Updated 4th April, 2006 1 - EFMA 2006

1
TITLE AUTHOR
MAGNET EFFECTSPRICE LIMIT PERFORMANCEAND SHORT-LIVED DAVID ABAD (UNIVERSITY OF ALICANTE. DPTO. ECONOMÍA
RULE-BASED AUCTIONS
FINANCIERA)
DOES CORPORATE CONTROL DETERMINE THE CROSS-LISTING
WISSAM ABDALLAH ABDALLAH (LEBANESE AMERICAN UNIVERSITY-
LOCATION?
BUSINESS SCHOOL)
TWENTY-FIVE YEARS OF Z-SCORES IN THE UK: DO THEY REALLY
VINEET AGARWAL (CRANFIELD UNIVERSITY SCHOOL OF
WORK?
MANAGEMENT)
THE POST-COST PROFITABILITY OF MOMENTUM TRADING
SAM AGYEI-AMPOMAH (ASTON BUSINESS SCHOOLASTON
STRATEGIES: FURTHER EVIDENCE FROM THE UK
UNIVERSITY)
SAMPLE SELECTION AND EVENT STUDY ESTIMATION KENNETH R. AHERN (UCLA - ECONOMICS)
MODELING AND FORECASTING IMPLIED VOLATILITY - AN
KATJA AHONIEMI (HELSINKI SCHOOL OF ECONOMICSDEPARTMENT
ECONOMETRIC ANALYSIS OF THE VIX INDEX
OF ECONOMICS)
THE CORRELATION BETWEEN FX RATE VOLATILITY AND STOCK
EXCHANGE RETURNS VOLATILITY: AN EMERGING MARKETS OVERVIEW
AYMEN KAROUI AK (HEC MONTRÉAL - MANAGEMENT SCIENCE.)
THE RELATIONSHIP BETWEEN TRANSPARENCY & DISCLOSURE AND
FIRM PERFORMANCE IN THE ISE: DOES IFRS ADOPTION MAKE A
DIFFERENCE?
MINE AKSU (SABANCI UNIVERSITYFACULTY OF MANAGEMENT)
THE VOLUNTARY DISCLOSURE OF PROFITS FORECASTS IN UK IPOS ZEINA AL-AHMAD (THE UNIVERSITY OF MANCHESTERMANCHESTER
PROSPECTUSESITS DETERMINANTS AND IMPLICATIONS
BUSINESS SCHOOL)
ANOTHER LOOK AT INFORMATION COSTS AND HOME BIAS: EVIDENCE COEN ALAIN (UQÀM (UNIVERSITÉ DU QUÉBEC À MONTRÉAL)
FROM EARNINGS OPACITY AND FINANCIAL ANALYSTS
GRADUATE BUSINESS SCHOOL (ESG))
IMPLICATIONS OF OPTIMAL INVESTMENT POLICIES FOR HYBRID
PETER ALBRECHT (UNIVERSITY OF MANNHEIMPROFESSOR OF RISK
PENSION PLANS: SPONSOR AND MEMBER PERSPECTIVES
THEORYPORTFOLIO MANAGEMENTAND INSURANCE)
DO VENTURE CAPITALISTS CHARACTERISTICS AFFECT THE
PERFORMANCE OF THE FIRMS THEY BACK?
LUISA ALEMANY (ESADE BUSINESS SCHOOL - U. RAMON LLULL)
DEVELOPMENTS IN THE INTEGRATION OF EUROPEAN BANKING
SYSTEM AND THE INTRODUCTION OF EURO.
GEORGE ALEXANDROU (KINGSTON BUSINESS SCHOOL)
INSTITUTIONAL INVESTORS ACTIVISM: DOES THE PORTFOLIO
MANAGEMENT SKILL MATTER?
CARLOS ALVES (CEMPRE - UNIVERSITY OF PORTO)
DRY MARKETS AND STATISTICAL ARBITRAGE BOUNDS FOR EUROPEAN JOAO AMARO DE MATOS (FACULDADE DE ECONOMIA DA
DERIVATIVES
UNIVERSIDADE NOVA DE LISBOA)
R&D AND PERFORMANCE PERSISTENCE: EVIDENCE FROM THE UK SERAINA ANAGNOSTOPOULOU (CITY UNIVERSITY CASS BUSINESS
SCHOOL)
DECOMPOSING THE PRICE-EARNINGS RATIO KEITH ANDERSON (ICMA CENTREUNIVERSITY OF READING)
PROJECTIONS OF PENSION FUND SOLVENCY UNDER ALTERNATIVE ANDRIY ANDREEV (SWEDISH SCHOOL OF ECONOMICS AND
ACCOUNTING REGIMES
BUSINESS ADMINISTRATIONDEPARTMENT OF FINANCE AND
STATISTICS)
KNOWLEDGE ARTIFICIAL NEURAL NETWORKS TO ENHANCED
PANAYIOTIS ANDREOU (UNIVERSITY OF CYPRUSDEPT. OF PUBLIC
PARAMETRIC OPTION PRICING
AND BUSINESS ADMINISTRATION)
FAMILY OWNERSHIP AS THE OPTIMAL ORGANIZATIONAL STRUCTURE? CHRISTIAN ANDRES (UNIVERSITY OF BONNCHAIR OF FINANCE AND
BANKING)
MARKET INDEX CREATION BY VALUE-AT-RISK MINIMIZATION. A
JORDI ANDREU (UNIVERSIDAD ROVIRA Y VIRGILI. DEPT. GESTIÓN DE
METHODOLOGICAL AND EMPIRICAL PROPOSAL.
EMPRESAS)
IS VOLATILITY RISK PRICED IN THE SECURITIES MARKET? EVIDENCE YAKUP ESER ARISOY (BILKENT UNIVERSITY FACULTY OF BUSINESS
FROM S&P 500 INDEX OPTIONS
ADMINISTRATION)
TERM STRUCTURE MODELS WITH CONSTANT AND PROPORTIONAL
SHIFTS
FREDRIK ARMERIN (SKANDIA LIFE INSURANCE)
CAPITAL MARKET REACTION TO EQUITY PRIVATE
ORALUCK ARSIRAPHONGPHISIT (MONASH UNIVERSITYACCOUNTING
PLACEMENTRELATIVE CAPITAL STRUCTURE CHANGE AND FIRM
VALUE: AUSTRALIAN EVIDENCE
AND FINANCE)
A THEORY OF OPTIMAL EXPROPRIATIONMERGERS AND INDUSTRY
COMPETITION
BRIS ARTURO (IMD)
EVALUATING A NONLINEAR ASSET PRICING MODEL ON
INTERNATIONAL DATA
HOSSEIN ASGHARIAN (LUND UNIV. DEPT OF ECONOMICS)
BEHAVIORAL BIASES AND INVESTOR BEHAVIOR: PREDICTING THE
NEXT STEP OF A RANDOM WALK (REVISITED AND EXTENDED)
ELENA ASPAROUHOVA (UNIVERSITY OF UTAHFINANCE)
SEASONAL PATTERNS IN CANADIAN FINANCIAL MARKETS AND THE GEORGE ATHANASSAKOS (UNIVERSITY OF WESTERN
IMPACT OF PROFESSIONAL PORTFOLIO REBALANCING: EVIDENCE OF
PROFITABLE OPPORTUNITIES
ONTARIO/RICHARD IVEY SCHOOL OF BUSINESS)
CONTROL MECHANISMSEARNINGS MANAGEMENTAND AGENCY COSTS NAJAH ATTIG (SAINT MARY'S UNIVERSITY)
DOES PRIVATE OWNERSHIP ALWAYS IMPROVE FIRM PERFORMANCE? WOFGANG AUSSENEGG (VIEANNA UNIVERSITY OF TECHNOLOGY -
THE CASE OF CENTRAL EUROPEAN TRANSITION ECONOMIES
DEP. OF FINANCE AND CORPORATE GOVERNANCE)
OPTIMAL BAYESIAN PORTFOLIOS OF HEDGE FUNDS JEAN-FRANÇOIS BACMANN (RMF INVESTMENT MANAGEMENT)
HOME BIAS AND FINANCIAL MARKET INTEGRATION: HAS TIME ERODED
THE PUZZLE?
LIEVEN BAELE (TILBURG UNIVERSITY DEPARTMENT OF FINANCE)
THE INFORMATION CONTENT OF ABNORMAL TRADING VOLUME EMANUELE BAJO (UNIVERSITY OF BOLOGNA)
DOES VENTURE CAPITAL REALLY IMPROVE PORTFOLIO COMPANIES’
GROWTH? EVIDENCE FROM GROWTH COMPANIES IN CONTINENTAL
EUROPE
MARINA BALBOA (UNIVERSIDAD DE ALICANTE)
WHO USES EQUITY CAPITAL AMONG SMES? EVIDENCE FROM SURVEY
DATA
FRANCESCO BALDI (UNIVERSITY OF ROME)
DUAL-CLASS SHARE ISSUES AND MITIGATING THE COSTS OF
CORPORATE DEMOCRACY
SUMAN BANERJEE (TULANE UNIVERSITY)
TEAM MANAGEMENT AND MUTUAL FUNDS MICHAELA BÄR (DEPARTMENT OF FINANCEUNIVERSITY OF
COLOGNE AND CENTRE FOR FINANCIAL RESEARCH (CFR)
COLOGNE)
DOES CULTURE INFLUENCE ASSET MANAGERS VIEWS AND BEHAVIOR? DANIELA BECKMANN (UNIVERSITY OF HANNOVERDPT. OF
ECONOMICSINSTITUTE FOR MONEY AND INTERNATIONAL FINANCE)
ESTIMATING THE CORRELATION OF INTERNATIONAL EQUITY MARKETS STELIOS BEKIROS (ATHENS UNIVERSITY OF ECONOMICS AND
WITH MULTIVARIATE EXTREME AND GARCH MODELS
BUSINESS,)
PREVENTIVE ANTI-TAKEOVER DEFENSES: EVIDENCE FROM THE
FRENCH MARKET OF CORPORATE CONTROL
LOÏC BELZE (EM LYON)
DO FOREIGN INVESTORS FEEL THREATENED BY REDUCED
PROFITABILITY?
TOM BERGLUND (SWEDISH SCHOOL OF ECONOMICS AND BUS ADM)
BEING A PUBLIC COMPANY: PUBLIC DEBT OR PUBLIC EQUITY ELAZAR BERKOVITCH (IDC HERZELIYA)
ESTIMATING INDIVIDUAL FINANCIAL CONSTRAINTS D''ESPALLIER BERT (HASSELT UNIVERSITYFACULTY OF APPLIED
BUSINESS SCIENCES)
THE EFFECT OF (CORPORATE) VENTURE CAPITAL ON FIRM’S
FINANCIAL CONSTRAINTS
FABIO BERTONI (POLITECNICO DI MILANO - DIG)
DO FAMILIES MATTER IN INSTITUTIONAL MONEY MANAGEMENT
INDUSTRY: THE CASE OF NEW PORTFOLIO OPENINGS
JANIS BERZINS (INDIANA UNIVERSITYFINANCE DEPARTMENT)
INNOVATION AND THE PERFORMANC OF TECHNOLOGY FIRMS:
EVIDENCE FROM INITIAL PUBLIC OFFERINGS IN GERMANY
WOLFGANG BESSLER (UNIVERSITY OF GIESSEN)
Updated 4th April, 2006

2
TITLE AUTHOR
DOES JENSEN’S FREE CASH FLOW HYPOTHESIS EXPLAIN EUROPEAN ANDRÉ BETZER BETZER (UNIVERSITY OF BONN / DEPARTMENT OF
LBOS TODAY?
