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European Financial Management Association
2007 Annual Meetings
June 27- 30, 2007
Vienna, Austria


Note#1: Session Chairs and Discussants can download papers for the meetings from this page. Authors can update the version of their paper(s) and/or abstract(s) on this webpage later. Please email your paper/abstract directly to: sjagwani@odu.edu

Note#2: If you wish your paper to be considered for publication in the EFM journal, convey your interest to your Session Chair.

Presentations: For your presentations at the EFMA2007 Meetings please note that all rooms are equipped with computers. Power Point (USB or CD) and Overhead Projector (transparencies) presentation options are available.

Discussants' Responsibility: To better serve the needs of authors presenting papers at the EFMA2007 meetings, discussants are kindly required to hand out to the authors and the session chair 1-2 pages handwritten comments with their constructive comments.

Deadline for Posting Revised Papers has passed.


2007 Accepted Conference Papers & Participants List



| A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W | X | Y | Z |




PARTICIPANTS
PAPERS


A



[TOP]


Abad David, Nieto Belen Adoracion
Email: goliat@ua.es
The Unavoidable Task of Understanding Warrants Pricing


Abad Pilar, Benito Sonia
Email: soniabm@cee.uned.es pabad@ub.edu
A Parametric Model to Estimate Risk in a Fixed Income Portfolio


Abhyankar Abhay, Ho Keng-Yu, Zhao Huainan
Email: h.zhao@city.ac.uk
Value versus Growth: Stochastic Dominance Criteria


Abínzano Isabel, Navas Javier F.
Email: isabel.abinzano@unavarra.es
Warrant pricing with credit risk


Adcock Chris, Cortez Maria Ceu, Armada Manuel, Silva Florinda
Email: fsilva@eeg.uminho.pt
A Model for Time Varying Betas


Adcock Chris, Meade Nigel
Email: c.j.adcock@shef.ac.uk
Characterising Non-Normality In Asset Returns Using The Generalised Skew Student Distribution


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


Agarwal Vineet, Taffler Richard
Email: vineet.agarwal@cranfield.ac.uk
Comparing the performance of market-based and accounting-based bankruptcy prediction models


Agarwal Vineet, Taffler Richard, Brown Mike
Email: Richard.Taffler@ed.ac.uk
Is Management Quality Value Relevant?


Ahoniemi Katja
Email:
Multiplicative Models for Implied Volatility


Akbulut Mehmet
Email: makbulut@fullerton.edu
Managerial Insider Trading and Opportunism


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


Almeida Heitor, Campello Murillo
Email: halmeida@stern.nyu.edu
The Interplay between Financing and Investment Decisions: Evidence from Debt and Equity Issues


Ammann Manuel, Kind Axel, Seiz Ralf
Email: ralf.seiz@unisg.ch
What drives the performance of US convertible bond funds?


Anagnou Iliana, Hodges Stewart
Email: I.Anagnou@warwick.ac.uk
Derivatives Hedging Errors And Volatility


Anderson Anne-Marie, Nayar Nandkumar (Nandu)
Email: nnayar@lehigh.edu
Debt Issuance in the Face of Tax Loss Carryforwards


Andreou Panayiotis, Charalambous Chris, Martzoukos Spiros
Email: benz@avacom.net
Generalized Parameter Functions for Option Pricing


Annabi Amira, Breton Michèle, François Pascal
Email: amira.annabi@hec.ca
Resolution of Financial Distress under Chapter 11: A Dynamic Game Approach


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


Antoniou Antonios, Lam Herbert, Paudyal Krishna
Email: K.N.Paudyal@durham.ac.uk
Limits to Arbitrage, Overconfidence and Momentum Trading


Antoniou Antonios, Paudyal Krishna, Pescetto Gioia, Petmezas Dimitris
Email: dimitris.petmezas@durham.ac.uk
What Drives Acquisitions? Market Valuations and Bidder Performance


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


Atanasov Vladimir, Ivanov Vladimir, Litvak Katherine
Email: vivanov@ku.edu
VCs and the Expropriation of Entrepreneurs


Attig Najah
Email: najah.attig@smu.ca
How to Make All Shareholders Equal: Evidence from Tickers’ Informativeness


Au Andrea S., Doukas John A.
Email:
Short Selling, Idiosyncratic Risk, and Stock Returns in the UK


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


Audzeyeva Alena, Schenk-Hoppé Klaus Reiner
Email: bus0ala@leeds.ac.uk
Sovereign Rating transitions and the price of default risk in emerging markets


Azevedo-Pereia José, Couto Gualter, Nunes Cláudia
Email: cnunes@math.ist.utl.pt
Optimal timing of relocation


B



[TOP]


Baiman Stanley, Bar-Yosef Sasson, Sarath Bharat
Email: mssasson@huji.ac.il
Bilateral Incentive Problems and the Financing of Start-Ups


Bajlum Claus, Larsen Peter
Email: plarsen@econ.au.dk
Capital Structure Arbitrage: Model Choice and Volatility Calibration


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


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


Bancel Franck, Mittoo Usha
Email:
Why European firms go public?


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


Barak Ronen, Lauterbach Beni
Email: beni@tx.technion.ac.il
Estimating the Private Benefits of Control from Block Trades: Methodology and Evidence


Barbopoulos Leonidas, Paudyal Krishna, Pescetto Gioia
Email: leonidas.barbopoulos@durham.ac.uk
Corporate Governance and Corporate Valuations: Evidence from Mergers and Acquisitions


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.


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.


Bassen Alexander, Prigge Stefan, Zöllner Christine
Email: prigge@web.de
Incentives Matter: A Single-Provision Analysis of the German Corporate Governance Code


Basu Nilanjan, Dimitrova Lora, Paeglis Imants
Email: l_dimitr@jmsb.concordia.ca
Family control and dilution in mergers


Batten Jonathan, Szilagyi Peter
Email: jabatten@gmail.com
Is Covered Interest Parity Arbitrage Extinct? Evidence from the Spot USD/Yen


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?


