Updated 4th April, 2006 1 - EFMA 2006

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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
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Updated 4th April, 2006 1 - EFMA 2006

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