FINANCE)
EXPROPRIATION THROUGH UNIFICATION? WEALTH EFFECTS OF DUAL MARCO BIGELLI (UNIVERSITY OF BOLOGNADEPARTMENT OF
CLASS SHARE UNIFICATIONS IN ITALY
MANAGEMENT)
TIME-VARYING RISK EXPOSURE OF HEDGE FUNDS: REGIME-
MONICA BILLIO (UNIVERSITY OF VENICEDIPARIMENTO DI SCIENZE
SWITCHING APPROACH
ECONOMICHE)
SENTIMENT AND FINANCIAL HEALTH INDICATORS FOR VALUE AND RON BIRD (FINANCE AND ECONOMICSUNIVERSITY OF TECHNOLOGY
GROWTH STOCKS: THE EUROPEAN EXPERIENCE
SYDNEY)
THE EFFECT OF LENDER CONCENTRATION ON RELATIONSHIP
LENDING
LAMONT BLACK (INDIANA UNIVERSITYDEPARTMENT OF FINANCE)
MYOPIC LOSS AVERSION REVISITED: THE EFFECT OF PROBABILITY PAVLO BLAVATSKYY (INSTITUTE FOR EMPIRICAL RESEARCH IN
DISTORTIONS IN CHOICE UNDER RISK
ECONOMICSUNIVERSITY OF ZURICH)
TESTING PROBABILITY CALIBRATIONS ANDREAS BLÖCHLINGER (CREDIT SUISSEZURICH)
DAVID AND GOLIATH: SMALL BANKS IN AN ERA OF CONSOLIDATION. PAOLA BONGINI (UNIVERSITÀ DEGLI STUDI DI MILANO-
EVIDENCE FROM ITALY
BICOCCAFACULTY OF ECONOMICS)
LIMIT ORDER BOOK TRANSPARENCYEXECUTION RISK AND MARKET
LIQUIDITY
LUKE BORTOLI (SCHOOL OF BUSINESSUNIVERSITY OF SYDNEY)
DIRECTOR COMPENSATION AND BOARD EFFECTIVENESS ANWAR BOUMOSLEH BOUMOSLEH (LEBANESE AMERICAN
UNIVERSITY / FINANCE)
EXCESS COMOVEMENT IN INTERNATIONAL EQUITY MARKETS:
EVIDENCE FROM CROSS-BORDER MERGERS
RICHARD BREALEY (LONDON BUSINESS SCHOOL)
CREDIT RISK MANAGEMENT IN BANKS: HARD INFORMATIONSOFT GODBILLON-CAMUS BRIGITTE (UNIVERSITÉ ROBERT
INFORMATION AND MANIPULATION
SCHUMANINSTITUT D'ETUDES POLITIQUESLARGEDEPARTMENT OF
FINANCE)
CORPORATE GOVERNANCE CONVERGENCE THROUGH CROSS-
BORDER MERGERS: THE CASE OF AVENTIS
ARTURO BRIS (IMD)
MODELLING TIME-VARYING ASYMMETRIC FOREIGN EXCHANGE
ROBERT BROOKS (MONASH UNIVERSITYDEPARTMENT OF
EXPOSURES: AN APPLICATION TO THE AUSTRALIAN STOCK MARKET ECONOMETRICS)
AN ANALYSIS OF CANCELLATIONS IN THE SPANISH STOCK EXCHANGE. SANDRO BRUSCO (UNIVERSITY CARLOS III / DEPT. BUSINESS
ADMINISTRATION)
OPTIMAL ASSET ALLOCATION BASED ON EXPECTED UTILITY
ALESSANDRO BUCCIOL (UNIVERSITY OF PADUA - DEPT. OF
MAXIMIZATION IN THE PRESENCE ON INEQUALITY CONSTRAINTS
ECONOMICS)
DOES PERFORMANCE IMPROVE FOLLOWING TAKEOVERS: THE USE OF MARTIN BUGEJA (UNIVERSITY OF SYDNEYDISCIPLINE OF
ACTUAL CASH FLOWS
ACCOUNTING)
A CROSS-COUNTRY STUDY OF CORPORATE GOVERNANCE IN
ILDUARA BUSTA (COPENHAGEN BUSINESS SCHOOL - DEPARTMENT
EUROPEAN BANKS
OF INTERNATIONAL ECONOMICS & MANAGEMENT)
TRADER REACTIONS AND INVESTOR RATIONALITY DEANNE BUTCHEY (FLORIDA INTERNATIONAL UNIVERSITY -
FINANCE DEPT.)
PRIVATISATIONLIBERALISATION AND PERFORMANCE OF DIVESTED LAURA CABEZA-GARCIA (DEPARTMENT OF BUSINESS
FIRMS IN SPAIN
ADMINISTRATIONUNIVERSITY OF LEON)
THE PRICING OF CONSERVATIVE ACCOUNTING AND THE
JEFFREY CALLEN (UNIVERSITY OF TORONTO & ROTMAN SCHOOL
MEASUREMENT OF CONSERVATISM AT THE FIRM-YEAR LEVEL
OF MANAGEMENT)
ANALYSING THE WEALTH EFFECTS OF UK DIVESTITURES: AN
JACK CAO (SCHOOL OF BANKING AND FINANCEUNIVERSITY OF NEW
EXAMINATION OF DOMESTIC AND INTERNATIONAL SALES
SOUTH WALES)
OWNERSHIP STRUCTUREFIRM HETEROGENEITY AND CORPORATE
VALUE
YIRONG CAO (CASIFLEEDS UNIVERSITY BUSINESS SCHOOL)
IS FIRM INTERDEPENDENCE WITHIN INDUSTRIES IMPORTANT FOR
PORTFOLIO CREDIT RISK?
KENNETH CARLING (UPPSALA UNIVERSITY)
THE DYNAMICS OF GEOGRAPHICAL VERSUS SECTORAL
FRANCESCA CARRIERI (FACULTY OF MANAGEMENT MCGILL
DIVERSIFICATION: IS THERE A LINK TO THE REAL ECONOMY?
UNIVERSITY)
MEASURING VALUE CREATION IN BANK MERGERS AND ACQUISITIONS ANNALISA CARUSO (UNIVERSITY OF BOLOGNADEPARTMENT OF
BUSINESS)
ARE SMALL FAMILY FIRMS FINANCIALLY SOPHISTICATED? STEFANO CASELLI (BOCCONI UNIVERSITYINSTITUTE OF FINANCIAL
INSTITUTIONS)
MARKET REACTION TO THE ISSUANCE OF ANALYSTS''
ENRICO MARIA CERVELLATI (UNIVERSITY OF BOLOGNA -
RECOMMENDATIONS
DEPARTMENT OF MANAGEMENT)
COVERED WARRANTSSTOCK RETURNS AND TRADING VOLUMES:
EVIDENCE FROM TAIWAN
CHIA-YING CHAN (LONDON METROPOLITAN UNIVERSITY - FINANCE)
LATTICE-BASED PRICING OF CATASTROPHE INSURANCE DERIVATIVES JACK S.K. CHANG CHANG (CALIFORNIA STATE UNIVERSITYLOS
ANGELES)
INTERNAL GOVERNANCE AND THE WEALTH EFFECT OF R&D
EXPENDITURE INCREASES
SHAO-CHI CHANG (NATIONAL CHENG KUNG UNIVERSITYTAIWAN)
CAN THE DYNAMICS OF THE TERM STRUCTURE OF PETROLEUM
FUTURES BE FORECASTED? EVIDENCE FROM MAJOR MARKETS
THALIA CHANTZIARA (INDEPENDENT)
THE IMPACT OF TARGET BOARD RECOMMENDATIONS IN AUSTRALIAN LARELLE CHAPPLE (TC BEIRNE SCHOOL OF LAWUNIVERSITY OF
TAKEOVERS
QUEENSLAND)
MARKET-WIDE SHORT-SELLING RESTRICTIONS ANCHADA CHAROENROOK (OWEN GRADUATE SCHOOL OF
BUSINESSVANDERBILT UNIVERSITY)
THE IMPACT OF SINGLE STOCK FUTURES ON FEEDBACK TRADING AND FRANKIE CHAU (DURHAM BUSINESS SCHOOLUNIVERSITY OF
THE MARKET DYNAMICS OF THE CASH MARKET: THE CASE OF
DOMESTIC AND CROSS-BORDER UNIVERSAL STOCK FUTURES
DURHAM)
INTEGRATIONLIQUIDITY AND THE DEPRESSED MARKET: STATE-SHARE
PARADOX
MAX CHEN (DEPARTMENT OF FINANCEXIAMEN UNIVERSITY)
TAX-LOSS SELLING AND SEASONAL EFFECTS IN THE UK QIWEI CHEN (UNIVERSITY OF ESSEXDEPARTMENT OF
ACCOUNTINGFINANCE AND MANAGEMENT)
THE ACQUISITION OF NON PUBLIC FIRMS IN EUROPE: BIDDERS’
RETURNSPAYMENT METHODS AND STOCK MARKET EVOLUTION
ALAIN CHEVALIER (ESCP EAP MANAGEMENT SCHOOL/ FINANCE)
DO PRIVATIZATION IPO FIRMS OUTPERFORM IN THE LONG-RUN? SEUNG-DOO CHOI (DONGEUI UNIVERSITYSCHOOL OF BUSINESS)
INTERNAL CAPITAL MARKETS AND BANK RELATIONSHIP: EVIDENCE YOON CHOI (DEPARTMENT OF FINANCEUNIVERSITY OF CENTRAL
FROM JAPANESE CORPORATE SPIN-OFFS
FLORIDA)
THE REAL TIME MARKET REACTIONS TO EARNINGS WARNINGS
ANNOUNCEMENTS
ROBIN CHOU (NATIONAL CENTRAL UNIVERSITYDEPT. OF FINANCE)
SHORT-RUN DEVIATIONS AND TIME-VARYING HEDGE RATIOS:
EVIDENCE FROM AGRICULTURAL FUTURES MARKETS
TAUFIQ CHOUDHRY (UNIVERSITY OF SOUTHAMPTON)
BUSINESS GROUPSTAXES AND ACCRUALS MANAGEMENT BEUSELINCK CHRISTOF (TILBURG UNIVERSITYDEPARTMENT OF
ACCOUNTANCY)
OPTION VALUATION WITH LONG-RUN AND SHORT-RUN VOLATILITY
COMPONENTS
PETER CHRISTOFFERSEN (MCGILL UNIVERSITY)
IDENTIFYING A REPRESENTATIVE SET OF YIELD CURVE SHOCKS VILLA CHRISTOPHE (DEPT. ECONOMIEECOLE NATIONALE DE LA
STATISTIQUE ET D'ANALYSE DE L'INFORMATION)
VOLATILITYMARKET STRUCTUREAND LIQUIDITY KEE H. CHUNG CHUNG (SCHOOL OF MANAGEMENTSTATE
UNIVERSITY OF NEW YORK AT BUFFALO)
Updated 4th April, 2006

3
TITLE AUTHOR
BOUNDS AND PRICES OF CURRENCY CROSS-RATE OPTIONS SAN-LIN CHUNG CHUNG (DEPARTMENT OF FINANCENATIONAL
TAIWAN UNIVERSITY)
ISSUING DEBT TO PAY DIVIDENDS STEPHEN CICCONE (UNIVERSITY OF NEW HAMSPHIRE)
BUSINESS CYCLE EFFECTS ON CAPITAL REQUIREMENTS: A SCENARIO ANDREA CIPOLLINI (UNIVERSITY OF ESSEXDEPARTMENT OF
GENERATION THROUGH DYNAMIC FACTOR ANALYSIS
ACCOUNTINGFINANCE AND MANAGEMENT)
CURRENCY RISK MANAGEMENT AND EMERGING MARKET BOND
DIVERSIFICATION
IAIN CLACHER (UNIVERSITY OF LEEDSACCOUNTING AND FINANCE)
THE DETERMINANTS OF INTEREST RATE HEDGING PRACTICES OF UK EPHRAIM CLARK (MIDDLESEX UNIVERSITYACCOUNTING AND
FIRMS
FINANCE GROUP)
CASH FLOW VOLATILITYFINANCIAL SLACK AND INVESTMENT
SEAN CLEARY (SOBEY SCHOOL OF BUSINESSSAINT MARY'S
DECISIONS
UNIVERSITY)
WHEELING AND DEALING: TARGET EXECUTIVE COMPENSATION IN UK JERRY COAKLEY (UNIVERSITY OF ESSEXDEPARTMENT OF
M&AS
ACCOUNTINGFINANCE AND MANAGEMENT)
UK IPO UNDERPRICING AND VENTURE CAPITALISTS JERRY COAKLEY (UNIVERSITY OF ESSEXDEPARTMENT OF
ACCOUNTINGFINANCE AND MANAGEMENT)
INFORMATION LINKAGES AND CORRELATED TRADING PAOLO COLLA (UNIVERSITÀ BOCCONI - ECONOMICS DEPARTMENT
(IEP))
TERM STRUCTURE ESTIMATION IN MARKETS WITH INFREQUENT
