Session
1-1
Thursday, April 10, 2003
8:15 - 9:45
Coronado M
Psychology and Finance
Chair: Thomas E. Willey, Grand Valley State University
Papers:
Interest Sensitive Stocks and Flights to Safe Havens
P.V. Viswanath, Pace University
Gordon Tang, Hong Kong Baptist University
Discussant: Thomas E. Willey, Grand Valley State University
An Experimental Study of Subjective Discount Rates
Joseph Yagil, Haifa University and Columbia University
Uri Benzion, The Technion Israel Institute of Technology and Ben Gurion University
Discussant: James E. Owers, Georgia State University
What's in a Name? An Experimental Examination of Investment Behavior
Lucy Ackert, Kennesaw State University
Bryan Church, Georgia Institute of Technology
James G. Tompkins, Kennesaw State University
Ping Zhang, University of Toronto
Discussant: Beverly B. Marshall, Auburn University
Session
1-2
Thursday, April 10, 2003
8:15 - 9:45
Mutual Fund Performance
Chair: Benedicte Reyes, Monmouth University
Papers:
Hybrid Fund Manager Behavior During Financial Crises
George Comer, Georgetown University
Discussant: Barrie A. Bailey, Monmouth University
Identifying Superior Performing Equity Mutual Funds
Ravi Shukla, Syracuse University
Discussant: Amy F. Lipton, Lehigh University
Mutual Fund Performance -- What Really Matters: Style or Risk?
Steven Krull, Hofstra University
Discussant: Lucy Ackert, Kennesaw State University
Coronado N
Session
1-3
Thursday, April 10, 2003
8:15 - 9:45
Coronado P
Board Composition & Corporate Misconduct
Chair: Jayant Kale, Georgia State University
Papers:
The Important of Board Composition in the Event of a CEO Death
Kelly Brunarski, Miami University at Ohio
Kenneth Borokhovich, Cleveland State University
Yvette Harman, Miami University at Ohio
Maura Skill, University of Dayton
Discussant: Melissa B. Frye, University of Central Florida
The Board Structure of Socially Responsible Firms
Elizabeth Webb, Drexel University
Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University
Determinants of the Stock Price Reaction to Allegations of Corporate Misconduct: Firm Size, Earnings and
Risk Effects
Deborah Murphy, University of Tennessee
Ronald E. Shrieves, University of Tennessee
Samuel L. Tibbs, University of Tennessee
Discussant: Janet D. Payne, Southwest Texas State University
Session
1-4
Thursday, April 10, 2003
8:15 - 9:45
Coronado Q
Finance and Economic Development
Chair: Bharat Bhalla, Fairfield University
Papers:
Patterns of Industrial Development Revisited: The Role of Finance
Raymond Fisman, Columbia University
Inessa Love, World Bank
Discussant: Alicia Garcia-Herrero, Bank of Spain
Why do Countries Develop More Financially than Others?
Lucia Cuadro-Saez, Banco de Espana
Alicia Garcia-Herrero, Bank of Spain
Sonsoles Gallego, Bank of Spain
Discussant: Jim McIntyre, Jacksonville State University
Intra Industry Effects of Privatization Announcements. Evidence from Developed and Developing Countries.
Isaac Otchere, University of Melbourne
Discussant: Melinda Newman, University of Akron
Session
1-5
Thursday, April 10, 2003
8:15 - 9:45
Coronado R
Regulating Liquidity
Chair: Harald Henke, Europa University Viadrina
Papers:
Decimalization and the Ex-dividend-day Behavior of Stock Prices
Dan French, New Mexico State University
Natalya Delcoure, University of South Alabama
Discussant: George Schatz, Maine Maritime Academy
Does Price Quote Matter?
Ehsan Nikbakht, Hofstra University
Discussant: Peter R. Locke, George Washington University
A Transaction-Level Analysis of Price Change Volatility and Autocorrelation after the Decimalization
Yan He, San Francisco State University
Chunchi Wu, Syracuse University
Discussant: Michael Haigh, University of Maryland
Session
1-6
Thursday, April 10, 2003
8:15 - 9:45
Coronado S
Debt Contracts and Firm Defaults
Chair: Helen L. Bowers, University of Delaware
Papers:
Corporate Governance and Debt Structure
Sara Robicheaux, Birmingham-Southern College
James A. Ligon, University of Alabama
Discussant: Rodolfo Apreda, Universidad Del Cema
The Zero Debt Puzzle
William Wells, Georgia Sothern University
Discussant: Phyllis Y. Keys, Ohio State University
Detecting the Nonlinear Structure in the Relationship of Financial Ratios and Firm Default
Zheng Wang, Baruch College - City University of New York
Discussant: Claire E. Crutchley, Auburn University
Panel Session 1-7
Thursday, April 10, 2003
8:15 - 9:45
GSEs and Systemic Risk
Chair: Gerald A. Hanweck, George Mason University
Panelists:
Gerald A. Hanweck, George Mason University
Robert S. Seiler, Jr., Office of Federal Housing Enterprise Oversight
Bernard Shull, City University of New York
Cancun
Session
2-1
Thursday, April 10, 2003
10:00 - 11:30
Coronado M
Insurance and Financing Companies
Chair: William A. Scroggings, Jacksonville State University
Papers:
Assessing the Contestability of the Hong Kong Banking Industry: 1991 - 2000
Rongrong Zhang, University of Tennessee
George Philippatos, University of Tennessee
Discussant: Jim McIntyre, Jacksonville State University
The Effect of the Gramm-Leach-Bliley Act on the Insurance Industry
Faith R. Neale, Florida State University
Wendy D. Habegger, Florida State University
Pamela P Peterson, Florida State University
Discussant: Larry Lynch, Roanoke College
Inter-industry Contagion and the Competitive Effects of Financial Distress Announcements: Evidence from
Commercial Banks and Life Insurance Companies
Elijah Brewer III, Federal Reserve Bank of Chicago
William E. Jackson III, University of North Carolina
Discussant: Christopher Westley, Jacksonville State University
Session
2-2
Thursday, April 10, 2003
10:00 - 11:30
Additional Evidence on Mutual Fund Performance
Chair: Paula Tkac, Federal Reserve Bank of Atlanta
Papers:
Simulating a Socially Screened Enhanced Index Fund
Lloyd Kurtz, Harris Bretall Sullivan & Smith
Dan D. DiBartolomeo, Northfield Information Services
Sandy Warrick, Northfield Information Services
Discussant: Kimberly C. Gleason, Bentley College
The Relationship Between the Consumer Sentiment Index and the Stock Market
Ronnie Clayton, Jacksonville State University
Discussant: Juan Dempere, Florida Atlantic University
US-based Global Government Bond Fund: Style Analysis and Performance Measurement
Sirapat Polwitoon, Susquehanna University
Discussant: Anita K. Pennathur, Florida Atlantic University
Coronado N
Session
2-3
Thursday, April 10, 2003
10:00 - 11:30
Coronado P
Managerial Incentives
Chair: Douglas Lamdin, University of Maryland - Baltimore County
Papers:
The Impact of Stock Option Incentives on Investment and Firm Value
Daniel Pasternack, Swedish School of Economics and Business Administration
Matts Rosenberg, Swedish School of Economics and Business Administration
Discussant: Kuldeep Shastri, University of Pittsburgh
Managerial incentives and executive stock option repricing: A study of US casino executives
Daniel A. Rogers, Portland State University
Discussant: Matts Rosenberg, Swedish School of Economics and Business Administration
Delegated Portfolio Management and Agency
Saltuk Ozerturk, Southern Methodist University
Discussant: Gerald P. Dwyer, Jr., Federal Reserve Bank of Atlanta
Session
2-4
Thursday, April 10, 2003
10:00 - 11:30
Coronado Q
Government Influence on Financial Markets and Instruments
Chair: Raj Aggarwal, Kent State University
Papers:
Renegotiations on Sovereign Debt: Reduce or Reschedule?
