Market Crises
Thursday, March 27, 9:45-11:15 a.m.
St. Louis B, Fourth Floor
Chair: Yea-Mow Chen
San Francisco State University
Valuation Impact of Currency Crises: Evidence from the ADR Market
Leo Bin
University of Illinois at Springfield
Lloyd P. Blenman
University of North Carolina - Charlotte
Dar-Hsin Chen
Tamkang University
Discussant: Ingyu Chiou
Eastern Illinois University
Contagion Effects between Stock Markets and Currency Crises: Recent Evidence
Dipankar Chhabra
Shippensburg University
Discussant: Tai-Sheng Chu
Texas A&M University - Kingsville
Crisis Transmission: Some Evidence from the Asian Financial Crisis
Shang-Chi Gong
Fu-Jen University
Tsong-Pei Lee
Fu-Jen University
Yea-Mow Chen
San Francisco State University
Discussant: Kuntara Pukthuanthong
University of California, Irvine
Thursday, March 27, 9:45-11:15 a.m.
St. Louis H, Fourth Floor
Chair: Debbie Pshihountas
Webster University
Monitoring Efficiency of Institutional Investors on Firms Experiencing Performance Declines and Subsequent Wealth Effects
Kemal Saatcioglu
Koç University
Discussant: Thomas Root
Drake University
Cross-Border Banking: Two-Sided Moral Hazard in a Continuous-Time Model
Jun Yang
Washington University in Saint Louis
Discussant: Anton Miglo
Université du Québec à Montréal and CIRPÉE
Agency Costs, Optimal Ownership and the Size of Firm
Cheonsik Woo
Korea Development Institute
Yong-Cheol Kim
University of Wisconsin - Milwaukee
Discussant: Narayanan Subramanian
Brandeis University
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 45, Fourth Floor
Chair: Yi-Kai Chen
Emporia State University
Deposit Insurance and Capital Requirements: Basle Accord vs. Capital-at-Risk
Shih-Cheng Lee
Yuan Ze University
Min-Teh Yu
Providence University
Discussant: Elizabeth S. Cooperman
University of Colorado at Denver
Back Testing for Risk-Based Regulatory Capital
Jeroen Kerkhof
Tilburg University and CentER
Bertrand Melenberg
Tilburg University and CentER
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
Risk-Based Capital Requirements for Mortgage Loans
Paul S. Calem
Board of Governors of Federal Reserve
Michael LaCour-Little
Wells Fargo Home Mortgage
Discussant: Dave Hutchison
Central Michigan University
Thursday, March 27, 11:45 a.m.-1:15 p.m.
St. Louis A, Fourth Floor
Chair: Liang Peng
University of Cincinnati
Enforcing the Law of One Price
E. Dante Suarez
Trinity University
Discussant: Craig Furfine
Federal Reserve Bank of Chicago
Price Behavior Surrounding Block Purchases and Sales: Asymmetric or Bid-Ask Bias
Alex Frino
University of Sydney
Vito Mollica
University of Sydney
Terry Walter
University of New South Wales
Discussant: E. Dante Suarez
Trinity University
Price Discovery in a Market under Stress: The U.S.
Treasury Market in Fall 1998
Craig Furfine
Federal Reserve Bank of Chicago
Eli Remolona
Bank for International Settlements
Discussant: Liang Peng
University of Cincinnati
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 44, Fourth Floor
Chair: Rand Martin
Bloomsburg University
Performance of Closed-End Funds
Rand Martin
Bloomsburg University of Pennsylvania
D. K. Malhotra
Philadelphia University
Discussant: Stefan Ruenzi
University of Cologne
Closed-End Funds and the Efficient Market Hypothesis: Evidence from the Chinese Stock Markets
Tao Zhang
University of Mississippi
Discussant: Kam C. Chan
University of Dayton
Real Estate and its Role in Asset Allocation
Cornelia Kullmann
UBC, Commerce
Stephan Siegel
Columbia University, GSB
Discussant: Larry Lonis
Banc One Investment Advisors
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 43, Fourth Floor
Chair: Thomas Root
Drake University
A Downside Risk Approach to Pension Fund Management
Thomas Root
Drake University
Jacques Rioux
Drake University
Discussant: Tai Yi
University of Sioux Falls
Determinants of Firms that Convert to Cash Balance Pension Plans
Arnold R. Cowan
Iowa State University
Mark L. Power
Iowa State University
Discussant: Peter M. Basciano
Augusta State University
Home Bias Makes Sense for U.S. Pension Plans
Timothy M. Craft
Wichita State University
Discussant: Edgar Norton
Illinois State University
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 41, Fourth Floor
Chair: Ding Du
West Virginia University
The Valuations of High-Tech and Non-High-Tech IPOs: How Are They Different?
Kuntara Pukthuanthong
University of California, Irvine
Discussant: Ding Du
West Virginia University
An Examination of IPO Trading Restrictions Imposed by Multiple Lockups and Rule 144
Christopher Dussold
Southern Illinois University at Edwardsville
Clifford Stephens
Louisiana State University
Discussant: Duo Zhang
West Virginia University
Does Group Affiliation Matter in IPO Pricing?
Kiyoung Chang
University of Wisconsin - Milwaukee
Yong-Cheol Kim
University of Wisconsin - Milwaukee
Richard D. Marcus
University of Wisconsin - Milwaukee
Discussant: Stephen Ferris
University of Missouri - Columbia
Thursday, March 27, 11:45 a.m.-1:15 p.m.
St. Louis C, Fourth Floor
Moderator: Karen Eilers Lahey
University of Akron
Panelists: Thomas Eyssell
University of Missouri - St. Louis
Carl Goodin
Financial Planning Associates, Inc.
Joseph Sheehan
Moneta Group
The panel will explore the career pathways that must be
developed to make personal financial planning a vibrant
profession with strong educational and practice
requirements.
Thursday, March 27, 11:45 a.m.-1:15 p.m.
St. Louis H, Fourth Floor
Presenter: Walayet Khan
University of Evansville
This session will discuss:
-How alternative market structures work,
-How ECNs evolved,
-The underlying factors for the growth of the
ECNs;
-The current and future global trends in equity
markets
-How the traditional markets cope with the new
competition from the ECNs
Thursday, March 27, 11:45 a.m.-1:15 p.m.
