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CONFERENCE PARTICIPANTS
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PAPERS
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A
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[TOP]
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Abdulrahman F. Alshehri
Email: optimist2005@bristolalumni.org.uk
Student Satisfaction and Commitment towards a Blended Learning Finance Course: Evidence from Saudi Arabia using an Investment Model
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Abdullah Alshwer
Email: aalshwer@ksu.edu.sa
Cost of Capital and the Role of Institutional Investment
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Abhinav Goyal, Cal Muckley, Henk von Eije
Email: agoyal@liv.ac.uk
How do dividend policies influence firm risks?
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Adam Farago, Romeo Tedongap
Email: adam.farago@hhs.se
Volatility Downside Risk
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Adrian Costeiu, Florian Neagu
Email: Adrian.Costeiu@bnro.ro
Bridging the banking sector with the real economy: a financial stability perspective
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Alasdair Brown
Email: alasdair.brown@uea.ac.uk
Information Processing Constraints and Asset Mispricing
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Alberto Manconi, Urs Peyer, Theo Vermaelen
Email: a.manconi@tilburguniversity.edu
Buybacks Around the World
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Aldy Silva, Afrânio Vieira, Augusto Navarro, Claudio Parisi
Email: aldy.fsilva@gmail.com
Decisions On Investment And Profitability: An Empirical Study Using Generalized Linear Mixed Models In Non-financial Brazilian Companies
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Alejandro Bernales
Email: alejandro.bernales@banque-france.fr
How Fast Can You Trade? High Frequency Trading in Dynamic Limit Order Markets
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Alexandros Prezas, Karen Simonyan
Email: aprezas@suffolk.edu
Corporate Divestitures: Spin-Offs vs. Sell-Offs
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Alex Edmans, William Mann
Email: aedmans@wharton.upenn.edu
Financing Through Asset Sales
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Alexandra Dias
Email: Alexandra.Dias@le.ac.uk
The economic value of controlling for large losses in
portfolio selection
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Alexander Eisl, Rainer Jankowitsch, Marti G. Subrahmanyam
Email: alexander.eisl@wu.ac.at
Are Interest Rate Fixings Fixed? An Analysis of Libor and Euribor
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Alex Edmans, Itay Goldstein, Wei Jiang
Email: aedmans@wharton.upenn.edu
Feedback Effects and the Limits to Arbitrage
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Alexander Eisele, Tamara Nefedova, Gianpaolo Parise
Email: alexander.eisele@usi.ch
Predation versus Cooperation in Mutual Fund Families
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Alexander Kerl, Martin Ohlert
Email: Alexander.Kerl@wirtschaft.uni-giessen.de
Forecast accuracy of star-analysts in the context of different corporate governance settings
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Alex Edmans, Itay Goldstein, John Zhu
Email: aedmans@wharton.upenn.edu
Contracting With Synergies
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Allen Berger, Sadok El Ghoul, Omrane Guedhami, Raluca Roman
Email: aberger@moore.sc.edu
Bank Internationalization and Risk-Taking
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Anastasia Petraki, Ania Zalewska
Email: a.zalewska@bath.ac.uk
With whom and in what is it better to save? Personal pensions in the UK
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Andrea Cipollini, Iolanda Lo Cascio, Silvia Muzzioli
Email: andrea.cipollini@unimore.it
Wavelet based factor analysis of implied volatilities
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Andrea Buraschi, Andrea Carnelli, Paul Whelan
Email: paul.whelan07@imperial.ac.uk
Monetary Policy and Treasury Risk Premia
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Andreas W. Rathgeber, Johannes Stadler, Stefan Stöckl
Email: stefan.stoeckl@uni-konstanz.de
Modeling share returns -an empirical study on the Variance Gamma model
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Andrew Clare, James Seaton, Peter Smith, Stephen Thomas
Email: peter.smith@york.ac.uk
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
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Andrey Golubov, Dimitris Petmezas, Theodore Sougiannis, Nickolaos G. Travlos
Email: andrey.golubov.1@city.ac.uk
Due Diligence on the Bidder and the Certification Effect
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Anne-Marie Anderson, Nandkumar
Email: ama6@lehigh.ed
Board of Directors and Shareholder Value: New Evidence
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Antonio Diaz, Francisco Jareno, Eliseo Navarro
Email: Antonio.Diaz@uclm.es
Discrepancies in the underlying zero coupon yield curve
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Anzhela Knyazeva, Diana Knyazeva, Charu Raheja
Email: anzhela.knyazeva@simon.rochester.edu
Do Opposites Attract? Dissimilar Directors and Coordination within Corporate Boards
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Anzhela Knyazeva, Diana Knyazeva, Ronald Masulis
Email: anzhela.knyazeva@simon.rochester.edu
The Supply of Corporate Directors and Board Independence
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Aparna Gupta, Tianjiao Gao, Nalan Gulpinar
Email: guptaa@rpi.edu
Optimal Hedging Strategy for Risk Management on a Network
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Apostolos Kourtis
Email: a.kourtis@uea.ac.uk
Stable and Efficient Portfolios
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Ariadna Dumitrescu, Javier Gil-Bazo
Email: javier.gil-bazo@upf.edu
Market Frictions, Investor Sophistication and Persistence in Mutual Fund Performance
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Armen Arakelyan, Gonzalo Rubio, Pedro Serrano
Email: armen@cunef.edu
Market-Wide Liquidity in Credit Default Swap Spreads
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Asad Kausar, Alok Kumar, Richard Taffler
Email: akausar@ntu.edu.sg
Why the going-concern accounting anomaly: gambling in the market?
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Atul Gupta, Kartik Raman
Email: agupta@bentley.edu
Female CEOs
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Aydin Ozkan, Agnieszka Trzeciakiewicz
Email: a.ozkan@hull.ac.uk
The Informative Content of CEO and CFO Insider Trading: New Evidence from the Financial Crisis.
