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PARTICIPANTS
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PAPERS
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[TOP]
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Abad David, Nieto Belen Adoracion
Email: goliat@ua.es
The Unavoidable Task of Understanding Warrants Pricing
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Abad Pilar, Benito Sonia
Email: soniabm@cee.uned.es pabad@ub.edu
A Parametric Model to Estimate Risk in a Fixed Income Portfolio
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Abhyankar Abhay, Ho Keng-Yu, Zhao Huainan
Email: h.zhao@city.ac.uk
Value versus Growth: Stochastic Dominance Criteria
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Abínzano Isabel, Navas Javier F.
Email: isabel.abinzano@unavarra.es
Warrant pricing with credit risk
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Adcock Chris, Cortez Maria Ceu, Armada Manuel, Silva Florinda
Email: fsilva@eeg.uminho.pt
A Model for Time Varying Betas
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Adcock Chris, Meade Nigel
Email: c.j.adcock@shef.ac.uk
Characterising Non-Normality In Asset Returns Using The Generalised Skew Student Distribution
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Agarwal Vikas, Gómez Juan-Pedro, Priestley Richard
Email: juanp.gomez@ie.edu
The Impact of Benchamrking and Portfolio Constraints on a Fund's Manager's Market Timing Ability
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Agarwal Vineet, Taffler Richard
Email: vineet.agarwal@cranfield.ac.uk
Comparing the performance of market-based and accounting-based bankruptcy prediction models
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Agarwal Vineet, Taffler Richard, Brown Mike
Email: Richard.Taffler@ed.ac.uk
Is Management Quality Value Relevant?
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Ahoniemi Katja
Email:
Multiplicative Models for Implied Volatility
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Akbulut Mehmet
Email: makbulut@fullerton.edu
Managerial Insider Trading and Opportunism
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Al Yahyaee Khamis, Pham Toan, Walter Terry
Email: t.walter@unswasia.edu.sg
Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness
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Almeida Heitor, Campello Murillo
Email: halmeida@stern.nyu.edu
The Interplay between Financing and Investment Decisions: Evidence from Debt and Equity Issues
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Ammann Manuel, Kind Axel, Seiz Ralf
Email: ralf.seiz@unisg.ch
What drives the performance of US convertible bond funds?
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Anagnou Iliana, Hodges Stewart
Email: I.Anagnou@warwick.ac.uk
Derivatives Hedging Errors And Volatility
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Anderson Anne-Marie, Nayar Nandkumar (Nandu)
Email: nnayar@lehigh.edu
Debt Issuance in the Face of Tax Loss Carryforwards
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Andreou Panayiotis, Charalambous Chris, Martzoukos Spiros
Email: benz@avacom.net
Generalized Parameter Functions for Option Pricing
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Annabi Amira, Breton Michèle, François Pascal
Email: amira.annabi@hec.ca
Resolution of Financial Distress under Chapter 11: A Dynamic Game Approach
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Anolli Mario, Petrella Giovanni
Email:
The Impact of MiFID on the European Securities Industry: A Simulation of the Internalizer Behavior on the Italian Stock Market
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Antoniou Antonios, Lam Herbert, Paudyal Krishna
Email: K.N.Paudyal@durham.ac.uk
Limits to Arbitrage, Overconfidence and Momentum Trading
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Antoniou Antonios, Paudyal Krishna, Pescetto Gioia, Petmezas Dimitris
Email: dimitris.petmezas@durham.ac.uk
What Drives Acquisitions? Market Valuations and Bidder Performance
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Aspris Angelo, Frino Alex, Lepone Andrew
Email: a.aspris@econ.usyd.edu.au
The impact of Trade Pre-negotiation: Evidence from the Sydney Futures Exchange
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Atanasov Vladimir, Ivanov Vladimir, Litvak Katherine
Email: vivanov@ku.edu
VCs and the Expropriation of Entrepreneurs
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Attig Najah
Email: najah.attig@smu.ca
How to Make All Shareholders Equal: Evidence from Tickers’ Informativeness
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Au Andrea S., Doukas John A.
Email:
Short Selling, Idiosyncratic Risk, and Stock Returns in the UK
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Au Yong Hue Hwa, Faff Robert, Chalmers Keryn
Email: HueHwa.AuYong@buseco.monash.edu.au
Determinants of the Extent of Asia-Pacific Banks' Derivative Activities
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Audzeyeva Alena, Schenk-Hoppé Klaus Reiner
Email: bus0ala@leeds.ac.uk
Sovereign Rating transitions and the price of default risk in emerging
markets
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Azevedo-Pereia José, Couto Gualter, Nunes Cláudia
Email: cnunes@math.ist.utl.pt
Optimal timing of relocation
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Baiman Stanley, Bar-Yosef Sasson, Sarath Bharat
Email: mssasson@huji.ac.il
Bilateral Incentive Problems and the Financing of Start-Ups
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Bajlum Claus, Larsen Peter
Email: plarsen@econ.au.dk
Capital Structure Arbitrage: Model Choice and Volatility Calibration
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Balboa Marina, Gómez-Sala Juan Carlos, López-Espinosa Germán
Email: Marina.Balboa@ua.es
Does the value of recommendations depend on the level of optimism? A country-based analysis
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Balboa Marina, Martí José
Email: jmartipe@ccee.ucm.es
Sensitivity of the supply of private equity to changes in fiscal and legal regulations: Evidence from Spain
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Bancel Franck, Mittoo Usha
Email:
Why European firms go public?
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Bank Matthias, Lawrenz Jochen
Email: jochen.lawrenz@uibk.ac.at
Demand deposits as commitment device and the optimal debt mix of banks in a continuous-time framework
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Barak Ronen, Lauterbach Beni
Email: beni@tx.technion.ac.il
Estimating the Private Benefits of Control from Block Trades: Methodology and Evidence
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Barbopoulos Leonidas, Paudyal Krishna, Pescetto Gioia
Email: leonidas.barbopoulos@durham.ac.uk
Corporate Governance and Corporate Valuations: Evidence from Mergers and Acquisitions
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Barnes Edel, Scott Michelle
Email: e.barnes@ucc.ie
An Empirical Investigationinto the Relative Importance of Stock Picking vis-a-vis Indexing in the UK Equity Markets over the period 1991-2005.
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Barros Lucas Ayres, da Silveira Alexandre Di Miceli
Email: lucasayres2002@yahoo.com.br
Importance of Managers for Corporate Policies: Evidences of Fixed Management Effects in Brazil.
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Bassen Alexander, Prigge Stefan, Zöllner Christine
Email: prigge@web.de
Incentives Matter: A Single-Provision Analysis of the German Corporate Governance Code
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Basu Nilanjan, Dimitrova Lora, Paeglis Imants
Email: l_dimitr@jmsb.concordia.ca
Family control and dilution in mergers
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Batten Jonathan, Szilagyi Peter
Email: jabatten@gmail.com
Is Covered Interest Parity Arbitrage Extinct? Evidence from the Spot USD/Yen
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Bauer Rob, Cosemans Mathijs, Eichholtz Piet, Goldfinger Michael
Email: M.Cosemans@finance.unimaas.nl
The performance and persistence of individual investors: rational agents or tulip maniacs?
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Bauer Rob, Cosemans Mathijs, Schotman Peter
Email: M.Cosemans@finance.unimaas.nl
Conditional Asset Pricing and Stock Market Anomalies in Europe
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Bechmann Ken, Lunde Asger, Zebedee Allan
Email: azebedee@mail.sdsu.edu
Interpreting Announcement Effects using Market Microstructure: An Examination of Convertible Bond Calls
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Beck Thorsten, Demirguc-Kunt Asli, Laeven Luc, Levine Ross
Email: TBeck@worldbank.org
Finance, Firm Size, and Growth
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Beck Thorsten, Demirguc-Kunt Asli, Martinez Peria Maria Soledad
Email:
Banking Services for Everyone? Barriers to Bank Access and Use Around the World
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Belleri Matteo, Navone Marco
Email: marco.navone@unibocconi.it
HEDGE FUNDS: ABILITY PERSISTENCE AND STYLE BIAS
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Beltratti Andrea, Caccavaio Marianna
Email: marianna.caccavaio@unibocconi.it
Asset float and stock prices: Evidence from the Chinese stock market
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Ben-Abdallah Ramzi, Breton Michèle
Email: ramzi.ben-abdallah@hec.ca
An analysis of the True Notional Bond System Applied to the CBOT T-Bond Futures
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Benhami Kheira
Email: kheira.benhami@univ-tlse1.fr
Liquidity providers' valuation of anonymity: The Nasdaq Market Makers evidence
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Bernard Carole, Le Courtois Olivier, Quittard-Pinon François
Email: lecourtois@em-lyon.com
Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment
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Bessiere Veronique, Sentis Patrick
Email: veronique.bessiere@wanadoo.fr
Corporate disclosure, information uncertainty and investors’ behavior: A test of the overconfidence effect on market reaction to goodwill write-offs
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Bessler Wolfgang, Drobetz Wolfgang
Email: wolfgang.drobetz@wiso.uni-hamburg.de
Conditional Performance Evaluation for German Mutual Equity Funds
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Bi-Huei Tsai
Email: Joy@mail.nctu.edu.tw
A Re-examination of Ex-Dividend Day Price Movements: Evidence from ADR Market
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Bird Ron
Email: ron.bird@uts.edu.au
The Profitability of Style Rotation for Value and Growth Stocks Along Their Earnings and Momentum Life Cycle
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Bird Ron, Casavecahia Lorenzo, Reggiani Francesco
Email: ron.bird@uts.edu.au
Corporate Social Responsibility and Corporate Performance: Where to Begin?