GONZALO CORTAZAR (PONTIFICIA UNIVERSIDAD CATOLICA DE
TRADING
CHILE-INGENIERIA INDUSTRIAL Y DE SISTEMAS)
STOCK PRICE PERFORMANCE OF TARGET FIRMS IN UNSUCCESSFUL
ACQUISITIONS
ETTORE CROCI (UNIVERSITY OF LUGANO)
ASSET PRICING IN A MONETARY ECONOMY WITH HETEROGENEOUS BENJAMIN CROITORU (FACULTY OF MANAGEMENTMCGILL
BELIEFS
UNIVERSITY)
FINANCIAL INTERMEDIARIESOWNERSHIP STRUCTURE AND
MONITORED FINANCE: EVIDENCE FROM JAPAN
DOUGLAS CUMMING (RENSSELAER POLYTECHNIC INSTITUTE)
CORPORATE SOCIAL RESPONSIBILITY: DOMESTIC AND
INTERNATIONAL INSTITUTIONAL INVESTMENT
DOUGLAS CUMMING (RENSSELAER POLYTECHNIC INSTITUTE)
MUTUAL FUND PERFORMANCE : SKILL OR LUCK ? KEITH CUTHBERTSON (CASS BUSINESS SCHOOLFINANCE FACULTY)
INFORMATION QUALITY AND STOCK RETURNS REVISITED STEFANO D-ADDONA (UNIVERSITY OF ROME III)
PORTFOLIO CROSS-AUTOCORRELATION PUZZLES RYAN DAVIES (BABSON COLLEGEFINANCE DIVISION)
FRAMING THE INDIVIDUAL INVESTOR - THE CASE OF THE CAPITAL MARC DE CEUSTER (UNIVERSITY OF ANTWERPDEPARTMENT OF
GUARANTEED FUNDS
ACCOUNTING AND FINANCE)
AN EMPIRICAL ANALYSIS OF EUROPEAN BOND TENDER OFFERS ABE DE JONG (RSM ERASMUS UNIVERSITY)
DOES THE STOCK MARKET VALUE BANK DIVERSIFICATION? OLIVIER DE JONGHE (GHENT UNIVERSITY - FINANCIAL ECONOMICS
DEPARTMENT)
DIVIDENDS AND ALTERNATIVE MARKET SIGNALS: INSIDER TRADING ESTHER B. DEL BRIO (UNIVERSITY OF SALAMANCA. DPT
ADMINISTRACION Y ECONOMIA DE LA EMPRESA)
DOES IT MATTER OWNERSHIP STRUCTURE? PERFORMANCE IN
OLGA DEL ORDEN (U.DEUSTOFINANCE & ACCOUNTANCY
SPANISH COMPANIES
DEPARTMENT)
DETERMINANTS OF DEPOSIT-INSURANCE ADOPTION AND DESIGN ASLI DEMIRGUC-KUNT (WORLD BANK)
THE INTRODUCTION OF THE CAC40 MASTER UNIT AND THE CAC40
INDEX SPOT-FUTURES PRICING RELATIONSHIP
LAURENT DEVILLE (UNIVERSITÉ PARIS-DAUPHINEDRMCNRS)
CREDIT RISK AND OPTION PRICING THEORY: EVIDENCE FROM ITALIAN LUCA DI SIMONE (UNIVERSITY OF BOLOGNA - DEPARTMENT OF
STOCK MARKET
MANAGEMENT)
VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS: THE PANAYIOTIS DIAMANDIS (ATHENS UNIVERSITY OF ECONOMICS AND
CASE OF THE ATHENS STOCK EXCHANGE
BUSINESS,DEPARTMENT OF BUSINESS ADMINISTRATION)
CAN SHORT-SELLERS PREDICT RETURNS? DAILY EVIDENCE KARL DIETHER (OHIO STATE UNIVERSITYFINANCE)
INTRADAY VALUE AT RISK (IVAR) USING TICK-BY-TICK DATA WITH GEORGES DIONNE (HEC MONTREALCANADA RESEARCH CHAIR IN
APPLICATION TO THE TORONTO STOCK EXCHANGE
RISK MANAGEMENT)
ACQUISITIONS,OVERCONFIDENT MANAGERS AND SELF-ATTRIBUTION JOHN DOUKAS (DEPARTMENT OF FINANCEGRADUATE SCHOOL OF
BIAS
BUSINESSOLD DOMINION UNIVERSITY)
HEDGE FUNDS AND THE PERILS OF SURVIVORSHIP BIAS MICHAEL DREW (QUEENSLAND UNIVERSITY OF TECHNOLOGY)
HETEROGENEITY IN ASSET ALLOCATION DECISIONS - EMPIRICAL WOLFGANG DROBETZ (UNIVERSITY OF BASLEWWZCORPORATE
EVIDENCE FROM SWITZERLAND
FINANCE)
CORPORATE CASH HOLDINGS: EVIDENCE FROM A DIFFERENT
WOLFGANG DROBETZ (UNIVERSITY OF BASLEWWZDEPARTMENT OF
INSTITUTIONAL SETTING
CORPORATE FINANCE)
STRATEGIC SPECIALIST AND MARKET LIQUIDITY ARIADNA DUMITRESCU (ESADE BUSINESS SCHOOLDEPARTAMENT
OF FINANCIAL MANAGEMENT AND CONTROL)
AN INTRADAY ANALYSIS OF THE SAMUELSON HYPOTHESIS FOR
HUU DUONG (MONASH UNIVERSITY & DEPARTMENT OF
COMMODITY FUTURES CONTRACTS
ACCOUNTING AND FINANCE)
ARE THERE WINDOWS OF OPPORTUNITY FOR CONVERTIBLE DEBT MARIE DUTORDOIR (COLUMBIA UNIVERSITY (VISITING
ISSUANCE? EVIDENCE FOR WESTERN EUROPE
SCHOLAR)/KATHOLIEKE UNIVERSITEIT LEUVEN)
INFORMATIONTHE TYPE OF INFORMED TRADERAND THE
CONVERGENCE OF PRICE TO EQUILIBRIUM
JAMES EAVES (RUTGERS UNIVERSITYDAFRE)
PRICING INTEREST RATE CAPS IN A GENERALIZED AFFINE MODEL
WITH STOCHASTIC VOLATILITY AND CORRELATION: EMPIRICAL
EVIDENCE
A DOZEN CONSISTENT CAPM-RELATED VALUATION MODELS - SO WHY
USE THE INCORRECT ONE?
ALEXEI EGOROV (WEST VIRGINIA UNIVERSITYDIVISION OF
ECONOMICS AND FINANCE)
STEINAR EKERN (NHH - NORWEGIAN SCHOOL OF ECONOMICS AND
BUSINESS ADMINISTRATIONDEPARTMENT OF FINANCE AND
MANAGEMENT SCIENCE)
DO WE NEED TO WORRY ABOUT CREDIT RISK CORRELATION? ABEL ELIZALDE (CEMFI)
FOREIGN DIRECT INVESTMENT IN THE FINANCIAL SECTOR: THE
MARKUS ELLER (INSTITUTE FOR ADVANCED STUDIESDEPARTMENT
ENGINE OF GROWTH FOR CENTRAL AND EASTERN EUROPE?
OF ECONOMICS AND FINANCE)
EXCHANGE RATE CHANGES AND STOCK RETURNS: SOME EVIDENCE
FROM UK INDUSTRIES
AHMED EL-MASRY (PLYMOUTH BUSINESS SCHOOL)
THE ANATOMY OF BANK DIVERSIFICATION RALF ELSAS (LMU MUNICH - INSTITUTE FOR FINANCE & BANKING)
THE PERFORMANCE OF INVESTMENT GRADE CORPORATE BOND OLIVER ENTROP (CATHOLIC UNIVERSITY OF EICHSTAETT-
FUNDS: EVIDENCE FROM THE EUROPEAN MARKET
INGOLSTADT)
INFORMATIONTRADE AND COMMON KNOWLEDGE WITH ENDOGENOUS HULYA ERASLAN (UNIVERSITY OF PENNSYLVANIAFINANCE
ASSET VALUES
DEPARTMENT)
VOLUNTARY DISCLOSURE STRATEGY AROUND LOCKUP EXPIRATIONS:
EVIDENCE FROM MANAGEMENT FORECASTS
YONCA ERTIMUR (STANFORD UNIVERSITYDEPT OF ACCOUNTING)
THE FED MODEL: THE BADTHE WORSEAND THE UGLY JAVIER ESTRADA (IESE BUSINESS SCHOOL)
POST-IPO CORPORATE LIFE CYCLETAKEOVERS AND WEALTH EFFECTS CHUN HO FAN (SCHOOL OF BANKING AND FINANCEUNIVERSITY OF
NEW SOUTH WALES)
VALUING COMPANIES WITH A FIXED BOOK-VALUE LEVERAGE RATIO PABLO FERNANDEZ (IESE BUSINESS SCHOOL)
OWNERSHIP STRUCTURE AND THE MARKET FOR CORPORATE
CONTROL
DANIEL FERREIRA (UNIVERSIDADE NOVA DE LISBOA)
MARKET TIMING AND PASSIVE INVESTMENT STRATEGIES LUIS FERRUZ (FACULTY OF ECONOMICS & BUSINESS
ADMINISTRATION-UNIVERSITY OF ZARAGOZA-SPAIN)
FINANCIAL FRAUDDIRECTOR REPUTATION AND SHAREHOLDER
WEALTH
ELIEZER FICH (DREXEL UNIVERSITY)
Updated 4th April, 2006

4
TITLE AUTHOR
A PANIC REPORT ON THE PASS-THROUGH OF MONETARY POLICY TO
INTEREST RATES IN THE EURO AREA
MICHAEL FLAD (JOHANN WOLFGANG GOETHE-UNIVERSITÄT
FRANKFURT/MAINGERMANY - GRADUATE PROGRAM "FINANCE AND
MONETARY ECONOMICS")
CHRISOSTOMOS FLORACKIS (UNIVERSITY OF YORKDEPARTMENT
OF ECONOMICS AND RELATED STUDIES)
WHAT REDUCES THE IMPACT OF MANAGERIAL ENTRENCHMENT ON
AGENCY COSTS? EVIDENCE FOR UK FIRMS
POST-EARNINGS ANOUNCEMENT DRIFT: SPANISH EVIDENCE CARLOS FORNER (UNIVERSITY OF ALICANTEDPT. ECONOMÍA
FINANCIERACONTABILIDAD Y MARKETING)
CREDIT SPREADS: THEORY AND EVIDENCE ABOUT THE INFORMATION
CONTENT OF STOCKSBONDS AND CDSS
SANTIAGO FORTE (ESADE BUSINESS SCHOOL)
THE ACTIVE MANAGEMENT OF DISTRESSED DEBT MORAUX FRANCK (UNIVERSITÉ DU MAINE)
BID-ASK SPREADS UNDER AUCTION AND SPECIALIST MARKET
STRUCTURES: EVIDENCE FROM THE ITALIAN BOURSE
ALEX FRINO (FINANCE DISCIPLINEUNIVERSITY OF SYDNEY)
THE RISK MICROSTRUCTURE OF CORPORATE BONDS: A BAYESIAN
ANALYSIS
MANFRED FRUHWIRTH (HARVARD UNIVERSITY)
COMPETITIONCORPORATE GOVERNANCE AND EQUITY CARVE-OUTS –
THE EUROPEAN CASE
DANIEL FUCKS (UNIVERSITY OF BONN)
RELATIONSHIP BETWEEN DOWNSIDE BETA AND CAPM BETA DON GALAGEDERA (MONASH UNIVERSITYDEPARTMENT OF
ECONOMETRICS AND BUSINESS STATISTICS)
INTEGRATION OF THE MONETARY MARKET. A GRAVITATIONAL MODEL FERNANDO GARCIA GARCIA (UNIVERSIDAD POLITECNICA DE
VIA TARGET
VALENCIA. DEPARTAMENTO DE ECONOMIA Y CIENCIAS SOCIALES)
LEADING THE HERD TO GREENER PASTURES: WHEN TRADE IMITATION
IS THE MOST ‘PROFITABLE’ FORM OF FLATTERY
PETER GARDNER (UNIVERSITY OF NEW SOUTH WALESFINANCE)
PORTFOLIO CHOICE AND PRICING IN ILLIQUID MARKETS NICOLAE GARLEANU (UNIVERSITY OF PENNSYLVANIAWHARTON
SCHOOL)
THE INTERACTION BETWEEN LATIN AMERICAN STOCK MARKETS AND IAN GARRETT (MANCHESTER BUSINESS SCHOOLUNIVERSITY OF
THE US
MANCHESTER)
USING OPTIONS DATA TO OPTIMALLY REBALANCE AN EQUITY
JOHN GARVEY (DEPARTMENT OF ACCOUNTING AND
PORTFOLIO.