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[TOP]
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BALBINDER SINGH
Email: balbinder.gill@ugent.be
Managerial Risk Preferences, Human Capital and the Maturity Structure of Corporate Debt
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Bastian von Beschwitz, Daniel Foos
Email: bastian.vonbeschwitz@insead.edu
The causal effect of banks’ equity stakes on their lending
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Balasingham Balachandran, Robert Faff, Michael Theobald, Eswaran Velayutham, Patrick Verwijmeren
Email: B.Balachandran@latrobe.edu.au
Does Quality Signalling and Mispricing Explain the Choice and Long-term Impact of Seasoned Equity Offering Methods?
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Betty (H.T.) Wu, Mieszko Mazur
Email: Betty.Wu@glasgow.ac.uk
Founding Family CEO Pay Incentives and Investment Policy: Evidence from a Structural Model
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Bin Liu, Amalia Di Iorio
Email: bin.liu@rmit.edu.au
Do the asset pricing factors predict future economy growth? An Australian study.
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Blerina Bela Reca, Kainan Wang
Email: Blerina.Reca@utoledo.edu
Institutional Investor Holdings in Mutual Funds: Evidence from their Undiscovered 13F Reports
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Bruce Seifert, Halit Gonenc
Email: bseifert@odu.edu
Cash Savings from Net Equity Issues, Net Debt Issues, and Cash Flows International Evidence
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Burcu Esmer
Email: besmer@bilkent.edu.tr
Creditor Control Rights and Managerial Risk Shifting
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Byoung-Kyu Min
Email: byoungkyu.min@unine.ch
Estimation and Test of a Simple Consumption-Based Asset Pricing Model
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[TOP]
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Carlo Chiarella, Stefano Gatti
Email: stefano.gatti@unibocconi.it
How much to pay, and how, for opacity? Negotiating premiums and method of payment in M&A.
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Catherine Bruneau, Anne-Laure Delatte, Julien Fouquau
Email: ald@rouenbs.fr
Is the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments
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Carol Alexander, Xi Chen, Charles Ward
Email: x.chen@icmacentre.ac.uk
Enhanced MAD for Real Option Valuation and the Application of Market Utility
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Christof Beuselinck, Lihong Cao, Marc Deloof, Xinping Xia
Email: caolhjy@gmail.com
The Value of Government Ownership during the Global Financial Crisis
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Christodoulos Louca, Panayiotis Andreou, Constantinos Antoniou, Joan Horton
Email: christodoulos.louca@cut.ac.uk
Corporate Governance and Stock Price Crashes
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Christopher Boortz, Simon Jurkatis, Stephanie Kremer, Dieter Nautz
Email: dieter.nautz@fu-berlin.de
Correlated Trades and Herd Behavior in the Stock Market
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Chin-Han Chiang, Sung Gon Chung
Email: chchiang@smu.edu.sg
Insider Trading and Option Returns Around Earnings Announcements
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Charles K. Leung, Fred Y. Kwan, Jinyue Dong
Email: kycleung@cityu.edu.hk
Stock Price Dynamics of China: a Structural Estimation Approach
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Chao-Chun Chen, Shih-Kuei Lin, Wen-Shih Chen
Email: jawjiun@thu.edu.tw
Mortgage insurance premiums and business cycle
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Chanatip Kitwiwattanachai
Email: kchanatip@gmail.com
The Stochastic Recovery Rate in CDS: Empirical Test and Model
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Christian Speck
Email: CSpeck@uni-mannheim.de
Corporate Bond Risk Premia
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Christian
Email: christian.gabriel@wiwi.uni-halle.de
Joint affine term structure models: Conditioning information in international bond portfolios
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Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Email: d.ding@massey.ac.nz
Liquidity and Crises in Asian Markets
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Chris Brooks, Keith Anderson
Email: keith.anderson@york.ac.uk
Speculative Bubbles and the Cross-Sectional Variation in Stock Returns
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Constantinos Gavriilidis, Vasileios Kallinterakis, Mario Pedro Leite Ferreira
Email: V.Kallinterakis@liverpool.ac.uk
Institutional Industry Herding: Intentional or Spurious?
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Colm Kearney, Sha Liu, Khurshid Ahmad
Email: lius2@tcd.ie
Does firm-specific textual sentiment predict equity returns?
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Constantinos Antoniou, Richard Harris, Ruogu Zhang
Email: rgz201@ex.ac.uk
Ambiguity Aversion and Market Participation: Evidence from Fund Flows
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Colm Doyle, John Cotter
Email: colm.doyle@ucdconnect.ie
Optimal DC Pension Fund Management and the Dangers of Longevity Risk
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[TOP]
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David Hillier, Patrick McColgan, Athanasios Tsekeris, Aksel Skancke Presthus
Email: athanasios.tsekeris@strath.ac.uk
Incentive Compensation, Corporate Governance Regulation and Acquisition Decisions
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Davide Avino, Ogonna
Email: d.avino@icmacentre.ac.uk
Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
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David Allen, Marvin Wee, Joey Wenling Yang
Email: joeywenling.yang@uwa.edu.au
The evolution of informed liquidity provision and consumption: Evidence from an order driven market
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David Simon, Jim Campasano
Email: dsimon@bentley.edu
The VIX Futures Basis: Evidence and Trading Strategies
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Deven Bathia, Don Bredin
Email: deven.bathia@ncl.ac.uk
Investor Sentiment: Does it augment the performance of asset pricing model?
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E
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[TOP]
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Emawtee Bissoondoyal-Bheenick, Robert Bheenick, Sirimon Treepongkaruna
Email: banita.bissoondoyal-bheenick@monash.edu
What determines CABS ratings and do the ratings matter on average?