Bauer Rob, Cosemans Mathijs, Schotman Peter
Email: M.Cosemans@finance.unimaas.nl
Conditional Asset Pricing and Stock Market Anomalies in Europe


Bechmann Ken, Lunde Asger, Zebedee Allan
Email: azebedee@mail.sdsu.edu
Interpreting Announcement Effects using Market Microstructure: An Examination of Convertible Bond Calls


Beck Thorsten, Demirguc-Kunt Asli, Laeven Luc, Levine Ross
Email: TBeck@worldbank.org
Finance, Firm Size, and Growth


Beck Thorsten, Demirguc-Kunt Asli, Martinez Peria Maria Soledad
Email:
Banking Services for Everyone? Barriers to Bank Access and Use Around the World


Belleri Matteo, Navone Marco
Email: marco.navone@unibocconi.it
HEDGE FUNDS: ABILITY PERSISTENCE AND STYLE BIAS


Beltratti Andrea, Caccavaio Marianna
Email: marianna.caccavaio@unibocconi.it
Asset float and stock prices: Evidence from the Chinese stock market


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


Benhami Kheira
Email: kheira.benhami@univ-tlse1.fr
Liquidity providers' valuation of anonymity: The Nasdaq Market Makers evidence


Bernard Carole, Le Courtois Olivier, Quittard-Pinon François
Email: lecourtois@em-lyon.com
Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment


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


Bessler Wolfgang, Drobetz Wolfgang
Email: wolfgang.drobetz@wiso.uni-hamburg.de
Conditional Performance Evaluation for German Mutual Equity Funds


Bi-Huei Tsai
Email: Joy@mail.nctu.edu.tw
A Re-examination of Ex-Dividend Day Price Movements: Evidence from ADR Market


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


Bird Ron, Casavecahia Lorenzo, Reggiani Francesco
Email: ron.bird@uts.edu.au
Corporate Social Responsibility and Corporate Performance: Where to Begin?


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


Black Bernard, Khanna Vikramaditya
Email: vskhanna@umich.edu
Can Corporate Governance Reforms Increase Firms’ Market Values: Evidence from India


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


Bloos Uwe-Wilhelm
Email: bloos@finance.uni-frankfurt.de
On the Organization of Risk Management


Blum Jürg
Email: juerg.blum@snb.ch
Why 'Basel II' May Need a Leverage Ratio Restriction


Jan Bartholdy, Blunck Benjamin W.
Email: jby@asb.dk
Merger Wave Theory and the European Merger Wave of the 90s


Bonini Stefano, Alkan Senem
Email: stefano.bonini@unibocconi.it
The Macro and Political Determinants of Venture Capital Investments around the World


Bonini Stefano, Voloshyna Olena
Email: stefano.bonini@unibocconi.it
Underpricing, Bookbuilding and Competitive IPO: an Experimental Analysis


Booth G. Geoffrey, Gurun Umit G., Zhang Harold
Email: umit.gurun@utdallas.edu
Who Are the “Informed” in Bond Markets: Foreign or Domestic Traders?


Booth Laurence, Georgeopolous George, Hejazi Walid
Email: booth@rotman.utoronto.ca
What drives Provincial – Canada Yield Spreads?


Bortolotti Bernardo, Megginson William, Smart Scott
Email: wmegginson@ou.edu
The Rise of Accelerated Seasoned Equity Underwritings


Bosch Oliver
Email: bosch@finance.uni-frankfurt.de
Information Asymmetry and the Pricing of Private Debt - Evidence from European Syndicated Loans


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


Bourghelle David, Cellier Alexis
Email: David.bourghelle@iae.univ-lille1.fr
LIMIT ORDER CLUSTERING AND PRICE BARRIERS ON FINANCIAL MARKETS: EMPIRICAL EVIDENCE FROM EURONEXT


BRIGHI PAOLA, TORLUCCIO GIUSEPPE
Email: paola.brighi@unibo.it
Evidence on Funding Decisions by Italian SMEs: A Self-Selection Model?


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


Brooks Robert, Faff Robert, Mulino Daniel, Scheelings Richard
Email: robert.faff@buseco.monash.edu.au
Deal or no Deal? That is the Question


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?


Bruche Max
Email:
Coordinated and Uncoordinated Liquidation Decisions of Creditors


Bugeja Martin
Email: m.bugeja@econ.usyd.edu.au
Does an independent board and external monitoring prevent the pursuit of value reducing takeovers?


Buraschi Andrea, Cieslak Anna, Trojani Fabio
Email: fabio.trojani@unisg.ch
Correlation Risk and the Term Structure of Interest Rates


Buraschi Andrea, Porchia Paolo, Trojani Fabio
Email: paolo.porchia@unisg.ch
Correlation Risk and Optimal Portfolio Choice


Byers Steven, Fields L. Paige, Fraser Donald
Email:
Corporate Governance, Information Opaqueness, and the Perceived Value of Bank Loans


Byrne Alistair, Blake David, Mannion Graham
Email: alistair.byrne@strath.ac.uk
Contribution and Investment Decisions in a Large Defined Contribution Pension Plan


Byrne Alistair, Clacher Iain, Hillier David
Email: alistair.byrne@strath.ac.uk
Pension Accounting and Managerial Incentives in the UK


C



[TOP]


Cabeza-García Laura, Gómez-Ansón Silvia
Email: laura.cabeza@unileon.es
Determinants of post-privatisation performance of Spanish divested firms


Canil Jean, Rosser Bruce
Email: jean.canil@adelaide.edu.au
EVIDENCE THAT LARGE CEO STOCK OPTION GRANTS ARE DETRIMENTAL TO SHAREHOLDERS


Caprio Lorenzo, Croci Ettore
Email: ettore.croci@unicatt.it
THE DETERMINANTS OF THE VOTING PREMIUM IN ITALY: THE EVIDENCE FROM 1974 TO 2003


Carapeto Maria, Gietzmann Miles
Email: mcarapeto@city.ac.uk
Bias in Affiliated Sell Side Analyst Recommendations: A Repeated Hazard Duration Model


Carrieri Francesca, Chaieb Ines, Errunza Vihang
Email: i.chaieb@uva.nl
Are the investable indices priced globally or locally?