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Bjursell Johan, Frino Alex, Tse Yiuman, Wang George H. K.
Email: cbjursel@gmu.edu
Volatility and Trading Activity Following Changes in the Size of Futures Contracts
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Black Bernard, Khanna Vikramaditya
Email: vskhanna@umich.edu
Can Corporate Governance Reforms Increase Firms’ Market Values: Evidence from India
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Black Bernard, Kim Woochan
Email: bblack@law.utexas.edu
The Effect of Board Structure on Firm Value in an Emerging Market: IV, DiD, and Firm Fixed Effects Evidence from Korea
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Bloos Uwe-Wilhelm
Email: bloos@finance.uni-frankfurt.de
On the Organization of Risk Management
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Blum Jürg
Email: juerg.blum@snb.ch
Why 'Basel II' May Need a Leverage Ratio Restriction
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Jan Bartholdy, Blunck Benjamin W.
Email: jby@asb.dk
Merger Wave Theory and the European Merger Wave of the 90s
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Bonini Stefano, Alkan Senem
Email: stefano.bonini@unibocconi.it
The Macro and Political Determinants of Venture Capital Investments around the World
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Bonini Stefano, Voloshyna Olena
Email: stefano.bonini@unibocconi.it
Underpricing, Bookbuilding and Competitive IPO: an Experimental Analysis
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Booth G. Geoffrey, Gurun Umit G., Zhang Harold
Email: umit.gurun@utdallas.edu
Who Are the “Informed” in Bond Markets: Foreign or Domestic Traders?
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Booth Laurence, Georgeopolous George, Hejazi Walid
Email: booth@rotman.utoronto.ca
What drives Provincial – Canada Yield Spreads?
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Bortolotti Bernardo, Megginson William, Smart Scott
Email: wmegginson@ou.edu
The Rise of Accelerated Seasoned Equity Underwritings
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Bosch Oliver
Email: bosch@finance.uni-frankfurt.de
Information Asymmetry and the Pricing of Private Debt - Evidence from European Syndicated Loans
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Bosch Oliver, Steffen Sascha
Email: steffen@finance.uni-frankfurt.de
Informed Lending and the Structure of Loan Syndicates - Evidence from the European Syndicated Loan Market
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Bourghelle David, Cellier Alexis
Email: David.bourghelle@iae.univ-lille1.fr
LIMIT ORDER CLUSTERING AND PRICE BARRIERS ON FINANCIAL MARKETS: EMPIRICAL EVIDENCE FROM EURONEXT
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BRIGHI PAOLA, TORLUCCIO GIUSEPPE
Email: paola.brighi@unibo.it
Evidence on Funding Decisions by Italian SMEs: A Self-Selection Model?
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Brooks Robert, Di Iorio Amalia, Faff Robert, Wang Yuenan
Email: amalia.diiorio@rmit.edu.au
TESTING THE INTEGRATION OF THE US AND CHINESE STOCK MARKETS IN A FAMA-FRENCH FRAMEWORK
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Brooks Robert, Faff Robert, Mulino Daniel, Scheelings Richard
Email: robert.faff@buseco.monash.edu.au
Deal or no Deal? That is the Question
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Brown Rob, Chan Howard, Ho Yew Kee
Email: chanhw@unimelb.edu.au
ANALYSTS’ RECOMMENDATION CHANGES OR DISAGREEMENTS WITH MARKET CONSENSUS: FROM WHICH SIGNAL DOES THE MARKET TAKE ITS LEAD?
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Bruche Max
Email:
Coordinated and Uncoordinated Liquidation Decisions of Creditors
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Bugeja Martin
Email: m.bugeja@econ.usyd.edu.au
Does an independent board and external monitoring prevent the pursuit of value reducing takeovers?
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Buraschi Andrea, Cieslak Anna, Trojani Fabio
Email: fabio.trojani@unisg.ch
Correlation Risk and the Term Structure of Interest Rates
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Buraschi Andrea, Porchia Paolo, Trojani Fabio
Email: paolo.porchia@unisg.ch
Correlation Risk and Optimal Portfolio Choice
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Byers Steven, Fields L. Paige, Fraser Donald
Email:
Corporate Governance, Information Opaqueness, and the Perceived Value of Bank Loans
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Byrne Alistair, Blake David, Mannion Graham
Email: alistair.byrne@strath.ac.uk
Contribution and Investment Decisions in a Large Defined Contribution Pension Plan
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Byrne Alistair, Clacher Iain, Hillier David
Email: alistair.byrne@strath.ac.uk
Pension Accounting and Managerial Incentives in the UK
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Cabeza-García Laura, Gómez-Ansón Silvia
Email: laura.cabeza@unileon.es
Determinants of post-privatisation performance of Spanish divested firms
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Canil Jean, Rosser Bruce
Email: jean.canil@adelaide.edu.au
EVIDENCE THAT LARGE CEO STOCK OPTION GRANTS ARE DETRIMENTAL TO SHAREHOLDERS
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Caprio Lorenzo, Croci Ettore
Email: ettore.croci@unicatt.it
THE DETERMINANTS OF THE VOTING PREMIUM IN ITALY: THE EVIDENCE FROM 1974 TO 2003
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Carapeto Maria, Gietzmann Miles
Email: mcarapeto@city.ac.uk
Bias in Affiliated Sell Side Analyst Recommendations: A Repeated Hazard Duration Model
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Carrieri Francesca, Chaieb Ines, Errunza Vihang
Email: i.chaieb@uva.nl
Are the investable indices priced globally or locally?
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Caselli Stefano, Corielli Francesco, Gatti Stefano
Email: caselli@unibocconi.it
CORPORATE GOVERNANCE AND INDEPENDENT DIRECTORS: MUCH ADO ABOUT NOTHING? THE EVIDENCE BEHIND PRIVATE EQUITY INVESTMENT PERFORMANCE
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Cervellati Enrico Maria, Della Bina Antonio, Pattitoni Pierpaolo
Email: enrico.cervellati@unibo.it
Earnings Forecasting Bias Accuracy
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Cervellati Enrico Maria, Fioriti Eleonora
Email: enrico.cervellati@unibo.it
Financial Supervision Eu Countries
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Chandrashekar Satyajit, Rao Ramesh
Email: satyajit_chandrashekar@ssga.com
The Productivity of Cash and the Cross-Section of Expected Stock Returns
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Chang Bin
Email:
Does the Market React Less Negatively to Dividend Payers' Seasoned Equity Offerings?
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Chang Chuang-Chang, Ho Ra-Jian
Email: ccchang@cc.ncu.edu.tw
Pricing Credit Card Loans with Default Risks
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Chang Shao-Chi, Chen Sheng-Syan, Lin Wen-Chun
Email: r6893106@mail.ncku.edu.tw
The Information Asymmetry for the Influence of Earnings Management on the Long-run Performance: Evidence from the Issuance of Convertible Debt
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Chang Xin, Lin Shi Hua, Tam Lewis H.K., Wong George
Email: lewistam@umac.mo
Investor Sentiment, Governance Mechanisms and Post-IPO Performance in China
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Chang Xin, Shekhar Chander, Tam Lewis H.K., Zhu Amy
Email: lewistam@umac.mo
Prior Relationship, Information Leakage, and the Choice of M&A Advisor
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Charalambous Chris, Christofides Nicos, Constantinide Eleni, Martzoukos Spiros
Email: elenicon@ucy.ac.cy
Implied binomial trees and calibration for the volatility smile.
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Charitou Andreas, Lambertides Neophytos, Trigeorgis Lenos
Email: lambertn@aston.ac.uk
Earnings Quality and Financial Performance
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Chatelain Jean-Bernard, Ralf Kirsten
Email: jean-bernard.chatelain@u-paris10.fr
How Public Governance may Foster Private Corporate Governance?
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CHEN QIWEI, WOOD ANDREW
Email: qwchen@essex.ac.uk
Momentum, Disposition, and tax-loss selling: the UK evidence
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Chen Sheng-Syan, Chou Robin, Chou Shu-Fen
Email:
The Impact of Investment Opportunities and Free Cash Flow on Stock Market Liberalizations: A Cross-Firm Analysis of Five East Asian Countries
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Chen Wei-Peng, Chung Huimin, Sheu Her-Jiun, Shiu Shufang
Email: chunghui@mail.nctu.edu.tw
Market Competition and Price Clustering: Evidence from the ETF Markets
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Cheng Airu
Email: archeng@ucsc.edu
Predicting future bond returns with macro variables: a semi-parametric approach.