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Eliezer Fich, Tu Nguyen, Micah Officer
Email: emf35@drexel.edu
Large Wealth Creation in Mergers and Acquisitions
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Elias Albagli
Email: albagli@marshall.usc.edu
Investment Horizons and Asset Prices under Asymmetric Information
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Erik Theissen, Christian Voigt, Christian Westheide
Email: theissen@unimannheim.de
Designated Market Makers in Electronic Limit Order Books - A Closer Look
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Eduardo Maqui-Lopez, Francisco Rodriguez-Fernandez, Santiago Carbo-Valverde,
Email: edumaqui@ugr.es
Trust in Banks: Evidence from the Spanish Financial Crisis
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Ettore Croci, Dimitris Petmezas
Email: ettore.croci@unicatt.it
Does Compensation Induce CEOs to Take Risk? Evidence from Acquisitions
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[TOP]
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Fabian Irek, Thorsten Lehnert
Email: fabian.irek@uni.lu
Do Fund Investors know that Risk is Sometimes not Priced?
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Fabricio Perez .M, Andriy Shkilko, Tony Tang
Email: mperez@wlu.ca
Signaling Via Stock Splits: Evidence From Short Interest
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Fergal O'Connor, Brian Lucey
Email: fergal.a.oconnor@gmail.com
Do Bubbles occur in Gold Prices? An application of Gold Lease Rates and Markov Switching Models.
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Florian Sonnenburg, Alexander Kempf, Alexander Puetz
Email: sonnenburg@wiso.uni-koeln.de
Fund Manager Duality: Impact on Performance and Investment Behavior
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FRANCESCA FRANCO FRANCO, MARY ELLEN CARTER CARTER, MIREIA GINE TORRENS
Email: francesca_franco@hotmail.com
Trends in executive gender pay gaps: the role of females’ risk aversion and board composition
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Francois Degeorge, Francois Derrien, Ambrus Kecskes, Sebastien Michenaud
Email: ambrusk@gmail.com
Do Analysts Preferences Affect Corporate Policies?
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Frederic Deleze, Syed Mujahid Hussain
Email: syed.mujahid@hanken.fi
Information arrival, Jumps and Cojumps in European Financial Markets: Evidence using tick by tick data
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F.Y. Eric C. Lam, K.C. John Wei
Email: fyericcl@hkbu.edu.hk
The External Financing Anomaly beyond Real Investment and Earnings Management
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[TOP]
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Gabriele sampagnaro, franco Fiordelisi, stefano monferra
Email: gabriele.sampagnaro@uniparthenope.it
Relationship Lending and Credit Quality
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Gang Li, Chu Zhang
Email: garyli@polyu.edu.hk
Jump Intensities, Jump Sizes, and the Relative Stock Price Level
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Gechun Liang, Eva Lutkebohmert, Wei Wei
Email: gechun.liang@oxford-man.ox.ac.uk
A Continuous Time Structural Model for Insolvency, Recovery, and Rollover Risks
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Gerrit Ahlers, Douglas Cumming, Christina Gunther, Denis Schweizer
Email: douglas.cumming@gmail.com
Signaling in Equity Crowdfunding
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George Alexandridis, Lars Terhaar
Email: g.alexandridis@icmacentre.ac.uk
Can Failure Signal Success? Evidence from Withdrawn M&A Deals
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Gianni Brighetti, Caterina Lucarelli, Nicoletta Marinelli
Email: nicoletta.marinelli@unimc.it
Do “gut feelings” affect insurance demand?
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Gil Aharoni, Christine Brown, Qi Zeng
Email: gaharoni@unimelb.edu.au
Book to Market, Turnaround Probability and Stock Returns
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Gjergji Cici, Alexander Kempf, Christoph Sorhage
Email: sorhage@wiso.uni-koeln.de
Are Financial Advisors Useful? Evidence from Tax-Motivated Mutual Fund Flows
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Gonul Colak, Art Durnev, Yiming Qian
Email: gcolak@cob.fsu.edu
Derailed by the Election: IPO Activity Under Election Uncertainty
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Gonzalo Camba-Mendez, Santiago Carbo-Valverde, Diego Rodriguez-Palenzuela
Email: s.carbo-valverde@bangor.ac.uk
Access to Funding by European Banks and the Financial Crisis
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Gordon Gemmill, Miriam Marra
Email: m.marra@icmacentre.ac.uk
Fat Tails, Illiquidity, and Uncertainty as Explanations of the Credit Spread Puzzle
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Graham Bornholt, Mirela Malin
Email: g.bornholt@griffith.edu.au
Long-Term Return Reversal: Evidence from International Market Indices
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Grant Cullen, Dominic Gasbarro, Kim-Song Le, Gary Monroe
Email: k.le@murdoch.edu.au
Does selectivity in mutual fund trades exploit sentiment timing?
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Guillaume Vuillemey, Tuomas Peltonen
Email: guillaume.vuillemey@sciences-po.org
Sovereign Credit Events and Their Spillovers to the European Banking System - The Interplay Between Sovereign Bonds and CDS Holdings
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Guillaume Pijourlet
Email: guillaume.pijourlet1@udamail.fr
Corporate social responsibility and financing decisions
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Guillermo Baquero, Marno Verbeek
Email: baquero@esmt.org
The Convexity and Concavity of the Flow-Performance Relationship for Hedge Funds
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[TOP]
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Hassan Tanha, Michael Dempsey, Terrence Hallahan
Email: terrence.hallahan@vu.edu.au
Macroeconomic information and implied volatility: evidence from Australian index options
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Her-Jiun Sheu, Hsiang-Tai Lee, Yu-Sheng Lai
Email: yushenglai@ncnu.edu.tw
A Markov Regime Switching GARCH Model with Realized Measures of Volatility for Optimal Futures Hedging
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Hilal Butt
Email: hilalbutt@hotmail.com
An Impact of Illiquidity Risk for the Cross-Section of Nordic Markets.