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


Cervellati Enrico Maria, Della Bina Antonio, Pattitoni Pierpaolo
Email: enrico.cervellati@unibo.it
Earnings Forecasting Bias Accuracy


Cervellati Enrico Maria, Fioriti Eleonora
Email: enrico.cervellati@unibo.it
Financial Supervision Eu Countries


Chandrashekar Satyajit, Rao Ramesh
Email: satyajit_chandrashekar@ssga.com
The Productivity of Cash and the Cross-Section of Expected Stock Returns


Chang Bin
Email:
Does the Market React Less Negatively to Dividend Payers' Seasoned Equity Offerings?


Chang Chuang-Chang, Ho Ra-Jian
Email: ccchang@cc.ncu.edu.tw
Pricing Credit Card Loans with Default Risks


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


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


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


Charalambous Chris, Christofides Nicos, Constantinide Eleni, Martzoukos Spiros
Email: elenicon@ucy.ac.cy
Implied binomial trees and calibration for the volatility smile.


Charitou Andreas, Lambertides Neophytos, Trigeorgis Lenos
Email: lambertn@aston.ac.uk
Earnings Quality and Financial Performance


Chatelain Jean-Bernard, Ralf Kirsten
Email: jean-bernard.chatelain@u-paris10.fr
How Public Governance may Foster Private Corporate Governance?


CHEN QIWEI, WOOD ANDREW
Email: qwchen@essex.ac.uk
Momentum, Disposition, and tax-loss selling: the UK evidence


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


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


Cheng Airu
Email: archeng@ucsc.edu
Predicting future bond returns with macro variables: a semi-parametric approach.


Cheng Peng
Email: p.cheng@surrey.ac.uk
Institutional Net Buying and Small-cap Outperformance –Evidence from Chinese IPO Market


Cheng Peng, Chen Jean
Email: p.cheng@surrey.ac.uk
Related Party Transactions: A Second Source for Earnings Management – Evidence from Chinese IPOs


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


Cheung William, Tam Lewis, Lam Keith
Email: lewistam@umac.mo
Ownership Concentration, Adverse Selection and Equity Offering Choice


Chiang Min-Hsien, Wang Jo-Yu
Email: frankyw@mail.hit.edu.tw
Information Asymmetry and Investors behavior around earnings announcements


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


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


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


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


Choudhry Taufiq, Wu Hao
Email: hw5@soton.ac.uk
FORECASTING THE TIME-VARYING BETA OF UK COMPANIES GARCH MODELS VS KALMAN FILTER METHOD


Chourou Lamia, Abaoub Ezzeddine
Email: lamiachourou@yahoo.fr
The Effect of Board of Directors’ Independence on CEO Compensation


Christophe Stephen, Ferri Michael, Angel James
Email:
Short-selling and the Weekend Effect in Stock Returns


Chun Albert Lee
Email: albert-lee.chun@hec.ca
Forecasting Interest Rates and the Macroeconomy: Blue Chip Clairvoyants, Econometrics or Qrinkage?


Chun Albert Lee
Email: albert-lee.chun@hec.ca
An Intensity-based Model for Pricing Variable Coupon Bonds


Clark Ephraim, Judge Amrit, Mefteh Salma
Email: Salma.Mefteh@essca.fr
CORPORATE HEDGING WITH FOREIGN CURRENCY DERIVATIVES AND FIRM VALUE


Coakley Jerry, Instefjord Norvald, Shen Zhe
Email: zshen@essex.ac.uk
The Winner’s Curse and Lottery-Allocated IPOs in China


Coakley Jerry, kuo Jing-Ming, Wood Andrew
Email: jkuo@essex.ac.uk
The School's Out Effect in East-Asian Stock Markets


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


COËN ALAIN, HÜBNER GEORGES
Email: coen.alain@uqam.ca
Risk and Performance Estimation in Hedge Funds: Evidence from Errors in Variables


Comerton-Forde Carole, Putnins Talis
Email: T.Putnins@econ.usyd.edu.au
Measuring closing price manipulation


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


Couderc Nicolas, Capelle-Blancard Gunther
Email: nicolas.couderc@reims-ms.fr
HOW DO SHAREHOLDERS RESPOND TO DOWNSIZING? A META-ANALYSIS


Croci Ettore
Email: ettore.croci@unicatt.it
INTRAGROUP M&A, MINORITY SHAREHOLDERS’ PROTECTION, AND LEGAL ORIGIN


Cui Rong, Wu Youchang
Email: youchang.wu@univie.ac.at
Disentangling Liquidity and Size Effects in Stock Returns: Evidence from China


Cumming Douglas, Johan Sofia
Email:
Global Market Surveillance


D



[TOP]


Dai Qinglei
Email: qinglei.dai@fe.unl.pt
Influence of A Tax Reform on Dividend Clienteles


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


De Cesari Amedeo, Espenlaub Susanne, Khurshed Arif
Email: amedeo.de-cesari@postgrad.manchester.ac.uk
Stock Repurchases: Do They Stabilize Price and Enhance Liquidity?


De Goeij Peter, Pungulescu Crina, De Roon Frans
Email: c.pungulescu@uvt.nl
Market Size Effects and Integration in Developed and Emerging Markets


De Maeseneire Wouter, Claeys Tine
Email: tine.claeys@vlerick.be
SMEs, FDI and financial constraints


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


Deloof Marc, Van Overfelt Wouter
Email: marc.deloof@ua.ac.be
Were Modern Capital Structure Theories Valid Before World War I?


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


Diacogiannis George, Feldman David
Email: d.feldman@unsw.edu.au
The CAPM Relation for Inefficient Portfolios


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


Dietrich Diemo, Vollmer Uwe
Email: diemo.dietrich@iwh-halle.de
Banks' Internationalization Strategies: The Role of Bank Capital Regulation


Dong Min
Email: md150@york.ac.uk
Institutional Investors, Board of Directors, and Firm Performance-- Evidence from UK firms


Doukas John, Gonenc Halit, Plantinga Auke
Email: A.Plantinga@rug.nl
The positive returns of firms acquiring private targets


Drobetz Wolfgang, Pensa Pascal
Email:
Capital structure and stock returns: The European evidence


D'Souza Chris
Email: dsou@bankofcanada.ca
Where does price discovery occur in USD/CAD, AUD/USD and NZD/USD foreign exchange markets?