Pascal Francois, HEC Montreal
Discussant: John H. Thornton, Jr., Kent State University
Impact of Capital Control on Stock Returns: Evidence from Malaysia
Yewmun Yip, San Francisco State University
Discussant: Tara N. Rice, Federal Reserve Bank of Chicago
Emerging Financial Issues and Strategies for Multinational Investments
Kashi Nath Tiwari, KNT's Academic Financial Research
Discussant: Seyed Mehdian, University of Michigan - Flint
Session
2-5
Thursday, April 10, 2003
10:00 - 11:30
Competition, Behavior and Liquidity
Chair: Pankaj Jain, University of Memphis
Papers:
Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis
Michael Haigh, University of Maryland
John List, University of Maryland
Discussant: Damir Tokic, University of Houston - Downtown
Microstructure Differences Between the Two Classes of Dual-Class Firms
Premal P. Vora, Pennsylvania State University - Harrisburg
John R. Ezzell, Pennsylvania State University
Discussant: Chad Zutter, University of Pittsburgh
The Impact of Competition on Intraday Spreads: QQQ Example
Asli Ascioglu, Bryant College
Murat Aydogdu, Bryant College
Discussant: Liang Peng, University of Cincinnati
Coronado R
Session
2-6
Thursday, April 10, 2003
10:00 - 11:30
Coronado S
Bankruptcy Costs
Chair: Pamela P Peterson, Florida State University
Papers:
A Real Options Approach to Bankruptcy Costs: Evidence from failed commercial banks during the 1990s
Joseph R. Mason, Drexel University
Discussant: Scott Besley, University of South Florida
Corporate Diversification and Industry Shocks: Evidence from Competitors' Bankruptcy Filings
Peter J. DaDalt, Georgia State University
Jacqueline L. Garner, Drexel University
Bing-Xuan Lin, University of Rhode Island
Discussant: Ninon Kohers, University of South Florida
Optimization of Corporate Capital Structure. A Quantitative Approach Based on a Joint Probabilistic
Prognosis of Event and Time of Bankruptcy
Vladimir Philosophov, Interregional Bankruptcy Service for Central Russia
Leonid Philosophov, Moscow Committee of Bankruptcy Affairs
Discussant: Michael Gombola, Drexel University
Special Session 2-7
Thursday, April 10, 2003
10:00 - 11:30
Cancun
Teaching Technical Analysis
Chair: Julie Dahlquist, University of Texas - San Antonio
Session
3-1
Thursday, April 10, 2003
11:45 - 1:15
Bank Lending and Production
Chair: M. Cary Collins, University of Tennessee
Papers:
The Composition of Loan Portfolios
Andreas Pfingsten, University of Muenster
Kai Rudolph, University of Muenster
Discussant: Alistair Milne, City University Business School, London
Examining the Sources of Productivity Developments in Banks of Emerging Markets
Ihsan Isik, Rowan University
Discussant: Seyed Mehdian, University of Michigan - Flint
Efficiencies and Thrift Takeovers: Evidence from the 1990s
A. Sinan Cebenoyan, Hofstra University
Elizabeth S. Cooperman, University of Colorado - Denver
Fatma Cebenoyan, City University of New York
Discussant: Tara N. Rice, Federal Reserve Bank of Chicago
Coronado M
Session
3-2
Thursday, April 10, 2003
11:45 - 1:15
Coronado N
Mutual Fund Fees
Chair: Stephen Pruitt, University of Missouri - Kansas City
Papers:
Economies of Scale in Equity Mutual Funds
Miles Livingston, University of Florida
Edward S. O'Neal, Wake Forest University
Discussant: David Shrider, University of South Carolina
How do Agency Problems Impact Mutual Fund Investor Decisions?
David Shrider, University of South Carolina
Discussant: Paula Tkac, Federal Reserve Bank of Atlanta
Economies of Scale in the Management of Mutual Funds
D. K. Malhotra, Philadelphia University
Rand Martin, Bloomsburg University
Discussant: Melissa B. Frye, University of Central Florida
Session
3-3
Thursday, April 10, 2003
11:45 - 1:15
Coronado P
Executive Compensation Structure
Chair: Ramesh Rao, Oklahoma State University
Papers:
Indexed Executive Stock Options With Ratchet Mechanism and Average Prices
Jian Wu, Rouen Graduate School of Management - France
Discussant: Claire E. Crutchley, Auburn University
Golden Parachutes: Managerial Opportunism or Compensation Mechanism
Kenneth Small, University of Tennessee - Knoxville
Discussant: Rodolfo Apreda, Universidad Del Cema
Does Option Compensation Induce Managers to Increase Risk-taking?