St. Louis B, Fourth Floor
Chair: Chu-Sheng Tai
Texas A&M University - Kingsville
Looking for Risk Premium and Contagion in Asia-Pacific Foreign Exchange Markets
Chu-Sheng Tai
Texas A&M University - Kingsville
Discussant: Donald Lien
University of Texas - San Antonio
Co-Integration and Causality among the Emerging FX Markets: Evidence from the 90's Financial Crises
Christopher Gan
Lincoln University
Sirimon Treepongkaruna
Australian National University
Hua Hwa AuYong
Lincoln University
Discussant: Donald Lien
University of Texas - San Antonio
U.S. Monetary Policy Indicators and International Stock Returns
Thomas Mann
Lynchburg College
Robert Atra
Lewis University
Richard Dowen
Northern Illinois University
Discussant: Christopher J. Neely
Federal Reserve Bank of St. Louis
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 46, Fourth Floor
Chair:
Factor Analysis of Yield Curves: A Metric for Comparing
Empirical Factor Solutions, and a Theoretical Link between Factor Analysis, a Short Term Rate Dynamic Model and an HJM Model
Sydney D. Howell
Manchester Business School
Mustafa J. Cavus
TXU Energy
Discussant: Scott Beyer
University of Wisconsin Parkside
Re-Examining the Volatility and Excess Nominal Return in GARCH-M
Rakesh Bali
Adelphi University, NY
Hany Guirguis
Manhattan College, NY
Discussant: Suluck Pattarathammas
Thammasat University
On Inference Biases in Single Firm Event Studies: A New Methodology Utilizing a Mixture-of-Normals Model
Matt Blasko
Oakland University
Discussant: G. D'Anne Hancock
University of Missouri - St. Louis
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 42, Fourth Floor
Chair: Katherine L. Jackson
Indiana University South Bend
Tests of the Pecking Order Theory and the Static Tradeoff Theory of Optimal Capital Structure
Soku Byoun
University of Southern Indiana
Jong Rhim
University of Southern Indiana
Discussant: Seung-Woog (Austin) Kwag
Utah State University
Public Debt Markets and Dividend Policy
Varouj Aivazian
University of Toronto
Laurence Booth
University of Toronto
Sean Cleary
York University
Discussant: Fei Xie
Vanderbilt University
Optimal Capital Management with Fixed Costs and Implementation Delays
Samu Peura
Sampo PLC
Jussi Keppo
University of Michigan
Discussant: David Hutchison
Central Michigan University
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 47, Fourth Floor
Chair: Brent J. Lekvin
Michigan Technological University
A Re-Examination of the Impact of E-Commerce Announcements on the Market Value of Firms
John R. Wingender, Jr.
Creighton University
Prashant Gupta
Creighton
Hiren Chheda
Creighton
Discussant: Debbie Psihountas
Webster University
Technology Adoption and Consumer Payments: Evidence from Survey Data
Fumiko Hayashi
Federal Reserve Bank of Kansas City
Elizabeth Klee
Federal Reserve Board
Discussant: Laurence Blose
Grand Valley State University
Valuing Software Portability: A Real Options Approach
Dean L. Johnson
Michigan Tech University
Brent J. Lekvin
Michigan Tech University
James E. Northey
LaSalle Technology Management Group
Discussant: James Marchand
Mercer University
Thursday, March 27, 11:45 a.m.-1:15 p.m.
Directors Row 48, Fourth Floor
Chair: Adam K. Gehr, Jr.
DePaul University
A Strategy for Effective Out-of-Sample Hedging of Mortgage-Backed Securities
Kristin Fink
James Madison University
Jason Fink
James Madison University
Discussant: Adam K. Gehr, Jr.
DePaul University
Options and Discontinuity: An Asymptotic Decomposition of Hedging Errors
Seongjoo Song
Purdue University
Per A. Mykland
University of Chicago
Discussant: Jason Fink
James Madison University
Corporate Risk Management and Asymmetric Information
Longkai Zhao
UBC
Discussant: Sanjay Deshmukh
DePaul University
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 45, Fourth Floor
Chair: Evren Örs
Southern Illinois University at Carbondale
Subordinated Debt and Equity: Complements or Substitutes?
Eugene Nivorozhkin
Gothenburg University
Discussant: Manoj Athavale
Ball State University
Exercising First and Second Credit Card Default Options
Sumit Agarwal
FleetBoston Financial
Souphala Chomsisengphet
OFHEO
Larry Mielnicki
FleetBoston Financial
Discussant: Lloyd P. Blenman
University of North Carolina, Charlotte
Sub-Prime Lending in Metro East St. Louis: A Preliminary Report
R.W. Hafer
Southern Illinois University at Edwardsville
Discussant: Edward J. Kane
Boston College
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 41, Fourth Floor
Chair: Loren Rice
Illinois College
Privatization and the Corporate Cost of Capital in New Zealand: An Application of Fama and French (1999)
Patricia A. McGraw
Lincoln University
Discussant: Matt Blasko
Oakland University
Executive Stock Options and Managerial Risk Taking
Yenn-Ru Chen
University of Houston
Discussant: Randall Valentine
Mississippi State University
Valuation, Leverage and the Cost of Capital in the Case of Depreciable Assets: Revisited
Diderik Lund
University of Oslo
Discussant: Lan Chen
East West Center
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 42, Fourth Floor
Chair: Narayanan Subramanian
Brandeis University
Real Options, Irreversible Investment and Firm Uncertainty: New Evidence from U.S. Firms
Laarni T. Bulan
Brandeis University
Discussant: Atakan Yalcin
Koç University
On Real Options and Information Costs
Mondher BELLALAH
University of Cergy - Pontoise
Inass EL FARISSI
University of Cergy - Pontoise
Discussant: Madhu Kalimipalli
Wilfrid Laurier University
Dilution and Multiple-Issue Tranches Inherent in Employee Stock-Option Valuation
James N. Bodurtha, Jr.
Georgetown University
Discussant: Narayanan Subramanian
Brandeis University
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 43, Fourth Floor
Chair: Gary Koppenhaver
Iowa State University
The Determinants of Insiders' Selling at Initial Public Offerings: An Empirical Analysis
Arik Ben Dor
Northwestern University
Discussant: Roger P. Bey
University of Tulsa
Insider Transaction and Subsidiary Trading in Parent Stocks
Yang-Pin Shen
Yuan Ze University
Chih-Jen Huang
Ming-Hsin University of Technology
Discussant: Kenneth A. Carow
Indiana University
Management Behaviour and Market Response
Jinhui Luo
London School of Economics
Josef A. Schuster
London School of Economics
Discussant: Gary Koppenhaver
Iowa State University
Thursday, March 27, 1:30-3:00 p.m.
St. Louis C, Fourth Floor
Moderator: Bob Luck
Association for Investment Management and
Research
How is the investment profession changing, and what
concepts are relevant to practice today? What concepts
should be taught in the classroom to prepare students
for the real world?
Every five years, the CFA® Program performs a job
analysis to determine the content of the CFA Program.
The process involves input from thousands of
investment practitioners around the world, and is an
excellent measure of which concepts should be included
in the collegiate classroom. The panel will include AIMR
staff familiar with the job analysis and several
practitioners from the investment profession. Join us for
a discussion of the job analysis, significant changes in
the profession, and some practitioner input into the
classroom.