D'Souza Chris, Lo Ingrid, Sapp Stephan
Email: dsou@bankofcanada.ca
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets


Duarte-Silva Tiago
Email:
How banking relationships affect certification: The role of private information in underwriting


Dumitrescu Ariadna
Email: ariadna.dumitrescu@esade.edu
Strategic Specialist and Market Liquidity


Dungey Mardi, McKenzie Michael, Smith Vanessa
Email: michael.mckenzie@rmit.edu.au
News, No-News and Jumps in the US Treasury Market


E



[TOP]


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


Ekkayokkaya Manapol, Holmes Phil, Paudyal Krishna
Email: P.R.Holmes@Durham.ac.uk
Differential Information and Acquirers’ Performance in the UK


El Ghoul Sadok, Guedhami Omrane, Pittman Jeffrey
Email: elghoul@ualberta.ca
Ownership Structure, Agency Problems, and Auditor Choice: Evidence from Western European Firms


El Hajj Chehade Hiba, Vigneron Ludovic
Email: hiba.hajjchehade@gmail.com
SME’s main bank choice and organizational structure: Evidence from France


Eling Martin
Email: martin.eling@unisg.ch
Does Hedge Fund Performance Persist? Overview and new Empirical Evidence


Engsted Tom, Møller Stig, Tuong Van
Email: tom@asb.dk
Habit persistence and asset pricing: Evidence from Denmark


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


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


Entrop Oliver, Wilkens Marco
Email: oliver.entrop@ku-eichstaett.de
The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework


Ertugrul Mine, Hegde Shantaram
Email:
Board Compensation Practices and Agency Costs of Debt


Estrada Javier
Email: jestrada@iese.edu
Fundamental Indexation and International Diversification


F



[TOP]


Faff Robert, Parwada Jerry, Yang Joey
Email:
Fund Managers’ Institutional Background and the Birth of Investment Management Companies


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


Fan Elliott, Zhao Ruoyun
Email: Ruoyun.Zhao@uts.edu.au
Health Status, Wealth, and Portfolio Choice: Causality or Heterogeneity?


Fang Jing, Sun Qian, Wang Changyun
Email: qsun@xmu.edu.cn
Illiquidity and Stock Returns: Evidence from Japan


Farinha Jorge, Viana Luis
Email: jfarinha@fep.up.pt
BOARD STRUCTURE AND MODIFIED AUDIT OPINIONS: THE CASE OF THE PORTUGUESE STOCK EXCHANGE


Feldhütter Peter
Email:
Can Affine Models Capture the Dynamics of Risk Premia and Volatility in Bond Yields?


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


Ferreira Miguel, Miguel António, Ramos Sofia
Email:
The Determinants of Mutual Fund Performance: A Cross-Country Study


Fidrmuc Jana, Roosenboom Peter, van Dijk Dick
Email: Jana.Fidrmuc@wbs.ac.uk
Do private equity investors take firms private for different reasons?


Flannery Mark, Nikolova Stanislava (Stas), Öztekin Özde
Email: snikolov@gmu.edu
What Can We Learn About Capital Structure from Bond Credit Spreads?


Fong Kingsley, Liu Wai Man
Email: wmr.liu@unsw.edu.au
MR. TRADER, WOULD YOU LIKE TO CHANGE YOUR ORDER?


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


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


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


Franke Günter, Herrmann Markus, Weber Thomas
Email: thomas.a.weber@uni-konstanz.de
On the Design of Collateralized Debt Obligation-Transactions


Franzoni Francesco
Email:
The Changing Nature of Systematic Risk


Frijns Bart, Gilbert Aaron, Tourani-Rad Alireza
Email:
Price Discovery, Cross-Listings and Exchange Rates: Evidence from Australia and New Zealand


Frino Alex, Johnstone David, Zheng Hui
Email: h.zheng@econ.usyd.edu.au
Information Endowment and Limit Order Placement


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


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


Fritsch Markus, Gleisner Fabian, Holzhäuser Markus
Email: mfritsch@wiwi.uni-frankfurt.de
Bank M&A in Central and Eastern Europe


Fuertes Ana-Maria, Heffernan Shelagh
Email: a.fuertes@city.ac.uk
Heterogeneities in the Interest Rate Transmission Mechanism


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


G



[TOP]


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


Gatfaoui Hayette
Email: hayette.gatfaoui@groupe-esc-rouen.fr
CREDIT RISK AND MARKET RISK: ANALIZING US CREDIT SPREADS


Gemmill Gordon, Thomas Dylan C., An Jingfeng
Email: d.c.thomas@city.ac.uk
Why Do Repurchases Affect Share Prices?


Gerace Dionigi, Frino Alex, Lepone Andrew
Email: dionigi@uow.edu.au
Bid-Ask Spreads Surrounding Earnings Announcements:Evidence from the Italian Bourse


Geyer Alois, Hanke Michael, Weissensteiner Alex
Email: alois.geyer@wu-wien.ac.at
Life-cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming


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


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


Giannikos Christos, Suen Tin-shan
Email: tin-shan_suen@baruch.cuny.edu
Pricing Determinants of Blind Principal Bidding and Liquidity Provider Behavior


Giannikos Christos, Suen Tin-shan
Email: tin-shan_suen@baruch.cuny.edu
Estimating two structural spread models for trading blind principal bids


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


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


Ginglinger Edith, Saddour Khaoula
Email: edith.ginglinger@dauphine.fr
Cash holdings, corporate governance and financial constraints


Giouvris Evangelos
Email: evangelos.giouvris@rhul.ac.uk
DETERMINANTS OF THE COMPONENTS OF THE BID-ASK SPREAD ON THE LONDON STOCK EXCHANGE


Gonenc Halit
Email: H.Gonenc@rug.nl
Tunneling and Propping: Evidence from Rights and Bonus Issues by Turkish Business Group Firms


Gounopoulos Dimitrios, Nounis Christos, Stylianides Paris
Email: DimiGoun@yahoo.com
The Short and Long Term Performance of IPOs in Cyprus Stock Exchange


Graham Michael, Bhattacharya Prasad
Email:
Institutional Ownership and Firm Performance: Evidence from Finland?