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Cheng Peng
Email: p.cheng@surrey.ac.uk
Institutional Net Buying and Small-cap Outperformance –Evidence from Chinese IPO Market
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Cheng Peng, Chen Jean
Email: p.cheng@surrey.ac.uk
Related Party Transactions: A Second Source for Earnings Management – Evidence from Chinese IPOs
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A Cheng Yunfei, Wickramanayake J, Sagaram J. P. A.
Email: j.wickramanayake@buseco.monash.edu.au
Acquiring Firms’ Shareholder Wealth Effects of Selected Asian Domestic and Cross-Border Takeover Bids: China and India 1999-2003
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Cheung William, Tam Lewis, Lam Keith
Email: lewistam@umac.mo
Ownership Concentration, Adverse Selection and Equity Offering Choice
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Chiang Min-Hsien, Wang Jo-Yu
Email: frankyw@mail.hit.edu.tw
Information Asymmetry and Investors behavior around earnings announcements
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Chou Heng-Chih, Wang David
Email: Heng-chih Chou [hcchou@mcu.edu.tw]
The performance of a default risk model with the barrier option framework and the maximum likelihood method
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Chou Pin-Huang, Ho Keng-Yu, Ho Po-Hsin
Email: choup@cc.ncu.edu.tw
On the Role of Industry in the Cross-Section of Stock Returns
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Chou Ray Yeutien, Wu Chun-Chou, Huang Sam, Wang Jin-Ying
Email: wucc123@seed.net.tw
Estimating Value at Risk with a Dynamical Conditional Range Model
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Chou Ray Yeutien, Wu Chun-Chou, Liu Nathan
Email: nathanliu.taiwan@gmail.com
Forecasting Time-varying Covariance with a Range-Based Dynamic Conditional Correlation Model
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Choudhry Taufiq, Wu Hao
Email: hw5@soton.ac.uk
FORECASTING THE TIME-VARYING BETA OF UK COMPANIES GARCH MODELS VS KALMAN FILTER METHOD
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Chourou Lamia, Abaoub Ezzeddine
Email: lamiachourou@yahoo.fr
The Effect of Board of Directors’ Independence on CEO Compensation
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Christophe Stephen, Ferri Michael, Angel James
Email:
Short-selling and the Weekend Effect in Stock Returns
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Chun Albert Lee
Email: albert-lee.chun@hec.ca
Forecasting Interest Rates and the Macroeconomy: Blue Chip Clairvoyants, Econometrics or Qrinkage?
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Chun Albert Lee
Email: albert-lee.chun@hec.ca
An Intensity-based Model for Pricing Variable Coupon Bonds
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Clark Ephraim, Judge Amrit, Mefteh Salma
Email: Salma.Mefteh@essca.fr
CORPORATE HEDGING WITH FOREIGN CURRENCY DERIVATIVES AND FIRM VALUE
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Coakley Jerry, Instefjord Norvald, Shen Zhe
Email: zshen@essex.ac.uk
The Winner’s Curse and Lottery-Allocated IPOs in China
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Coakley Jerry, kuo Jing-Ming, Wood Andrew
Email: jkuo@essex.ac.uk
The School's Out Effect in East-Asian Stock Markets
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COËN ALAIN, DESFLEURS AURÉLIE, L'HER JEAN-FRANÇOIS
Email: coen.alain@uqam.ca
The Relative Importance of Determinants of the Quality of Financial Analysts’ Forecasts: International Evidence
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COËN ALAIN, HÜBNER GEORGES
Email: coen.alain@uqam.ca
Risk and Performance Estimation in Hedge Funds: Evidence from Errors in Variables
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Comerton-Forde Carole, Putnins Talis
Email: T.Putnins@econ.usyd.edu.au
Measuring closing price manipulation
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Constantinides George M., Perrakis Stylianos, Czerwonko Michal
Email: m_czerwo@jmsb.concordia.ca
Transaction Costs and Stochastic Dominance Efficiency in the Index Futures Options Market
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Couderc Nicolas, Capelle-Blancard Gunther
Email: nicolas.couderc@reims-ms.fr
HOW DO SHAREHOLDERS RESPOND TO DOWNSIZING? A META-ANALYSIS
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Croci Ettore
Email: ettore.croci@unicatt.it
INTRAGROUP M&A, MINORITY SHAREHOLDERS’ PROTECTION, AND LEGAL ORIGIN
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Cui Rong, Wu Youchang
Email: youchang.wu@univie.ac.at
Disentangling Liquidity and Size Effects in Stock Returns: Evidence from China
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Cumming Douglas, Johan Sofia
Email:
Global Market Surveillance
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Dai Qinglei
Email: qinglei.dai@fe.unl.pt
Influence of A Tax Reform on Dividend Clienteles
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Dawson Paul, Staikouras Sotiris
Email: sks@city.ac.uk
MARKET INFORMATION AND THE FEEDBACK EFFECT OF THE CBOE S&P500 VARIANCE FUTURES ON THE UNDERLYING ASSET
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De Cesari Amedeo, Espenlaub Susanne, Khurshed Arif
Email: amedeo.de-cesari@postgrad.manchester.ac.uk
Stock Repurchases: Do They Stabilize Price and Enhance Liquidity?
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De Goeij Peter, Pungulescu Crina, De Roon Frans
Email: c.pungulescu@uvt.nl
Market Size Effects and Integration in Developed and Emerging Markets
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De Maeseneire Wouter, Claeys Tine
Email: tine.claeys@vlerick.be
SMEs, FDI and financial constraints
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Deloof Marc, Roggeman Annelies, Van Overfelt Wouter
Email: marc.deloof@ua.ac.be
Who’s Afraid of Universal Banks? Bank Affiliations and Corporate Dividend Policy in Pre-World War I Belgium
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Deloof Marc, Van Overfelt Wouter
Email: marc.deloof@ua.ac.be
Were Modern Capital Structure Theories Valid Before World War I?
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Di Giuli Alberta
Email: alberta.digiuli@unibocconi.it
Cash or Stock? The Post Merger Investments as the Key to Explain the Method of Payment in Mergers
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Diacogiannis George, Feldman David
Email: d.feldman@unsw.edu.au
The CAPM Relation for Inefficient Portfolios
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Diamandis Panayiotis
Email: pfd@aueb.gr
Financial liberalization, exchange rates and stock prices: Long-run relationships and short-run dynamics in four Latin America countries
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Dietrich Diemo, Vollmer Uwe
Email: diemo.dietrich@iwh-halle.de
Banks' Internationalization Strategies: The Role of Bank Capital Regulation
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Dong Min
Email: md150@york.ac.uk
Institutional Investors, Board of Directors, and Firm Performance-- Evidence from UK firms
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Doukas John, Gonenc Halit, Plantinga Auke
Email: A.Plantinga@rug.nl
The positive returns of firms acquiring private targets
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Drobetz Wolfgang, Pensa Pascal
Email:
Capital structure and stock returns: The European evidence
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D'Souza Chris
Email: dsou@bankofcanada.ca
Where does price discovery occur in USD/CAD, AUD/USD and NZD/USD foreign exchange markets?
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D'Souza Chris, Lo Ingrid, Sapp Stephan
Email: dsou@bankofcanada.ca
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
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Duarte-Silva Tiago
Email:
How banking relationships affect certification: The role of private information in underwriting
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Dumitrescu Ariadna
Email: ariadna.dumitrescu@esade.edu
Strategic Specialist and Market Liquidity
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Dungey Mardi, McKenzie Michael, Smith Vanessa
Email: michael.mckenzie@rmit.edu.au
News, No-News and Jumps in the US Treasury Market
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Egorov Alexei, Li Haitao, Ng David
Email: avegorov@mail.wvu.edu
A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates
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Ekkayokkaya Manapol, Holmes Phil, Paudyal Krishna
Email: P.R.Holmes@Durham.ac.uk
Differential Information and Acquirers’ Performance in the UK
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El Ghoul Sadok, Guedhami Omrane, Pittman Jeffrey
Email: elghoul@ualberta.ca
Ownership Structure, Agency Problems, and Auditor Choice: Evidence from Western European Firms
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El Hajj Chehade Hiba, Vigneron Ludovic
Email: hiba.hajjchehade@gmail.com
SME’s main bank choice and organizational structure: Evidence from France
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Eling Martin
Email: martin.eling@unisg.ch
Does Hedge Fund Performance Persist? Overview and new Empirical Evidence
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Engsted Tom, Møller Stig, Tuong Van
Email: tom@asb.dk
Habit persistence and asset pricing: Evidence from Denmark
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Entrop Oliver, Memmel Christoph, Wilkens Marco, Zeisler Alexander
Email: Alexander.Zeisler@ku-eichstaett.de
Quantifying the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence From Germany
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Entrop Oliver, Scholz Hendrik, Wilkens Marco
Email: hendrik.scholz@ku-eichstaett.de
The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market
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Entrop Oliver, Wilkens Marco
Email: oliver.entrop@ku-eichstaett.de
The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework
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Ertugrul Mine, Hegde Shantaram
Email:
Board Compensation Practices and Agency Costs of Debt
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Estrada Javier
Email: jestrada@iese.edu
Fundamental Indexation and International Diversification
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F
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[TOP]
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Faff Robert, Parwada Jerry, Yang Joey
Email:
Fund Managers’ Institutional Background and the Birth of Investment Management Companies
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Faff Robert, Smith Tom, Treepongkaruna Sirimon
Email: sirimon.treepongkaruna@anu.edu.au
A Re-examination of the Empirical Performance of the Longstaff and Schwartz Two-factor Term Structure Model Using Real Yield Data
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Fan Elliott, Zhao Ruoyun
Email: Ruoyun.Zhao@uts.edu.au
Health Status, Wealth, and Portfolio Choice: Causality or Heterogeneity?