FINANCEUNIVERSITY OF LIMERICK)
THE ROLE OF OPERATING CONTRACTS IN INFLUENCING LOAN
SPREADS AND LEVERAGE IN PROJECT FINANCE DEALS
STEFANO GATTI (UNIVERSITÀ BOCCONI)
ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM NATALIA GERSHUN (DEPARTMENT OF FINANCELUBIN SCHOOL OF
MODELS WITH INDETERMINACY
BUSINESSPACE UNIVERSITY)
DETERMINANTS OF EARNINGS PERFORMANCE SUBSEQUENT TO
DIMITRIOS GHICAS (ATHENS UNIVERSITY OF ECONOMICS AND
INITIAL PUBLIC OFFERINGS
BUSINESSDEPARTMENT OF ACCOUNTING AND FINANCE)
ROLE OF COMPETITION IN CAPITAL ALLOCATION FOR R&D
CHINMOY GHOSH GHOSH (FINANCE DEPARTMENTUNIVERSITY OF
EXPENDITURE
CONNECTICUT)
STRATEGIC TRADING IN THE WRONG DIRECTION BY A LARGE
ERASMO GIAMBONA (GABELLI SCHOOL OF BUSINESS - ROGER
INSTITUTIONAL INVESTOR
WILLIAMS UNIVERSITY)
HEDGE FUND PORTFOLIO CONSTRUCTION: A COMPARISON OF STATIC DANIEL GIAMOURIDIS (ATHENS UNIVERSITY OF ECONOMICS AND
AND DYNAMIC APPROACHES
BUSINESSDEPARTMENT OF ACCOUNTING AND FINANCE)
PRICE DYNAMICSINFORMATIONAL EFFICIENCY AND WEALTH
JAVIER GIL-BAZO (UNIVERSIDAD CARLOS III. DPT. OF BUSINESS
DISTRIBUTION IN CONTINUOUS DOUBLE AUCTION MARKETS
ADMINISTRATION)
SHARE REPURCHASE REGULATIONS: DO FIRMS PLAY BY THE RULES? EDITH GINGLINGER (UNIVERSITY PARIS DAUPHINE)
INITIAL PUBLIC OFFERINGS ON THE EUROPEAN NEW MARKETS: WHY MARC GOERGEN (SHEFFIELD UNIVERSITY MANAGEMENT SCHOOL
WAS UNDERPRICING SO HIGH AND SO DIFFERENT BETWEEN
MARKETS?
(SUMS))
FLIPPING ACTIVITY IN FIXED OFFER PRICE MECHANISM ALLOCATED DIMITRIOS GOUNOPOULOS (UNIVERSITY OF SURREYSCHOOL OF
IPOS
MANAGEMENT)
LONG RUN ABNORMAL RETURNS TO ACQUIRING FIRMS: THE FORM OF
PAYMENT HYPOTHESISBIDDER HOSTILITY AND TIMING BEHAVIOR
ALAN GREGORY (XFIUNIVERSITY OF EXETER)
THE RISK-ADJUSTED PERFORMANCE OF US BUYOUTS ALEXANDER GROH (DARMSTADT UNIVERSITY OF TECHNOLOGY)
HOME BIASED? A SPATIAL ANALYSIS OF THE DOMESTIC MERGING MICHAEL GROTE (GOETHE-UNIVERSITYFRANKFURTFINANCE
BEHAVIOR OF US FIRMS
DEPARTMENT)
A THREE-MOMENT INTERTEMPORAL CAPITAL ASSET PRICING MODEL:
THEORY AND EVIDENCE
OMRANE GUEDHAMI (MEMORIAL UNIVERSITY OF NEWFOUNDLAND)
THE EFFECT OF MARKET STRUCTURE AND RELATIONSHIP LENDING ON
THE LIKELIHOOD OF CREDIT TIGHTENING
FABRIZIO GUELPA (BANCA INTESA - RESEARCH DEPARTMENT)
DO CROSS-BORDER ACQUISITIONS CAUSE CONVERGENCE IN
EXECUTIVE COMPENSATION? EVIDENCE FROM U.K. ACQUISITIONS OF
U.S. TARGETS
PAUL GUEST (JUDGE BUSINESS SCHOOLCAMBRIDGE UNIVERSITY)
ARE THE DYNAMIC LINKAGES BETWEEN THE MACROECONOMY AND MASSIMO GUIDOLIN (FEDERAL RESERVE BANK OF ST.
ASSET PRICES TIME-VARYING?
LOUISRESEARCH DIVISION)
INVESTING FOR THE LONG-RUN IN EUROPEAN REAL ESTATE MASSIMO GUIDOLIN (FEDERAL RESERVE BANK OF ST.
LOUISRESEARCH DIVISION)
WHO TAMES THE CELTIC TIGER? PORTFOLIO IMPLICATIONS FROM A MASSIMO GUIDOLIN (FEDERAL RESERVE BANK OF ST.
MULTIVARIATE MARKOV SWITCHING MODEL
LOUISRESEARCH DIVISION)
VOLATILITY TRADING IN OPTIONS MARKET: HOW DOES IT AFFECT CAPELLE-BLANCARD GUNTHER (ECONOMIX-UNIVERSITÉ PARIS
WHERE INFORMED TRADERS TRADE?
XUNIVERSITÉ PARIS 1 PANTÉHONE-SORBONNE)
DO EMERGING MARKET STOCKS BENEFIT FROM INDEX INCLUSION? BURCU HACIBEDEL (UNIVERSITY OF OXFORDSAID BUSINESS
SCHOOL)
VOLATILITY AS AN ASSET CLASS: EUROPEAN EVIDENCE REINHOLD HAFNER (RISKLAB GERMANY)
EMPLOYING THE RESIDUAL INCOME MODEL IN PORTFOLIO
MEIKE HAGEMEISTER (UNIVERSITY OF COLOGNE DEPARTMENT OF
OPTIMIZATION
FINANCE)
WOMEN AND RISK TOLERANCE IN AN AGING WORLD TERRENCE HALLAHAN (RMIT UNIVERSITYSCHOOL OF
ECONOMICSFINANCE AND MARKETING)
BANK FAILURE PREDICTION: A 2-STEP APPROACH MICHAEL HALLING (UNIVERSITY OF VIENNAFINANCE)
MONETARY POLICY AND THE INVESTMENT COMPANIES SYED M. HARUN (TEXAS A&M UNIVERSITY –
KINGSVILLEDEPARTMENT OF ECONOMICS AND FINANCE)
DOES DIVERSIFICATION IMPROVE THE PERFORMANCE OF GERMAN
BANKS? EVIDENCE FROM INDIVIDUAL BANK LOAN PORTFOLIOS
EVELYN HAYDEN (AUSTRIAN NATIONAL BANK)
IS THERE A LATENT FACTOR IN STOCK RETURNS? GATFAOUI HAYETTE (ROUEN SCHOOL OF MANAGEMENT)
DETERMINANTS OF OPERATIONAL RISK REPORTING IN THE BANKING GÜNTHER HELBOK (BANK AUSTRIA CREDITANSTALT / OPERATIONAL
INDUSTRY
RISK AND RISK METHODS)
A NON-UTILITY MAXIMIZING APPROACH TO MULTIPERIOD PORTFOLIO KLAUS HELLWIG (UNIVERSITY OF ULMDEPARTMENT OF BUSINESS
SELECTION
ADMINISTRATION)
DOES PROSPECT THEORY EXPLAIN THE DISPOSITION EFFECT? THORSTEN HENS (UNIVERSITY OF ZURICHINSTITUTE FOR
EMPIRICAL RESEARCH IN ECONOMICS)
AN EMPIRICAL ANALYSIS OF THE EFFICIENCY OF ONLINE AUCTION IPO NAYANTARA HENSEL HENSEL (US NAVAL POSTGRADUATE SCHOOL;
PROCESSES AND TRADITIONAL IPO PROCESSES
GRADUATE SCHOOL OF BUSINESS AND PUBLIC POLICY)
DO THE RECOVERY RATE AND THE ACCOUNTING REGIME MATTER DIRK HERKOMMER (GOETHE UNIVERSIY FRANKFURTFINANCE
FOR PRICING CORPORATE BONDS AND LOANS? EVIDENCE FROM
MODELS WITH INCOMPLETE ACCOUNTING INFORMATION
DEPARTMENT)
Updated 4th April, 2006

DEBT MATURITY AND RELATIONSHIP LENDING: AN ANALYSIS OF
EUROPEAN SMES
5
TITLE AUTHOR
GINÉS HERNÁNDEZ CÁNOVAS (POLYTECHNIC UNIVERSITY OF
CARTAGENA - DEPARTMENT OF FINANCIAL ECONOMICS AND
ACCOUNTING)
CHRISTOPH HEUMANN (UNIVERSITY OF MANNHEIM)
ON THE NONCOMPENSATION FOR ILLIQUIDITY IN EQUILIBRIUM ASSET
RETURNS
COMPANY PERFORMANCE SURROUNDING CEO TURNOVER: EVIDENCE
FROM THE UK
DAVID HILLIER (UNIVERSITY OF LEEDSBUSINESS SCHOOL)
FIRM PERFORMANCEENTRENCHMENT AND CEO SUCCESSION IN
DAVID HILLIER (UNIVERSITY OF LEEDSLEEDS UNIVERSITY
FAMILY-MANAGED FIRMS
BUSINESS SCHOOL)
REQUIRED RATES OF RETURN FOR CORPORATE INVESTMENT
APPRAISAL IN THE PRESENCE OF GROWTH OPPORTUNITIES
IAN HIRST (HERIOT-WATT UNIVERSITY)
AN ANALYSIS OF FLIPPING ACTIVITY IN EARLY AFTERMARKET TRADING LE HOA TRAN (MONASH UNIVERSITY)
TRADING THE FORWARD BIAS: ARE THERE LIMITS TO SPECULATION? MARKUS HOCHRADL (NEW YORK UNIVERSITYLEONARD N. STERN
SCHOOL OF BUSINESSDEPARTMENT OF FINANCE)
CAPITAL BUDGETING AND POLITICAL RISK: EMPIRICAL EVIDENCE MARTIN HOLMEN (UPPSALA UNIVERSITYDEPARTMENT OF
ECONOMICS)
RETURN UNCERTAINTY AND THE APPEARANCE OF BIASES IN
DONG HONG (SINGAPORE MANAGEMENT UNIVERSITYLKC SCHOOL
EXPECTED RETURNS
OF BUSINESS)
LIFE-CYCLE ASSET ALLOCATION WITH ANNUITY MARKETS: IS
WOLFRAM HORNEFF (GOETHE UNIVERSITYDEPARTMENT OF
LONGEVITY INSURANCE A GOOD DEAL?
FINANCE)
VALIDATION OF CREDIT RATING SYSTEMS USING MULTI-RATER
KURT HORNIK (VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS
INFORMATION
ADMINISTRATIONDEPARTMENT OF STATISTICS AND MATHEMATICS)
THE LAST ISSUES PUZZLE ARMEN HOVAKIMIAN (BARUCH COLLEGEDEPARTMENT OF
ECONOMICS AND FINANCE)
MULTILATERAL EXCHANGE RATE CHANGES AND INTERNATIONAL CHIN-WEN HSIN HSIN (YUAN ZE UNIVERSITYDEPARTMENT OF
INDUSTRY EFFECTS
FINANCE)
DEVELOPING FINANCIAL DISTRESS PREDICTION MODELS: A STUDY OF YU-CHIANG HU (MANAGEMENT SCHOOL AND
USEUROPE AND JAPAN RETAIL PERFORMANCE
ECONOMICSUNIVERSITY OF EDINBURGH)
TRADING VOLUMEPRICE AUTO CORRELATION AND VOLATILITY UNDER CHENG HUA (DEPARTMENT OF ECONOMICSUNIVERSITY OF PARIS
PROPORTIONAL TRANSACTION COSTS
DAUPHINE)
CONTROLLING SHAREHOLDERSPRIVATE BENEFITS AND DEBT DE LA BRUSLERIE HUBERT (UNIVERSITY PARIS I SORBONNE)
SKEWNESSKURTOSIS AND CONVERTIBLE ARBITRAGE HEDGE FUND MARK HUTCHINSON (UNIVERSITY COLLEGE CORKDEPARTMENT OF
PERFORMANCE
ACCOUNTING AND FINANCE)
OWNERSHIP STRUCTURERISK AND PERFORMANCE IN THE EUROPEAN GIULIANO IANNOTTA (UNIVERSITÀ COMMERCIALE “LUIGI BOCCONI” -
BANKING INDUSTRY
INSTITUTE OF FINANCIAL MARKETS AND INSTITUTIONS)
WHICH FACTORS AFFECT BOND UNDERWRITER SPREAD? THE ROLE GIULIANO IANNOTTA (BOCCONI UNIVERSITY - FINANCIAL MARKETS
OF BANKING RELATIONSHIPS
AND INSTITUTIONS INSTITUTE)
ACCOUNTING DISCLOSURE AND FIRMS’ FINANCIAL ATTRIBUTES;
GEORGE IATRIDIS (UNIVERSITY OF THESSALYDEPARTMENT OF
EVIDENCE FROM THE UK STOCK MARKET
ECONOMICS)
PRIVATE EQUITY RETURNS: IS THERE REALLY A BENEFIT OF LOW CO-
MOVEMENT WITH PUBLIC EQUITY MARKETS?