Grishchenko Olesya
Email: olesya@psu.edu
Internal vs External Habit Formation: The Relative Importance for Asset Pricing


Groslambert Bertrand, Bouchet Michel
Email: bertrand.groslambert@ceram.fr
Do Corrupt Countries Receive Less Foreign Capital After All?


Grueninger Matthias, Hirschvogl Simone
Email: m.grueninger@unibas.ch
INFORMATION ASYMMETRY AND THE VALUE OF CASH


Grundke Peter
Email: grundke@wiso.uni-koeln.de
Integrated Risk Management: Top Down or Bottom Up?


Guedhami Omrane, MIshra Dev
Email: mishra@commerce.usask.ca
Excess control, Corporate Governance, and Implied Cost of Equity: An International Evidence


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


Guido Ron, Walsh Kathleen, Pearl Joshua
Email: ron_guido@ssga.com
Market Timing Across Multiple Economic Regimes


Guo Re-Jin, Yeh Yin-Hua
Email: trad1003@mail.fju.edu.tw
Audit Committee, Ownership Structure, and Firm Valuation: Evidence from East Asian Markets


H



[TOP]


Hackethal Andreas, Jansen Christian
Email: christian.jansen@ebs.de
New empirical evidence on the debt maturity choice and the role of credit risk


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


Hahn Peter
Email: p.d.hahn@city.ac.uk
HOW NOT TO PAY YOUR OUTSIDE DIRECTORS: Determinants of non-executive director remuneration


Hahn Peter
Email: p.d.hahn@city.ac.uk
VANISHING BOARD MEETINGS: HAS GOVERNANCE DOOMED THE BOARD MEETING?


Haiss Peter, Sümegi Kjell
Email: mip@ycn.com
The Relationship of Insurance and Economic Growth – A Theoretical and Empirical Analysis


Han Young Wook, Song Jeongseok
Email: ywhan@hallym.ac.kr
HIGH FREQUNCY ANALYSIS ON JUMPS AND LONG MEMORY VOLATILITY IN COMMODITY FUTURES PRICES


Han Yufeng
Email:
Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?


Hansen Thomas Lyse, Jensen Bjarne Astrup
Email: ba.fi@cbs.dk
Options on Energy Portfolios in an HJM Framework


Hatgioannides John, Petropoulos George
Email: J.Hatgioannides@city.ac.uk
On Credit Spreads, Credit Spread Options and Implied Probabilities of Default


He Wen, Mian G. Mujtaba, Sankaraguruswamy Srinivasan
Email: bizgmm@nus.edu.sg
Market Sentiment, Investor Size and Reaction to Firm-Specific News


Heffernan Shelagh, Fu Xiaoqing (Maggie)
Email: maggiefu@umac.mo
Structure-Performance Evidence on UK Retail Bank Pricing


Henker Julia, Cowell David, Walter Terry
Email:
The effect of investor category trading imbalances on stock returns


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


Hernandez Rodrigo, Lee Wayne, Liu Pu
Email: Pliu@walton.uark.edu
The Market and the Pricing of Outperformance Certificates


Hernandez Rodrigo, Lee Wayne, Liu Pu
Email: Pliu@walton.uark.edu
An Economic Analysis of Reverse Exchangeable Securities — An Option-Pricing Approach


Herrerias Renata, Gurrola Pedro
Email: pgurrola@itam.mx
Anomalies in the Mexican interest rate futures market


Hilary Gilles, Hui Kai Wai
Email:
The Influence of Corporate Culture on Economic Behavior: Does Religion Matter in Corporate Decision Making in America?


Hilliard James, Ghosh Chinmoy
Email:
Market Reactions to Attorney General Litigation Activity: Evidence From the Property-Casualty Insurance Companies


Hirth Stefan, Uhrig-Homburg Marliese
Email: stefan.hirth@fbv.uni-karlsruhe.de
Investment Timing and Endogenous Default


Hjortshøj Toke
Email: thjortshoej@econ.au.dk
Managerial Risk-Shifting Incentives of Option-Based Compensation: Firm Risk, Leverage, and Moneyness


Hoechle Daniel, Zimmermann Heinz
Email: daniel.hoechle@unibas.ch
A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors


Hope Ole-Kristian, W
Email: okhope@rotman.utoronto.ca
Managerial Empire Building and Firm Disclosure


Horneff Wolfram, Maurer Raimond, Stamos Michael
Email: maurer@finance.uni-frankfurt.de
Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities


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


Hsu Yenshan, Shiu Cheng-Yi
Email: cshiu@ncu.edu.tw
Selling Methods, Public Information, and Oversubscription in IPOs: Evidence from Taiwan


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


Hwang Soosung
Email: s.hwang@city.ac.uk
Beta Is Alive, Well and Healthy


Hwang Soosung, Lu Chensheng
Email: c.lu@city.ac.uk
Cross-Sectional Stock Returns in the UK Market:the Role of Liquidity Risk


I



[TOP]


Iatridis George
Email: giatridis@econ.uth.gr
International Accounting Standards: Implementation and Impact on Firm Accounts An Empirical Investigation of UK Firms


Inci Ahmet Can, Lee Bong Soo, Suh Jungwon
Email: acinci@sabanciuniv.edu
Capital Investment and Earnings: International Evidence


Ionici Octavian, Small Kenneth, Kramer Steve
Email: oionici@loyola.edu
Applying Real Options Analysis to Value the GM-Fiat Strategic Joint Venture


Ippolito Filippo
Email: filippo.ippolito@unibocconi.it
Convertible Preferred Stock in Venture Capital Financing


J



[TOP]


Jacoby Gady, Liao Chuan, Batten Jonathan
Email: jabatten@gmail.com
A Pure Test for the Elasticity of Yield Spreads


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


K



[TOP]


Kalev Petko, lok Emily, Westerholm Joakim
Email: Petko.Kalev@buseco.monash.edu.au
Dynamics Between Equity Holdings and Returns


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?