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 44, Fourth Floor
Chair: Kashi Nath Tiwari
KNT's Academic Financial Research
The Impact of Stock Option Incentives on Investment and Firm Value
Daniel Pasternack
Swedish School of Econ. and Busin. Admin
Matts Rosenberg
Swedish School of Econ. and Busin. Admin
Discussant: Gayle L. de Haas
Mississippi State University
Options in Incomplete Markets
Naomi Belfer
Tel Aviv University
Simon Benninga
Tel Aviv University
Discussant: Frank A Michello
Middle Tennessee State University
Does China's Copper Futures Market Play an Effective Role of Price Discovery?
Gongmeng Chen
The Hong Kong Polytechnic University
Michael Firth
The Hong Kong Polytechnic University
Yu Xin
The Hong Kong Polytechnic University
Discussant: Jacky So
Southern Illinois University at Edwardsville
Thursday, March 27, 1:30-3:00 p.m.
St. Louis A, Fourth Floor
Chair: Brent J. Lekvin
Michigan Technological University
Institutional Trading in International Stocks: Trading Behavior and Price Impact
Chiraphol New Chiyachantana
University of Memphis
Pankaj Jain
University of Memphis
Christine Jiang
University of Memphis
Robert Wood
University of Memphis
Discussant: Wei Zhang
State University of New York - Fredonia
Segmentation and Commonality in Order Flow Submission
Cynthia G. McDonald
University of Missouri - Columbia
J. Christopher Hughen
Bowling Green State University
Discussant: Harald Henke
Europa University Viadrina Frankfurt (Oder)
When Continuous Trading Becomes Continuous
Harald Henke
Europa University Viadrina
Discussant: Brent J. Lekvin
Michigan Technological University
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 45, Fourth Floor
Chair: Brian M. Lucey
Trinity College, Dublin
Estimating the Minimum Gini Hedge Ratio in Foreign Exchange Markets
David R. Shaffer
Villanova University
Andrea DeMaskey
Villanova University
Discussant: Chiaku Ndu
Eastern Connecticut State University
Currency Options and Exchange Rates: Could Risk Reversals Help Hedgers?
David VanderLinden
University of Southern Maine
Bert Smoluk
University of Southern Maine
Discussant: Viviana Fernandez
Universidad de Chile
Measurement Errors, Determinants, and Hedging on Foreign Exchange Exposure
Baeyong Lee
Fayetteville State University
Mark Walker
The University of Mississippi
Discussant: Brian M. Lucey
Trinity College, Dublin
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 46, Fourth Floor
Chair: To be announced
Active and Passive Investing in General Equilibrium
Joël Peress
INSEAD
Discussant: To be announced
Optimal Lifetime Consumption-Portfolio Strategies under Trading Cone Constraints and Recursive Preferences
Mark Schroder
Michigan State University
Costis Skiadas
Northwestern University
Discussant: To be announced
An Empirical Investigation of Ex Ante Variables Under a
Habit Consumption Model
Leonardo Madureira
The Wharton School
Discussant: To be announced
Thursday, March 27, 1:30-3:00 p.m.
Directors Row 48, Fourth Floor
Chair: Jimmy Senteza
Drake University
The Impact of Earnings Management on Credit Spreads
Jimmy Senteza
Drake University
Tom Root
Drake University
Discussant: Peter M Basciano
Augusta State University
The Identification of Banks' Provisioning Policy
Nuno Martins
Banco de Portugal
Paulo Soares de Pinho
Universidade Nova de Lisboa
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
The Effect of Auditor Reputation on Auditee Stock Performance: The Case of Arthur Andersen
Stephanie Yates Rauterkus
Louisiana State University
Kyojik (Roy) Song
Louisiana State University
Discussant: Sridhar Sundaram
Grand Valley State University
Thursday, March 27, 3:15-4:45 p.m.
St. Louis C, Fourth Floor
Panelists:
James N. Bodurtha, Jr.
Georgetown University
Phil H. Latimer
Montserrat Economic Development Advisory Services
and Montserrat Airline Finance Consulting Services
The panel will discuss:
-Anglo-Saxon and European models of
management compensation as a mechanism for
influencing managerial performance;
-How internal control mechanisms may help
control conflicts of interest between senior
management and other stakeholders;
-The elasticity of management compensation in
relation to changes in the value of the firm; and
-The relation between merger activity and stock
prices.
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 43, Fourth Floor
Chair: Luis Garcia-Feijóo
Creighton University
Share Price Reaction to FX Movements in a Small and Open Economy: The New Zealand Case
Xinsheng Lu
Monash University
Discussant: Timothy M. Craft
Wichita State University
Stock Price Behavior Following Positive and Negative Events: A New Methodology
Rakesh Bharati
Southern Illinois University at Edwardsville
Susan J. Crain
Southwest Missouri State University
Prasad Nanisetty
Jennison Associates
Discussant: Boyce Watkins
Syracuse University
Analysts' Selective Coverage of Newly Public Firms
Somnath Das
University of Illinois at Chicago
Rejin Guo
University of Illinois at Chicago
Huai Zhang
University of Illinois at Chicago
Discussant: Srinivasan Sundaram
Ball State University
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 45, Fourth Floor
Chair: Soumen De
University of Evansville
Market Response to Corporate Loan Announcements in
New Zealand
Christopher Gan
Lincoln University
Patricia McGraw
Lincoln University
Andrea Koh Lee Hoon
Credit analyst, Malaysia
Discussant: Soumen De
University of Evansville
Multiple Bank Borrowings: A Managerial Impact Assessment
Richard Carter
Iowa State University
Roger Stover
Iowa State University
Discussant: Andreas Pfingsten
University of Muenster
The Pricing of Sequential Bank Loan Relationships
Manoj Athavale
Ball State University
Robert O. Edmister
University of Mississippi
Discussant: David Eagle
Eastern Washington University
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 42, Fourth Floor
Chair: Pankaj K. Jain
University of Memphis
The Performance of Economic Tracking Portfolios in an IT-Intensive Stock Market
Juha Junttila
University of Oulu
Heli Kinnunen
University of Oulu
Discussant: Gisung Moon
Saint Louis University
Rainbow Put-Call Parity and Market Efficiency
John C. Banko
Northern Illinois University
Discussant: Tom Root
Drake University
An Option Valuation Analysis of the Value of Liquid Resources
Tom W. Miller
Kennesaw State University
Bernell K. Stone
Brigham Young University
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
Thursday, March 27, 3:15-4:45 p.m.
St. Louis A, Fourth Floor
Chair: William Lepley
University of Wisconsin - Green Bay
The Magnitude of Private Information
Elizabeth R. Odders-White
University of Wisconsin - Madison
Mark J. Ready
University of Wisconsin - Madison
Discussant: Arik Ben Dor
Northwestern University
Trading takes Time
Liang Peng
University of Cincinnati
Discussant: William Higbee
University of Wisconsin - Superior
Timing Information, Information Asymmetry, and Trading Volume
Joon Chae
MIT
Discussant: Christos I. Giannikos
Baruch College
Thursday, March 27, 3:15-4:45 p.m.