Joseph H. Meredith, Elon University
Discussant: Helen L. Bowers, University of Delaware
Session
3-4
Thursday, April 10, 2003
11:45 - 1:15
Coronado Q
Issues in Cross-Border Growth
Chair: Beverly B. Marshall, Auburn University
Papers:
Intra-Industry Effects of Successful and Unsuccessful Cross Border Acquisitions: A Test of the Acquisition
Probability Hypothesis
Edwina Ip, University of Melbourne
Isaac Otchere, University of Melbourne
Discussant: Rejin Guo, University of Illinois - Chicago
Risk and Wealth Effects of U.S. Firm Joint Venture Activity
Karen Denning, West Virginia University
Heather Hulburt, West Virginia University
Stephen Ferris, University of Missouri - Columbia
Discussant: Robert S. Parti, Florida State University
Managerial Incentives and International Acquisition Decisions
Dong-Kyoon Kim, State University of New York
Discussant: Janet D. Payne, Southwest Texas State University
Session
3-5
Thursday, April 10, 2003
11:45 - 1:15
Coronado R
Trading Systems and Liquidity
Chair: Thomas H. McInish, University of Memphis
Papers:
Financial Market Design and Equity Premium: Electronic versus Floor Trading
Pankaj Jain, University of Memphis
Discussant: Jacqueline L. Garner, Drexel University
When Continuous Trading Becomes Continuous
Harald Henke, Europa University Viadrina
Discussant: Haiwei Chen, Westminster College
Liquidity Providers on an Electronic Order-Driven Market
Edward Chow, National Chengchi University
Discussant: Premal P. Vora, Pennsylvania State University - Harrisburg
Session
3-6
Thursday, April 10, 2003
11:45 - 1:15
Coronado S
Measuring risk
Chair: Jinliang Li, Northeastern University
Papers:
The Impact of Clearing on the Credit Risk of a Derivatives Portfolio
Carsten Murawski, University of Zurich
Discussant: Wei Zhang, State University of New York -- Fredonia
How to Include Liquidity in a Market VAR Statistic?
Robert Dubil, San Jose State University
Discussant: Yan He, San Francisco State University
The Estimation of a Firm's Hedging Effects: Marginal Value at Risk (M-Var) Approach
Sam Chung, Long Island University
Discussant: Jinliang Li, Northeastern University
Special Session 3-7
Thursday, April 10, 2003
11:45 - 1:15
Incorporating CFP Board Requirements into a Finance Curriculum
Chair: Anne Kern, CFP Board of Standards
Cancun
Session
4-1
Thursday, April 10, 2003
1:30 - 3:00
Coronado M
Economic Effects on Bank Returns
Chair: Seyed Mehdian, University of Michigan - Flint
Papers:
Bank Stock Return Sensitivities to the Long-term and Short-term Interest Rates: A Multivariate GARCH
Iqbal Mansur, Widener University
Elyas Elyasiani, Temple University
Discussant: Sridhar Sundaram, Grand Valley State University
An Investigation of the Mid-Loan Relationship Between Bank-Lenders and Borrowers
Aron Gottesman, Pace University
Gordon Roberts, York University
Discussant: Yaman Erzurumlu, University of Central Florida
Can a Lack of Information be Informative? The Evidence from Approved and Denied Loans
Eugene Bland, Francis Marion University
Discussant: Vitaly Guzha, University of Central Florida
Session
4-2
Thursday, April 10, 2003
1:30 - 3:00
Coronado N
The Pricing of Mutual Funds
Chair: D. K. Malhotra, Philadelphia University
Papers:
Assessing Diversification Benefits of Hedge Funds by Kernel Fit
Muzaffer Balta, City University of New York
Discussant: Erik Lueders, University of Konstanz
The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing
Ernest Biktimirov, Brock University
Discussant: Ray Sturm, Florida Atlantic University
Clientele Differences in the Market for Exchange-Traded Funds: A Comparison of the Trading Characteristics
of ETFs vis-à-vis their Underlying Equities
Stephen Pruitt, University of Missouri - Kansas City
John M. Clark, University of Missouri - Kansas City
Bonnie F. Van Ness, University of Mississippi
Discussant: Jian Wu, Rouen Graduate School of Management - France
Session
4-3
Thursday, April 10, 2003
1:30 - 3:00
Coronado P
Executive Ownership and Compensation
Chair: Anita K. Pennathur, Florida Atlantic University
Papers:
Who is in Whose Pocket? Director Compensation, Bargaining Power and Board Independence
Harley "Chip" E. Ryan, Jr., Louisiana State University
Roy A. Wiggins III, Bentley College
Discussant: Stuart L. Gillan, University of Delaware
Executive Loans
Kathleen M. Kahle, University of Pittsburgh
Kuldeep Shastri, University of Pittsburgh
Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University
Ownership Structure and Risk: A Canadian Empirical Analysis
Mohamed Ayadi, Brock University
Yoser Gadhoum, University of Quebec in Montreal
Discussant: Mengxin Zhao, University of Pittsburgh/Bentley College
Session
4-4
Thursday, April 10, 2003
1:30 - 3:00
International Investment
Chair: Brian M Lucey, University of Dublin
Papers:
Market Concentration Liquidity and Emerging Markets Performance
Harri Ramcharran, University of Akron
Discussant: Lei Zhou, Miami University of Ohio
Diffusion Indicies for Capital Markets
Lawrence Pohlman, Panagora
Daniel Morillo, Panagora
Discussant: Angela J. Black, University of Aberdeen
The Impact of Sovereign Country Risk and Market Integration on European Stock Markets
Anthony Chambet, University of Zurich
Rajna Gibson, University of Zurich
Discussant: Shiyun Wang, University of Manchester
Coronado Q
Session
4-5
Thursday, April 10, 2003
1:30 - 3:00
Coronado R
Time and Volume
Chair: Yan He, San Francisco State University
Papers:
Trading Takes Time
Liang Peng, University of Cincinnati
Discussant: Ahmet K. Karagozoglu, Hofstra University
A First Look at the Interrelationships Between Priors, Information, Investor Interpretations and Trading
Stephanie Rauterkus, Louisiana State University
Discussant: Peter R. Locke, George Washington University
Option Trading Around Information Events
Dennis J. Whalen, Otterbein College
Discussant: Pankaj Jain, University of Memphis
Tutorial Session 4-6
Thursday, April 10, 2003
1:30 - 3:00
Coronado S
Conditional Value-at-Risk, Methodology and Applications: Overview
Chair: Stanislav Uryasev, University of Florida
Panel Session 4-7
Thursday, April 10, 2003
1:30 - 3:00
Cancun
The Large Lecture Classroom: What are the benefits? What are the
pitfalls?