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Fang Jing, Sun Qian, Wang Changyun
Email: qsun@xmu.edu.cn
Illiquidity and Stock Returns: Evidence from Japan
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Farinha Jorge, Viana Luis
Email: jfarinha@fep.up.pt
BOARD STRUCTURE AND MODIFIED AUDIT OPINIONS: THE CASE OF THE PORTUGUESE STOCK EXCHANGE
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Feldhütter Peter
Email:
Can Affine Models Capture the Dynamics of Risk Premia and Volatility in Bond Yields?
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Fernandes Nuno, Guedes Jose
Email: jcg@fcee.ucp.pt
Keeping with the Joneses: A model and a test of how collective accounting fraud varies with aggegate economic performance
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Ferreira Miguel, Miguel António, Ramos Sofia
Email:
The Determinants of Mutual Fund Performance: A Cross-Country Study
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Fidrmuc Jana, Roosenboom Peter, van Dijk Dick
Email: Jana.Fidrmuc@wbs.ac.uk
Do private equity investors take firms private for different reasons?
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Flannery Mark, Nikolova Stanislava (Stas), Öztekin Özde
Email: snikolov@gmu.edu
What Can We Learn About Capital Structure from Bond Credit Spreads?
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Fong Kingsley, Liu Wai Man
Email: wmr.liu@unsw.edu.au
MR. TRADER, WOULD YOU LIKE TO CHANGE YOUR ORDER?
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FONT-BELAIRE Mª BEGOÑA, GRAU-GRAU ALFREDO JUAN
Email: maria.b.font@uv.es
THE EFFECTS OF EXCHANGE RATE AND INFLATION ON EUROPEAN STOCK MARKET INTEGRATION IN THE EMU
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Fotaki Maria, Markellos Raphael, Mania Maria
Email: mfotaki@aueb.gr
The Effect of Human Resource Turnover on Shareholder Wealth: Evidence from the UK Football Industry
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Francis Bill, Hunter Delroy, Watkins Boyce
Email: Dhunter@coba.usf.edu
Do Fund Managers Use Private Information in their Asset Allocation Decisions? Evidence from Macroeconomic Announcements
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Franke Günter, Herrmann Markus, Weber Thomas
Email: thomas.a.weber@uni-konstanz.de
On the Design of Collateralized Debt Obligation-Transactions
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Franzoni Francesco
Email:
The Changing Nature of Systematic Risk
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Frijns Bart, Gilbert Aaron, Tourani-Rad Alireza
Email:
Price Discovery, Cross-Listings and Exchange Rates: Evidence from Australia and New Zealand
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Frino Alex, Johnstone David, Zheng Hui
Email: h.zheng@econ.usyd.edu.au
Information Endowment and Limit Order Placement
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Frino Alex, Lepone Andrew, Gerace Dionigi
Email: a.lepone@econ.usyd.edu.au
BLOCK TRADES AND ASSOCIATED PRICE IMPACT: INTERNATIONAL EVIDENCE ON THE TWO ASYMMETRIES
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Frino Alex, Lepone Andrew, Wearin Grant
Email: a.lepone@econ.usyd.edu.au
THE INTRADAY BEHAVIOR OF MARKET DEPTH IN A COMPETITIVE DEALER MARKET: A NOTE
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Fritsch Markus, Gleisner Fabian, Holzhäuser Markus
Email: mfritsch@wiwi.uni-frankfurt.de
Bank M&A in Central and Eastern Europe
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Fuertes Ana-Maria, Heffernan Shelagh
Email: a.fuertes@city.ac.uk
Heterogeneities in the Interest Rate Transmission Mechanism
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FUERTES ANA-MARIA, HEFFERNAN SHELAGH, KALOTYCHOU ELENA
Email: e.kalotychou@city.ac.uk
Bank Retail Rate Response to the Policy Rate: Time-variation, Regime-switching and Curvature
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G
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[TOP]
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Gadanecz Blaise, Tsatsaronis Kostas, Altunbas Yener
Email: blaise.gadanecz@bis.org
Spoilt and lazy: the impact of state support on bank behaviour in the international loan market
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Gatfaoui Hayette
Email: hayette.gatfaoui@groupe-esc-rouen.fr
CREDIT RISK AND MARKET RISK: ANALIZING US CREDIT SPREADS
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Gemmill Gordon, Thomas Dylan C., An Jingfeng
Email: d.c.thomas@city.ac.uk
Why Do Repurchases Affect Share Prices?
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Gerace Dionigi, Frino Alex, Lepone Andrew
Email: dionigi@uow.edu.au
Bid-Ask Spreads Surrounding Earnings Announcements:Evidence from the Italian Bourse
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Geyer Alois, Hanke Michael, Weissensteiner Alex
Email: alois.geyer@wu-wien.ac.at
Life-cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming
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Gharghori Philip, Nguyen Annette, Faff Robert
Email: philip.gharghori@buseco.monash.edu.au
Are the Fama-French Factors Proxying News Related to GDP Growth? The Australian Evidence
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Ghosh Chinmoy, Padmanabhan Dinesh
Email: DPadmanabhan@business.uconn.edu
The Impact of CEO Quality on the Number of Outside Directorships, CEO Cash Compensation and Firm Performance
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Giannikos Christos, Suen Tin-shan
Email: tin-shan_suen@baruch.cuny.edu
Pricing Determinants of Blind Principal Bidding and Liquidity Provider Behavior
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Giannikos Christos, Suen Tin-shan
Email: tin-shan_suen@baruch.cuny.edu
Estimating two structural spread models for trading blind principal bids
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Gil-Bazo Javier, Ruiz-Verdú Pablo
Email: javier.gil.bazo@uc3m.es
YET ANOTHER PUZZLE? THE RELATION BETWEEN PRICE AND PERFORMANCE IN THE MUTUAL FUND INDUSTRY
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Gillet Roland, de La Bruslerie Hubert
Email: Hubert.De-La-Bruslerie@univ-paris1.fr
The Consequences of Issuing Convertible Bonds: Dilution and/or Financial Restructuring
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Ginglinger Edith, Saddour Khaoula
Email: edith.ginglinger@dauphine.fr
Cash holdings, corporate governance and financial constraints
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Giouvris Evangelos
Email: evangelos.giouvris@rhul.ac.uk
DETERMINANTS OF THE COMPONENTS OF THE BID-ASK SPREAD ON THE LONDON STOCK EXCHANGE
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Gonenc Halit
Email: H.Gonenc@rug.nl
Tunneling and Propping: Evidence from Rights and Bonus Issues by Turkish Business Group Firms
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Gounopoulos Dimitrios, Nounis Christos, Stylianides Paris
Email: DimiGoun@yahoo.com
The Short and Long Term Performance of IPOs in Cyprus Stock Exchange
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Graham Michael, Bhattacharya Prasad
Email:
Institutional Ownership and Firm Performance: Evidence from Finland?
|
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Grishchenko Olesya
Email: olesya@psu.edu
Internal vs External Habit Formation: The Relative Importance for Asset Pricing
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Groslambert Bertrand, Bouchet Michel
Email: bertrand.groslambert@ceram.fr
Do Corrupt Countries Receive Less Foreign Capital After All?
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Grueninger Matthias, Hirschvogl Simone
Email: m.grueninger@unibas.ch
INFORMATION ASYMMETRY AND THE VALUE OF CASH
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Grundke Peter
Email: grundke@wiso.uni-koeln.de
Integrated Risk Management: Top Down or Bottom Up?
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Guedhami Omrane, MIshra Dev
Email: mishra@commerce.usask.ca
Excess control, Corporate Governance, and Implied Cost of Equity: An International Evidence
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Gündüz Yalin, Uhrig-Homburg Marliese
Email: Yalin.gunduz@fbv.uni-kalrsruhe.de
An Empirical Comparison of Structural and Reduced-Form Credit Risk Frameworks: Evidence from the Credit Default Swap Market
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Guido Ron, Walsh Kathleen, Pearl Joshua
Email: ron_guido@ssga.com
Market Timing Across Multiple Economic Regimes
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Guo Re-Jin, Yeh Yin-Hua
Email: trad1003@mail.fju.edu.tw
Audit Committee, Ownership Structure, and Firm Valuation: Evidence from East Asian Markets
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H
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[TOP]
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Hackethal Andreas, Jansen Christian
Email: christian.jansen@ebs.de
New empirical evidence on the debt maturity choice and the role of credit risk
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Hagstromer Bjorn, Anderson Richard G., Binner Jane M., Elger Thomas, Nilsson Birger
Email: hagstrob@aston.ac.uk
Expanding the Merit of Utility Maximization for Portfolio Choice
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Hahn Peter
Email: p.d.hahn@city.ac.uk
HOW NOT TO PAY YOUR OUTSIDE DIRECTORS: Determinants of non-executive director remuneration
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Hahn Peter
Email: p.d.hahn@city.ac.uk
VANISHING BOARD MEETINGS: HAS GOVERNANCE DOOMED THE BOARD MEETING?