St. Louis B, Fourth Floor
Chair: Bengt Pramborg
Stockholm University
Derivatives Hedging, Geographical Diversification, and Firm Market Value
Bengt Pramborg
Stockholm University
Discussant: Stephanie Yates Rauterkus
Louisiana State University
The Effectiveness of Multiple Hedging Techniques: Foreign-Denominated Debt Issuers and Currency Risk
Stephen P. Huffman
University of Wisconsin Oshkosh
Stephen D. Makar
University of Wisconsin Oshkosh
Discussant: Erik Benrud
University of Baltimore
Multinationality and Production Efficiency
H. Young Baek
Nova Southeastern University
Discussant: Frank Laatsch
Bowling Green State University
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 41, Fourth Floor
Chair: Soku Byoun
University of Southern Indiana
The Relative Speed of Adjustment in Tax-Exempt Yields Following Substantial Changes in Taxable Yields
Donna Dudney
University of Nebraska - Lincoln
John Geppert
University of Nebraska - Lincoln
Reddhi Mitra
University of Nebraska - Lincoln
Discussant: Seung-Woog (Austin) Kwag
Utah State University
The Determinants of Credit Spread Deviations
Ali Nejadmalayeri
University of Nevada, Reno
Discussant: Soku Byoun
University of Southern Indiana
Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond
Indexes
Jing-Zhi Hunag
Penn State University
Weipeng Kong
Penn State University
Discussant: Elisa Muresan
Long Island University
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 46, Fourth Floor
Chair: Steven P. Clark
University of North Carolina at Charlotte
Market Reactions to Announced Motives for Dividend Omissions
Su Han Chan
California State University, Fullerton
Mark Hoven Stohs
California State University, Fullerton
Ko Wang
California State University, Fullerton
Discussant: Steven P. Clark
University of North Carolina at Charlotte
Stakeholder Theory and Risk: Implications for Dividend Policy and Corporate Cash Holdings
Paul Wentges
University of Ulm
Gerhard Speckbacher
Vienna University of Economics and Business
Discussant: Sundaram Srinivasan
Ball State University
Why Do Firms Offer Dividend Reinvestment Plans (DRIPs)? A Cross-Sectional Study
Baeyong Lee
Fayetteville State University
Wilson Liu
University of Redlands
Discussant: Melissa V. Melancon
University of Louisiana at Monroe
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 48, Fourth Floor
Chair: Camelia Rotaru
Florida Atlantic University
Evidence on Stock Price Effects Associated with Changes in the S&P Small Cap Index
Diane Scott Docking
Northern Illinois University
Richard J. Dowen
Northern Illinois University
Discussant: Jimmy Senteza
Drake University
The Impact of the European Union Insurance Directives on Insurance Company Stocks
Cynthia J. Campbell
Iowa State University
Lawrence Goldberg
University of Miami
Anoop Rai
Hofstra University
Discussant: Srinivasan Sundaram
Ball State University
IPO Mispricing, Flipping and Long Term Performance
Kuntara Pukthuanthong
University of California, Irvine
Discussant: Rob Hull
Washburn University
Thursday, March 27, 3:15-4:45 p.m.
Rose Garden, Fourth Floor
Chair: Kerry Back
Washington University in St. Louis
Papers and participants to be announced.
Thursday, March 27, 3:15-4:45 p.m.
Directors Row 44, Fourth Floor
Moderator: Hung-Gay Fung
University of Missouri - St. Louis
This session is an opportunity for scholars with an
interest in China to discuss emerging research issues.
Thursday, March 27, 5:00-6:00 p.m.
Philip H. Dybvig
Washington University in St. Louis
Philip H. Dybvig is the Boatmen's Bancshares Professor
of Finance at Washington University in Saint Louis. He
has published many papers in top journals on a variety
of topics in Finance and Economics, and is best known
for the Diamond and Dybvig banking model and wide
range of research related to investments. He received
the Commonfund Prize, presented in celebration of
Commonfund's 25th Anniversary, for his work on
portfolio choice given a preference to maintain spending
and its application to managing educational
endowments.
Professor Dybvig has a BA in Mathematics and Physics
from Indiana University and a PhD from Yale in
Economics. He has held teaching appointments at
Princeton and Yale, and has been at Washington
University since 1988.
MFA Conference Reception
Thursday, March 27, 6:00-7:30 p.m.
Room to be announced. All registered attendees and
accompanying persons welcome.
Friday, March 28, 8:00-9:30 a.m.
Directors Row 45, Fourth Floor
Chair: Patricia A. Ryan
Colorado State University
The Nominal Duration of TIPS Bonds
Francis E. Laatsch
Bowling Green State University
Daniel P. Klein
Bowling Green State University
Discussant: Lingfeng Li
Yale University
The Price Behavior of Matched Maturity U.S. Treasury STRIPS: A Test of Competing Hypotheses
David R. Kuipers
Texas Tech University
Discussant: Francis E. Laatsch
Bowling Green State University
Money Funds or Markets? A Comparison of Alternative Liquid Portfolios
G.D. Koppenhaver
Iowa State University
Discussant: L. Ann Martin
University of Colorado at Denver
Friday, March 28, 8:00-9:30 a.m.
Directors Row 46, Fourth Floor
Chair: David Eagle
Eastern Washington University
Introducing Students to Real Options
Glenn N. Pettengill
Emporia State University
Diane Lander
Southern New Hampshire University
Discussant: Anne Gleason
University of Central Oklahoma
Validity of Quantitative Selection Criteria in Predicting MBA Success
Terry C. Truitt
Anderson University
Discussant: Katherine L. Jackson
Indiana University South Bend
A Survey of Master Teachers in the Core Finance Course at Leading MBA Programs
Lawrence J. Gitman
San Diego State University
William L. Megginson
University of Oklahoma
Scott B. Smart
Indiana University
Discussant: Srinivasan Sundaram
Ball State University
Friday, March 28, 8:00-9:30 a.m.
St. Louis G, Fourth Floor
Chair: Rajarshi Aroskar
University of Wisconsin - Eau Claire
Valuation Effects of Domestic and International Seasoned Canadian Offerings by Firms Cross-Listed on
the NYSE/AMEX or Nasdaq
Lawrence Kryzanowski
Concordia University
Arturo Rubalcava
Concordia University
Discussant: Baeyong Lee
Fayetteville State University
Internationalization, Capital Structure, and Cost of Capital: Evidence from French Corporations
Manohar Singh
University of Nevada-Reno
Ali Nejadmalayeri
University of Nevada-Reno
Discussant: Raquel Díaz Vázquez
Universidade de Vigo
Managerial Incentives and International Acquisition Decisions
Dong-Kyoon Kim
State University of New York at Oneonta
Discussant: H. Young Baek
Nova Southeastern University
Friday, March 28, 8:00-9:30 a.m.