MATTHIAS ICK (UNIVERSITY OF LUGANO)
THE VALUATION OF DEFAULTABLE PENSION LIABILITIES JOACHIM INKMANN (TILBURG UNIVERSITYDEPARTMENT OF
FINANCE)
PORTFOLIO CHOICE UNDER CONVEX TRANSACTION COSTS SERGEI ISAENKO (CONCORDIA UNIVERSITYFINANCE DEPARTMENT)
REPURCHASING SHARES ON A SECOND TRADING LINE DUSAN ISAKOV (UNIVERSITY OF FRIBOURG)
EMPLOYEE STOCK OPTIONS: MUCH MORE VALUABLE THAN YOU
JENS CARSTEN JACKWERTH (UNIVERSITY OF KONSTANZFINANCE
THOUGHT
DEPARTMENT)
INFLATION NEWS AND STOCK RETURNS: A SECTORIAL ANALYSIS IN FRANCISCO JAREÑO (UNIVERSIDAD DE CASTILLA-LA
THE SPANISH CASE
MANCHADEPARTAMENTO DE ANÁLISIS ECONÓMICO Y FINANZAS)
THE POLITICAL ECONOMY OF CURRENT ACCOUNT REVERSALS: AN JUAN MANUEL JAUREGUI (UCLA ANDERSON SCHOOL OF
EMPIRICAL STUDY
MANAGEMENT)
IPO UNDERPRICING ACROSS THE WORLD: DOES THE COUNTRY RISK NGUEMA JEAN-FERNAND (UNIVERSITY MONTPELLIER I - SUP DE CO
MATTER?
MONTPELLIER)
AN EXPERIMENTAL STUDY OF TRADING VOLUME AND DIVERGENCE OF GAJEWSKI JEAN-FRANÇOIS (UNIVERSITY OF PARIS 12 VAL-DE-
EXPECTATIONS AROUND EARNINGS ANNOUNCEMENT
MARNEIRG)
INFORMATION ASYMMETRY AND INVESTMENT-CASH FLOW
SENSITIVITY
MCDERMOTT JOHN (FAIRFIELD UNIVERSITY)
BASEL-2 REVISED STANDARD APPROACH AND BEYOND: CREDIT RISK CHATEAU JOHN PETER (ROUEN GRADUATE SCHOOL OF
VALUATION OF SHORT-TERM LOAN COMMITMENTS
MANAGEMENT)
THE ROLE OF HETEROGENEITY IN EARLY WARNING SYSTEMS FOR ELENA KALOTYCHOU (CASS BUSINESS SCHOOLFACULTY OF
SOVEREIGN DEBT CRISES
FINANCE)
FACTORS UNDERLYING THE CREDIT RISK EXPOSURE OF SOVEREIGN
LOANS
ELENA KALOTYCHOU (CASS BUSINESS SCHOOLFINANCE)
DOES ADAPTIVE EPS FORECASTING MAKE ANALYSTS FORECASTS
REDUNDANT?
DMITRI KANTSYREV (USC)
MODELING THE TERM STRUCTURE OF DEFAULTABLE BONDS UNDER
RECOVERY RISK
LOTFI KAROUI (MCGILL UNIVERSITYFACULTY OF MANAGEMENT)
WHO NEEDS HEDGE FUNDS? A COPULA-BASED APPROACH TO HEDGE
FUND RETURN REPLICATION
HARRY KAT (CASS BUSINESS SCHOOL - FACULTY OF FINANCE)
OWNERSHIPFOREIGN LISTINGSAND MARKET VALUATION ADITYA KAUL (UNIVERSITY OF ALBERTA)
TESTING BEHAVIORAL FINANCE MODELS OF MARKET UNDER- AND
OVERREACTION: DO THEY REALLY WORK?
ASAD KAUSAR (UNIVERSITY OF MANCHESTER)
MERGER ANNOUNCEMENTS AND INSIDER TRADING ACTIVITY: AN MANOLIS KAVUSSANOS (ATHENS UNIVERSITY OF ECONOMICS AND
EMPIRICAL COMPARATIVE INVESTIGATION IN LSE AND ASE
BUSINESS)
INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES
KARL LUDWIG KEIBER (WHU OTTO BEISHEIM SCHOOL OF
MARKETS - AN ENTROPY ANALYSIS OF STRATEGIC TRADING
MANAGEMENT)
CAN EXCHANGE RATE VOLATILITY EXPLAIN PERSISTENCE IN THE NEIL KELLARD (UNIVERSITY OF ESSEX; DEPT. OF
FORWARD PREMIUM?
ACCOUNTINGFINANCE AND MANAGEMENT)
OPTION PRICING AND CORPORATE REPORT DISCLOSURES:
MANAGERIAL INCENTIVES TO UNDERVALUE
ELISHA J KELLY (MONASH UNIVERSITYACCOUNTING AND FINANCE)
A MODEL TO MEASURE PORTFOLIO RISKS IN VENTURE CAPITAL ANDREAS KEMMERER (GOETHE UNIVERSITY FRANKFURT)
THE DAY OF THE WEEK EFFECT PATTERNS ON STOCK MARKET
DIMITRIS KENOURGIOS (UNIVERSITY OF ATHENSFACULTY OF
RETURN AND VOLATILITY: EVIDENCE FOR THE ATHENS STOCK
EXCHANGE
ECONOMICS)
MARKET RESPONSES TO BUY RECOMMENDATIONS ISSUED BY
GERMAN PERSONAL FINANCE MAGAZINES: EFFECTS OF
INFORMATIONPRICE-PRESSUREAND COMPANY CHARACTERISTICS
ALEXANDER KERL (UNIVERSITY OF TUEBINGEN)
DIRECTORS'''' AND OFFICERS'''' INSURANCE AND OPPORTUNISM IN
ACCOUNTING CHOICE
IRENE KIM (DUKE UNIVERSITYACCOUNTING)
MEASURING BUSINESS SECTOR CONCENTRATION BY AN INFECTION
MODEL
DUELLMANN KLAUS (DEUTSCHE BUNDESBANK)
Updated 4th April, 2006

6
TITLE AUTHOR
RETURN PERFORMANCE SURROUNDING REVERSE STOCK SPLITS:
CAN INVESTORS PROFIT?
APRIL KLEIN (NEW YORK UNIVERSITYSTERN SCHOOL OF BUSINESS)
ABNORMAL RETURNS IN THE VICINITY OF INSIDER TRANSACTIONS:
UNBIASED ESTIMATES FOR GERMANY
MARCO KLINGE (ROLAND BERGER STRATEGY CONSULTANTS)
INSIDER TRADING AND INTERNATIONAL CROSS-LISTING ADRIANA KORCZAK (CASS BUSINESS SCHOOLDEPARTMENT OF
FINANCE)
BEHAVIORAL BIAS OF TRADERS: EVIDENCE FOR THE DISPOSITION AND ANDREAS KRAUSE (UNIVERSITY OF BATHSCHOOL OF
REVERSE DISPOSITION EFFECT
MANAGEMENT)
DERIVATIVE CREDIT RISK DIFFERENTIAL – AN ANALYSIS OF EUR
SWAPS
VAIDYANATHAN KRISHNAMURTHY (IIT BOMBAY)
SOCIAL NETWORKSCORPORATE GOVERNANCE AND CONTRACTING IN
THE MUTUAL FUND INDUSTRY
CAMELIA KUHNEN (STANFORD GRADUATE SCHOOL OF BUSINESS)
OWNERSHIP CONCENTRATION AND COMPETITION IN BANKING
MARKETS
ALEXANDRA LAI (BANK OF CANADA)
PROJECT FINANCED INVESTMENTSDEBT MATURITY AND CREDIT
INSURANCE
VAN SON LAI (LAVAL UNIVERSITY)
ACTIVE FUND MANAGEMENT: THE CASE OF GLOBAL ASSET
ALLOCATION FUNDS
NORRIS LARRYMORE (QUINNIPIAC UNIVERSITY)
MARKET BEHAVIOUR OF FOREIGN VERSUS DOMESTIC INVESTORS
FOLLOWING A PERIOD OF STRESSFUL CIRCUMSTANCES
MEZIANE LASFER (CASS BUSINESS SCHOOLCITY UNIVERSITY)
LIQUIDITY SUPPLY IN MULTIPLE MARKETS LESCOURRET LAURENCE (ESSEC BUSINESS SCHOOL)
LEARNING AND ASSET PRICES UNDER AMBIGUOUS INFORMATION MARKUS LEIPPOLD (SWISS BANKING INSTITUTE)
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC
ANGEL LEÓN (UNIVERSIDAD DE ALICANTEDPTO. ECONOMÍA
DISTRIBUTIONSWITH APPLICATIONS TO OPTION VALUATION
FINANCIERA)
DO STOCK SPLITS REALLY SIGNAL? TAK YAN LEUNG (DEPARTMENT OF ACCOUNTANCYCITY UNIVERSITY
OF HONG KONG)
FOREIGN EXCHANGE EXPOSURE: EVIDENCE FROM THE UNITED
DONGHUI LI (UNIVERSITY OF NEW SOUTH WALESSCHOOL OF
STATES INSURANCE INDUSTRY
BANKING AND FINANCE)
AN EMPIRICAL ANALYSIS OF YIELD CURVES ACROSS EURO AND NON-
EURO COUNTRIES USING INTERBANK INTEREST RATES
HONGZHU LI (HANKENSWEDISH SCHOOL OF ECONOMICS)
CCAPMWEALTH SHOCKAND STOCK MARKET ANOMALIES SAMUEL XIN LIANG LIANG (HONG KONG UNIVERSITY OF SCIENCE
AND TECHNOLOGY)
STRUCTURAL VERSUS TEMPORARY FACTORS IN COUNTRY AND
INDUSTRY RISK
BAELE LIEVEN (TILBURG UNIVERSITY)
RECOVERING RISK-NEUTRAL DENSITIES OF SPOT AND OPTION
YUEH-NENG LIN LIN (DEPARTMENT OF FINANCENATIONAL CHUNG
MARKETS UNDER STOCHASTIC VOLATILITY AND PRICE JUMPS
HSING UNIVERSITY)
RISK WEIGHTS AND CAPITAL SAVING/ADDITION USING THE INTERNAL MEI-YING LIU (DEPARTMENT OF BUSINESS
(VAR) MODEL BASED ON THE BASEL ACCORD
ADMINISTRATIONSOOCHOW UNIVERSITY)
CONVERTIBLE DEBT ISSUES AND CONVERTIBLE ARBITRAGE – ISSUE
CHARACTERISTICSUNDERPRICING AND SHORT SALES
IGOR LONCARSKI (TILBURG UNIVERSITYFINANCE DEPARTMENT)
COULD INVESTORS OBTAIN POSITIVE RETURNS USING SECURITY GERMAN LOPEZ-ESPINOSA (UNIVERSITY OF NAVARRADEPARTMENT
ANALYST RECOMMENDATIONS?
OF BUSINESS)
BADGOOD AND EXCELLENT: AN ICAPM WITH BOND RISK PREMIA PAULO MAIO (NEW UNIVERSITY OF LISBONFACULDADE DE
ECONOMIA)
CASH HOLDING POLICY AND ABILITY TO INVEST: HOW DO FIRMS
MARIA-TERESA MARCHICA (MANCHESTER ACCOUNTING AND
DETERMINE THEIR CAPITAL EXPENDITURES? NEW EVIDENCE FROM
THE UK MARKET
FINANCE GROUP MANCHESTER BUSINESS SCHOOL)
THE INFORMATION CONTENT OF HEDGE FUND INVESTMENT STYLES –
A RETURN-BASED ANALYSIS WITH SELF-ORGANIZING MAPS
SCHWAIGER MARKUS (AUSTRIAN CENTRAL BANKOENB)
CAN MARKET COMPETITION COMPLEMENT THE USUAL MECHANISMS JUAN A. MAROTO (UNIVERSIDAD COMPLUTENSE DE MADRIDDEPT.
OF CORPORATE GOVERNANCE?