Chair: Pamela P Peterson, Florida State University
Panelists:
Joel Houston, University of Florida
Anthony Byrd, University of Central Florida
Session
5-1
Thursday, April 10, 2003
3:15 - 4:45
Helping Students Understand Risk
Chair: Raj Aggarwal, Kent State University
Papers:
The Retrospective Life Insurance Method: A Pedagogic Spreadsheet Application
Betty J. Simkins, Oklahoma State University
David R. Lange, Auburn University at Montgomery
Discussant: Larry Lynch, Roanoke College
Monte Carlo Simulation: A Hand's On Capital Budgeting Case Study Using @ Risk
Samuel C. Weaver, Lehigh University
Discussant: Lei Zhou, Miami University of Ohio
A Pedagogical Note on the Recognition and Management of Financial Risk
Mike Barth, Georgia Southern University
John J. Hatem, Georgia Southern University
Discussant: Samuel C. Weaver, Lehigh University
Coronado M
Session
5-2
Thursday, April 10, 2003
3:15 - 4:45
Coronado N
The Behavior of Mutual Fund Managers
Chair: Oliver Schnusenberg, St. Joseph's University
Papers:
Universal versus Segmented Competition in the Mutual Funds Industry
Marco Navone, Bocconi University
Discussant: Stefan Ruenzi, University of Cologne
Tournaments in the Mutual Fund Industry
Alexander Kempf, University of Cologne
Stefan Ruenzi, University of Cologne
Discussant: Ray Sturm, Florida Atlantic University
Mutual Fund Ownership and the Number Effect
Ken P. Johnston, Georgia Southern University
Discussant: Andrea J. Heuson, University of Miami
Session
5-3
Thursday, April 10, 2003
3:15 - 4:45
Coronado P
Incentive and Corporate Restructuring
Chair: Douglas Lamdin, University of Maryland - Baltimore County
Papers:
The Price of Corporate Acquisition: An Analysis of Merger Premia
Vijay Gondhalekar, University of Michigan - Flint
Raymond Sant, Schweser Study Program, Kaplan, Inc.
Stephen Ferris, University of Missouri - Columbia
Discussant: Alan Gart, Indiana University of Pennsylvania
Earnings Management, Stock Performance and the Role of Buyout Specialists in Reverse Leveraged Buyouts
De-Wai Chou, National Chung Cheng University
Michael Gombola, Drexel University
Feng-Ying Liu, Rider University
Discussant: Speros Margetis, University of South Florida
Poison Pills: Do they affect takeover activity?
Ozkan Ozfidan, Virginia Department of Planning and Budget
Ramesh Rao, Oklahoma State University
Discussant: Peter J. DaDalt, Georgia State University
Session
5-4
Thursday, April 10, 2003
3:15 - 4:45
Coronado Q
International equity markets
Chair: Andy Naranjo, University of Florida
Papers:
What Predicts Volume?
Boyce Watkins, Syracuse University
Discussant: Shaikh Hamid, Southern New Hampshire University
Return Autocorrelation and Institutional Investors in the ADRS Market
Kenneth Yung, Old Dominion University
Diane DeQing Li, University of Maryland - Eastern Shore
Discussant: Nikiforos Laopodis, Fairfield University
Implied Cost of Equity and its Determinants: A Case of Emerging Market Equity
Dev R. Mishra, Memorial University of Newfoundland
Discussant: C. Mitchell Conover, University of Richmond
Session
5-5
Thursday, April 10, 2003
3:15 - 4:45
International Liquidity Issues
Chair: Peter R. Locke, George Washington University
Papers:
Order Imbalance, Return and Volatility During Thailand Financial Crisis
Nuttawat Visaltanachoti, Nanyang Business School
Discussant: Yan He, San Francisco State University
The Interrelation of Price Volatility and Trading Volume of Currency Options
Ghulam Sarwar, St. Cloud State University
Discussant: Karthik Krishnan, University of Connecticut
Price Formation in FX Market
Ryosuke Wada, Otaru University of Commerce
Discussant: Kashi Nath Tiwari, KNT's Academic Financial Research
Coronado R
Session
5-6
Thursday, April 10, 2003
3:15 - 4:45
Coronado S
Risk Measurement and Management
Chair: Gerald Gay, Georgia State University
Papers:
Risk Management and Portgolio Optimization with Conditional Drawdown-at-Risk
Alexei Chekhlov, Thor Asset Management, Inc.
Stanislav Uryasev, University of Florida
Discussant: Anand Venkateswaran, Georgia State University
Model Risk and Regulatory Capital
Jeroen Kerkhof, Tilburg University and Center
Bertrand Melenberg, Tilburg University and Center
Hans Schumacher, Tilburg University and Center
Discussant: Jouahn Nam, Pace University
Does the Choice of a Risk Measure Matter?
Andreas Pfingsten, University of Muenster
Carsten Hahn, University of Muenster
Peter Wagner, University of Muenster
Discussant: Chen-Miao Lin, Georgia State University
Special Session 5-7
Thursday, April 10, 2003
3:15 - 4:45
Financial Issues Ahead
Chair: Vincent G. Massaro, Long Island University
Topics/Panelists:
Monetary Policy and Asset Price Inflation
Robert McGee, U.S. Trust Company of New York
The Changing Nature of the Transmission Mechanism of Monetary Policy
Albert E. DePrince, Jr., Middle Tennessee State University
Does Monetary Policy Matter?
Vincent G. Massaro, Long Island University
Default Risk with Endogenous Interest Rates
Christopher D. McGee, Assumption College
Cancun
Session
6-1
Friday, April 11, 2003
8:15 - 9:45
Coronado M
Corporate Government, Auditor Monitoring, and Accounting Scandals
Chair: Robert Schweitzer, University of Delaware
Papers:
The Auditor to Client Revolving Door and Earnings Management
David S. North, University of Richmond
Brendan O'Connell, Deakin University
Marshall Geiger, University of Richmond
Discussant: Terry L. Campbell II, University of Delaware
Accounting and Governance Deficiencies as Contributors to the Crisis of Confidence
James E. Owers, Georgia State University
Chen-Miao Lin, Georgia State University
Ronald C. Rogers, University of South Carolina
Discussant: Phyllis Y. Keys, Ohio State University
Climate for Scandal: Financial Environments that Contribute to Fraud
Beverly B. Marshall, Auburn University
Claire E. Crutchley, Auburn University
Marlin Jensen, Auburn University
Discussant: M. Andrew Fields, University of Delaware
Session
6-2
Friday, April 11, 2003
8:15 - 9:45
Coronado N
Symposium: Financial Institutions
Chair: Lawrence G. Goldberg, University of Miami
Papers:
Payments Services and Commercial Banks
Robert DeYoung, Federal Reserve Bank of Chicago
Tara N. Rice, Federal Reserve Bank of Chicago
Discussant: Steven A. Dennis, East Tennessee State University
The Relative Cost Efficiency of Stock versus Mutual Thrifts: Does Organizational Form Matter?