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Hsiao-Peng Fu, Sheng-Hung Chen
Email: hspefu@pu.edu.tw
Investor sentiment and revenue surprises: The Taiwanese experience
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Hubert Dichtl, Wolfgang Drobetz, Martin Wambach
Email: wolfgang.drobetz@wiso.uni-hamburg.de
Testing Rebalancing Strategies for Stock-Bond Portfolios: What Is the Optimal Rebalancing Strategy?
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Hui (Julia) Zhu
Email: julia.hui.zhu@gmail.com
Implications of Limited Investor Attention to Economic Links
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Huili Chang, Frank Song
Email: kellyhlchang@gmail.com
Testing the Pecking Order Theory with Financial Constraints
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Hugh Colaco, Amedeo De Cesari, Shantaram Hegde
Email: a.decesari@aston.ac.uk
Retail investor sentiment and IPO valuation
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Hsin-Hui Chiu, Praveen Sinha
Email: praveensinha@yahoo.com
Valuation and Initial Return of Initial Public Offerings: Role of Discretionary Accounting Accruals
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Hsin-I Chou, Jing Zhao, Sandy Suardi
Email: s.suardi@latrobe.edu.au
Factor Reversal in the Euro Zone Stock Returns: Evidence from the Crisis Period
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[TOP]
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Ilaria Piatti, Fabio Trojani
Email: ilaria.piatti@usi.ch
Dividend Growth Predictability and the Price-Dividend Ratio
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Isaac Tabner, Kevin Campbell
Email: isaac.tabner@stir.ac.uk
Bonding, firm value and liquidity: An analysis of migrations between the AIM and the Official List of the London Stock Exchange
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Isabel Feito-Ruiz, Susana Menéndez-Requejo
Email: ifeir@unileon.es
Acquisition Of Listed Vs Unlisted Firms: Determinants In Different Legal And Institutional Environments
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Imad Moosa, Larry Li, Tony Naughton
Email: tony.naughton@rmit.edu.au
Operational Risk, the Legal System and Governance Indicators: A Country-Level Analysis
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[TOP]
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Ja Ryong Kim
Email: s0897695@exseed.ed.ac.uk
Discount Based Valuation Model: Contrast between Theoretical Value and Empirical Results
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Jaime Casassus, Freddy Higuera
Email: jcasassus@uc.cl
The Economic Impact of Oil on Industry Portfolios
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Jan Annaert, Anouk Claes, Marc De Ceuster, Hairui Zhang
Email: hairui.zhang@ua.ac.be
The Estimation of Svensson Model Term Structures and Their Volatilities
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Jan-Carl Plagge
Email: jcplagge@aol.com
Determinants of Liquidity (Re-)Allocation and the Decision to Cross-List
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Jeewon Jang, Jangkoo Kang, Changjun Lee
Email: leechangjun0809@gmail.com
State-dependent Variations in Expected Illiquidity Premium
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Jefferson Duarte, Nishad Kapadia
Email: jd10@rice.edu
Davids, Goliaths, and Business Cycles
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Jiang Luo, Zheng Qiao
Email: luojiang@ntu.edu.sg
Style Dispersion and Mutual Fund Performance
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Jing Luo, Frank M. Song
Email: luojing2009@hku.hk
CEO Option Compensation, Risk-taking and the Financial Crisis: Evidence from the Banking Industry
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Johan Knif, James Kolari, Seppo Pynnönen
Email: sjp@uva.fi
A Powerful Testing Procedure of Abnormal Stock Returns in Long-Horizon Event Studies
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John Puthenpurackal, Arun Upadhyay
Email: john.puthenpurackal@unlv.edu
When are women directors valuable?
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John Thanassoulis
Email: john.thanassoulis@economics.ox.ac.uk
Short-Term Shareholders, Bubbles, And CEO Myopia
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Jonathan Batten, Lee Hwei Khaw, Martin Young
Email: m.young@massey.ac.nz
PRICING CONVERTIBLE BONDS
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Jose Marti Pellon, Annalisa Croce, Olaf M. Rottke
Email: olaf.rottke.ucm@gmail.com
Investment-cash flow sensitivity in family-controlled firms and the impact of venture capital funding
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Jue Wang, Jiri Svec, Maurice Peat
Email: j.wang@sydney.edu.au
Fiscal Opacity and Sovereign Credit Spreads
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Juha Joenvaara, Robert Kosowski, Pekka Tolonen
Email: pekka.tolonen@oulu.fi
New 'Stylized Facts' About Hedge Funds and Database Selection Bias
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Justinas Brazys, Martin Martens, Willem Verschoor
Email: brazys@ese.eur.nl
The time-varying reaction of high yield currencies to economic news
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Justin Birru, Baolian Wang
Email: birru_2@fisher.osu.edu
Nominal Price Illusion
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Justin Lallemand, Tomas Jandik
Email: justin.lallemand@du.edu
Do Capital Structure Adjustments by Takeover Targets Influence Acquisition Gains?
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Justus Heuer
Email: jheuer@mail.uni-mannheim.de
Neglected risks in mutual fund performance measurement: An additional cost to stock-picking.
