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European Financial Management Symposium 2006
April 20-22, 2006
Durham Business School, United Kingdom

Accepted Papers & Participants List





Alexandridis George, Antonios Antoniou, Huainan Zhao
Email: george.alexandridis@durham.ac.uk
Belief Asymmetry and Gains from Acquisitions

Anderson Keith, Chris Brooks
Email: C.Brooks@city.ac.uk
Decomposing the Price-Earnings Ratio

Arnold C. Markus, Eva Ponick, Heike Y. Schenk-Mathes
Email: marnold2@uni-goettingen.de
Groves Mechanism vs Profit Sharing for Corporate Budgeting – an Experimental Analysis with Preplay Communication

Anders Anderson
Email: anders.anderson@sifr.org
Is Online Trading Gambling with Peanuts?

Angelo Ranaldo, Rainer Häberle
Email: angelo.ranaldo@snb.ch
Wolf in sheep’s clothing: the active investment strategies behind index performance

Asparouhova Elena, Michael Hertzel, Michael Lemmon
Email: e.asparouhova@utah.edu
Behavioral Biases and Investor Behavior: Predicting the Next Step of a Random Walk (Revisited and Extended)


Blackburn W. Douglas, Andrey D. Ukhov
Email: dwblackb@indiana.edu
Estimating Preferences Toward Risk: Evidence from Dow Jones

Byrne Alistair , David Blake, Andrew Cairns and Kevin Dowd1
Email: alistair.byrne@strath.ac.uk
The Stakeholder Pension Lottery? An Analysis of the Default Funds in UK Stakeholder Pension Schemes

Bask Mikael
Email: mikael.bask@bof
Announcement Effects on Exchange Rate Movements: Continuity as a Selection Criterion among the REE

Benmansour Selima
Email: benmansour_selima@yahoo.fr
Is there a pessimistic bias in individual beliefs? Evidence from a survey data

Bulkley George , Renata Herrerias
Email: I.G.Bulkley@exeter.ac.uk
Behavioural Models of Long-Run Returns Reversals: Evidence from Returns Following Profit Warnings

Bernard Ben Sita
Email: bernard.bensita@hanken.fi
The Relationship between Variance and Trading Intensity


C. Deffains-Crapsky, H. de LA Bruslerie
Email: catherine.crapsky@univ-angers.fr
Incentive Equilibrium and Negotiation of Stock Options Between Shareholders and Managers

Coakley Jerry , Leon Hadass and Andrew Wood
Email: leonhadass@hotmail.com.
Hot IPOs Can Damage your Long-Run Wealth!

Colla Paolo, Diego Salzman
Email: paolo.colla@unibocconi.it
Hopes and Beliefs in Financial Markets: Can Illusions Survive in the Long run?

Choi J. James
Email: james.choi@yale.edu.
Extrapolative Expectations and the Equity Premium


David Ikenberry, James P. Weston
Email: daveike@uiuc.edu
Clustering in U.S. Stock Prices After Decimalization

De Ceuster J.K. Marc, Jan Annaert, Anouk G.P. Claes
Email: marc.deceuster@ua.ac.be
Framing the Individual Investor: The Case of Capital Guaranteed Funds

Duca V. John, Richard G. Anderson
Email: john.v.duca@dal.frb.org
The Evolving Impact of Stock Market Shocks and Mortgage Activity on Broad Money Demand


Ekholm Anders, Daniel Pasternack
Email: anders.ekholm@shh.fi
Overconfidence and investor size

Edmans Alex, Diego Garc´ia, and Øyvind Norli
Email: aedmans@mit.edu
Sports sentiment and stock returns


Deal or No Deal: Risk Aversion in a Field Experiment with Very High Stakes


Galariotis Emilios Konstantinos Kassimatis, Spyros Spyrou
Behavioral Characteristics of Government Bond Investors Following Market Shocks: International Evidence

Gajewski jean-Francois, Dihn Thanh Houng
Email: gajewski@univ-paris12.fr
An experimental study of trading volume and divergence of expectations in relation to earnings announcement


Hadass Leon , Jerry Coakley and Andrew Wood
Email: leonhadass@hotmail.com
Hot IPOs Can Damage your Long-Run Wealth

Haiss R. Peter
Email: peter.haiss@wu-wien.ac.at
Bank Herding: a Review and Synthesis

Ho Chienwei
Email: chien-wei.ho@durham.ac.uk
Determinants of Direct Stockholding Behavior of Younger/Non-Retired and Older/Retired Households in the U.S.