James M. Sfiridis, University of Connecticut
Kenneth N. Daniels, Virginia Commonwealth University
Discussant: Sylvia C. Hudgins, Old Dominion University
Loan Loss Provisioning: Cross-Country Evidence
Iftekhar Hasan, Rensselaer Polytechnic Institute
Larry D. Wall, Federal Reserve Bank of Atlanta
Discussant: Julie A Elston, University of Central Florida
Session
6-3
Friday, April 11, 2003
8:15 - 9:45
Coronado P
Models of Risk Premia
Chair: Gergana Jostova, George Washington University
Papers:
Time-Varying Risk Premia and the Cross Section of Stock Returns
Hui Guo, Federal Reserve Bank of St. Louis
Discussant: Lei Zhou, Miami University of Ohio
Firm-Specific Determinants of Nominal Stock Return Risk
Kenneth Kopecky, Temple University
Tai Yi, University of Sioux Falls
Discussant: Shiyun Wang, University of Manchester
The Pricing Kernel and Time-Series Characteristics of Asset Returns
Erik Lueders, University of Konstanz
Discussant: Alexander Philipov, Boston College
Session
6-4
Friday, April 11, 2003
8:15 - 9:45
Coronado Q
IPO Costs and Returns
Chair: Richard Ajayi, University of Central Florida
Papers:
Why do Underwriters Charge Lower Underwriting Fees for IPO in Taiwan?
Hsuan-Chi Chen, Yuan Ze University
Robert C.W. Fok, Shippensburg University
Yu-Jen Wang, Fu Jen Catholic University
Discussant: Alicia Garcia-Herrero, Bank of Spain
How do Different Types of Investors React to New Financial Statement Information?
Anders Ekholm, Swedish School of Economics and Business Administration
Discussant: Seyed Mehdian, University of Michigan - Flint
Overconfidence and Investor Size (The Negative News Threshold -- an Explanation for Negative Skewness in
Stock Returns)
Anders Ekholm, Swedish School of Economics and Business Administration
Daniel Pasternack, Swedish School of Economics and Business Administration
Discussant: Richard Ajayi, University of Central Florida
Session
6-5
Friday, April 11, 2003
8:15 - 9:45
Coronado R
Information and Market Efficiency
Chair: Douglas Dyer, Tarleton State University
Papers:
Earnings Surprise and the Relative Information Content of Short Interest
Jose Mercado-Mendez, Central Missouri State University
Roger J. Best, Central Missouri State University
Ronald W. Best, State University of West Georgia
Discussant: Iftekhar Hasan, Rensselaer Polytechnic Institute
Herd Behavior in Financial Markets
Wenjin Kang, University of California - Los Angeles
Discussant: J. R. Norsworthy, Rensselaer Polytechnic Institute
Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry?
Albert J. Menkveld, Vrije Universiteit Amsterdam
Kalok Chan, Hong Kong University of Science and Technology
Zhishu Yang, Tsinghua University
Discussant: Rifat Gorener, Rensselaer Polytechnic Institute
Session
6-6
Friday, April 11, 2003
8:15 - 9:45
Dividend Policy & Markets
Chair: Yi Liu, Drexel University
Papers:
Public Debt Markets and Dividend Policy
Vorouj Aivozian, University of Toronto
Laurence Booth, University of Toronto
Sean Cleary, St. Mary's University -- Halifax, Nova Scotia, Canada
Discussant: Yingmei Cheng, Florida State University
Agency Costs and the Decision to Pay Special or Regular Dividends
Kelly Brunarski, Miami University at Ohio
Yvette Harman, Miami University at Ohio
James Kehr, Miami University at Ohio
Discussant: Joseph H. Meredith, Elon University
Corporate Dividends and Earnings: Is there a long-run equilibrium relationship?
Asim Ghosh, St. Joseph's University
Robert Boldin, Indiana University of Pennsylvania
Christopher Coyne, St. Joseph's University
Discussant: Huanliang (Mark) Liu, Boston College
Coronado S
Session
6-7
Friday, April 11, 2003
8:15 - 9:45
Coronado T
International Financial Markets
Chair: Ronnie Clayton, Jacksonville State University
Papers:
Observable and Stationary Risk Premia on Foreign Exchange
Kyung-Chun Mun, Truman State University
Discussant: Asim Ghosh, St. Joseph's University
International Financial Market Integration: Evidence from Latin America
Bharat Bhalla, Fairfield University
Anand Shetty, Iona College
Discussant: Kenneth Small, University of Tennessee - Knoxville
International Linkages Among Real Long-Term Interest Rates and Their Impact on Monetary Policy
Nikiforos Laopodis, Fairfield University
Discussant: Inessa Love, World Bank
Special Session 7-1
Friday, April 11, 2003
10:00 - 11:30
Coronado M
Finance Assessment: Taking Advantage of Classroom Assignments
Chair: Claire S. Bronson, Western New England College
Session
7-2
Friday, April 11, 2003
10:00 - 11:30
Symposium: Bank Lending
Chair: Lawrence G. Goldberg, University of Miami
Papers:
The Effect of Credit Scoring on Small Business Lending in Low and Moderate-Income Areas
W. Scott Frame, Federal Reserve Bank of Atlanta
Michael S. Padhi, Federal Reserve Bank of Atlanta
Lynn Woosley, Federal Reserve Bank of Atlanta
Discussant: Seung-Hun Han, University of Central Florida
Maturity and Corporate Loan Pricing
Aron Gottesman, Pace University
Gordon Roberts, York University
Discussant: Melissa B. Frye, University of Central Florida
The Determinants of Secured Loans
John S. Gonas, Belmont University
Michael J Highfield, Louisiana Tech University
Donald J. Mullineaux, University of Kentucky
Discussant: Seyed Mehdian, University of Michigan - Flint
Coronado N
Session
7-3
Friday, April 11, 2003
10:00 - 11:30
Coronado P
Portfolio Choice
Chair: Natalya Delcoure, University of South Alabama
Papers:
Investing for the Short Run When Return Volatility is Predictable
Leping Wang, University of Pennsylvania
Discussant: Harikumar Sankaran, New Mexico State University
Dynamic Portfolio Optimization Under Tracking Error Constraints
Isabelle Bajeux-Besnainou, George Washington University
Roland Portait, Conservatoire National des Arts et Métiers and ESSEC
Guillaume Tergny, Conservatoire National des Arts et Métiers and La Compagnie Financière E.