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K
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[TOP]
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Kadan Ohad, Leonardo Madureira, Rong Wang, Tzachi Zach
Email: rongwang@smu.edu.sg
Stock Picking, Industry Picking and Market Timing in Sell-Side Research
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Kai-Shi Chuang, Jo Danbolt, Kwaku Opong
Email: kashchuang@gmail.com
Financial advisors, financial crisis, and shareholder wealth in bank mergers
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Kamphol Panyagometh, Gordon Roberts, Aron Gottesman, Mehdi Beyhaghi
Email: groberts@schulich.yorku.ca
Performance Pricing Covenants and Corporate Loan Spreads
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Kazuo Yamada
Email: mukashin@gmail.com
Inter-firm Relationships and Leverage Adjustment
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Koresh Galil, Offer Moshe Shapir, Uri Benzion
Email: offer.shapir@gmail.com
CDS spreads and spread change determinants: A firm-specific and market-factors study
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Konstantina Kappou, Ioannis Oikonomou
Email: i.oikonomou@icmacentre.ac.uk
Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices
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Kristoffer Glover, Gerhard Hambusch
Email: kristoffer.glover@uts.edu.au
Leveraged investments and agency conflicts when prices are mean reverting
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[TOP]
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Lara Cathcart, Lina El-Jahel, Ravel Jabbour
Email: r.jabbour10@imperial.ac.uk
On Setting Adequate Capital Ratios: A Study of Changing Patterns between Leverage and Risk-Based Capital Ratios
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Laura Ballester Miquel, Barbara Casu Lukac, Ana Gonzalez-Urteaga
Email: ana.gonzalezu@unavarra.es
Bank CDS spreads and Banking Fragility
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Liangbo Ma, Shiguang Ma, Gary Tian
Email: liangbo@uow.edu.au
The impact of information opacity on the relation between founding-family control and cost of debt
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Li Li, Mary Ma, Frank Song
Email: mlizhi@xmu.edu.cn
CEO Option Compensation, Risk-taking Incentives, and Systemic Risk in the Banking Industry
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Li-Wen Chen, Hsin-Yi Yu
Email: hyyu@nuk.edu.tw
Investor Attention, Visual Price Pattern, and Momentum Investing
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Lorne Switzer, Easton Sheahan-Lee
Email: switz@jmsb.concordia.ca
"The Impact of Dodd-Frank Regulation of OTC Derivative Markets and the Volker Rule on International Versus US Banks: New Evidence"
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Lucia Gibilaro, Gianluca Mattarocci
Email: gianluca.mattarocci@uniroma2.it
Landmark Buildings and Diversification Opportunities in the Residential Market
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[TOP]
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Madhucchand Darbha, Alfonso Dufour
Email: m.darbha@icmacentre.ac.uk
Measuring Euro Area Government Bond Market Liquidity And Its Asset Pricing Implications
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Mahir Alman
Email: alman.finanz@sowi.uni-bamberg.de
Shari’ah Supervisory Board Composition Effects On Islamic Banks’ Risk-Taking Behavior
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Marcel Prokopczuk, Lazaros Symeonidis
Email: l.symeonidis@icmacentre.ac.uk
The Economic Drivers of Time-Varying Commodity Market Volatility
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Marcin Wojtowicz
Email: m.p.wojtowicz@vu.nl
CDOs and the Financial Crisis: Credit Ratings and Fair Premia
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MANUEL ARMADA, RICARDO SOUSA
Email: mjrarmada@gmail.com
Risks for the Long-Run and the Time-Series of Asset Returns
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Marcel Prokopczuk, Chardin Wese Simen
Email: c.wesesimen@icmacentre.ac.uk
Variance Risk Premia in Commodity Markets
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Marcelo Perlin
Email: marcelo.perlin@ufrgs.br
Estimating the Intensity of News Based on Trade Data
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Marco Navone
Email: marco.navone@uts.edu.au
Investing in Tough Times. What investors behavior across the business cycle tells about the mutual fund market
|
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Maria Correia, Michael Klausner
Email: mcorreia@london.edu
Are securities class actions "supplemental" to SEC enforcement? An empirical analysis.
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Marian Moszoro, Ziemowit Bednarek
Email: mmoszoro@iese.edu
The Arrow-Lind Theorem Revisited: Ownership Concentration and Valuation
|
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Marie Dutordoir, Norman Strong, Marius C. Ziegan
Email: marius.ziegan@postgrad.mbs.ac.uk
Does corporate governance influence convertible bond issuance?
|
|
Marie-Helene Gagnon, Gabriel
Email: gabriel.power@fsa.ulaval.ca
Rare events and investor risk aversion: evidence from crude oil options
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Markus Broman
Email: mbroman10@schulich.yorku.ca
Commonality in ETF Mispricing and Contagion
|
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Markus Doumet, Christian Andres, André Betzer
Email: doumet@uni-mannheim.de
Measuring Abnormal Credit Default Swap Spreads
|
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Massimo Guidolin, Erwin Hansen, Martin Lozano
Email: erwin.hansen@postgrad.mbs.ac.uk
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment
|
|
Mathieu Luypaert, Tom Van Caneghem
Email: mathieu.luypaert@vlerick.com
Financial Analyst Coverage, Method of Payment and Wealth Effects in M&As
|
|
Martin Haferkorn, Kai
Email: haferkorn@wiwi.uni-frankfurt.de
Securities Transaction Tax and Market Quality – The Case of France
|
|
Mesut Tastan, Sonia Falconieri, Igor Filatotchev
Email: mesut.tastan.1@cass.city.ac.uk
Does Venture Capital Syndicate Size Matter?
|
|
Meziane Lasfer, Natalia Matanova
Email: natalia.matanova.1@cass.city.ac.uk
Why do PE and VC Firms Retain Ownership after the Initial Public Offering?
|
|
Michiel De Pooter, Robert Martin, Seth Pruitt
Email: michiel.d.depooter@frb.gov
The Effects of Official Bond Market Intervention in Europe
|
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Michael Mueller
Email: mmueller@bankofcanada.ca
Persistent Leverage in Residual-Based Portfolio Sorts: An Artifact of Measurement Error?