Hvidkjaer Soeren
Email: shvidkja@rhsmith.umd.edu.
Small trades and the cross-section of stock returns

Hung Chi-Hsiou, Devraj Basu, Roel Oomen1, Alexander Stremme1
Email: alex.stremme@wbs.ac.uk
When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?

Hu Shing-yang, Yueh-hsiang Lin, Ming-shen Chen
Email: nelsonlin@takming.edu
Testing Pecking Order Prediction from the Viewpoint of Managerial Optimism: Some Empirical Evidence from Taiwan



Jouin Elyès , Selima Ben Mansour, Clotilde Napp
Is there a pessimistic bias in individual beliefs ? Evidence from survey data

Julija Dzigulska, Gunta Jurca, Jekaterina Isajeva, Audrius Mozuras
Is it Possible to “Beat the Monkey”? An Analysis of the Finnish Mutual Fund Industry

Joerg Petra , Claudio Loderer
Email: petra.joerg@ifm.unibe.ch
Swiss dentists and managers: Private investor profiles


Klumpes J M Paul, Robert G. Walker
Disclosure Effectiveness of Financial Disclosure Regulations to Individual Investors: Evidence from the Field

Karl Ludwig Keiber
Email: kkeiber@whu.edu.
Managerial Compensation Contracts and Overconfidence

Krause Andreas, K. C. John Wei, Zhishu Yang
Email: mnsak@bath.ac.uk
Behavioral Bias of Traders: Evidence for the Disposition and Reverse Disposition Effect

Kausar Asad, Richard J Taffler
Email: Asad.Kausar@mbs.ac.uk
Testing behavioral finance models of market underand overreaction: do they really work?

Kaestner Michael
Email: kaestner@univ-montp1.fr
Investors’ Misreaction to Unexpected Earnings: Evidence of Simultaneous Overreaction and Underreaction

Koutmos Gregory , Antonios Antoniou
Email: gkoutmos@mail.fairfield.edu
The Cost of Credit and Positive Feedback Trading: Evidence from the U.K. Stock Market


Lochstoer Lars, Thomas Gilbert, Shimon Kogan, Ataman Ozyildirim
Email: llochstoer@london.edu
Releases of Previously Published Information Move Aggregate Stock Prices

Dr. Lütje Torben
Email: torben.luetje@db.com
To Be Good or To Be Better: Asset Managers' Attitudes Towards Herding

Lun Zhang, Yu-lei Rao, Ping Wang
Email: Lun_zhang@mail.tongji.edu.cn
Modification of Value Function by incorporating Mental Account


Mukherjee Swastika, Cheol S. Eun
Email: swastika.mukherjee@mgt.gatech.edu
The Geography of M&A: Contours and Causes

Muga Luis and Rafael Santamaría
Email: luis.muga@unavarra.es
Momentum, market states and investor behavior

Marhuenda Joaquin, Sonia Sanabria, Carlos Forner
Email: marhuenda@ua.es
Post-Earnings Announcement Drift: Spanish Evidence


Nordén Lars and Anders Karlsson
Post-Earnings Announcement Drift: Spanish Evidence



Piñón Adelson and Martin Weber
Email: pinon@bank.bwl.uni-mannheim.de
The Influence of Present and Prior Alternatives on Risk Aversion

Pop Diana
Email: Diana.Pop@univ-orleans.fr
Corp orate G overnance Solution s f or Transition Economies : Re presentations and Warr anties in Take over Ag re em ents

Piqueira Scotto Natalia
Email: npiqueira@uh.edu.
Trading Activity, Illiquidity Costs and Stock Returns

Paudyal Krishna, Antonios Antoniou and Herbert Y.T. Lam
Email: k.n.paudyal@durham.ac.uk
Divergence in Opinion, Limits to Arbitrage and Momentum Trading