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Haiss Peter, Sümegi Kjell
Email: mip@ycn.com
The Relationship of Insurance and Economic Growth – A Theoretical and Empirical Analysis
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Han Young Wook, Song Jeongseok
Email: ywhan@hallym.ac.kr
HIGH FREQUNCY ANALYSIS ON JUMPS AND LONG MEMORY VOLATILITY IN COMMODITY FUTURES PRICES
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Han Yufeng
Email:
Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?
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Hansen Thomas Lyse, Jensen Bjarne Astrup
Email: ba.fi@cbs.dk
Options on Energy Portfolios in an HJM Framework
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Hatgioannides John, Petropoulos George
Email: J.Hatgioannides@city.ac.uk
On Credit Spreads, Credit Spread Options and Implied Probabilities of Default
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He Wen, Mian G. Mujtaba, Sankaraguruswamy Srinivasan
Email: bizgmm@nus.edu.sg
Market Sentiment, Investor Size and Reaction to Firm-Specific News
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Heffernan Shelagh, Fu Xiaoqing (Maggie)
Email: maggiefu@umac.mo
Structure-Performance Evidence on UK Retail Bank Pricing
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Henker Julia, Cowell David, Walter Terry
Email:
The effect of investor category trading imbalances on stock returns
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Henker Thomas, Martens Martin, Huynh Robert
Email:
The fading abnormal returns of momentum strategies
|
|
Hensel Nayantara
Email: ndhensel@nps.edu
An Empirical Analysis of the Efficiency of Online Auction IPO Processes amd Traditional IPO Processes
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Hernandez Rodrigo, Lee Wayne, Liu Pu
Email: Pliu@walton.uark.edu
The Market and the Pricing of Outperformance Certificates
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Hernandez Rodrigo, Lee Wayne, Liu Pu
Email: Pliu@walton.uark.edu
An Economic Analysis of Reverse Exchangeable Securities — An Option-Pricing Approach
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|
Herrerias Renata, Gurrola Pedro
Email: pgurrola@itam.mx
Anomalies in the Mexican interest rate futures market
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Hilary Gilles, Hui Kai Wai
Email:
The Influence of Corporate Culture on Economic Behavior: Does Religion Matter in Corporate Decision Making in America?
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Hilliard James, Ghosh Chinmoy
Email:
Market Reactions to Attorney General Litigation Activity: Evidence From the Property-Casualty Insurance Companies
|
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Hirth Stefan, Uhrig-Homburg Marliese
Email: stefan.hirth@fbv.uni-karlsruhe.de
Investment Timing and Endogenous Default
|
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Hjortshøj Toke
Email: thjortshoej@econ.au.dk
Managerial Risk-Shifting Incentives of Option-Based Compensation: Firm Risk, Leverage, and Moneyness
|
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Hoechle Daniel, Zimmermann Heinz
Email: daniel.hoechle@unibas.ch
A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors
|
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Hope Ole-Kristian, W
Email: okhope@rotman.utoronto.ca
Managerial Empire Building and Firm Disclosure
|
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Horneff Wolfram, Maurer Raimond, Stamos Michael
Email: maurer@finance.uni-frankfurt.de
Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities
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Hostak Peter, Karaoglu Emre, Lys Thomas, Yang Yong (George)
Email: karaoglu@marshall.usc.edu
An Examination of the Impact of the Sarbanes-Oxley Act on the Attractiveness of US Capital Markets for Foreign Firms
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Hsu Yenshan, Shiu Cheng-Yi
Email: cshiu@ncu.edu.tw
Selling Methods, Public Information, and Oversubscription in IPOs: Evidence from Taiwan
|
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Huang Roger D., Shiu Cheng-Yi
Email: cshiu@ncu.edu.tw
Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan
|
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Hwang Soosung
Email: s.hwang@city.ac.uk
Beta Is Alive, Well and Healthy
|
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Hwang Soosung, Lu Chensheng
Email: c.lu@city.ac.uk
Cross-Sectional Stock Returns in the UK Market:the Role of Liquidity Risk
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I
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[TOP]
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Iatridis George
Email: giatridis@econ.uth.gr
International Accounting Standards: Implementation and Impact on Firm Accounts An Empirical Investigation of UK Firms
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Inci Ahmet Can, Lee Bong Soo, Suh Jungwon
Email: acinci@sabanciuniv.edu
Capital Investment and Earnings: International Evidence
|
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Ionici Octavian, Small Kenneth, Kramer Steve
Email: oionici@loyola.edu
Applying Real Options Analysis to Value the GM-Fiat Strategic Joint Venture
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Ippolito Filippo
Email: filippo.ippolito@unibocconi.it
Convertible Preferred Stock in Venture Capital Financing
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J
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[TOP]
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Jacoby Gady, Liao Chuan, Batten Jonathan
Email: jabatten@gmail.com
A Pure Test for the Elasticity of Yield Spreads
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Jankowitsch Rainer, Pullirsch Rainer, Veza Tanja
Email: rainer.jankowitsch@wu-wien.ac.at
The Delivery Option in Credit Default Swaps
|
|
Jareño Francisco, Navarro Eliseo
Email: francisco.jareno@uclm.es
Stock Interest Rate Risk and Inflation Shocks/b>
|
|
Jing Yang
Email: jyang@fullerton.edu
Post-Bankruptcy Product Market Prospects and Strategic Debt Placement
|
|
Jongen Ron, Verschoor Willem F.C., Wolff Christian C.P., Zwinkels Remco C.J.
Email: r.jongen@finance.unimaas.nl
Dispersion of Beliefs in Foreign Exchange
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K
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[TOP]
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Kalev Petko, lok Emily, Westerholm Joakim
Email: Petko.Kalev@buseco.monash.edu.au
Dynamics Between Equity Holdings and Returns
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Kallunki Juha-Pekka, Lämpsä Elina, Laamanen Tomi
Email: juha-pekka.kallunki@oulu.fi
Do Technology-oriented Mergers and Acquisitions Strengthen the Stock Market Valuation of R&D Spending?
|
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Kalyta Pavlo
Email: kalyta@management.uottawa.ca
Accounting Discretion, Horizon Problem, and CEO Retirement Benefits
|
|
Kalyvitis Sarantis, Panopoulou Ekaterini
Email:
Consumption Risk over the Frequency Domain
|
|
Kaserer Christoph, Adamek Carmen
Email: christoph.kaserer@wi.tum.de
Lifting the Veil of Accounting Information under Different Accounting Standards – Lessons Learned from the German Experiment
|
|
Kellard Neil, Dunis Christian, Sarantis Nick
Email: nkellard@essex.ac.uk
Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation
|
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Kerl Alexander G., Walter Andreas
Email: alexander.kerl@uni-tuebingen.de
Long-run Performance Evaluation of Journalists’ Stock Recommendations
|
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Khorana Ajay, Mola Simona, Rau Raghavendra
Email:
Is there life after loss of analyst coverage?
|
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Khorana Ajay, Servaes Henri, Tufano Peter
Email: ptufano@hbs.edu
Mutual Fund Fees Around the World
|
|
Khoury Nabil, Savor Marko
Email: savor.marko@uqam.ca
PRICE IMPROVEMENT AND ORDER EXECUTION QUALITY ON THE BOSTON OPTIONS EXCHANGE
|
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Khurshed Arif, Lin Stephen, Wang Mingzhu
Email: Arif.khurshed@mbs.ac.uk
Institutional Investment in UK firms: Do Corporate Internal Control Mechanisms Matter?