De Rotschild
Discussant: Dan French, New Mexico State University
Another Correlation Risk in Portfolio Optimization
Takaki Hayashi, Columbia University
Discussant: Natalya Delcoure, University of South Alabama
Session
7-4
Friday, April 11, 2003
10:00 - 11:30
Coronado Q
Initial Public Offerings
Chair: Angela J. Black, University of Aberdeen
Papers:
Valuation Effects of Domestic and International Seasoned Canadian Offerings by Firms Cross-Listed on the
NYSE/AMEX or NASDAQ
Arturo Rubalcava, Concordia University
Lawrence Kryzanowski, Concordia University
Discussant: Andrea J. Heuson, University of Miami
Management Behaviour and Market Response
Josef Schuster, London School of Economics
Jinhui Luo, London School of Economics
Discussant: Oliver Schnusenberg, St. Joseph's University
IPO: Internet Stocks and the Bubble Economy
Yuli Su, San Francisco State University
Ming-ngar Tsoi, San Francisco State University
Discussant: Brian M Lucey, University of Dublin
Session
7-5
Friday, April 11, 2003
10:00 - 11:30
Coronado R
Markets, Crises and Crashes
Chair: Anita K. Pennathur, Florida Atlantic University
Papers:
Introduction of Derivatives Exchanges in Emerging Markets
Ahmet K. Karagozoglu, Hofstra University
Hatice Pinar Ersen, Undersecretariat for Foreign Trade Prime Ministry
Discussant: Nivine Richie, Susquehanna University
The Asymptotic Distribution of Extreme Changes in Asian Exchange Rates
Raj Aggarwal, Kent State University
Min Qi, Kent State University
Discussant: Marilyn K. Wiley, Florida Atlantic University
Modeling Market Crashes as Phase Transition and Traders' Behavior
Rossitsa Yalamova, Kent State University
Discussant: Terrance R. Skantz, Florida Atlantic University
Session
7-6
Friday, April 11, 2003
10:00 - 11:30
Coronado S
Dividend Policy
Chair: Malcolm Baker, Harvard Business School
Papers:
Dividend Surprises, Agency Costs and Corporate Monitoring
Kelly Brunarski, Miami University at Ohio
Yvette Harman, Miami University at Ohio
James Kehr, Miami University at Ohio
Discussant: Phyllis Y. Keys, Ohio State University
An Examination of the Long-run Market Reaction to Announcement of Dividend Omissions and Reductions
Yi Liu, Drexel University
Samuel H. Szewczyk, Drexel University
Zaher Zantout, Rider University
Discussant: Robert Boldin, Indiana University of Pennsylvania
A Catering Theory of Dividends
Malcolm Baker, Harvard Business School
Jeffrey Wurgler, New York University
Discussant: Gerald P. Dwyer, Jr., Federal Reserve Bank of Atlanta
Session
7-7
Friday, April 11, 2003
10:00 - 11:30
Coronado T
Foreign Exchange Exposure and Hedging
Chair: Bharat Bhalla, Fairfield University
Papers:
Derivatives Hedging, Geographical Diversification, and Firm Market Value
Bengt Pramborg, Stockholm University
Discussant: Larry Fauver, University of Miami
Transaction vs. Economic Exposure: Which has Greater Cash Flow Consequences?
Anna D. Martin, Fairfield University
Laurence Mauer, St. John's University
Discussant: Dev R. Mishra, Memorial University of Newfoundland
Hedging Foreign Exchange Risk: A Multifactor Analysis
James Ross McCown, Florida Atlantic University
Ky-Hwang Yuhn, Florida Atlantic University
Discussant: Ronnie Clayton, Jacksonville State University
Panel Session 7-8
Friday, April 11, 2003
10:00 - 11:30
Cancun
Analyzing a Country's Financial Stability
Chair: Philip F. Bartholomew, International Monetary Fund
Session
8-1
Friday, April 11, 2003
2:00 - 3:30
Coronado M
Emerging Markets
Chair: George W. Trivoli, Jacksonville State University
Papers:
Predictability in Emerging Sovereign Debt Markets
Gergana Jostova, George Washington University
Discussant: Pascal Francois, HEC Montreal
On Return and Return Dispersion in Emerging Capital Markets
Eric Girard, Indiana State University
Amit Sinha, Indiana State University
Discussant: Walter Hlawitschka, Fairfield University
Markov Chains in Predictive Models of Currency Crises -- With Applications to Southeast Asia
Tayyeb Shabbir, University of Pennsylvania
Discussant: Bengt Pramborg, Stockholm University
Session
8-2
Friday, April 11, 2003
2:00 - 3:30
Coronado N
Regulation, Policy, and Capital
Chair: Scott Besley, University of South Florida
Papers:
Efficiency and Factor Substitution in U.S. Savings Institutions: The Impact of Regulatory Changes
Harri Ramcharran, University of Akron
Discussant: David Leahigh, King's College
National Treatment in U.S. Regulatory Policy: Evidence From Financial Modernization Reform
Rajesh Narayanan, Ohio University
Nanda Rangan, Ohio University
Sridhar Sundaram, Grand Valley State University
Discussant: Vladimir Kotomin, University of Central Florida
Bank Capital Regulation and Incentives for Risk-Taking
Alistair Milne, City University Business School, London
A. Elizabeth Whalley, University of Warwick
Discussant: Alan Gart, Indiana University of Pennsylvania
Session
8-3
Friday, April 11, 2003
2:00 - 3:30
Coronado P
Market Efficiency
Chair: Richard Ajayi, University of Central Florida
Papers:
The Merger and Acquisition Process from Beginning to the End: A Short-Run versus Long-run Performance of
Canadian Bidder Firms
George Athanassakos, Wilfrid Laurier University
Discussant: Weishen Wang, University of Central Florida
An Examination of the Market Reaction to Stock Splits
Roger J. Best, Central Missouri State University
Ronald W. Best, State University of West Georgia
Discussant: Seyed Mehdian, University of Michigan - Flint
The Market to Book Controversy: An Analysis from the Viewpoint of Expected Earnings
Richard J. Kish, Lehigh University
David H. Myers, Lehigh University
Discussant: Roger J. Best, Central Missouri State University
Session
8-4
Friday, April 11, 2003
2:00 - 3:30
Coronado Q
Equity Issue Performance, Shareholder, and Analysts
Chair: George Papaioannou, Hofstra University
Papers:
The Long-run Consequences of Dual-Class IPOs: A Comparison of Dual- and Single-Class Long-run
Chad Zutter, University of Pittsburgh
Discussant: Craig Dunbar, University of Western Ontario
The Evolution of Equity Financing: A Comparison of Dual-Class and Single-Class SEOs
Chad Zutter, University of Pittsburgh
Scott Smart, Indiana University
Discussant: John C. Yeoman, North Georgia College and State University
