Updated 4th April, 2006 1 - EFMA 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