|
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Mohamed Ayadi, Mike Densmore, Skander Lazrak, Robert Welch
Email: slazrak@brocku.ca
The Informational Value Of Corporate Credit Ratings
|
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Mohamed Belkhir, Hamdi Ben-Nasr
Email: m.belkhir@uaeu.ac.ae
The Role of Labor in the Privatization Design: International Evidence from the Choice between Public and Private Capital Markets
|
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Monica Gentile, Luca Giordano
Email: gentile.monica@gmail.com
Financial contagion during Lehman default and sovereign debt crisis An empirical analysis on Euro area bond and equity markets
|
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N
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[TOP]
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Nabil
Email: nkahale@escpeurope.eu
Super-replication of financial derivatives via convex programming
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Narjess Boubakri, Aymen Karoui, Maher Kooli
Email: kooli.maher@uqam.ca
Performance and Survival of Mutual Fund Mergers: Evidence from Frequent and Infrequent Acquirers
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Neslihan Ozkan, Amedeo De Cesari
Email: n.ozkan@bristol.ac.uk
CEO Incentives and Payout Policy: Empirical Evidence from Europe
|
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Nick Taylor
Email: TaylorN@cardiff.ac.uk
The economic value of volatility forecasts:\\A conditional approach
|
|
Nikolaos Karampatsas, Dimitris Petmezas, Nickolaos Travlos
Email: d.petmezas@surrey.ac.uk
Credit Ratings and the Choice of Payment Method in Mergers and Acquisitions
|
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O
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[TOP]
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Olivier Darné, Guy Levy-Rueff, Adrian Pop
Email: adrian.pop@univ-nantes.fr
Calibrating Initial Shocks In Bank Stress Test Scenarios: An Outlier Detection Based Approach
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Omesh Kini, Jaideep Shenoy, Venkat Subramaniam
Email: vencat@tulane.edu
Product Recalls, Resource Reallocation, and Contagion along the Supply Chain
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Oscar Stolper, Markus Baltzer, Andreas Walter
Email: oscar.stolper@wirtschaft.uni-giessen.de
Is local bias a cross-border phenomenon? Evidence from individual investors’ international asset allocation
|
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Ottorino Morresi, Andrea Oro Nobili
Email: ottorino.morresi@uniroma3.it
New evidence on the performance of Italian privatized firms: Should the experiment be repeated in the aftermath of the recent financial crisis?
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Otto Randl, Georg Cejnek
Email: otto.randl@wu.ac.at
Implications of Index Construction Methodologies for Price and Dividend Indices
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P
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[TOP]
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Paulo J. Pereira, Artur Rodrigues
Email: artur.rodrigues@eeg.uminho.pt
Investment Decisions in Finite-lived Monopolies
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Panayiotis Andreou, Daphna Ehrlich, Christodoulos Louca
Email: panayiotis.andreou@cut.ac.cy
Managerial Ability and Firm Performance: Evidence from the Global Financial Crisis
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Pasquale Della Corte, Steven Riddiough, Lucio Sarno
Email: p.dellacorte@imperial.ac.uk
Currency Premia and Global Imbalances
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Patrick Gagliardini, Serge Darolles, Christian Gourieroux
Email: patrick.gagliardini@usi.ch
Survival of Hedge Funds: Frailty vs Contagion
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Pengguo Wang
Email: p.wang@exeter.ac.uk
The Implied Risk Premium and Firm Risk Characteristics
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|
Peter Grundke, Kamil Pliszka
Email: kamil.pliszka@uni-osnabrueck.de
Empirical implementation of a quantitative reverse stress test for defaultable fixed-income instruments with macroeconomic factors and principal components
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|
PETER SPENCER, ADAM
Email: ps35@york.ac.uk
The Meiselman forward interest rate revision regression as an Affine Term Structure Model
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Philippe Gregoire, James Eaves, Michel Gendron, Manel Kammoun
Email: philippe.gregoire@fsa.ulaval.ca
The impact of brokers on the dynamics of a Walrasian auction
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|
Piotr Danisewicz, Danny McGowan, Enrico Onali, Klaus Schaeck
Email: klaus.schaeck@bangor.ac.uk
The real effects of regulatory enforcement actions: Evidence from U.S. counties
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Q
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[TOP]
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Qingfu Liu, Yunbi An
Email: yunbi@uwindsor.ca
Risk contributions of trading and non-trading hours: Evidence from commodity futures markets
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Qingzhong Ma
Email: qm26@cornell.edu
Firm-specific information and future returns of past winners and losers
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Qingzhong Ma, Andrey Ukhov
Email: andrey.ukhov@gmail.com
What is common among return anomalies? Evidence from insider trading decisions
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R
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[TOP]
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Radu Tunaru
Email: R.Tunaru@kent.ac.uk
Identifying the Fundamental Economic Trend of Commercial Real-Estate in UK: with Applications to Pricing Derivatives on IPD Index
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Rafel Crespi, Bartolome Pascual-Fuster
Email: tomeu.pascual@uib.es
"Stretching the truth or lying? The independence of the “independent” directors"
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Raquel Lopez, Eliseo Navarro
Email: raquel.lopez@uclm.es
Interest rate and stock return volatility indices for the Eurozone. Investors´ gauges of fear during the recent financial crisis
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Rasa Karapandza, Jose Marin
Email: rasa.karapandza@gmail.com
Dissecting Market Efficiency
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Rasha Alsakka, Owain ap Gwilym, Tuyet Nhung Vu
Email: r.alsakka@bangor.ac.uk
Bank and sovereign credit ratings during the European debt crisis
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Richard Fairchild, Yilmaz Guney
Email: y.guney@hull.ac.uk
Business cycles and leverage in UK firms: a theoretical and empirical analysis
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Roberto Barontini, Stefano Bozzi
Email: stefano.bozzi@unicatt.it
Ownership Structure, Family Control And Ceo Compensation: Evidence From Continental Europe
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Rodrigo De-Losso, Alan De Genaro, Bruno Giovannetti
Email: delosso@usp.br
Testing the Effects of Short-Selling Restrictions on Asset Prices
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Rohit Sonika
Email: r.sonika@lancaster.ac.uk
Compensation Structure Shifts: Rationale and Likelihood of Introducing ‘New Components’
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S
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[TOP]
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Sabur Mollah, Goran Zafirov, Shahiduzzaman Quoreshi
Email: sabur.mollah@fek.su.se
Financial Market Contagion during Global Financial Crisis
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Sahn-Wook Huh, Hao Lin, Antonio Mello
Email: swhuh@buffalo.edu
Hedging by Options Market Makers: Theory and Evidence
|
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Salma Ben Amor, Maher Kooli
Email: kooli.maher@uqam.ca
From IPO to M&A: further evidence
|
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Salim Chahine, Jonathan Arthurs, Igor Filatotchev, Mike Wright
Email: sc09@aub.edu.lb
It’s the Season of Giving Gifts: Share Acquisition by VCs at the Time of the IPO
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Sam Agyei-Ampomah, Dimitrios Gounopoulos, Khelifa Mazooz
Email: d.gounopoulos@surrey.ac.uk
Does gold offer a better protection against sovereign debt crisis than other metals?