Initiation of Analyst Coverage and Long-Term Market Performance of Newly Public Firms
Rejin Guo, University of Illinois - Chicago
Somnath Das, University of Illinois - Chicago
Huai Zhang, University of Illinois - Chicago
Discussant: Christopher Gadarowski, Cornell University
Session
8-5
Friday, April 11, 2003
2:00 - 3:30
Coronado R
Bond Portfolio Analysis
Chair: J. Edward Graham, University of North Carolina at Wilmington
Papers:
Plain and Enlarged Separation Portfolios: On their Use when Arbitraging and Synthesizing Securities
Rodolfo Apreda, Universidad Del Cema
Discussant: Pradipkumar Ramanial, University of Central Florida
The Information in Forward Rates -- Evidence from U.S. Treasury STRIPS
Qing (Grace) Hao, University of Florida
Miles Livingston, University of Florida
Discussant: James T. Lindley, University of Southern Mississippi
A Highly Accurate Measure of Bond Price Sensitivity to Interest Rates
Miles Livingston, University of Florida
Lei Zhou, Miami University of Ohio
Discussant: Oliver Schnusenberg, St. Joseph's University
Session
8-6
Friday, April 11, 2003
2:00 - 3:30
Coronado S
Investment Decisions
Chair: Claire E. Crutchley, Auburn University
Papers:
Acquiring Privately-Held Firms: A Costly Search Perspective
Jouahn Nam, Pace University
P.V. Viswanath, Pace University
Discussant: Leonard L. Lundstrum, North Carolina State University
Does costly long-term informed trading cause under-investment in projects with long-term cashflows? The
LEAPS evidence
Leonard L. Lundstrum, North Carolina State University
Craig Holden, Indiana University
Discussant: Helen L. Bowers, University of Delaware
An analytical theory of project investment
Jing Chen, University of Northern British Columbia
Discussant: David A. Carter, Oklahoma State University
Session
8-7
Friday, April 11, 2003
2:00 - 3:30
Incentives and Operating Performance
Chair: Julie Cagle, Xavier University
Papers:
Operating Performance and Free Cash Flow of Asset Buyers
Steven Freund, University of Detroit - Mercy
Alexandros Prezas, Suffolk University
Gopala K. Vasudevan, Northeastern University
Discussant: Terry D. Nixon, Miami University
CEO Incentives, Cash Flow, and Investment
John Paul Broussard, Rutgers University
Sheree Buchenroth, West Chester University
Eugene Pilotte, Rutgers University
Discussant: Thomas Coe, Quinnipiac University
E-Commerce and Value Added?
Karen Denning, West Virginia University
Heather Hulburt, West Virginia University
Discussant: James E Pawlukiewicz, Xavier University
Coronado T
Special Session 8-8
Friday, April 11, 2003
2:00 - 3:30
Cancun
Corporate Governance at the Crossroads
Chair: Janet D. Payne, Southwest Texas State University
Topics/Panelists:
The Current Legal Environment As It Relates To Corporate Governance Panelist
Stuart L. Gillan, University of Delaware
The Role of Institutional Investors in Corporate Governance
Paula Tkac, Federal Reserve Bank of Atlanta
CEO/Board Compensation
Helen L. Bowers, University of Delaware
Board of Director Composition
Stephen Ferris, University of Missouri - Columbia
Session
9-1
Friday, April 11, 2003
3:45 - 5:15
Coronado M
Banking and Financial Market Risks
Chair: Anand Shetty, Iona College
Papers:
Expectations and Asset Prices: Evidence from Prospect Theory
Ding Li, Rensselaer Polytechnic Institute
Irvin Morgan, Rensselaer Polytechnic Institute
Richard Shuler, New York Department of Public Service
J. R. Norsworthy, Rensselaer Polytechnic Institute
Rifat Gorener, Rensselaer Polytechnic Institute
Discussant: Jouahn Nam, Pace University
The Threat of Systemic Risk in Banking -- Evidence for Europe
Martin Schueler, Centre for European Economic Research
Discussant: Thomas Lutton, Office of Federal Housing Enterprise Oversight
Crisis in the Jamaican Financial Sector: Can Interest Rate Risk Explain Profitability and Solvency Problems
Facing the Financial Sector?
Ruth Clarke, Nova Southeastern University
Twila-Mae Logan, Nova Southeastern University
Dorothy Alexander-Smith, University of the West Indies
Discussant: Beverly B. Marshall, Auburn University
Session
9-2
Friday, April 11, 2003
3:45 - 5:15
Coronado N
Small Business Lending
Chair: Robert Schweitzer, University of Delaware
Papers:
Small Business and the Value of Community Financial Institutions
Jonathan A. Scott, Temple University
William C. Dunkelberg, Temple University
Discussant: Robert DeYoung, Federal Reserve Bank of Chicago
An Investigation into Small Business Lending Performance at Large and Small Banks
David A. Carter, Oklahoma State University
James E. McNulty, Florida Atlantic University
Discussant: Harold A. Black, University of Tennessee
Revisiting Lender Liability Under CERCLA
James E Pawlukiewicz, Xavier University
Julie Cagle, Xavier University
Discussant: Terry L. Campbell II, University of Delaware
Session
9-3
Friday, April 11, 2003
3:45 - 5:15
Coronado P
GARCH models
Chair: Gregory Bauer, University of Rochester
Papers:
Information Transmission amoung Major Equity Markets: Common Effects vs. Competitive Effects
Chin-Wen Hsin, Yuan Ze University
Discussant: Gerald Madden, Suffolk University
Bayesian Analysis of Stochastic Betas
Gergana Jostova, George Washington University
Alexander Philipov, Boston College
Discussant: Lance Young, University of Rochester
Intraday Periodicity and Volatility Spillovers between International Stock Index Futures Markets
Jinliang Li, Northeastern University
Chunchi Wu, Syracuse University
Discussant: Keith Vorkink, Brigham Young University
Session
9-4
Friday, April 11, 2003
3:45 - 5:15
Coronado Q
Equity Offerings: Sweeteners and Other Seasonings
Chair: Manak C. Gupta, Temple University
Papers:
Do Investors Ever Learn from Seasoned Equity Offerings? Evidence from Recurring SEOs
Michael Gombola, Drexel University
Yueh-Fang Ho, Drexel University
Feng-Ying Liu, Rider University
Discussant: Zheng Wang, Baruch College - City University of New York
Total Equity Risk and Seasoned Stock Offerings
Richard Gregory, University of South Carolina - Spartanburg
Mojib Ahmed, University of the South Pacific
Discussant: Dalia Marciukaityte, Louisiana Tech University
Why do Firms Issue Private Placements of Equity with Warrants: Sweetener, Signaling, or Staged Financing?