Directors Row 47, Fourth Floor
Chair: Cetin Ciner
Northeastern University
The Design of Effective Central Bank Interventions: the Yen/Dollar Case
Michel Beine
Université Libre de Bruxelles
Ariane Szafarz
Université Libre de Bruxelles
Discussant: Richard D. Marcus
University of Wisconsin - Milwaukee
Interest Rate Linkages within the European Monetary System: A VAR in Levels Approach
G. Geoffrey Booth
Michigan State University
Cetin Ciner
Northeastern University
Discussant: Ariane Szafarz
Université Libre de Bruxelles
Geographical versus Industrial diversification: Evidence from EMU and non-EMU countries
Paul Ehling
University of Lausanne
Sofia B. Ramos
University of Lausanne
Discussant: Cetin Ciner
Northeastern University
Friday, March 28, 8:00-9:30 a.m.
Directors Row 48, Fourth Floor
Chair: William Higbee
University of Wisconsin - Superior
Does the Structure of Debt affect the Output and Investment Strategies of the Firm?
Rashmi Banga
Institute of Economic Growth
Uday Bhanu Sinha
National University of Singapore
Discussant: William Higbee
University of Wisconsin - Superior
Empirical Evidence of Capital Investment, Growth Options and Security Returns
Christopher W. Anderson
University of Kansas
Luis Garcia-Feijóo
Creighton University
Discussant: Irv DeGraw
Eckard College
Firm-Specific Determinants of Nominal Stock Return Risk
Kenneth J. Kopecky
Temple University
Tai Yi
University of Sioux Falls
Discussant: Arnold R. Cowan
Iowa State University
Friday, March 28, 8:00-9:30 a.m.
St. Louis H, Fourth Floor
Chair: Adam K. Gehr, Jr.
DePaul University
Return Momentum and Global Portfolio Allocations
Mary M. Bange
University of South Carolina
Thomas W. Miller, Jr.
Washington University in St. Louis
Discussant: Adam K. Gehr, Jr.
DePaul University
Reputations Concerns on Portfolio Choice of Mutual Fund Managers
Liquan Wang
Department of Economics, Duke University
Discussant: Thomas W. Miller Jr.
Washington University
Strategic and Tactical Allocation to Commodities for the Institutional Portfolio
Laurens Swinkels
Tilburg University
Theo Nijman
Tilburg University
Discussant: Stanley A. Martin
University of Colorado
Friday, March 28, 9:45-11:15 a.m.
Directors Row 47, Fourth Floor
Chair: Raquel Díaz Vázquez
University of Vigo
Value of Majority Ownership in Cross-Border Acquisitions
Wi-Saeng Kim
Hofstra University
Kiyoung Chang
University of Wisconsin - Milwaukee
Yong-Cheol Kim
University of Wisconsin - Milwaukee
Discussant: Srinivasan Sundaram
Ball State University
The Choice between Greenfield and Cross-Border Acquisition: A Real Options Approach
Bernard Michael Gilroy
University of Paderborn
Elmar Lukas
University of Paderborn
Discussant: Panicos Demetriades
Leicester University
An Explicative Model for Regional Location of Foreign Direct Investment. An Application to the Spanish
Economy
Raquel Díaz Vázquez
University of Vigo
Discussant: Lloyd P. Blenman
University of North Carolina - Charlotte
Friday, March 28, 9:45-11:15 a.m.
Directors Row 45, Fourth Floor
Chair: Waldo L. Born
Eastern Illinois University
Portfolio Selection and Risk Aversion: A Behavioral Approach
Uri Benzion
Ben-Gurion University
Joseph Yagil
Columbia University
Discussant: Larry A. Lonis
Bank One Investment Advisors
Portfolio Optimization without Expected Returns: Some Empirical Results
Adam K. Gehr, Jr.
DePaul University
Discussant: Rand Martin
Bloomburg University of Pennsylvania
Portfolio Selection with Return Predictability and Periodically Observable State Variables
Lixin Huang
City University of Hong Kong
Hong Liu
Washington University in St Louis
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
Friday, March 28, 9:45-11:15 a.m.
St. Louis G, Fourth Floor
Moderator: George M. McCabe
University of Nebraska - Lincoln
Panelists:
Raj Aggarwal
Kent State University
Former Editor, Financial Practice and Education
Ali M. Fatemi
DePaul University
Editor, Journal of Applied Finance
Stephen P. Ferris
University of Missouri - Columbia
Editor, The Financial Review
George M. McCabe
University of Nebraska - Lincoln
Editor, Quarterly Journal of Business and Economics
What should authors know about the journal submission
and review process? Find out from this distinguished
panel of Finance journal editors. The session will include
an opportunity for questions from the audience.
Friday, March 28, 9:45-11:15 a.m.
St. Louis H, Fourth Floor
Moderator: Karyl Leggio
University of Missouri - Kansas City
Panelists:
Todd Alessandri
Syracuse University
David N. Ford
Texas A&M University
Diane M. Lander
Southern New Hampshire University
Marilyn Taylor
University of Missouri - Kansas City
The panel will address:
-How risk and uncertainty affect the decisionmaking
process.
-Disadvantages of current discounted cash flow
analysis in accounting for risk.
•?Using real options as an alternative to value
uncertainty, including a demonstration with a
construction project.
-How to incorporate an integrated risk
management structure into an organization.
Friday, March 28, 9:45-11:15 a.m.
Directors Row 46, Fourth Floor
Chair: Matt Blasko
Oakland University
Herd Behavior in Financial Markets
Wenjin Kang
Anderson School of UCLA
Discussant: Joël Peress
INSEAD
Adaptive Expectations and Stock Market Crashes
David M. Frankel
Cornell and Tel Aviv
Discussant: Hui Guo
Federal Reserve Bank of St. Louis
Asymmetry and Self-Fulfilling Nature of Crashes and Frenzies
Han Ozsoylev
University of Minnesota
Discussant: Matt Blasko
Oakland University
Friday, March 28, 9:45-11:15 a.m.
Directors Row 48, Fourth Floor
Chair: Janikan Supanvanij
Saint Louis University
How Sensitive is Volatility to Exchange Rate Regimes?
Viviana Fernandez
University of Chile
Discussant: To be announced
Forecasting Foreign Exchange Volatility: Is Implied
Volatility the Best We Can Do?
Christopher J. Neely
Federal Reserve Bank of St. Louis
Discussant: Pankaj K. Jain
University of Memphis
Sources of Volatility in Stock Returns in Emerging
Markets
Selcuk Caner
Bilkent University
Zeynep Onder
Bilkent University
Discussant: Viviana Fernandez
Universidad de Chile
MFA Conference Luncheon
Pre-registration required
Friday, March 28, 11:30-1:15 p.m.