|
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Santiago Carbo-Valverde, Luis Pedauga, Francisco Rodriguez-Fernandez
Email: pedauga@ugr.es
Another look at Bank Consolidation and Financial Stability
|
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Sarath Chand G, Thenmozhi M
Email: thatssharath@gmail.com
Do Global stock market cues matter in forecasting stock returns in developed and developing markets?
|
|
Seraina Anagnostopoulou, Andrianos Tsekrekos
Email: sanagnosto@aueb.gr
Earnings Management in Firms Seeking to Be Acquired
|
|
Shage Zhang
Email: szhang@trinity.edu
Pay Gap among Executives and Firm Value
|
|
Shannon Lin, Naqiong Tong, Alan Tucker
Email: nqtong@phbs.pku.edu.cn
Endogenous Effective Tax Rates, Tax Aggression, and Debt
|
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Sheehan Rahman, Thomas Schleicher, Martin Walker
Email: sheehan.rahman@postgrad.mbs.ac.uk
The Information Content Of Interim Management Statements
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Silvia Stanescu, Radu Tunaru
Email: S.Stanescu@kent.ac.uk
Investment Strategies with VIX and VSTOXX
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Simon Rottke, Alexander Klos
Email: simon.rottke@qber.uni-kiel.de
Saving and Consumption When Children Move Out
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Sol Kim
Email: solkim@hufs.ac.kr
Roll-Over Parameters and Option Pricing
|
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Stanley B. Gyoshev, Todd R. Kaplan, Samuel H. Szewczyk, George P. Tsetsekos
Email: s.gyoshev@ex.ac.uk
Why Do Financial Intermediaries Buy Put Options from Companies?
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Stefan Bogner, Stephan Gasser, Margarethe Rammerstorfer
Email: stephan.gasser@wu.ac.at
M&As in European and North American Energy Markets: Implications for the Assessment of Legal and Ownership Unbundling
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Stefan Obernberger
Email: obernberger@corporate-finance-mannheim.de
Why do firms buy back below average market prices?
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Stefano Paleari, Andrea Signori, Silvio Vismara
Email: andrea.signori@unibg.it
How do underwriters select peers when valuing IPOs?
|
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Stephen Brown, Inchang Hwang, Francis In
Email: francis.in@monash.edu
Why optimal diversification cannot outperform naive diversification: Evidence from tail risk exposure
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Stephen Christophe, Michael Ferri, Jim Hsieh
Email: schristo@gmu.edu
Why Investors Want to Know the Size of Your Shorts
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Stephan Meyer, Sebastian Schroff
Email: schroff@uni-hohenheim.de
Lottery Losses of Retail Investors
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Stephen Taylor, Ch-Feng Tzeng, Martin Widdicks
Email: s.taylor@lancaster.ac.uk
Bankruptcy probabilities inferred from option prices
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Steven Balsam, Elizabeth Gordon, Xi Li, Emmeli Runessen
Email: drb@temple.edu
"Mandatory Disclosure Reform and Executive Compensation: Is CFO Pay Higher After the Mandatory Adoption of IFRS?"
|
|
Subramanian Iyer, Ramesh Rao
Email: ramesh.rao@okstate.edu
Share Repurchases And The Flexibility Hypothesis
|
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Sudha Mathew
Email: k0943919@kingston.ac.uk
Board Composition and Risk-taking in UK firms
|
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Sudip Datta, Mai Datta, Vivek Singh
Email: vatsmala@umich.edu
Product Market Power, Industry Structure, and Corporate Earnings Management
|
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Sungjun Cho
Email: sungjun.cho@mbs.ac.uk
The Time-varying Risk-Return Tradeoff in the Long-Run
|
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Swasti Gupta-Mukherjee
Email: sguptamukherjee@luc.edu
Categorical Thinking in Portfolio Choice
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T
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[TOP]
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Taek Ho Kwon, Sung C. Bae, Rae Soo Park
Email: bae@bgsu.edu
Measurement and Management of Exchange Rate Exposure: New Approach and Evidence
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Takashi Kanamura
Email: tkanamura@gmail.com
Market Risk, Credit Risk, and Futures Trading in Commodity Markets
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Thibaut Moyaert
Email: thibaut.moyaert@uclouvain.be
The Information Content of Volume Price Impact for Intraday Liquidity Forecasting
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Thomas Conlon, John Cotter, Ramazan Gencay
Email: conlon.thomas@ucd.ie
Commodity Futures Hedging, Risk Aversion and the Hedging Horizon
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Tor Brunzell, Eva Liljeblom, Anders Löflund, Mika Vaihekoski
Email: mika.vaihekoski@utu.fi
Dividend Policy in Nordic Listed Firms
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Truong Duong, Rajdeep Singh, Eng-Joo Tan
Email: tduong@iastate.edu
What’s Wrong with Rights?
|
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Tugkan
Email: tugkan.tuzun@frb.gov
Are Leveraged and Inverse ETFs the New Portfolio Insurers?