|
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Kini Omesh, Mian Shehzad, Rebello Michael, Venkatesawaran Anand
Email:
On the Structure of Analyst Research Portfolios and Forecast Accuracy
|
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Kitsul Yuriy
Email: ykitsul@gsu.edu
A Semi-Nonparametric Model of the Pricing Kernel and Bond Yields: Univariate and Multivariate Analysis
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Klocker Stefan, Baghai-Wadji Ramin
Email: s.klocker@constantia.at
Performance and Style Shifts in the Hedge Fund Industry
|
|
Ko Jeremy
Email: jeremyko@psu.edu
Leveraged Investor Disclosures and Concentrations of Risk
|
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Ko Jeremy, Hansch Oliver, Lockerbie Mike
Email: jeremyko@psu.edu
The Effect of Prior Beliefs and Outcomes on Information Processing in an Investment Experiment
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Kondova Georgiev Galia, Burghof Hans-Peter
Email: kondovag@yahoo.com
The Impact of Bank Mergers on Efficiency: Empirical Evidence from the German Banking Industry
|
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Korajczyk Robert, Sadka Ronnie
Email: r-korajczyk@kellogg.northwestern.edu
Pricing the Commonality Across Alternative Measures of Liquidity
|
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Korczak Adriana, Korczak Piotr, Lasfer Meziane
Email: p.korczak@bristol.ac.uk
To Trade or Not to Trade: The Strategic Trading of Insiders around News Announcements
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Kousenidis Dimitrios, Ladas Anestis, Negakis Christos
Email: dkous@econ.auth.gr
On the Effects of Prices leading Earnings Phenomenon on Return Models
|
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Krishnamurti Chandrasekhar, Thong Tiong Yang
Email: Chandra.Krishnamurti@buseco.monash.edu.au
The Declining Trend in Idiosyncratic Volatility: Post Decimalization Evidence
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Kucukcolak Ali, Ozer Levent
Email: ali.kucukcolak@imkb.gov.tr
Do Corporate Governance, Independent Boards&Auditors Affect Market and Financial Performance: An Application to Istanbul Stock Exchange
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KUO Tzu-Wei, Mateus Cesario
Email: C.Mateus@greenwich.ac.uk
The Performance and Persistence of Exchange-Traded Funds: Evidence for iShares MSCI country-specific ETFs
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L
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[TOP]
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La Rocca Maurizio, La Rocca Tiziana, Cariola Alfio
Email: m.larocca@unical.it
Capital structure decisions in multibusiness firms: the Italian evidence, 1980-2000
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Lai Van Son, Langlois Yves, Soumaré Issouf
Email: vanson.lai@fas.ulaval.ca
Hedging Portfolios of Financial Guarantees
|
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Laurent Fresard, Carolina Salva
Email: laurent.fresard@unine.ch
Does Cross-listing in the U.S. Really Improve Corporate Governance?: Evidence from the Value of Corporate Liquidity
|
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Laux Christian, Laux Volker
Email: laux@finance.uni-frankfurt.de
Board Committees, CEO Compensation, and Earnings Management
|
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Laux Christian, Muermann Alexander
Email: Muermann@wharton.upenn.edu
Mutual versus Stock Insurers: Fair Premium, Capital, and Solvency
|
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Laux Christian, Walz Uwe
Email: uwe.walz@wiwi.uni-frankfurt.de
Tying Lending and Underwriting: Scope Economies, Incentives, and Reputation
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Leemakdej Arnat
Email: arnat@velocall.com
New Evidence of Stock Split When Uncertain Event Window is Identified
|
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Liang Dan
Email: dan.liang@mail.shufe.edu.cn
Distressed sales and financial arbitrageurs: front-running in illiquid markets
|
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Lim Guay, Schwann Greg, Zeng Qi
Email: qzeng@unimelb.edu.au
Housing Wealth, Financial Wealth and Consumption: A Direct Test
|
|
Lin Chien-Ting, Ho Chia-Cheng
Email:
Rational Expectation and Expected Stock Returns
|
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Lin Yueh-Neng
Email: ynlin@dragon.nchu.edu.tw
Pricing VIX Futures on Affine Stochastic Volatility Models with Simultaneous Sate-Dependent Jumps both in the S&P 00 Price and Variance Processes: Evidence from Integrated Physical and Risk-Neutral Probability Measures
|
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Litvak Kate
Email: klitvak@law.utexas.edu
SOX and Long-Term Cross-Listing Premia
|
|
Litvak Kate
Email: klitvak@law.utexas.edu
Did the Sarbanes-Oxley Act Affect Corporate Risk-Taking? The Study of Cross-Listed Companies
|
|
Liu Jia, Pang Dong
Email: j.liu@salford.ac.uk
Investment Financing in the Transitional China: A Panel Analysis of Chinese Listed Companies
|
|
Liu Mei-Ying
Email: meiying@scu.edu.tw
BIS Risk Weights and the Emergence of Moral Hazard: Evidence from Taiwan
|
|
Liu Ming-Hua, Chong Beng Soon
Email: mliu@aut.ac.nz
Islamic Banking: Interest-Free or Interest-Based?
|
|
Liu Ruipeng, Lux Thomas
Email: liu@bwl.uni-kiel.de
Bivariate Multi-Fractal Model: Estimation of parameters and Applications to Risk Management
|
|
Liu Xiaoquan, Pong Shiu-yan
Email: liux@essex.ac.uk
Realized Volatility Fixings: Why They are Different
|
|
Loderer Claudio, Long John B., Roth Lukas
Email: claudio.loderer@ifm.unibe.ch
Black's simple discounting rule: A simple implementation
|
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Loderer Claudio, Waelchli Urs
Email: urs.waelchli@ifm.unibe.ch
Protecting minority investors: listed vs. unlisted firms
|
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Luypaert Mathieu, Huyghebaert Nancy
Email: mathieu.luypaert@ehsal.be
Determinants of Growth through Mergers and Acquisitions: An Empirical Analysis
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M
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[TOP]
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Maio Paulo
Email: paulo.maio@netvisao.pt
What does the cross-section tell about itself? An asset pricing model with cross-sectional moments
|
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Malhotra Rashmi, Malhotra D.K.
Email: malhotrad@philau.edu
EVALUATING THE EFFICIENCY OF EUROPEAN UNION INTEGRATION
|
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Marekwica Marcel
Email: marekwica@finance.uni-frankfurt.de
Optimal Tax-Timing and Asset Allocation when Tax Rebates on Capital Losses are Limited
|
|
Margaritis Dimitri, Staikouras Christos, Koutsomanoli-Filippaki Anastasia
Email:
Efficiency and productivity growth in the banking industry of Central and Eastern Europe
|
|
Mariano Beatriz
Email:
Conformity and Competition in Financial Certification
|
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Marotta Giuseppe
Email: marotta@unimore.it
Structural breaks in the interest rate pass-through and the euro A cross-country study in the euro area and the UK
|
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Marsat Sylvain
Email: Sylvain.Marsat@ecogestion.u-clermont1.fr
Does The Consensus Prevail? Experimental Evidence of Herding
|
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Marsden Alastair, Naughton Tony, Veeraraghavan Madhu, Zhu Zhenghou
Email: tony.naughton@rmit.edu.au
The Relationship between Debt and Nontradable Shares in China
|
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Martynova Marina, Renneboog Luc
Email: M.Martynova@shef.ac.uk
A CORPORATE GOVERNANCE INDEX: CONVERGENCE AND DIVERSITY OF NATIONAL CORPORATE GOVERNANCE REGULATIONS
|
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Martynova Marina, Renneboog Luc
Email: M.Martynova@shef.ac.uk
The Performance of the European Market for Corporate Control: Evidence from the 5th Takeover Wave
|
|
Maury Benjamin, Liljeblom Eva
Email: maury@hanken.fi
Oligarchs, institutional change, and firm valuation: Russian evidence
|
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Mefteh Salma, Oliver Barry
Email: Salma.Mefteh@essca.fr
Capital structure choice: the influence of confidence in France.
|
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Mengoli Stefano, Pazzaglia Federica, Sapienza Elena
Email: elena.sapienza@unipd.it
Is It Still Pizza, Spaghetti and Mandolino? On the Evolution of Corporate Ownership in Italy
|
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Menkhoff Lukas, Rebitzky Rafael
Email: rebitzky@gif.uni-hannover.de
Investor sentiment in the dollar market: longer-term, mean-reverting expectations
|
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Merikas Andreas, Koutroubousis George
Email: merikas@otenet.gr
Modeling the Investment Decision of the Entrepreneur in the Tanker Sector:Second Hand Purchase or New Building?
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Miglo Anton
Email: amiglo@uoguelph.ca
Information concerning the timing of earnings which can be conveyed by capital structure
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Miglo Anton
Email: amiglo@uoguelph.ca
Project financing versus corporate financing under asymmetric information
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Milonas Nikolaos, Rompotis Gerasimos
Email: grompotis@kpmg.gr
Investigating European ETFs: The Case of the Swiss Exchange Traded Funds
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MILOUD Tarek
Email: t.miloud@esc-chambery.fr
Underpricing, ownership structure and liquidity of Initial public offering
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MILOUD Tarek
Email: t.miloud@esc-chambery.fr
OPERATING MEASURES, IPO VALUATION AND THE AFTERMARKET PERFORMANCE
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Mimouni Karim
Email:
Estimation of the CEV and the CEVJ Models on Returns and Options
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Mjøs Aksel, Persson Svein-Arne
Email: aksel.mjos@nhh.no
Bundled financial claims - A model of hybrid capital
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Mohanram Partha, Rajgopal Shivaram
Email: pm2128@columbia.edu
Is Information Risk (PIN) Priced?