Rose Garden, Fourth Floor
Presiding: Glenn N. Pettengill
Emporia State University
Luncheon Program: Financial Executive Panel
Discussion on Capital Budgeting
Panelists:
Terry Crews
CFO, Monsanto Company
Tom Wind
CFO, Nexstar Financial Corporation
Jim Sullivan
Controller, Solutia Inc.
Friday, March 28, 1:30-3:00 p.m.
Directors Row 47, Fourth Floor
Chair: Padma Kadiyala
Purdue University
Divergence of US and Local Returns in the After-Market for Equity-Issuing ADRs
Padma Kadiyala
Purdue University
Avanidhar Subrahmanyam
UCLA
Discussant: Hong Wu
West Virginia University
Time Varying Equity Market Integration in Europe
Raj Aggrawal
Kent State
Brian M Lucey
Trinity College Dublin
Cal Muckley
Trinity College Dublin
Discussant: Larry J. Prather
East Tennessee State University
Co-Movement of European Equity Markets after the Euro
Demissew Diro Ejara
University of Massachusetts Boston
Discussant: Nico Valckx
University of Antwerp and European Central Bank
Friday, March 28, 1:30-3:00 p.m.
St. Louis G, Fourth Floor
Presenters:
James A. Gentry
University of Illinois at Urbana-Champaign
Frank K. Reilly
University of Notre Dame
When estimating the intrinsic value of a firm or a stock,
students of finance know there are always many
puzzles, both apparent and hidden. This special session
will actively involve you in learning how to create an
integrated valuation system. In turn, it will enhance your
ability to explain the valuation process and improve
student learning by simulating various valuation
scenarios. We shall introduce you to an implied terminal
growth rate of dividends and an implied growth rate of
free cash flow to a firm. Our primary objectives are to
create great discussions about valuation and to enhance
your effectiveness when leading discussions about
intrinsic valuation.
Friday, March 28, 1:30-3:00 p.m.
Directors Row 45, Fourth Floor
Chair: Jill L. Wetmore
Saginaw Valley State University
The Determinants of Managerial Ownership and Performance
A. Sinan Cebenoyan
Hofstra University
Fatma Cebenoyan
Hunter College
Elizabeth S. Cooperman
University of Colorado at Denver
Charles A. Register
Florida Atlantic University
Discussant: Yenn-Ru Chen
University of Houston
Evidence of Managerial Opportunism during Mutual-to- Stock Conversions
Kenneth A. Carow
Indiana University
Steven Cox
Indiana University Kokomo
Dianne Roden
Indiana University Kokomo
Discussant: Jill L. Wetmore
Saginaw Valley State University
Market Discipline: Is it Fact or Fiction?
Benton E. Gup
University of Alabama
Discussant: Sean Pinder
University of Melbourne
Friday, March 28, 1:30-3:00 p.m.
Directors Row 46, Fourth Floor
Chair: William Higbee
University of Wisconsin - Superior
Global Trends in IPO Methods: Book Building vs. Auctions
Ann Sherman
University of Notre Dame
Discussant: Mark Hoven Stohs
California State University, Fullerton
Do Prestigious Underwriters Underprice More
Nancy L. Beneda
University of North Dakota
Ik-Whan G. Kwon
St. Louis University
Discussant: William Lepley
University of Wisconsin - Green Bay
IPOs and Seasoned Offerings: A Comparative Study
Rob Hull
Washburn University
Robert Kerchner
Washburn University
Sungkyu Kwak
Washburn University
Discussant: Patricia Ryan
Colorado State University
Friday, March 28, 1:30-3:00 p.m.
St. Louis H, Fourth Floor
Chair: John Crombez
Ghent University
The Correlation of Stock and Bond Returns
Lingfeng Li
Yale University
Discussant: Donna Dudney
University of Nebraska - Lincoln
Incomplete Information, Heterogeneous Beliefs and the Statistical Properties of Asset Prices
Tony Berrada
HEC Montreal
Discussant: Steven P. Clark
University of North Carolina at Charlotte
Bayesian Analysis of Stochastic Betas
Gergana Jostova
The George Washington University
Alexander Philipov
Boston College
Discussant: John Crombez
Ghent University
Friday, March 28, 1:30-3:00 p.m.
Directors Row 48, Fourth Floor
Chair: John A. MacDonald
Clarkson University
Importance Sampling Estimation of Volatility and the Volatility Term Structure
Scott Beyer
University of Wisconsin Parkside
Chris Wikle
University of Missouri
Discussant: John A. MacDonald
Clarkson University
Does Skewness Matter? Evidence from the Index Options Market
Madhu Kalimipalli
Wilfrid Laurier University
Ranjini Sivakumar
University of Waterloo
Discussant: Kam C. Chan
University of Dayton
Asymmetric Responses of Volatilities to Equity Price Changes: Evidence from Causality Tests
Peter P. Lung
University of Dayton
Kam C. Chan
University of Dayton
Louis T.W. Cheng
Hong Kong Polytechnic University
Discussant: John A. MacDonald
Clarkson University
Friday, March 28, 3:15-5:00 p.m.
St. Louis G, Fourth Floor
Presenters:
James A. Gentry
University of Illinois at Urbana-Champaign
Cheelan Bo-Linn
University of Illinois at Urbana-Champaign
There is an increasing interest in teaching excellence
and ways in which to enhance student learning.
Research in faculty development in higher education
has found exemplary teachers (ETs) have distinctive
talents and knowledge about their classrooms. This
study involves a large sample of ETs and typical
teachers (TTs) from various departments at three
separate universities. It is unknown to the researchers
whether the teachers are ETs or TTs. Our objective is to
differentiate the teachers into two groups: ETs and TTs.
To accomplish the differentiation, we have used three
separate approaches to measure teaching
effectiveness. Please join us for a good time and to
learn how you can improve your teaching strategies and
effectiveness.
Friday, March 28, 3:15-5:00 p.m.
St. Louis H, Fourth Floor
Chair: Randal D. Ice
University of Central Oklahoma
Investor Learning about Analyst Predictive Ability
Qi Chen
Duke University
Jennifer Francis
Duke University
Wei Jiang
Columbia Business School
Discussant: Waldo L. Born
Eastern Illinois University
Financial Analysts' Revisions of Stock Recommendations and Stock Price Behavior
Yung-Ho Chang
University of Houston - Victoria
Massoud Metghalchi
University of Houston - Victoria
Discussant: Padmaja Pillutla
Western Illinois University
Analyst Forecast Revisions: Behavioral Evidence Megan Y. Sun
Kent State University
Discussant: Liang Peng
University of Cincinnati
Friday, March 28, 3:15-5:15 p.m.