Richard J Taffler, Thabang Mokoteli
Email: Richard.Taffler@ed.ac.uk
Are Analysts Biased? An analysis of analysts' stock recommendations that perform contrary to expectations

Ruenzi Stefan, Alexandra Niessen
Email: ruenzi@wiso.uni-koeln.de
Sex Matters: Gender and Mutual Funds

Rantapuska Elias
Email: elias.rantapuska@hse.fi.
Which investors are irrational? Evidence from rights issues

Rousseau Fabrice, Laurent Germain, Anne Vanhems
Optimistic & Pessimistic Trading in Financial Markets


Salzman Diego and Emanuela Trifan
Email: salzman@core.ucl.ac.be
Emotions, Bayesian Inference, and Financial Decision Making

Sarajoti Pattarake, Piman Limpaphayom and Peter R. Locke
Email: pattarake.sarajoti@sasin.edu
Gone with the Wind: Chicago’s Weather and Futures Trading

Shackleton B. Mark and Gordon Gemmill
Prospect Theory and Option Prices: Evidence from S&P500 Index Options

Scruggs T. John
Email: jscruggs@terry.uga.edu.
Noise Trader Risk: Evidence from the Siamese Twins

Schröder Michael, Erik Lüders, Richard Deaves
Email: schroeder@zew.de
The Dynamics of Overconfidence: Evidence from Stock Market Forecasters

Sautner Zacharias and Martin Weber
Email: zacharias.sautner@sbs.ox.ac.uk.
Stock Options and Employee Behavior: Evidence from Exercise and Survey Data

Spierdijk Laura, Karim M. Abadir
Email: l.spierdijk@ewi.utwente.nl
Liquidity constraints and the demand for assets: an application to the festivity effect

Shavita Tal, Uri Ben Zionb, Ido Erevc, Ernan Haruvyd
Email: shavittal@gmail.com
Risk aversion, Under-diversification, and the Role of Recency and Probability Matching

Schmitz Philipp, Markus Glaser, and Martin Weber
Email: christos.savva@stud.man.ac.uk
Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?

Summers Barbara,Kevin Keasey, Darren Duxbury and Robert Hudson
Email: bs@lubs.leeds.ac.uk
Angst about Annuities: A Behavioral Exploration of Individuals’ Attitudes towards Annuities

Soares Vasco João and Ana Paula Serra
Email: aserra@fep.up.pt
“Overreaction” and “Underreaction”: - Evidence for the Portuguese Stock Market


Theissen Erik, Gerlinde Fellner
Email: theissen@uni-bonn.de
Short sale constraints, divergence of opinion and asset values: Evidence from the laboratory*


Umber P. Marc, Michael H. Grote
Email: umber@finance.uni-frankfurt.de
Home Biased? A Spatial Analysis Of The Domestic Merging Behavior Of US firms


Van Witteloostuijn, Katrin Muehlfeld
Email: a.van.witteloostuijn@rug.nl.
Trader personality and trading performance An explorative financial market pilot experiment

Venezia Itzhak and Zur Shapira
Email: msvenez@mscc.huji.ac.il.
On Timing and Herding: Do Professional Investors Behave Differently than Amateurs?

Vivian Andrew
Email: a.j.vivian@durham.ac.uk
The Payout Ratio, Earnings Growth and Returns: UK Industry Evidence.

Valentín Azofra Palenzuela, Beatriz Fernández Alonso, Eleuterio Vallelado González
Email: vazofra@eco.uva.es
Market Under/Overreaction: Link to Representative and Conservatism


Warachka Mitch and Roger K. Loh
Email: mitchell@smu.edu.sg
Unifying Behavioral Biases Under a Market Probability Measure with an Application to Analysts’ Forecasts

Warachka Mitch and Dong Hong†and
Email: mitchell@smu.edu.sg
Return Uncertainty and the Appearance of Biases in Expected Returns

Williamsa Jonathan and Angel Liao
Email: Jon.williams@bangor.ac.uk
Implications of news asymmetries in foreign exchange markets


Yu Yuan and Jianfeng Yu
Investor Sentiment and the Mean-variance Relation



Zhang Jie and K.C. John Wei
The Limits of Arbitrage: Evidence from Fundamental Value-to-Price Trading Strategies