Updated 4th April, 2006 1 - EFMA 2006

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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