DE ECONOMÍA FINANCIERA Y CONTABILIDAD III)
THE ACCURACY OF TIME-VARYING BETAS AND THE CROSS-SECTION
OF STOCK RETURNS
DIDIER MARTI (UNIVERSITY OF FRIBOURG / MANAGEMENT)
TAKEOVERS AND THE CROSS-SECTION OF RETURNS CREMERS MARTIJN (YALE SCHOOL OF MANAGEMENT)
USING MARKET VALUES VERSUS ACCOUNTING DATA IN CREDIT RISK JOSÉ LUIS MARTÍN MARÍN (PABLO DE OLAVIDE UNIVERSITY.
MODELS: A COMPARATIVE ANALYSIS
DEPARTAMENTO DE DIRECCIÓN DE EMPRESAS.)
SOURCES OF TRANSACTION FINANCING AND MEANS OF PAYMENT IN MARINA MARTYNOVA (TILBURG UNIVERSITY - DEPARTMENT OF
CORPORATE TAKEOVERS
FINANCE)
SMALL CAPS IN INTERNATIONAL EQUITY PORTFOLIOS: THE EFFECTS
OF VARIANCE RISK
GUIDOLIN MASSIMO (FEDERAL RESERVE BANK OF ST. LOUIS)
TAXES AND CORPORATE DEBT POLICY : EVIDENCE FOR UNLISTED CESARIO MATEUS (AARHUS SCHOOL OF BUSINESS - DEPARTMENT
FIRMS OF SIXTEEN EUROPEAN COUNTRIES
OF ACCOUNTINGFINANCE AND LOGISTICS)
TECHNICAL TRADING RULES IN EMERGING MARKETS AND THE 1997 MICHAEL D. MCKENZIE (RMIT UNIVERSITYSCHOOL OF
ASIAN CURRENCY CRISES
ECONOMICSFINANCE AND MARKETING)
FINANCIAL VISIBILITY AND THE DECISION TO GO PRIVATE HAMID MEHRAN (FEDERAL RESERVE BANK OF NEW YORK)
CORPORATE INVESTMENT DECISION PRACTICES AND THE HURDLE
RATE PREMIUM PUZZLE
IWAN MEIER (HEC MONTREALDEPARTMENT OF FINANCE)
THE ADVANTAGES OF INTRODUCING AN EXCHANGE RATE TARGET IN
THE STATUTES OF THE EUROPEAN CENTRAL BANK
SÉVERINE MENGUY (UNIVERSITÉ PARIS X NANTERREECONOMIX)
HIGHLY LEVERAGED FIRMS AND CORPORATE PERFORMANCE IN
ANNA MERIKA (THE AMERICAN COLLEGE OF GREECEDEREE
DISTRESSED INDUSTRIES
COLLEGE)
AN EFFECTIVE INDEX OF MANAGEMENT COMPETENCE ANDREAS MERIKAS (UNIVERSITY OF PIRAEUS)
THE INFORMATION CONTENT OF VOLATILITIES IMPLIED FROM
CURRENCY OPTIONS: EMPIRICAL EVIDENCE FROM EMERGING MARKET
COUNTRIES
MARIAN MICU (BANK FOR INTERNATIONAL SETTLEMENTS)
BASEL REQUIREMENT OF DOWNTURN LGD: MODELING AND
PETER MIU (DEGROOTE SCHOOL OF BUSINESSMCMASTER
ESTIMATING PD & LGD CORRELATIONS
UNIVERSITY)
CALLABLE RISKY PERPETUAL DEBT: OPTIONSPRICING AND
AKSEL MJOS (NORWEGIAN SCHOOL OF ECONOMICS AND BUSINESS
BANKRUPTCY IMPLICATIONS.
ADMINISTRATIONINSTITUTE OF FINANCE AND MANAGEMENT
SCIENCE)
BOARD STRUCTUREOWNERSHIP STRUCTUREAND FIRM
BELKHIR MOHAMED (UNIVERSITY OF ORLEANS - DEPARTMENT OF
PERFORMANCE: EVIDENCE FROM BANKING
ECONOMICS)
INSIDER OWNERSHIP AND CORPORATE PERFORMANCE EVIDENCE BENJAMIN MOLDENHAUER (TECHNISCHE UNIVERSITÄT MÜNCHEN
FROM GERMANY
CEFS)
LONG-HORIZON REGRESSIONS WHEN THE PREDICTOR IS SLOWLY
VARYING
ROGER MOON (UNIVERSITY OF SOUTH CALIFORNIA)
THE COSKEWNESS FACTOR:IMPLICATIONS FOR PERFORMANCE
EVALUATION
DAVID MORENO (UNIVERSIDAD CARLOS III)
FINANCING THROUGH BOND ISSUES AND THE NEXUS WITH ECONOMIC ULRIKE MOSER (VIENNA UNIVERSITY OF ECONOMICS AND
GROWTH
BUSINESS ADMINISTRATION / DEPARTMENT OF ENGLISH BUSINESS
COMMUNICATION)
THE PRICING OF TURBO CERTIFICATES IN THE PRESENCE OF
MATTHIAS MUCK (WHU - OTTO BEISHEIM SCHOOL OF
STOCHASTIC JUMPSINTEREST RATESAND VOLATILITY
MANAGEMENT)
Updated 4th April, 2006

7
TITLE AUTHOR
SHARE REPURCHASES AND REPAYMENTS OF NOMINAL VALUE: THE PHILIPPE MUELLER (COLUMBIA BUSINESS SCHOOLDIVISION OF
SWISS ALTERNATIVE TO DIVIDENDS
FINANCE AND ECONOMICS)
FINANCIAL FLEXIBILITY AND INVESTMENT DECISIONS: EVIDENCE FROM
LOW-LEVERAGE FIRMS
ROBERTO MURA (MANCHESTER BUSINESS SCHOOL)
HETEROGENEOUS BASKET OPTIONS PRICING USING ANALYTICAL
APPROXIMATIONS
OUERTANI NADIA (IESEG SCHOOL OF MANAGEMENT)
MARKET DISCIPLINE IN THE EUROPEAN INSURANCE INDUSTRY: A FRANCESCO NATALE (UNIVERSITY OF MILANO - BICOCCA -
PROPOSAL FOR A MODEL
DEPARTMENT OF ECONOMICS AND MANAGEMENT)
A NOTE ON SKEWNESS IN THE STOCHASTIC VOLATILITY MODELS BOGDAN NEGREA (UNIVERSITY PARIS 1 PANTHEON - SORBONNE)
SEX MATTERS: GENDER AND MUTUAL FUNDS ALEXANDRA NIESSEN (UNIVERSTIY OF COLOGNE - DEPARTMENT OF
CORPORATE FINANCE)
SMALL BUSINESS BORROWING AND THE OWNER-MANAGER AGENCY JYRKI NISKANEN (UNIVERSITY OF KUOPIODEP. OF BUSINESS AND
COSTS: EVIDENCE ON FINNISH DATA
MANAGEMENT)
MIGRATION AND CONCENTRATION RISKS IN BANK LENDING: NEW LARS NORDEN (UNIVERSITY OF MANNHEIMDEPARTMENT OF
EVIDENCE FROM CREDIT PORTFOLIO DATA
BANKING AND FINANCE)
DOES AN INDEX FUTURES SPLIT ENHANCE TRADING ACTIVITY AND
HEDGING EFFECTIVENESS OF THE FUTURES CONTRACT?
LARS NORDEN (STOCKHOLM UNIVERSITYSCHOOL OF BUSINESS)
DESCRIPTIVE ANALYSIS OF FINNISH EQUITYBONDAND MONEY
PETER NYBERG (SWEDISH SCHOOL OF ECONOMICS AND BUSINESS
MARKETS 1920-2004
ADMINISTRATION - DEPARTMENT OF FINANCE AND STATISTICS)
THE OVERREACTION HYPOTHESIS: DOES IT APPLY TO THE
BARRY O''GRADY (CURTIN UNIVERSITY OF TECHNOLOGYSCHOOL
NORWEGIAN STOCK MARKET?
OF ECONOMICS AND FINANCE,)
THE RETURNS TO FOLLOWING CURRENCY FORECASTS JOHN OKUNEV (MACQUARIE UNIVERSITY)
BUSINESS FAILURE PREDICTION: SIMPLE-INTUITIVE MODELS VERSUS HUBERT OOGHE (GHENT UNIVERSITY - DEPARTMENT OF
STATISTICAL MODELS
ACCOUNTANCY AND CORPORATE FINANCE)
THE EFFECT OF SOCIALLY RESPONSIBLE INVESTING ON FINANCIAL PEER OSTHOFF (UNIVERSITY OF COLOGNE - DEPARTMENT OF
PERFORMANCE
FINANCE)
DETERMINANTS OF EXCHANGE RATE RISK HEDGING LUIS OTERO GONZÁLEZ (SANTIAGO DE COMPOSTELA (FINANCE AND
ACCOUNTING))
DO CORPORATE GOVERNANCE MECHANISMS INFLUENCE CEO
COMPENSATION? AN EMPIRICAL INVESTIGATION OF UK COMPANIES
NESLIHAN OZKAN (UNIVERSITY OF BRISTOL)
DO FOREIGNERS FACILITATE INFORMATION TRANSMISSION? ARZU OZOGUZ (QUEEN'S UNIVERSITY -QUEEN'S SCHOOL OF
BUSINESS)
THE UK CODE OF CORPORATE GOVERNANCE:LINK BETWEEN
COMPLIANCE AND FIRM PERFORMANCE
CAROL PADGETT (UNIVERSITY OF READINGICMA CENTRE)
WHAT DOES THE DURABLES PRICE - OVER - THE RENTAL COST
MICHAL PAKOS (TEPPER SCHOOL OF BUSINESSCARNEGIE MELLON
VALUATION RATIO TELL US ABOUT ASSET PRICES?
UNIVERSITY)
DO THE ITALIAN STARS’ SHINE IN A HYBRID MARKET? FABRIZIO PALMUCCI (UNIVERSITY OF BOLOGNADEPARTMENT OF
BUSINESS)
OPTIMAL MONETARY POLICY AND THE TERM STRUCTURE OF
INTEREST RATES
FRANCISCO PALOMINO (CARNEGIE MELLON UNIVERSITY)
CREATING EFFICIENT PORTFOLIO RETURNS APPLYING FORECASTING NIKOS PALTALIDIS (CITY UNIVERSITY LONDONCASS BUSINESS
TECHNIQUES AND BOOTSTRAPPING IN FTSE 100 AND XETRA DAX. SCHOOLDEPARTMENT OF FINANCE)
DETERMINANTS OF SURVIVAL AND GROWTH OF LISTED SMES IN CHINA DONG PANG (UNIVERSITY OF MANCHESTER)
THE PERCEPTION OF ENTREPRENEURIAL RISK: KEY DETERMINANTS IN GEORGE PARIKAKIS (UNIVERSITY OF THE AEGEANBUSINESS
THE DECISION MAKING PROCESS OF GREEK INVESTORS
ADMINISTRATION)
VOLATILITY TRANSMISSION FOR CROSS LISTED FIRMS AND THE ROLE BARTOLOMÉ PASCUAL-FUSTER (UNIVERSIDAD DE LAS ISLAS
OF INTERNATIONAL EXPOSURE
BALEARES)
OPTIMAL BENCHMARKING FOR ACTIVE PORTFOLIO MANAGERS PONCET PATRICE (DPT OF FINANCEESSEC BUSINESS SCHOOL)
DOES THE STOCK MARKET REACT TO UNSOLICITED RATINGS? BEHR PATRICK (GOETHE UNIVERSITY FRANKFURTFINANCE
DEPARTMENT)
HANGING OUT ON THE SELL-SIDE EVIDENCE ON ANALYST AND
BROKER REWARDS FROM FORECASTING ON THE ASX
KERRY PATTENDEN (UNIVERSITY OF SYDNEY)
RISK MANAGEMENT IN A DEALERSHIP MARKET --- EVIDENCE FROM
FIXED INCOME DEALER
KE PENG (UNIVERSITY OF BRADFORD)
CANONICAL TERM-STRUCTURE MODELS WITH OBSERVABLE FACTORS MARCELLO PERICOLI (BANCA D'ITALIAECONOMICS RESEARCH
AND THE DYNAMICS OF BOND RISK PREMIA
DEPARTMENT)
THE MULTIVARIATE GRAM-CHARLIER DENSITY JAVIER PEROTE (UNIVERSIDAD REY JUAN CARLOS. DPT. ECONOMÍA
APLICADA II Y FUNDAMENTOS DEL ANÁLISIS ECONÓMICO)
IMPORTANCE SAMPLING FOR INTEGRATED MARKET AND CREDIT GRUNDKE PETER (UNIVERSITY OF COLOGNEDEPARTMENT OF
PORTFOLIO MODELS
BANKING)
DOES REPORTED EARNINGS VOLATILITY IMPROVE UK EARNINGS NIKOLA PETROVIC (UNIVERSITY OF ESSEXDEPARTMENT OF
FORECASTS?