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Mokoteli Thabang, Taffler Richard, Ryan Paul
Email: richard.taffler@ed.ac.uk
ARE ANALYSTS BIASED? AN ANALYSIS OF ANALYSTS’ STOCK RECOMMENDATIONS THAT PERFORM CONTRARY TO EXPECTATIONS
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Mola Simona, Guidolin Massimo
Email: Massimo.Guidolin@stls.frb.org
Affiliated Mutual Funds and Analyst Optimism
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Monagle Shannon, Ramiah Vikash, Jing Wu, Hallahan Terrence, Naughton Anthony
Email: vikash.ramiah@rmit.edu.au
Decomposing Contrarian Strategies by the Global Industry Classification Standard. Australian Evidence
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Moosa Imad, Li Larry
Email: l.li@latrobe.edu.au
THE ROLE OF TECHNICIANS AND FUNDAMENTALISTS IN THE CHINESE STOCK MARKET
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Moraux Franck, Navatte Patrick
Email: franck.moraux@univ-lemans.Fr
Rescheduling of Distressed Debt and Business Risk Targeting ex ante the Reorganization
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Moreno Manuel, Todeschini Federico
Email: manuel.moreno@uclm.es
Deciding what and when to seed: Mean reverting process and Real Options
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Müller Jan, Burghof Hans-Peter
Email:
Allocation of Economic Capital in Banking - A Simulation Based Approach
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Mun Kyung, Fleak Sandy, Morgan George
Email:
Earnings Announcements and Accounting Misrepresentation
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Murphy Austin
Email: jamurphy@oakland.edu
An Analysis of SAM Pricing in the UK
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Murphy Austin
Email: jamurphy@oakland.edu
Unraveling the Complex Interrelationships between Exchange Rates and Fundamentals
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N
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[TOP]
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Natale Francesco
Email: francesco.natale@unimib.it
Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation
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Nguyen Duong, Trib Puri
Email: tpuri@umassd.edu
SYSTEMATIC LIQUIDITY, CHARACTERISTIC LIQUIDITY AND ASSET PRICING
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Nguyen Hoa, Faff Robert, Hodgson Alan
Email: hoa.nguyen@deakin.edu.au
Corporate Usage of Financial Derivatives and Information Asymmetry
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Niedermayer Daniel, Zimmermann Heinz
Email: daniel.niedermayer@vwi.unibe.ch
The Cross-Section of Positively Weighted Portfolios
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Niskanen Mervi, Niskanen Jyrki
Email: mervi.niskanen@uku.fi
The Determinants of Firm Growth in Small and Micro Firms – Evidence on relationship lending effects.
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Noe Thomas, Rebello Michael
Email: tnoe@tulane.edu
Dynamic Governance
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Norden Lars, Wagner Wolf
Email: norden@bank.BWL.uni-mannheim.de
Credit Derivatives and Loan Pricing
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O
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[TOP]
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O'Grady Barry, O'Connell Darren
Email: Barry.O'Grady@cbs.curtin.edu.au
The Buy-Write Strategy, Index Investment & the Efficient Market Hypothesis: More Australian Evidence
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Ono Sadayuki
Email: so501@york.ac.uk
Option Pricing under Stochastic Volatility and Trading Volume
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Ozkan Neslihan
Email: N.Ozkan@bristol.ac.uk
CEO Compensation, Performance and Corporate Governance: An Empirical Investigation of UK Panel Data
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P
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[TOP]
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Pindado Julio, de Queiroz Valdoceu, de la Torre Chabela
Email: pindado@usal.es
HOW DO FIRM CHARACTERISTICS INFLUENCE THE RELATIONSHIP BETWEEN R&D AND FIRM VALUE?
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Polsiri Piruna, Sookhanaphibarn Kingkarn
Email:
Predicting Financial Institution Failure with Financial and Ownership Variables using Logit and Neural Networks: Evidence from the East Asian Crisis
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Prigge Stefan
Email: prigge@web.de
The Performance of Measures of Shareholder Influence
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Psychoyios Dimitris, Dotsis George, Markellos Raphael
Email: dpsycho@aueb.gr
DOES THE VIX JUMP? IMPLICATIONS FOR PRICING AND HEDGING VOLATILITY RISK
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Pyo Unyong
Email: upyo@brocku.ca
Real Option Price Bounds in Incomplete Markets
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Q
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[TOP]
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Qian Binsheng, Sudarsanam Sudi
Email: p.s.sudarsanam@cranfield.ac.uk
Shareholder Gains from European Spinoffs: The Effect of Internal and External Control Mechanisms
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Qian Binsheng, Sudarsanam Sudi
Email: p.s.sudarsanam@cranfield.ac.uk
Catering Theory of Corporate Spinoffs: Empirical Evidence from Europe
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Qian Binsheng, Sudarsanam Sudi
Email: p.s.sudarsanam@cranfield.ac.uk
Do Stock Markets Underreact to Spinoff Announcements? The European Evidence
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Quittard-Pinon François, Le Courtois Olivier
Email: lecourtois@em-lyon.com
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model.
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R
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[TOP]
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Ramiah Vikash, Cheng Ka Yeung, Orriols Julien, Naughton Tony, Hallahan Terrence
Email: terry.hallahan@rmit.edu.au
Contrarian Investment Strategies Work Better for Dually-Traded Stocks: Hong Kong Evidence
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Ranaldo Angelo
Email: angelo.ranaldo@snb.ch
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
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Reisz Alexander, Perlich Claudia
Email: Alexander.Reisz@occ.treas.gov
A Market-Based Framework for Bankruptcy Prediction
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Renneboog Luc, Szilagyi Peter
Email: peter.szilagyi@sbs.ox.ac.uk
Bondholder Wealth in Mergers and Acquisitions: Evidence on the Impact and Spillover of Governance and Legal Standards/b>
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Renneboog Luc, Szilagyi Peter
Email: peter.szilagyi@sbs.ox.ac.uk
How Relevant is Dividend Policy under Low Shareholder Protection?
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Ritzberger Klaus, Demichelis Stefano
Email: ritzbe@ihs.ac.at
Corporate Control and the Stock Market
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Rocha Katia, Siqueira Roberto, Pinheiro Felipe
Email:
VULNERABILITY OF EMERGING MARKETS TO GLOBAL RISK SHOCKS: THE ROLE OF DEBT AND GOVERNANCE ON SOVEREIGN SPREADS
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Roosenboom Peter
Email:
How Do Underwriters Value Initial Public Offerings?: An Empirical Analysis of the French IPO Market
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RUBIA ANTONIO, RODRIGUES PAULO M.M.
Email: antonio.rubia@ua.es
Testing for Structural Breaks in Variance and the Effect of Additive Outliers and Measurement Errors
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S
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Saadi Samir, Rahman Abdul
Email: saadi@management.uottawa.ca
Evidence of Non-stationary Bias in Scaling by Square Root of Time: Implications for Value-at-Risk
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Saadi Samir, Rahman Abdul, Chourou Lamia
Email: Saadi@management.uottawa.ca
Day-of-the-week in Returns and Conditional Volatility
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Sahakyan Vahe
Email: sahakyan@isb.unizh.ch
Default and non-flat reorganization boundaries in credit risk models
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Samitas Aristeidis, Kenourgios Dimitris, Paltalidis Nikos
Email: asamitas@econ.uoa.gr
Financial crises and stock market dependence
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Sanders Anthony, An Xudong, Deng Yongheng
Email:
Subordinations Levels in Structured Financing
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Schmeling Maik
Email: schmeling@gif.uni-hannover.de
Investor sentiment, herd-like behavior and stock returns: Empirical evidence from 18 industrialized countries
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Schmid Markus, Walter Ingo
Email: markus.schmid@unisg.ch
Do Financial Conglomerates Create or Destroy Economic Value?
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Schneider Paul, Sögner Leopold, Veza Tanja
Email: paul.schneider@wu-wien.ac.at
Jumps and Recovery Rates Inferred from Corporate CDS Premia
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Schwarze Felix
Email: fschwarz@wiwi.uni-frankfurt.de
Relationship Banking and profitability - An empirical survey of German banks
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Semenov Andrei
Email: asemenov@econ.yorku.ca
Departures From Rational Expectations and Asset Pricing Anomalies
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SERNA GREGORIO, VILLAPLANA PABLO
Email: Gregorio.Serna@uclm.es
MODELLING HIGHER MOMENTS OF ELECTRICITY PRICES
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Seru Amit, Shumway Tyler, Stoffman Noah
Email:
Learning By Trading
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Setia-Atmaja Lukas, Tanewski George, Skully Michael
Email: lukas.setia-atmaja@buseco.monash.edu.au
How Do Family Ownership and Control Affect Board Structure, Dividends and Debt? Australian Evidence
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Shu Pei-Gi, Yeh Yin-Hua
Email: yhsu@scu.edu.tw
The Decisions of the IPO Reviewing Committee – Causes and Consequences
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Silva Sérgio, Azevedo-Pereira José
Email: sergios@upt.pt
Optimal Debt, Asset Substitution and Coupon Rating-Trigger Covenants
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Sivaprasad Sheeja, Muradoglu Gulnur
Email: s.sivaprasad@city.ac.uk
Capital Structure and Firm Value: An Empirical Analysis of Abnormal Returns
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Solnik Bruno
Email: solnik@hec.fr
Equity Home Bias and Regret: An International Equilibrium Model
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Stoughton Neal, Wu Youchang, Zechner Josef
Email: youchang.wu@univie.ac.at
Intermediated investment management
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Stromqvist Maria
Email:
Do Emerging Market Hedge Fund Managers Lack Skills?