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


Kerl Alexander G., Walter Andreas
Email: alexander.kerl@uni-tuebingen.de
Long-run Performance Evaluation of Journalists’ Stock Recommendations


Khorana Ajay, Mola Simona, Rau Raghavendra
Email:
Is there life after loss of analyst coverage?


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


Khurshed Arif, Lin Stephen, Wang Mingzhu
Email: Arif.khurshed@mbs.ac.uk
Institutional Investment in UK firms: Do Corporate Internal Control Mechanisms Matter?


Kini Omesh, Mian Shehzad, Rebello Michael, Venkatesawaran Anand
Email:
On the Structure of Analyst Research Portfolios and Forecast Accuracy


Kitsul Yuriy
Email: ykitsul@gsu.edu
A Semi-Nonparametric Model of the Pricing Kernel and Bond Yields: Univariate and Multivariate Analysis


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


Ko Jeremy, Hansch Oliver, Lockerbie Mike
Email: jeremyko@psu.edu
The Effect of Prior Beliefs and Outcomes on Information Processing in an Investment Experiment


Kondova Georgiev Galia, Burghof Hans-Peter
Email: kondovag@yahoo.com
The Impact of Bank Mergers on Efficiency: Empirical Evidence from the German Banking Industry


Korajczyk Robert, Sadka Ronnie
Email: r-korajczyk@kellogg.northwestern.edu
Pricing the Commonality Across Alternative Measures of Liquidity


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


Kousenidis Dimitrios, Ladas Anestis, Negakis Christos
Email: dkous@econ.auth.gr
On the Effects of Prices leading Earnings Phenomenon on Return Models


Krishnamurti Chandrasekhar, Thong Tiong Yang
Email: Chandra.Krishnamurti@buseco.monash.edu.au
The Declining Trend in Idiosyncratic Volatility: Post Decimalization Evidence


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


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


L



[TOP]


La Rocca Maurizio, La Rocca Tiziana, Cariola Alfio
Email: m.larocca@unical.it
Capital structure decisions in multibusiness firms: the Italian evidence, 1980-2000


Lai Van Son, Langlois Yves, Soumaré Issouf
Email: vanson.lai@fas.ulaval.ca
Hedging Portfolios of Financial Guarantees


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


Laux Christian, Laux Volker
Email: laux@finance.uni-frankfurt.de
Board Committees, CEO Compensation, and Earnings Management


Laux Christian, Muermann Alexander
Email: Muermann@wharton.upenn.edu
Mutual versus Stock Insurers: Fair Premium, Capital, and Solvency


Laux Christian, Walz Uwe
Email: uwe.walz@wiwi.uni-frankfurt.de
Tying Lending and Underwriting: Scope Economies, Incentives, and Reputation


Leemakdej Arnat
Email: arnat@velocall.com
New Evidence of Stock Split When Uncertain Event Window is Identified


Liang Dan
Email: dan.liang@mail.shufe.edu.cn
Distressed sales and financial arbitrageurs: front-running in illiquid markets


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


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


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


Loderer Claudio, Waelchli Urs
Email: urs.waelchli@ifm.unibe.ch
Protecting minority investors: listed vs. unlisted firms


Luypaert Mathieu, Huyghebaert Nancy
Email: mathieu.luypaert@ehsal.be
Determinants of Growth through Mergers and Acquisitions: An Empirical Analysis


M



[TOP]


Maio Paulo
Email: paulo.maio@netvisao.pt
What does the cross-section tell about itself? An asset pricing model with cross-sectional moments


Malhotra Rashmi, Malhotra D.K.
Email: malhotrad@philau.edu
EVALUATING THE EFFICIENCY OF EUROPEAN UNION INTEGRATION


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


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


Marsat Sylvain
Email: Sylvain.Marsat@ecogestion.u-clermont1.fr
Does The Consensus Prevail? Experimental Evidence of Herding


Marsden Alastair, Naughton Tony, Veeraraghavan Madhu, Zhu Zhenghou
Email: tony.naughton@rmit.edu.au
The Relationship between Debt and Nontradable Shares in China


Martynova Marina, Renneboog Luc
Email: M.Martynova@shef.ac.uk
A CORPORATE GOVERNANCE INDEX: CONVERGENCE AND DIVERSITY OF NATIONAL CORPORATE GOVERNANCE REGULATIONS


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


Mefteh Salma, Oliver Barry
Email: Salma.Mefteh@essca.fr
Capital structure choice: the influence of confidence in France.


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


Menkhoff Lukas, Rebitzky Rafael
Email: rebitzky@gif.uni-hannover.de
Investor sentiment in the dollar market: longer-term, mean-reverting expectations


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?


Miglo Anton
Email: amiglo@uoguelph.ca
Information concerning the timing of earnings which can be conveyed by capital structure


Miglo Anton
Email: amiglo@uoguelph.ca
Project financing versus corporate financing under asymmetric information


Milonas Nikolaos, Rompotis Gerasimos
Email: grompotis@kpmg.gr
Investigating European ETFs: The Case of the Swiss Exchange Traded Funds


MILOUD Tarek
Email: t.miloud@esc-chambery.fr
Underpricing, ownership structure and liquidity of Initial public offering


MILOUD Tarek
Email: t.miloud@esc-chambery.fr
OPERATING MEASURES, IPO VALUATION AND THE AFTERMARKET PERFORMANCE


Mimouni Karim
Email:
Estimation of the CEV and the CEVJ Models on Returns and Options


Mjøs Aksel, Persson Svein-Arne
Email: aksel.mjos@nhh.no
Bundled financial claims - A model of hybrid capital


Mohanram Partha, Rajgopal Shivaram
Email: pm2128@columbia.edu
Is Information Risk (PIN) Priced?