ACCOUNTINGFINANCE AND MANAGEMENT)
ESTIMATING THE PROBABILITY OF FINANCIAL DISTRESS:
INTERNATIONAL EVIDENCE
JULIO PINDADO (UNIVERSIDAD DE SALAMANCA)
MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: JUAN PIÑEIRO CHOUSA (UNIVERSITY OF SANTIAGO DE
EVIDENCE FROM EMU MEMBERS
COMPOSTELADEPARTMENTO OF FINANCE AND ACCOUNTING)
M&A MARKET IN TRANSITION ECONOMIES: EVIDENCE FROM ROMANIA DIANA POP (UNIVERSITÉ D'ORLÉANSLABORATOIRE D'ECONOMIE
D'ORLEANS)
THE COSKEWNESS PUZZLE IN THE CROSS-SECTION OF INDUSTRY
PORTFOLIO EXCESS RETURNS
VALERIO POTI (DUBLIN CITY UNIVERSITY)
ARE CORPORATE RESTRUCTURING EVENTS DRIVEN BY COMMON
FACTORS? IMPLICATIONS FOR TAKEOVER PREDICTION
RONAN POWELL (UNSWBANKING AND FINANCE)
A NEW SIGNALING MORE COMPLETE EXPLANATION: INVESTORS
BEHAVIOR TO CORPORATE ANNOUNCEMENTS
JAIRO LASER PROCIANOY (PPGA/EA/UFRGS)
SHARE ISSUING PRIVATIZATIONS IN CHINA: DETERMINANTS OF PUBLIC QI QUAN (DEPARTMENT OF ACCOUNTANCYFINANCE AND
SHARE ALLOCATION AND UNDERPRICING
INSURANCEKATHOLIEKE UNIVERSITEIT LEUVEN)
INFORMATION CONTENT AND PREDICTABILITY OF EXTREME PRICES IN
FINANCIAL MARKETS
ANGELO RANALDO (SWISS NATIONAL BANK)
IMPROVING THE ASSET PRICING ABILITY OF THE CONSUMPTION- ANNE-SOFIE RENG RASMUSSEN (DEPARTMENT OF BUSINESS
CAPITAL ASSET PRICING MODEL?
STUDIESAARHUS SCHOOL OF BUSINESS)
LIQUIDITY AND TRANSPARENCY IN BANK RISK MANAGEMENT LEV RATNOVSKI (UNIV. AMSTERDAM - FINANCE GROUP)
EURO AND CONVERGENCE OF THE DYNAMIC STRUCTURE OF THE
STOCK MARKETS
CHOU RAY (INST ECONOMICSACADEMIA SINICA)
QUADRATIC TERM STRUCTURE MODELS IN DISCRETE TIME MARCO REALDON (ECONOMICS DEPT UNIVERSITY OF YORK)
EXPLAINING MISPRICING OF INITIAL PUBLIC OFFERINGS BEAT REBER (NOTTINGHAM UNIVERSITY BUSINESS SCHOOL)
IS ETHICAL MONEY FINANCIALLY SMART? LUC RENNEBOOG (DEPARTMENT OF FINANCE AND CENTERTILBURG
UNIVERSITY)
THE CONTENT OF REPORTS ON ITALIAN STOCKS. DO EVALUATION UGO RIGONI (UNIVERSITY OF VENICECA’ FOSCARIDEPARTMENT OF
METHODS MATTER?
BUSINESS ECONOMICS AND MANAGEMENT,)
A MODEL FOR THE PUBLIC FINANCING OF ENTREPRENEURIAL FIRMS: MICHAEL ROBINSON (UNIVERSITY OF CALGARYHASKAYNE SCHOOL
ALBERTA''''S JUNIOR CAPITAL POOL PROGRAM
OF BUSINESS)
THE VALUATION OF MODULAR PROJECTS: A REAL OPTIONS
ARTUR RODRIGUES (MANAGEMENT RESEARCH UNIT - UNIVERSITY
APPROACH TO THE VALUE OF SPLITTING
OF MINHO)
Updated 4th April, 2006

8
TITLE AUTHOR
UNDERSTANDING AND FORECASTING STOCK PRICE CHANGES PEDRO RODRIGUEZ (UNIVERSIDAD COMPLUTENSE DE
MADRID;FACULTAD DE CIENCIAS ECONÓMICAS Y
EMPRESARIALESDEPARTAMENTO DE ESTADÍSTICA E
INVESTIGACIÓN OPERATIVA II)
REVISITING STATIC PORTFOLIO THEORY FOR HARA INVESTORS IÑAKI RODRÍGUEZ LONGARELA (STOCKHOLM SCHOOL OF
ECONOMICS DEPARTMENT OF FINANCE)
TOTAL VENTURE CAPITAL DIVESTMENTS AS ABANDONMENT OPTIONS JAVIER ROJO SUÁREZ (UNIVERSIDAD REY JUAN CARLOSBUSINESS
AND ASYMMETRIC INFORMATION
ADMINISTRATION DEPARTMENT)
AN INTRADAY PRICING MODEL OF FOREIGN EXCHANGE MARKETS RAFAEL ROMEU (INTERNATIONAL MONETARY FUND)
A NEW MEASURE OF CROSS-SECTIONAL RISK: THEORY AND
ANDREA RONCORONI (ESSEC BUSINESS SCHOOL)
APPLICATIONS.
INTERTEMPORAL CAPITAL ALLOCATION AND CORPORATE
ANDREW ROPER (UNIVERSITY OF WISCONSIN-MADISONSCHOOL OF
INVESTMENT
BUSINESS)
LIMITED LIABILITY IN BUSINESS GROUPS EVA ROPERO MORIONES (DEPARTMENT OF BUSINESS
ADMINISTRATIONUNIV. CARLOS III DE MADRID)
PRE-BID ACQUISITIONS OF TARGET STOCK AND MANAGEMENT-
BRUCE A ROSSER (UNIVERSITY OF ADELAIDE)
CONTROLLED EQUITY
STRATEGIC MARKET MAKING AND RISK SHARING FABRICE ROUSSEAU (NATIONAL UNIVERSITY OF
IRELANDMAYNOOTHDEPARTMENT OF ECONOMICS)
OPTION-IMPLIED PREFERENCES ADJUSTMENTSDENSITY
FORECASTSAND THE EQUITY RISK PREMIUM
GONZALO RUBIO (DEPARTAMENT OF ECONOMICSUNIVERSITY OF
THE BASQUE COUNTRY AND DEPARTAMENT OF FINANCE AND
ECONOMICSUNIVERSITY OF CASTILLA LA MANCHA)
DELPHINE SABOURIN (CREST AND UNIVERSITY OF PARIS
DAUPHINE)
SALIM CHAHINE SALIM (AMERICAN UNIVERSITY OF BEIRUT -
SCHOOL OF BUSINESS - FINANCE)
SALIM CHAHINE SALIM (AMERICAN UNIVERSITY OF BEIRUT -
SCHOOL OF BUSINESS - FINANCE)
ARE DESIGNATED MARKET MAKERS NECESSARY IN CENTRALIZED
LIMIT ORDER MARKETS?
PREMIUMMERGER FEES AND THE CHOICE OF INVESTMENT BANKS: A
SIMULTANEOUS ANALYSIS
VENTURE CAPITALISTSBUSINESS ANGELSAND PERFORMANCE OF
ENTREPRENEURIAL IPOS IN THE UK AND FRANCE.
A STOCHASTIC VOLATILITY SWAP MARKET MODEL ATTAOUI SAMI (UNIVERSITY OF PARIS 1 PANTHEON-SORBONNE
DEPARTEMENT OF MANAGEMENT (OSES))
TARGET BONDHOLDER WEALTH AND SHAREHOLDER POWER DURING ANTHONY SANDERS (THE OHIO STATE UNIVERSITY; FACULTY OF
MERGERS AND ACQUISITIONS
FINANCE)
EXCHANGE RATE RESPONSE TO MACRO NEWS: THROUGH THE LENS TANSELI SAVASER (BRANDEIS UNIVERSITY INTERNATIONAL
OF MICROSTRUCTURE
BUSINESS SCHOOL)
THE FIRM-SPECIFIC DETERMINANTS OF CORPORATE CAPITAL
GÜVEN SAYÝLGAN (BUSINESS ADMINISTRATIONFACULTY OF
STRUCTURE: EVIDENCE FROM TURKISH DYNAMIC PANEL DATA
POLITICAL SCIENCESANKARA UNIVERSITY)
A MULTI-FACTOR APPROACH FOR SYSTEMATIC DEFAULT AND
HARALD SCHEULE (UNIVERSITY OF MELBOURNEDEPARTMENT OF
RECOVERY RISK
FINANCE)
WHY DO LATIN AMERICAN FIRMS MANAGE CURRENCY RISK? RAFAEL SCHIOZER (FUNDACAO GETULIO VARGAS / EAESP -
ACCOUNTING AND FINANCE DEPT.)
THE IMPACT OF BASEL I REGULATION ON BANK DEPOSITS AND LOANS: BIRGIT SCHMITZ (UNIVERSITY OF BONNIIW INSTITUTE FOR
EMPIRICAL EVIDENCE FOR EUROPE
INTERNATIONAL ECONOMICS)
THE SHARPE RATI S MARKET CLIMATE BIAS THEORETICAL AND HENDRIK SCHOLZ (CATHOLIC UNIVERSITY EICHSTAETT-
EMPIRICAL EVIDENCE FROM US EQUITY MUTUAL FUNDS
INGOLSTADTINGOLSTADT SCHOOL OF MANAGEMENT)
CROSS-SECTIONAL TESTS OF CONDITIONAL ASSET PRICING MODELS: ANDREAS SCHRIMPF (CENTRE FOR EUROPEAN ECONOMIC
EVIDENCE FROM THE GERMAN STOCK MARKET
RESEARCH (ZEW)MANNHEIM. DEPT. INTERNATIONAL FINANCE AND
FINANCIAL MANAGEMENT)
IMPLIED COST OF CAPITAL BASED INVESTMENT STRATEGIES -
EVIDENCE FROM INTERNATIONAL STOCK MARKETS
DAVID SCHROEDER (CREST)
THE INTERNATIONAL EVIDENCE ON THE PECKING ORDER HYPOTHESIS BRUCE SEIFERT (DEPARTMENT OF BUSINESS ADMINISTRATIONOLD
DOMINION UNIVERSITY)
RISK FACTOR BETA CONDITIONAL VALUE-AT-RISK ANDREI SEMENOV (YORK UNIVERSITYECONOMICS)
ESTIMATING THE COSTS OF INTERNATIONAL EQUITY INVESTMENTS PIET SERCU (KATHOLIEKE UNIVERSITEIT LEUVEN - INTERNATIONAL
FINANCE)
A MODEL OF THE COMPONENTS OF THE BID-ASK SPREAD ALEXEY SEREDNYAKOV (UNIVERSITY OF MINNESOTA/ FINANCE
DEPARTMENT)
DEMUTUALIZATIONOUTSIDER OWNERSHIP AND STOCK EXCHANGE BARIS SERIFSOY (GOETHE UNIVERSITY FRANKFURT / WHARTON
PERFORMANCE - EMPIRICAL EVIDENCE
SCHOOLFINANCE DEPARTMENT)
A MULTI-HORIZON COMPARISON OF DENSITY FORECASTS FOR THE MARK SHACKLETON (ACCOUNTING & FINANCELANCASTER
S&P 500 USING INDEX RETURNS AND OPTION PRICES
UNIVERSITYENGLAND)
INFORMATIONAL RELEASES IN DIVERSIFYING TAKEOVERS HUSAYN SHAHRUR (BENTLEY COLLEGEFINANCE DEPARTMENT)
WARRANT VALUATION AND STRATEGIC EXERCISE IN CONTINUOUS ROY SHALEM (TEL-AVIV UNIVERSITYISRAEL - THE EITAN BERGLAS
TIME AND IMPERFECT COMPETITION
SCHOOL OF ECONOMICS)
THE PRICING OF FINITE MATURITY CORPORATE COUPON BONDS WITH SÉRGIO SILVA (PORTUCALENSE UNIVERSITYECONOMICS
RATING-BASED COVENANTS
DEPARTMENT)
OVERPRICING IN EMERGING MARKET CREDIT DEFAULT SWAP
CONTRACTS--SOME EVIDENCE FROM RECENT DISTRESS CASES.