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U
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[TOP]
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Ugo Rigoni, Elisa Cavezzali
Email: elisa.cavezzali@unive.it
Financial Analysts Accuracy: Do valuation methods matter?
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Utz Weitzel, Gerhard Kling
Email: u.weitzel@fm.ru.nl
Sold below value? Why some targets accept very low and even negative takeover premiums.
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V
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[TOP]
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Valerio Poti
Email: valerio.poti@dcu.ie
What drives currency predictability
|
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Vadym Volosovych, Stephan
Email: volosovych@ese.eur.nl
Do Secondary Buyouts Create Value? Evidence from the United Kingdom
|
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Valentina Tarkovska
Email: v.tarkovska@liverpool.ac.uk
Busy Boards, Corporate Liquidity and Financial Risk: Evidence from UK Panel Data
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Vassilis A. Efthymiou, George N. Leledakis
Email: vassilis_e@hotmail.com
Intraday Analysis of the Limit Order Bias at the Ex-Dividend Day of U.S. Common Stocks
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Vicky Henderson, Jia Sun, A Elizabeth Whalley
Email: elizabeth.whalley@wbs.ac.uk
Executive Stock Options: Portfolio Effects
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Victoria Dobrynskaya
Email: v.v.dobrynskaya@lse.ac.uk
Downside market risk of carry trades
|
|
Viet Nga Cao
Email: viet.cao@monash.edu
The Accruals Anomaly: An investigation from firm growth perspective
|
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Vishaal Baulkaran, Ebenezer Asem
Email: vishaal.baulkaran@gmail.com
Market Movements and Investors’ Reaction to Earnings News
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W
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[TOP]
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Warren Bailey, Edith
Email: wbb1@cornell.edu
Incorporation in Offshore Financial Centers: Naughty or Nice?
|
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Wei Cen, John Doukas
Email: weicen@phbs.pku.edu.cn
CEO Risk Aversion, Firm Risk and Performance: Evidence from Deferred Compensation Returns around the 2008 Financial Crisis
|
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Wei Hu, Zhenlong Zheng
Email: wei.hu@curtin.edu.au
View Bias towards Ambiguity, Expectile CAPM and the Anomalies
|
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Weidong Xu
Email: weidong.xu@kuleuven.be
Chinese domestic IPO over-issuance
|
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Weiwei Yin
Email: weiweiyin.phd@gmail.com
Macroeconomic Fundamentals and Exchange Rate Dynamics: A No-Arbitrage Multi-Country Model
|
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Wolfgang Aussenegg, Lukas Goetz, Ranko Jelic
Email: r.jelic@bham.ac.uk
European ‘fear’ indices – evidence before and after the financial crisis
|
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X
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[TOP]
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Xiaowen Gao, Charles
Email: lep03xwg@hotmail.com
An Investigation of Trust in Chinese Mutual Funds Investment
|
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Xin Chang, Chander Shekhar, Lewis H.K. Tam, Jiaquan Yao
Email: lewistam@umac.mo
Hiring Merger-counterparty’s Ex-advisor as M&A Advisor:Causes and Consequences
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Y
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[TOP]
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Yanbo Wang
Email: yanbo.wang@insead.edu
Media and Google: The Impact of Information Supply and Demand on Stock Returns
|
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Yang Zhou, Zhiping Zhou, Cheng Zhang
Email: y.zhou@uvt.nl
Value at Risk Based Risk Management Using Options
|
|
Yi Jiang, Yilei Zhang
Email: yjiang@fullerton.edu
CEO-shareholder incentive alignment around SEOs
|
|
Ying Wu
Email: yw263@cornell.edu
Asset Pricing with Extreme Liquidity Risk
|
|
Yingying Shao, Pu Liu
Email: pliu@walton.uark.edu
Bank Concentration and Liquidity Crunch: Evidence from Emerging Markets
|
|
Yoko Shirasu
Email: shirasu@cc.aoyama.ac.jp
Market Evaluations And Strategic Factors: A Comparison From Asian Banks M&A And Alliances
|
|
Yongtae Kim, Minsup Song
Email: y1kim@scu.edu
Management Earnings Forecasts and Value of Analyst Forecast Revisions
|
|
Yossi Aharony, Chelsea Liu, Alfred Yawson
Email: chelsea.liu@adelaide.edu.au
Corporate Litigation and Board Restructuring
|
|
Yueh-Neng Lin
Email: ynlin@dragon.nchu.edu.tw
Effective and Cost-Efficient Volatility Hedging Capital Allocation: Evidence from the CBOE Volatility Derivatives
|
|
YUEN MENG WONG, RUBI AHMAD
Email: yuenmeng@siswa.um.edu.my
Foreign Exchange Markets Efficiency under Recent Crises: Evidence from the European Markets
|
|
Yukihiro Yasuda, Hyonok Kim
Email: yyasuda@tku.ac.jp
A new approach to identify the economic effects of disclosure: Information content of business risk disclosures in Japanese firms
|
|
Yun-Ju Lai, XiaoHua Chen
Email: x.chen@bath.ac.uk
On the Concentration of Mutual Fund Portfolio Holdings - Skills or Overconfidence?
|
|
Z
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[TOP]
|
Zhe An, Donghui Li, Jin Yu
Email: zhe.an@unsw.edu.au
Earnings Management, Capital Structure, and the Role of Institutional Environments
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