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


Mola Simona, Guidolin Massimo
Email: Massimo.Guidolin@stls.frb.org
Affiliated Mutual Funds and Analyst Optimism


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


Moosa Imad, Li Larry
Email: l.li@latrobe.edu.au
THE ROLE OF TECHNICIANS AND FUNDAMENTALISTS IN THE CHINESE STOCK MARKET


Moraux Franck, Navatte Patrick
Email: franck.moraux@univ-lemans.Fr
Rescheduling of Distressed Debt and Business Risk Targeting ex ante the Reorganization


Moreno Manuel, Todeschini Federico
Email: manuel.moreno@uclm.es
Deciding what and when to seed: Mean reverting process and Real Options


Müller Jan, Burghof Hans-Peter
Email:
Allocation of Economic Capital in Banking - A Simulation Based Approach


Mun Kyung, Fleak Sandy, Morgan George
Email:
Earnings Announcements and Accounting Misrepresentation


Murphy Austin
Email: jamurphy@oakland.edu
An Analysis of SAM Pricing in the UK


Murphy Austin
Email: jamurphy@oakland.edu
Unraveling the Complex Interrelationships between Exchange Rates and Fundamentals


N



[TOP]


Natale Francesco
Email: francesco.natale@unimib.it
Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation


Nguyen Duong, Trib Puri
Email: tpuri@umassd.edu
SYSTEMATIC LIQUIDITY, CHARACTERISTIC LIQUIDITY AND ASSET PRICING


Nguyen Hoa, Faff Robert, Hodgson Alan
Email: hoa.nguyen@deakin.edu.au
Corporate Usage of Financial Derivatives and Information Asymmetry


Niedermayer Daniel, Zimmermann Heinz
Email: daniel.niedermayer@vwi.unibe.ch
The Cross-Section of Positively Weighted Portfolios


Niskanen Mervi, Niskanen Jyrki
Email: mervi.niskanen@uku.fi
The Determinants of Firm Growth in Small and Micro Firms – Evidence on relationship lending effects.


Noe Thomas, Rebello Michael
Email: tnoe@tulane.edu
Dynamic Governance


Norden Lars, Wagner Wolf
Email: norden@bank.BWL.uni-mannheim.de
Credit Derivatives and Loan Pricing


O



[TOP]


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


Ono Sadayuki
Email: so501@york.ac.uk
Option Pricing under Stochastic Volatility and Trading Volume


Ozkan Neslihan
Email: N.Ozkan@bristol.ac.uk
CEO Compensation, Performance and Corporate Governance: An Empirical Investigation of UK Panel Data


P



[TOP]


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?


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


Prigge Stefan
Email: prigge@web.de
The Performance of Measures of Shareholder Influence


Psychoyios Dimitris, Dotsis George, Markellos Raphael
Email: dpsycho@aueb.gr
DOES THE VIX JUMP? IMPLICATIONS FOR PRICING AND HEDGING VOLATILITY RISK


Pyo Unyong
Email: upyo@brocku.ca
Real Option Price Bounds in Incomplete Markets


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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


Qian Binsheng, Sudarsanam Sudi
Email: p.s.sudarsanam@cranfield.ac.uk
Catering Theory of Corporate Spinoffs: Empirical Evidence from Europe


Qian Binsheng, Sudarsanam Sudi
Email: p.s.sudarsanam@cranfield.ac.uk
Do Stock Markets Underreact to Spinoff Announcements? The European Evidence


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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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


Ranaldo Angelo
Email: angelo.ranaldo@snb.ch
Segmentation and Time-of-Day Patterns in Foreign Exchange Markets


Reisz Alexander, Perlich Claudia
Email: Alexander.Reisz@occ.treas.gov
A Market-Based Framework for Bankruptcy Prediction


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>


Renneboog Luc, Szilagyi Peter
Email: peter.szilagyi@sbs.ox.ac.uk
How Relevant is Dividend Policy under Low Shareholder Protection?


Ritzberger Klaus, Demichelis Stefano
Email: ritzbe@ihs.ac.at
Corporate Control and the Stock Market


Rocha Katia, Siqueira Roberto, Pinheiro Felipe
Email:
VULNERABILITY OF EMERGING MARKETS TO GLOBAL RISK SHOCKS: THE ROLE OF DEBT AND GOVERNANCE ON SOVEREIGN SPREADS


Roosenboom Peter
Email:
How Do Underwriters Value Initial Public Offerings?: An Empirical Analysis of the French IPO Market


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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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


Saadi Samir, Rahman Abdul, Chourou Lamia
Email: Saadi@management.uottawa.ca
Day-of-the-week in Returns and Conditional Volatility


Sahakyan Vahe
Email: sahakyan@isb.unizh.ch
Default and non-flat reorganization boundaries in credit risk models


Samitas Aristeidis, Kenourgios Dimitris, Paltalidis Nikos
Email: asamitas@econ.uoa.gr
Financial crises and stock market dependence


Sanders Anthony, An Xudong, Deng Yongheng
Email:
Subordinations Levels in Structured Financing


Schmeling Maik
Email: schmeling@gif.uni-hannover.de
Investor sentiment, herd-like behavior and stock returns: Empirical evidence from 18 industrialized countries


Schmid Markus, Walter Ingo
Email: markus.schmid@unisg.ch
Do Financial Conglomerates Create or Destroy Economic Value?


Schneider Paul, Sögner Leopold, Veza Tanja
Email: paul.schneider@wu-wien.ac.at
Jumps and Recovery Rates Inferred from Corporate CDS Premia


Schwarze Felix
Email: fschwarz@wiwi.uni-frankfurt.de
Relationship Banking and profitability - An empirical survey of German banks


Semenov Andrei
Email: asemenov@econ.yorku.ca
Departures From Rational Expectations and Asset Pricing Anomalies


SERNA GREGORIO, VILLAPLANA PABLO
Email: Gregorio.Serna@uclm.es
MODELLING HIGHER MOMENTS OF ELECTRICITY PRICES


Seru Amit, Shumway Tyler, Stoffman Noah
Email:
Learning By Trading


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


Shu Pei-Gi, Yeh Yin-Hua
Email: yhsu@scu.edu.tw
The Decisions of the IPO Reviewing Committee – Causes and Consequences


Silva Sérgio, Azevedo-Pereira José
Email: sergios@upt.pt
Optimal Debt, Asset Substitution and Coupon Rating-Trigger Covenants


Sivaprasad Sheeja, Muradoglu Gulnur
Email: s.sivaprasad@city.ac.uk
Capital Structure and Firm Value: An Empirical Analysis of Abnormal Returns


Solnik Bruno
Email: solnik@hec.fr
Equity Home Bias and Regret: An International Equilibrium Model


Stoughton Neal, Wu Youchang, Zechner Josef
Email: youchang.wu@univie.ac.at
Intermediated investment management


Stromqvist Maria
Email:
Do Emerging Market Hedge Fund Managers Lack Skills?