MANMOHAN SINGH (INTERNATIONAL MONETARY FUND)
EQUITY HOME BIAS AND REGRET: AN INTERNATIONAL EQUILIBRIUM
MODEL
BRUNO SOLNIK (HEC-PARIS SCHOOL OF MANAGEMENT)
HIDDEN ORDERS AND LIQUIDITY IN LIMIT ORDER MARKETS MOINAS SOPHIE (TOULOUSE BUSINESS SCHOOL)
VOLATILITY COMPONENTS: EVIDENCE OF THE BEHAVIOUR OF THE SÓNIA SOUSA (FACULDADE DE ECONOMIA DA UNIVERSIDADE DO
PORTUGUESE STOCK MARKET
PORTO,)
SEPARATING THE STOCK MARKET''S REACTION TO SIMULTANEOUS CARINA SPONHOLTZ (UNIVERSITY OF AARHUSDEPARTMENT OF
DIVIDEND AND EARNINGS ANNOUNCEMENTS
MANAGEMENT)
THE EFFECT OF BOARD SIZE AND COMPOSITION ON EUROPEAN BANK CHRISTOS STAIKOURAS (DEPARTMENT OF ACCOUNTING AND
PERFORMANCE
FINANCEATHENS UNIVERSITY OF ECONOMICS AND BUSINESS)
RISK-RETURN ISSUES IN DEREGULATING THE BANKING FIRM SOTIRIS K STAIKOURAS (CASS BUSINESS SCHOOLFINANCE)
THE INTERACTION BETWEEN TECHNICAL CURRENCY TRADING AND SCHULMEISTER STEPHAN (AUSTRIAN INSTITUTE OF ECONOMIC
EXCHANGE RATE FLUCTUATIONS
RESEARCH)
MANAGERIAL INCENTIVESOVERCONFIDENCERISK-TAKINGAND
SUDI SUDARSANAM (SCHOOL OF MANAGEMENTCRANFIELD
ACQUIRER SHAREHOLDER VALUE CREATION IN MERGERS AND
ACQUISITIONS
UNIVERSITY)
SPANNING TESTS FOR REPLICABLE SMALL CAP INDEXES AS
SEPARATE ASSET CLASSES: INTERNATIONAL EVIDENCE
LORNE SWITZER (CONCORDIA UNIVERSITYFINANCE DEPARTMENT)
SMALL CAP FIRM PERFORMANCE AND CORPORATE GOVERNANCE: A
SIMULTANEOUS EQUATIONS APPROACH
LORNE SWITZER (CONCORDIA UNIVERSITYFINANCE DEPARTMENT)
CONSUMPTION RISK AND EXPECTED FUTURES RETURNS MARTA SZYMANOWSKA (TILBURG UNIVERSTITYDEPARTMENT OF
FINANCE)
THE IMPACT OF REORGANIZATION FILING AND RESOLUTION ON
TSENG-CHUNG TANG (NATIONAL FORMOSA
DISTRESSED-STOCK RETURNS
UNIVERSITYDEPARTMENT OF BUSINESS ADMINISTRATION)
INFORMATION CONTENT OF IMPLIED VOLATILITIES AND MODEL-FREE STEPHEN J. TAYLOR TAYLOR (DEPARTMENT OF ACCOUNTING AND
VOLATILITY EXPECTATIONS: EVIDENCE FROM OPTIONS WRITTEN ON
INDIVIDUAL STOCKS
FINANCELANCASTER UNIVERSITY)
Updated 4th April, 2006

9
TITLE AUTHOR
HOW DO INVESTMENT PATTERNS OF INDEPENDENT AND CAPTIVE
PRIVATE EQUITY FUNDS DIFFER? EVIDENCE FROM GERMANY
TYKVOVA TEREZA (ZEW MANNHEIM)
PRICE DISCOVERY IN SPOT AND FUTURES MARKETS: A
RECONSIDERATION
ERIK THEISSEN (UNIVERSITY OF BONN)
EXTREME UNDERPRICING: DETERMINANTS OF CHINESE IPO INITIAL LIHUI TIAN (GUANGHUA SCHOOL OF MANAGEMENTPEKING
RETURNS
UNIVERSITY)
VALUE-AT-RISK AND EXTREME VALUE DISTRIBUTIONS FOR FINANCIAL KONSTANTINOS TOLIKAS (CARDIFF UNIVERSITYCARDIFF BUSINESS
RETURNS OF FRENCH FIRMS
SCHOOL)
THE INFLUENCE OF THE TYPE AND NUMBER OF BLOCKHOLDERS ON
R&D INVESTMENTS
JOSE ANTONIO TRIBO (CARLOS III. BUSINESS DEPARTMENT)
INVESTMENT FRICTIONS AND LEVERAGE DYNAMICS SERGEY TSYPLAKOV (UNIVERSITY OF SOUTH CAROLINADEPT OF
FINANCE)
ACQUIRING FIRM PERFORMANCE: THE IMPACT OF
CHRISTIAN TUCH (UNIVERSITY OF SHEFFIELD MANAGEMENT
GOVERNANCEMARKET MOMENTUM AND METHOD OF PAYMENT
SCHOOL)
ACCOUNTING FRAUD AND THE PRICING OF CORPORATE LIABILITIES:
STRUCTURAL MODELS WITH GARBLING
CHERUBINI UMBERTO (UNIVERSITY OF BOLOGNA MATEMATES)
PRICING OF LIQUIDITY RISK: EMPIRICAL EVIDENCE FROM FINLAND MIKA VAIHEKOSKI VAIHEKOSKI (LAPPEENRANTA UNIVERSITY OF
TECHNOLOGYDEP. OF BUS. ADM.)
BROAD-BASED EMPLOYEE STOCK OPTIONS GRANTS AND IPO FIRMS TJALLING VAN DER GOOT (UNIVERSITY OF AMSTERDAM / DPT.
BUSINESS STUDIES)
MANAGERS IN THE FAMILIAR AND THEIR DIVESTMENT DECISIONS MARIEKE VAN DER POEL (RSM ERASMUS UNIVERSITYDEPARTMENT
FINANCIAL MANAGEMENT)
THE CAUSES OF INTERNATIONAL DIVERSIFICATION IN THE STOCK AND
EUROBOND MARKETS
SIMONE VAROTTO (UN. OF READINGICMA CENTRE)
THE NATURE AND PERSISTENCE OF BUYBACK ANOMALIES THEO VERMAELEN (INSEAD)
THE ECONOMIC CONSEQUENCES OF IFRS: THE VANISHING OF
PATRICK VERWIJMEREN (RSM ERASMUS UNIVERSITYFINANCIAL
PREFERENCE SHARES IN THE NETHERLANDS
MANAGEMENT)
DO FIRMS HAVE FINANCING PREFERENCES ALONG THEIR LIFE
GABRIELA VIDAL TEIXEIRA (UNIVERSIDADE CATÓLICA PORTUGUESA
CYCLES? THEORYAND EVIDENCE FROM IBERIA
- FEG)
VALUATION OF ELECTRICITY FORWARD CONTRACTS: THE ROLE OF PABLO VILLAPLANA (POMPEU FABRA UNIVERSITY; DEPARTMENT OF
DEMAND AND CAPACITY
ECONOMICS AND BUSINESS)
BEATING THE ODDS: ARBITRAGE AND WINING STRATEGIES IN THE NIKOLAOS VLASTAKIS (ATHENS UNIVERSITY OF ECONOMICS AND
FOOTBALL BETTING MARKET
BUSINESS - DEPARTMENT OF MANAGEMENT SCIENCE AND
TECHNOLOGY)
WEALTH AND RISK EFFECTS OF ADOPTING DEPOSIT INSURANCE IN
CANADA: EVIDENCE OF RISK SHIFTING BY BANKS AND TRUST
COMPANIES
JOHN WAGSTER (WAYNE STATE UNIVERSITY - FINANCE)
ASSET PRICING UNDER ALTERNATIVE INVESTMENT HORIZONS KATHLEEN WALSH (UNIVERSITY OF NSW)
CROSS-AUTOCORRELATION OF DUAL-LISTED STOCK PORTFOLIO
RETURNS
DAXUE WANG (IESE BUSINESS SCHOOLFINANCE DEPARTMENT)
DOES SKIN IN THE GAME MATTER? DIRECTOR INCENTIVES AND
GOVERNANCE IN THE MUTUAL FUND INDUSTRY
DAVID WEINBAUM (CORNELL UNIVERSITY)
GOVERNANCE AND TAKEOVERS: ARE PUBLIC TO PRIVATE
CHARLIE WEIR (ABERDEEN BUSINESS SCHOOLTHE ROBERT
TRANSACTIONS DIFFERENT?
GORDON UNIVERSITY)
SHOULD EXECUTIVES HEDGE THEIR STOCK OPTIONS ANDIF SOHOW? A. ELIZABETH WHALLEY (WARWICK BUSINESS SCHOOLUNIVERSITY
OF WARWICK)
COMMENCEMENT OF ELECTRONIC TRADING: IMPACT ON
J. WICKRAMANAYAKE (MONASH UNIVERSITYDEPT OF ACCOUNTING
LIQUIDITYPRICE DISCOVERY AND MARKET EFFICIENCY - AUSTRALIAN
EVIDENCE FROM SYDNEY FUTURES EXCHANGE
AND FINANCE)
THE IMPACT OF CORPORATE DERIVATIVE USAGE ON FOREIGN
VERSCHOOR WILLEM F. C. (RADBOUD UNIVERSITY NIJMEGEN /
EXCHANGE RISK EXPOSURE
FINANCE DEPARTMENT)
DIVIDENDSPRICES AND THE PRESENT VALUE MODEL:FIRM-LEVEL
EVIDENCE
JOHN O.S. WILSON (SCHOOL OF MANAGEMENT)
CORPORATE GOVERNANCE AND THE INFORMATIVENESS OF
TRACIE WOIDTKE (DEPARTMENT OF FINANCE AND CORPORATE
ACCOUNTING EARNINGS: THE ROLE OF THE AUDIT COMMITTEE
GOVERNANCE CENTERUNIVERSITY OF TENNESSEEU.S.A.)
CONFLICTS OF INTEREST AND RESEARCH QUALITY OF AFFILIATED
ANALYSTS: EVIDENCE FROM IPO UNDERWRITING
BESSLER WOLFGANG (UNIVERSITY OF GIESSEN)
WHAT MAKES A BANK MISBEHAVE? THE ROLE OF THE BOARD SIBEL YAMAK (GALATASARAY UNIVERSITYDEPARTMENT OF
MANAGEMENT)
MARKET TIMING IN M&AS: ANALYST SENTIMENT AROUND
ANNOUNCEMENTS
AN YAN (FORDHAM UNIVERSITYSCHOOL OF BUSINESS)
HEDGING WITH CHINESE METAL FUTURES LI YANG YANG (SCHOOL OF BANKING & FINANCEUNIVERSITY OF
NEW SOUTH WALES)
THE REAL DETERMINANTS OF ASSET SALES LIU YANG (UNIVERSITY OF MARYLANDDEPARTMENT OF FINANCE)
RESTRUCTURINGCONSOLIDATION AND COMPETITION IN LATIN
SEMIH YILDIRIM (YORK UNIVERSITYSCHOOL OF ADMINISTRATIVE
AMERICAN BANKING MARKETS
STUDIES)
MARKET LIQUIDITYCAPITALIZATION AND THE RANDOM WALK
BEHAVIOR OF STOCK PRICES
KAMIL YILMAZ (KOC UNIVERSITY)
DECOMPOSING THE BID-ASK SPREAD: A CROSS-MARKET MODEL
HENRY YIP (UNIVERSITY OF NEW SOUTH WALESSCHOOL OF
USING OPTIONS DATA
BANKING AND FINANCE)
CYCLES IN THE IPO MARKET CHRIS YUNG (LEEDS SCHOOL OF BUSINESS)
NEWSTRADINGAND STOCK RETURN VOLATILITY VLADIMIR ZDOROVTSOV (STATE STREET GLOBAL ADVISORS -
ADVANCED RESEARCH CENTER)
DETERMINANTS OF FLOWS INTO RETAIL INTERNATIONAL EQUITY
FUNDS
XINGE ZHAO (CHINA EUROPE INTERNATIONAL BUSINESS SCHOOL)
Updated 4th April, 2006