Directors Row 47, Fourth Floor
Chair: Michael G. Sher
Metropolitan State University
The Small Firm Effect and the Strength of the U.S. Dollar
Charles Beauchamp
Mississippi State University
Gayle L. de Haas
Mississippi State University
Discussant: Brian M. Lucey
Trinity College, Dublin
Investment Opportunities of ADRs with Price Limits in the Foreign Underlying Securities Exchange
Yi-Kai Chen
Emporia State University
Eric J. Higgins
Kansas State University
Discussant: Shaikh A. Hamid
Southern New Hampshire University
International Diversification Gains from Dynamic Bayesian Portfolio Choice
George Chang
Saint Louis University
Discussant: Michael G. Sher
Metropolitan State University
Emerging Markets Volatility: Influence of U.S. and Foreign Investors
Nitin
Indian Institute of Management Calcutta
Gaurav Moda
Indian Institute of Management Calcutta
Discussant: To be announced
Friday, March 28, 3:15-5:15 p.m.
Directors Row 48, Fourth Floor
Chair:
Time-Varying Risk Premia and the Cross Section of Stock Returns
Hui Guo
The Federal Reserve Bank of St. Louis
Discussant: Hong Wu
West Virginia University
The Relevance of ICAPM: The Case of Emerging Markets
Eric Girard
Indiana State University
Amit Sinha
Indiana State University
Discussant: Patricia S. Pollard
Federal Reserve Bank of St. Louis
Assessing the Size of Asset Pricing Tests under Perfect Ex Ante Efficiency
Pin-Huang Chou
National Central University
Mei-Chen Lin
National Lien-Ho Institute of Technology
Discussant: Han Ozsoylev
University of Minnesota
An International CCAPM with "Keeping up with the Joneses" Preferences
Hong Wu
West Virginia University
Discussant: Pin-Huang Chou
National Central University
Friday, March 28, 3:15-5:15 p.m.
Directors Row 45, Fourth Floor
Chair: Hong Liu
Washington University in St. Louis
The Role of Information Asymmetry Due to Diversification in Explaining the Firm Value Discount
Young S. Kim
Southern Illinois University at Carbondale
Ike Mathur
Southern Illinois University at Carbondale
Jouahn Nam
Pace University
Discussant: Baeyong Lee
Fayetteville State University
Market Integration, Liberalization, and Foreign Exchange Risk in Asia-Pacific Emerging Markets
Chu-Sheng Tai
Texas A&M University - Kingsville
Discussant: Feng-Shun (Leo) Bin
University of Illinois at Springfield
Foreign Exchange Market Reaction to Surprises in Macroeconomic Announcements
Marc W. Simpson
University of Texas - Pan American
Sanjay Ramchander
Colorado State University
Mukesh Chaudhry
Indiana University of Pennsylvania
Discussant: Yanling Ge
Southern Illinois University at Edwardsville
European Foreign Exchange Market Efficiency:
Evidence Based on Crisis and Non-Crisis Periods
Raj Aroskar
University of Wisconsin Eau Claire
Salil Sarkar
University of Texas at Arlington
Peggy E. Swanson
University of Texas at Arlington
Discussant: Lingfeng Li
Yale University
Friday, March 28, 3:15-5:00 p.m.
Directors Row 46, Fourth Floor
Chair: MaryAnn Lawrence
Key Corp
Universal-Bank Underwriting and Conflicts of Interest: Evidence from German Initial Public Offerings
Peter G. Klein
University of Missouri
Kathrin Zoeller
Princeton, N.J.
Discussant: Kenneth A. Carow
Indiana University
A Cross-Country Analysis of the Bank Supervisory Framework and Bank Performance
James R. Barth
Auburn University and Milken Institute
Daniel E. Nolle
Office of the Comptroller of the Currency
Triphon Phumiwasana
Milken Institute
Glenn Yago
Milken Institute
Discussant: Anne Gleason
University of Central Oklahoma
How Country and Safety-Net Characteristics Affect Bank Risk Shifting
Armen Hovakimian
Baruch College
Edward J. Kane
Boston College
Luc Laeven
World Bank
Discussant: MaryAnn Lawrence
Key Corp
MFA Conference Reception
Hosted by MFA Past Presidents
Friday, March 28, 5:30-7:00 p.m.
Room to be announced. All registered attendees
and accompanying persons welcome.
MFA Breakfast, Business Meeting and
Distinguished Financial Executive Address
Pre-registration required
Saturday, March 29, 7:15-8:45 a.m.
Rose Garden, Fourth Floor
Speaker: Rich Ryffel
Bank of America Securities
Saturday, March 29, 9:00-10:30 a.m.
Directors Row 47, Fourth Floor
Chair: Brent J. Lekvin
Michigan Technological University
Predicting Volatility in the Commodity Futures Option Markets: Evidence from the Corn Market during 1991-2000
Stephen Ferris
University of Missouri - Columbia
Weiyu Guo
University of Nebraska - Omaha
Tie Su
University of Miami
Discussant: S. J. Chang
Illinois State University
Volatility Estimators and Multivariate Nonlinear Statistical Projection in the Pricing of Treasury Note Futures Options
Mark T. Leung
University of Texas at San Antonio
An-Sing Chen
National Chung Cheng University
Discussant: Cornelis Los
Kent State University
Forecasting the Dynamics in the S&P 500 Index Options Implied Volatility Surface
Massimo Guidolin
University of Virginia
Silvia Goncalves
University of Montreal
Discussant: Steven Clark
University of North Carolina Charlotte
Saturday, March 29, 9:00-10:30 a.m.
Directors Row 48, Fourth Floor
Chair: Xiaoquan Jiang (John)
University of Alaska
Risk Aversion and Personality Type
Greg Filbeck
Schweser Study Program
Patricia Hatfield
Bradley University
Philip Horvath
Bradley University
Discussant: Yung-Ho (Randy) Chang
University of Houston - Victoria
Evaluating the Effectiveness of Dollar-Cost Averaging Using Risk-Adjusted Performance Measures
Karyl B. Leggio
University of Missouri at Kansas City
Donald Lien
University of Texas at San Antonio
Discussant: Larry Blose
Grand Valley State University
Volatility and Retirement Planning
Grover Cleveland
Metropolitan State University
Michael Sher
Metropolitan State University
Discussant: Inayat Mangla
Western Michigan University
Saturday, March 29, 9:00-10:30 a.m.
Directors Row 46, Fourth Floor
Chair: Raymond M. Brooks
Oregon State University
Teaching an Old Dog New Tricks: Using the Dividend Growth Model in Financial Planning
Raymond M. Brooks
Oregon State University
Discussant: Raymond M. Brooks
Oregon State University
An Internet-Based System for Distributing, Grading, and Explaining Numerically-Based Homework
David Eagle
Eastern Washington University
Discussant: Katherine L. Jackson
Indiana University South Bend
On Evaluating Leverage: One Ignored Tool
Waldo L. Born
Eastern Illinois University
Discussant: Ward S. Huffman
Nova Southeastern University
Saturday, March 29, 9:00-10:30 a.m.