Su Yong-chern, Chen Mingda, Huang Hangching
Email:
An Application of Closed-Form GARCH Option Pricing Model on FTSE Option and Volatility


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


Sudarsanam Sudi, Huang Jian
Email: p.s.sudarsanam@cranfield.ac.uk
Gender Diversity in US Top Management: Impact on Risk-taking and Acquirer Performance


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


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


Theissen Erik, Betzer Andre
Email: theissen@uni-bonn.de
Sooner or Later - Delays in Trade Reporting by Corporate Insiders


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


Tong Wilson, Cheng Peter, Li Jack
Email: aflilin@inet.polyu.edu.hk
What Triggers Top Management Turnovers in China?


Tong Wilson, Yu Wayne
Email: afwtong@inet.polyu.edu.hk
A Corporate Governance Explanation of the A-B Share Discount in China


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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Vanpée Rosanne, Sercu Piet
Email: rosanne.vanpee@econ.kuleuven.be
The Value of Clean Hands: Public Policy and International Asset Allocation


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.


Vedrashko Alexander, Babenko Ilona
Email:
Informativeness of Managerial Stock Ownership and Market Reaction to Stock Repurchase Announcements


Veld Chris, Veld-Merkoulova Yulia
Email: j.w.veld-merkoulova@stir.ac.uk
The Risk Preferences of Individual Investors


Vidal Nunes João Pedro
Email: Joao Pedro Vidal Nunes
A General Characterization of the Early Exercise Premium


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


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


Vieira Elisabete, Raposo Clara
Email: elisabete.vieira@isca.ua.pt
SIGNALLING WITH DIVIDENDS? THE SIGNALLING EFFECTS OF DIVIDEND CHANGE ANNOUNCEMENTS: NEW EVIDENCE FROM EUROPE


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


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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Wagner Alexander
Email: wagner@isb.unizh.ch
Director independence as strategic behavior


Wagner Christian
Email: christian.wagner@oenb.at
Testing Speculative Efficiency of Currency Markets


Walter Andreas, Dymke Bjoern M.
Email: andreas.walter@uni-tuebingen.de
Insider Trading in Germany – Do Corporate Insiders Exploit Inside Information?


Wang Hsiaowen, Wu Ming-Cheng
Email: hwwang@cc.ncue.edu.tw
Business Type, Value Chain Stage and R&D Performance


Wang Jialan
Email: jialanw@gmail.com
Creativity and project value in the film industry


Wang Steven S., Leung T.Y., Rui Oliver
Email: afwang@inet.polyu.edu.hk
Short Interest, Insider Trading, and Stock Returns


Wang Yaw-Huei
Email: yhwang@mgt.ncu.edu.tw
The Impact of Jump Dynamics on Density Prediction


Weill Laurent, Godlewski Christophe
Email: Laurent.Weill@urs.u-strasbg.fr
Does collateral help mitigate adverse selection problems? A cross-country analysis


Went Peter
Email: pwent@bucknell.edu
Analyzing Risks and Returns in Emerging Equity Markets


Went Peter
Email: pwent@bucknell.edu
Control and Compensation in Financial Institutions


Westerfield Mark
Email:
Optimal Dynamic Contracts with Hidden Actions in Continuous Time


Wu Eliza, Parwada Jerry
Email: e.wu@unsw.edu.au
The effects of market comovements on international mutual fund managers' portfolio holdings


Wu Eliza, Remolona Eli, Scatigna Michela
Email: e.wu@unsw.edu.au
The pricing of sovereign risk in emerging markets: fundamentals and risk aversion


Wu Jian
Email: jian.wu@groupe-esc-rouen.fr
External writer-extendible options: pricing and applications


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


Wuyts Gunther
Email: gunther.wuyts@econ.kuleuven.be
The Dynamics of Liquidity in a Limit Order Market


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Yagil Joseph, Cohen Gil
Email: yagil@gsb.haifa.ac.il
Corporate Financial Policies: A International Survey


Yang Jun, Chabi-Yo Fousseni
Email: junyang@bankofcanada.ca
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate


YANG TING, LAU SIE TING
Email: ting.yang@aut.ac.nz
An Empirical Investigation of Yankee Stock Offerings


Yavuz Deniz
Email: deniz.yavuz@asu.edu
Why do Investor Protection Matter for the Cost of Equity?


Yavuz Deniz
Email: deniz.yavuz@asu.edu
Relational Contracts and the Theory of the Firm: A Renegotiation-Proof Approach


Yavuz Deniz, Marquez Robert
Email: deniz.yavuz@asu.edu
Relation Specific Investments and the Choice between Bank and VC Finance


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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Zakamouline Valeri, Koekebakker Steen
Email: Valeri.Zakamouline@hia.no
Generalized Sharpe Ratios and Portfolio Performance Evaluation


Zanjani George, Lakdawalla Darius
Email: george.zanjani@ny.frb.org
Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk Transfer


Zdorovtsov Vladimir, Onayev Zhan
Email: Zhan_Onayev@ssga.com
Russell Reconstitution Effect Revisited


Zhang Tai-Wei, Chen An-Sing
Email: baibailee@yahoo.com.tw
Threshold Effect and the Predictive Ability of Dividend Yield


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


Zhang Zhichao, Zheng Xinwei
Email: xinwei.zheng@durham.ac.uk
Commonality in Liquidity in Emerging Markets: Evidence from the Chinese Stock Market


Zhao Xinge
Email: zxinge@ceibs.edu
The role of brokers and financial advisors behind investments into load funds


Zhu Haibin
Email: haibin.zhu@bis.org
Capital regulation and banks' financial decisions


Zitzewitz Eric
Email:
Price Discovery Among the Punters: Using New Financial Betting Markets to Predict Intraday Volatility


Zwergel Bernhard, Klein Christian
Email: cklein@uni-hohenheim.de
On the predictive power of sentiment - Why institutional investors are worth their pay



Last Updated: 22-Jun-2007
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