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Su Yong-chern, Chen Mingda, Huang Hangching
Email:
An Application of Closed-Form GARCH Option Pricing Model on FTSE Option and Volatility
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Subedar Zaffar, McCrae Michael, Gerace Dionigi
Email: zs09@uow.edu.au
The Validity of Financial Advisor’s Heuristic Risk Tolerance Categorisation: Evidence From a Risk Tolerance Assessment Tool
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Sudarsanam Sudi, Huang Jian
Email: p.s.sudarsanam@cranfield.ac.uk
Gender Diversity in US Top Management: Impact on Risk-taking and Acquirer Performance
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SUNG MING-CHIEN, JOHNSON JOHNNIE E. V.
Email: M.SUNG@soton.ac.uk
Evidence of a weekend effect in a market for state contingent claims
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Surroca Jordi, Tribo Josep A.
Email:
MANAGERIAL ENTRENCHMENT AND CORPORATE SOCIAL PERFORMANCE/b>
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Tarazi Amine, Lepetit Laetitia, Nys Emmanuelle, Rous Philippe
Email: tarazi@unilim.fr
The provision of services, interest margins and loan pricing in European banking
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Theissen Erik, Betzer Andre
Email: theissen@uni-bonn.de
Sooner or Later - Delays in Trade Reporting by Corporate Insiders
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Todorovic Natasha, Gokani Bhavesh
Email: n.todorovic@city.ac.uk
Profitability of Quantitative vs. Momentum Size and Style Rotation Strategies in the UK Equity Market
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Tong Wilson, Cheng Peter, Li Jack
Email: aflilin@inet.polyu.edu.hk
What Triggers Top Management Turnovers in China?
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Tong Wilson, Yu Wayne
Email: afwtong@inet.polyu.edu.hk
A Corporate Governance Explanation of the A-B Share Discount in China
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Trauten Andreas, Schulz Roland, Dierkes Maik
Email: Andreas.Trauten@wiwi.uni-muenster.de
The Performance of IPO Investment Strategies and Pseudo Market Timing – Evidence from Germany
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U
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[TOP]
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Vanpée Rosanne, Sercu Piet
Email: rosanne.vanpee@econ.kuleuven.be
The Value of Clean Hands: Public Policy and International Asset Allocation
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Vaughan Williams Leighton
Email: leightonvw@aol.com
TAX POLICY IN THE UK: AN EXAMINATION OF THE IMPLICATIONS OF BETTING TAX REFORMS FOR THE TAXATION OF UK EQUITY MARKETS.
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Vedrashko Alexander, Babenko Ilona
Email:
Informativeness of Managerial Stock Ownership and Market Reaction to Stock Repurchase Announcements
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Veld Chris, Veld-Merkoulova Yulia
Email: j.w.veld-merkoulova@stir.ac.uk
The Risk Preferences of Individual Investors
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Vidal Nunes João Pedro
Email: Joao Pedro Vidal Nunes
A General Characterization of the Early Exercise Premium
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Vieira Elisabete, Raposo Clara
Email: elisabete.vieira@isca.ua.pt
THE PHENOMENON OF THE ADVERSE MARKET REACTION TO DIVIDEND CHANGE ANNOUNCEMENTS: NEW EVIDENCE FROM EUROPE
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Vieira Elisabete, Raposo Clara
Email: elisabete.vieira@isca.ua.pt
THE EFFECT OF FIRM-SPECIFIC FACTORS ON THE MARKET REACTION TO DIVIDEND CHANGE ANNOUNCEMENTS: NEW EVIDENCE FROM EUROPE
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Vieira Elisabete, Raposo Clara
Email: elisabete.vieira@isca.ua.pt
SIGNALLING WITH DIVIDENDS? THE SIGNALLING EFFECTS OF DIVIDEND CHANGE ANNOUNCEMENTS: NEW EVIDENCE FROM EUROPE
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Vo Thi Ngoc Anh, Vencappa Dev
Email: nvothi@u-paris10.fr
Does the Entry Mode of Foreign Banks Matter for Bank Efficiency? Evidence from Czech Republic, Hungary, and Poland
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Von Eije Henk, Klaassen Elke
Email: j.h.von.eije@rug.nl
Earnings Growth and Underpricing with Venture Capital Backed Initial Public Offerings
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W
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[TOP]
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Wagner Alexander
Email: wagner@isb.unizh.ch
Director independence as strategic behavior
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Wagner Christian
Email: christian.wagner@oenb.at
Testing Speculative Efficiency of Currency Markets
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Walter Andreas, Dymke Bjoern M.
Email: andreas.walter@uni-tuebingen.de
Insider Trading in Germany – Do Corporate Insiders Exploit Inside Information?
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Wang Hsiaowen, Wu Ming-Cheng
Email: hwwang@cc.ncue.edu.tw
Business Type, Value Chain Stage and R&D Performance
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Wang Jialan
Email: jialanw@gmail.com
Creativity and project value in the film industry
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Wang Steven S., Leung T.Y., Rui Oliver
Email: afwang@inet.polyu.edu.hk
Short Interest, Insider Trading, and Stock Returns
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Wang Yaw-Huei
Email: yhwang@mgt.ncu.edu.tw
The Impact of Jump Dynamics on Density Prediction
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Weill Laurent, Godlewski Christophe
Email: Laurent.Weill@urs.u-strasbg.fr
Does collateral help mitigate adverse selection problems? A cross-country analysis
|
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Went Peter
Email: pwent@bucknell.edu
Analyzing Risks and Returns in Emerging Equity Markets
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Went Peter
Email: pwent@bucknell.edu
Control and Compensation in Financial Institutions
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Westerfield Mark
Email:
Optimal Dynamic Contracts with Hidden Actions in Continuous Time
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Wu Eliza, Parwada Jerry
Email: e.wu@unsw.edu.au
The effects of market comovements on international mutual fund managers' portfolio holdings
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Wu Eliza, Remolona Eli, Scatigna Michela
Email: e.wu@unsw.edu.au
The pricing of sovereign risk in emerging markets: fundamentals and risk aversion
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Wu Jian
Email: jian.wu@groupe-esc-rouen.fr
External writer-extendible options: pricing and applications
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Wu Ming-Cheng, Kao Hui-Chuan, Huang Yun-Hsuan
Email: mcwu@cc.ncue.edu.tw
The impact of employee stock options issued by companies on stock repurchases
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Wuyts Gunther
Email: gunther.wuyts@econ.kuleuven.be
The Dynamics of Liquidity in a Limit Order Market
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X
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[TOP]
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Y
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[TOP]
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Yagil Joseph, Cohen Gil
Email: yagil@gsb.haifa.ac.il
Corporate Financial Policies: A International Survey
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Yang Jun, Chabi-Yo Fousseni
Email: junyang@bankofcanada.ca
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
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YANG TING, LAU SIE TING
Email: ting.yang@aut.ac.nz
An Empirical Investigation of Yankee Stock Offerings
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Yavuz Deniz
Email: deniz.yavuz@asu.edu
Why do Investor Protection Matter for the Cost of Equity?
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Yavuz Deniz
Email: deniz.yavuz@asu.edu
Relational Contracts and the Theory of the Firm: A Renegotiation-Proof Approach
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Yavuz Deniz, Marquez Robert
Email: deniz.yavuz@asu.edu
Relation Specific Investments and the Choice between Bank and VC Finance
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Yildirim Semih, Small Kenneth, Smith Jeff
Email: yildirim@yorku.ca
Ownership Structure and Golden Parachutes: Evidence of Credible Commitment or Incentive Alignment?
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Z
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[TOP]
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Zakamouline Valeri, Koekebakker Steen
Email: Valeri.Zakamouline@hia.no
Generalized Sharpe Ratios and Portfolio Performance Evaluation
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Zanjani George, Lakdawalla Darius
Email: george.zanjani@ny.frb.org
Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk Transfer
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Zdorovtsov Vladimir, Onayev Zhan
Email: Zhan_Onayev@ssga.com
Russell Reconstitution Effect Revisited
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Zhang Tai-Wei, Chen An-Sing
Email: baibailee@yahoo.com.tw
Threshold Effect and the Predictive Ability of Dividend Yield
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Zhang Zhichao, Sun Wai, Wang Hua
Email: zhichao.zhang@durham.ac.uk
A NEW PERSPECTIVE ON FINANCIAL ANOMALIES IN EMERGING MARKETS: THE CASE OF CHINA
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Zhang Zhichao, Zheng Xinwei
Email: xinwei.zheng@durham.ac.uk
Commonality in Liquidity in Emerging Markets: Evidence from the Chinese Stock Market
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Zhao Xinge
Email: zxinge@ceibs.edu
The role of brokers and financial advisors behind investments into load funds
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Zhu Haibin
Email: haibin.zhu@bis.org
Capital regulation and banks' financial decisions
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Zitzewitz Eric
Email:
Price Discovery Among the Punters: Using New Financial Betting Markets to Predict Intraday Volatility
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Zwergel Bernhard, Klein Christian
Email: cklein@uni-hohenheim.de
On the predictive power of sentiment - Why institutional investors are worth their pay
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