St. Louis F, Fourth Floor
Chair: Wei Zhang
State University of New York - Fredonia
Upstairs, Downstairs: Electronic vs. Open Outcry Exchanges
Craig Pirrong
University of Houston
Discussant: Jang-Chul Kim
University of Memphis
Inventory, Price Search, and Market Quality
Wei Zhang
State University of New York - Fredonia
Chunchi Wu
Syracuse University
Discussant: Chris Gadarowski
Cornell University
The Impact of Time Duration between Trades on Four Liquidity Dimensions in Futures Market Transactions
Mark E. Holder
Kent State University
Min Qi
Kent State University
Amit Sinha
Indiana State University
Discussant: John Crombez
Ghent University
Saturday, March 29, 9:00-10:30 a.m.
Directors Row 45, Fourth Floor
Chair: Bernhard Nietert
Passau University
Investing in Disappearing Anomalies
Christopher S. Jones
University of Southern California
Lukasz Pomorski
University of Chicago
Discussant: Bernhard Nietert
Passau University
Testing the Theory Underlying the Dogs of the Dow Investment Strategy
Alan W. Middleton
Ohio University - Lancaster
Discussant: Mohammed Haque
Texas A&M University - Texarkana
Trading Behavior of Finnish Households: Activity, Performance and Overconfidence
Markku Tyynelä
University of Oulu
Jukka Perttunen
University of Oulu
Discussant: Laurens Swinkels
Tilburg University
Saturday, March 29, 9:00-10:30 a.m.St. Louis G, Fourth Floor
Presenter:
Shaikh A. Hamid
Southern New Hampshire University
Though neural networks have been around for almost
fifty years, only since the late 1980s they have gained a
major foothold in scientific and technical use. Their
application to finance is even more recent, and mainly
published in non-finance journals by non-finance
researchers. This session will seek to remove some of
the mist that shrouds neural networks. The session will
explain in non-technical terms what a neural network is
and how a version of it works. It is hoped that a better
understanding of the technology will generate needed
research in the many unresolved issues relating to its
applications in economics, finance and business.
Practitioners can reap even greater benefits of present
and potential uses of the technology.
Saturday, March 29, 10:45 a.m.-12:15 p.m.
Directors Row 47, Fourth Floor
Chair: Stephanie Yates Rauterkus
Louisiana State University
Time Series Properties of Energy Prices: Mean- Reversion, Seasonality and GARCH Effects
Roger P. Bey
University of Tulsa
Larry J. Johnson
University of Tulsa
Discussant: Rakesh Bali
Adelphi University
Trading Volume and Return Autocorrelations: Evidence from Energy Futures Markets
Cetin Ciner
Northeastern University
Discussant: Stephanie Yates Rauterkus
Louisiana State University
Valuation of Investment and Opportunity to Invest in Power Generation
Shi-Jie Deng
Georgia Institute of Technology
Discussant: Inass El Farissi
University of Cergy - Pontoise
Saturday, March 29, 10:45 a.m.-12:15 p.m.
St. Louis G, Fourth Floor
Chair: Erika Gilbert
Illinois State University
Liquidity Premium and Informational Efficiency as the Determinants of Capital Structure
Chun Chang
University of Minnesota
Xiaoyun Yu
Indiana University
Discussant: William L. Scott
Illinois State University
Dynamic Capital Structure and Stochastic Interest Rates
Ali Nejadmalayeri
University of Nevada, Reno
Discussant: Loren Rice
Illinois College
Financial Structure as a Signal of Earnings Growth or Why Firms Issuing Equity Under-Perform in the Long
Run
Anton Miglo
Université du Québec à Montréal and CIRPÉE
Discussant: Ali Nejadmalayeri
University of Nevada, Reno
Saturday, March 29, 10:45 a.m.-12:15 p.m.
Directors Row 45, Fourth Floor
Chair: Karen Eilers Lahey
University of Akron
When Should I Retire? Actual Factors Affecting the Retirement Decision
Karen Eilers Lahey
University of Akron
Doseong Kim
University of Akron
Melinda Newman
University of Akron
Discussant: Mary Ann Lawrence
KeyCorp
Temporal Profitability and Pricing in Long-Term Care Insurance Markets: Implications for Multi-period Adverse Selection Models
Yanling Ge
Southern Illinois University at Edwardsville
Larry A. Cox
University of Mississippi
Discussant: Kashi Nath Tiwari
KNT's Academic Financial Research
Saturday, March 29, 10:45 a.m.-12:15 p.m.
Directors Row 46, Fourth Floor
Chair: George W. Kutner
Marquette University
A Stigler View on Banking Supervision
Friedrich Heinemann
Zentrum für Europäische Wirtschaftsforschung
Martin Schueler
Zentrum für Europäische Wirtschaftsforschung
Discussant: George W. Kutner
Marquette University
On the Value and Interest Rate Sensitivity of Financial Franchises: The Market for Consumer CDs
Dave Hutchison
Central Michigan University
Discussant: Michael Dewally
Marquette University
A Markov View of Bank Consolidation: 1960-2000
Douglas D. Robertson
Comptroller of the Currency
Discussant: Laura Beal
University of Nebraska at Omaha
Saturday, March 29, 10:45 a.m.-12:15 p.m.
St. Louis F, Fourth Floor
Chair: Margaret Burk
Muskingum College
A Comparison of Volatility, Bid-Ask Spread and Adverse Selection Costs for Nasdaq and NYSE after
Decimalization
Christine X. Jiang
University of Memphis
Jang-Chul Kim
University of Memphis
Robert A. Wood
University of Memphis
Discussant: To be announced
A Reexamination of Information Flow in Financial
Markets: The Impact of Regulation FD and Decimalization
J. Christopher Hughen
Bowling Green State University
Prem G. Mathew
University of Saskatchewan
Kent P. Ragan
Southwest Missouri State University
Discussant:
On the Efficacy of Regulation Fair Disclosure: Theory & Evidence
Chris Gadarowski
Cornell University
Praveen Sinha
Cornell University
Discussant: Margaret Burk
Muskingum College
Saturday, March 29, 10:45 a.m.-12:15 p.m.
Directors Row 48, Fourth Floor
Chair: Alexander Philipov
Boston College
Stock Returns, Dividend Yield and Book to Market: A Log Linear Co-Integration Model
Xiaoquan Jiang (John)
University of Alaska Fairbanks
Bong-Soo Lee
University of Houston
Discussant: Stanley A. Martin
University of Colorado at Boulder
Book-to-Market as a Proxy for True Beta: An Empirical Analysis
Luis Garcia-Feijóo
Creighton University
Randy D. Jorgensen
Creighton University
Discussant: Inayat Mangla
Zayed University
Dividend-Yield Based Trading Rules and Market Overreaction: The Scandinavian Evidence
Kenneth Hogholm
Swedish School of Economics and Business
Larry J. Prather
East Tennessee State University
Discussant: Christoph Kaserer
Tech University Munich
Thanks for attending MFA 2003! See you in Chicago,
March 18-20, 2004!