Dalia Marciukaityte, Louisiana Tech University
Anita K. Pennathur, Florida Atlantic University
Discussant: Jun Qian, Boston College
Session
9-5
Friday, April 11, 2003
3:45 - 5:15
Coronado R
Bond Yields and Issue Characteristics
Chair: Wei Zhang, State University of New York -- Fredonia
Papers:
The Choice between Mandatory and Ordinary Convertible Securities: An Examination of Signaling and Agency
Effects
Shantaram Hegde, University of Connecticut
Karthik Krishnan, University of Connecticut
Discussant: Lei Zhou, Miami University of Ohio
Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads on Bond Indexes
Weipeng Kong, Pennsylvania State University
Jing-zhi Huang, Pennsylvania State University
Discussant: Yewmun Yip, San Francisco State University
The Role of Debt Insurance
Sergei A. Davydenko, London Business School
Discussant: Patricia Clarke, Simmons College
Session
9-6
Friday, April 11, 2003
3:45 - 5:15
Coronado S
Stock Pricing
Chair: George Athanassakos, Wilfrid Laurier University
Papers:
A Family of Proxies for Tests of Behavioral Effects
Ricardo J. Rodriguez, University of Miami
Discussant: Barry Marchman, Florida State University
The Nonlinear Behavior of Stock Prices
Douglas Patterson, Virginia Polytechnic Institute
Debra Skaradzinski, University of Massachusetts - Boston
Discussant: Mohamed Ayadi, Brock University
Derivation of Theoretical Model to Value Internet Stocks
Damir Tokic, University of Houston - Downtown
Discussant: James M. Sfiridis, University of Connecticut
Session
9-7
Friday, April 11, 2003
3:45 - 5:15
Coronado T
Governance, Performance and Compensation
Chair: M. Andrew Fields, University of Delaware
Papers:
Agency Conflicts in Financial Institutions: the Influence of Fiduciary, Block and Dispersed Ownership on
Executive Compensation
Peter Went, Bucknell University
Discussant: John F. Manley, Iona College
Are banks differently affected by changing credit market conditions? Evidence from bank stock returns
Astrid Van Landschoot, Ghent University
Rudi Vander Vennet, Ghent University
Lieven Baele, Ghent University
Discussant: James Murtagh, Rensselaer Polytechnic Institute
The Performance Characteristics of Financial Holding Companies
James Murtagh, Rensselaer Polytechnic Institute
Discussant: David Nawrocki, Villanova University
Tutorial Session 9-8
Friday, April 11, 2003
3:45 - 5:15
Islamic Finance
Chair: Shaikh Hamid, Southern New Hampshire University
Cancun
Session
10-1
Saturday, April 12, 2003
8:30 - 10:00
Coronado M
Timing Effects in Markets
Chair: Marilyn K. Wiley, Florida Atlantic University
Papers:
Time Varying Equity Market Integration in Europe
Raj Aggarwal, Kent State University
Brian M Lucey, University of Dublin
Cal Muckley, University of Dublin
Discussant: Ravi Shukla, Syracuse University
The Weekend Effect in the U.S. Stock Market: A New Look
Samer A.M. Al-Rjoub, Hashimite University
M. Kabir Hassan, University of New Orleans
Oscar Varela, University of New Orleans
Discussant: Patricia Clarke, Simmons College
Is the January Effect Economically Exploitable? Evidence from Athens Stock Exchange
Shiyun Wang, University of Manchester
Theocharis Koutianoudis, University of Manchester
Discussant: Sergei A. Davydenko, London Business School
Session
10-2
Saturday, April 12, 2003
8:30 - 10:00
Coronado N
Bank Relationship
Chair: Stephen D. Smith, Georgia State University
Papers:
Financial Performance of Microfinance Institutions: A Comparison of Performance with Regional Commercial
Banks by Geographic Regions
Michael Tucker, Fairfield University
Discussant: Iftekhar Hasan, Rensselaer Polytechnic Institute
The Value of Banking Relationships During a Financial Crisis: Evidence from Failures of Japanese Banks
Elijah Brewer III, Federal Reserve Bank of Chicago
Hesna Genay, Federal Reserve Bank of Chicago
William Curt Hunter, Federal Reserve Bank of Chicago
George Kaufman, Loyola University - Chicago
Discussant: Adrian Cowan, University of Alabama - Birmingham
Bank relationships in France
Benedicte Reyes, Monmouth University
Discussant: Thomas Lutton, Office of Federal Housing Enterprise Oversight
Session
10-3
Saturday, April 12, 2003
8:30 - 10:00
Coronado P
Mergers & Acquisitions
Chair: Jayant Kale, Georgia State University
Papers:
Mergers Among Debt Underwriters
Wei-ling Song, Drexel University
Lawrence G. Goldberg, University of Miami
Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University
Opportunity in Mergers and Acquisitions
James S. Ang, Florida State University
Yingmei Cheng, Florida State University
Discussant: M. Andrew Fields, University of Delaware
The Value of Being Public: The use of Reverse Takeovers as a Mechanism to Obtain an Exchange Listing
Kimberly C. Gleason, Bentley College
Leonard Rosenthal, Bentley College
Chip Wiggins, Bentley College
Discussant: Jacqueline L. Garner, Drexel University
Session
10-4
Saturday, April 12, 2003
8:30 - 10:00
Information, Trading, and Stock Price
Chair: Douglas Dyer, Tarleton State University
Papers:
Financial Institutions Stock Reaction to Stock Splits
Sunil Mohanty, University of St. Thomas
Doocheol Moon, SUNY -- Old Westbury
Discussant: Cameli Rotaru, Florida Atlantic University
How Profitable Day Traders Trade: An Examination of Trading Profits
Ryan Garvey, Duquesne University
Anthony Murphy, University College Dublin
Discussant: Douglas Dyer, Tarleton State University
On the Efficacy of Regulation Fair Disclosure: Theory & Evidence
Christopher Gadarowski, Cornell University
Praveen Sinha, Cornell University
Discussant: George Papaioannou, Hofstra University
Coronado Q
Session
10-5
Saturday, April 12, 2003
8:30 - 10:00
Coronado R
The Impact of a Terrorist Attack on U.S. Equities
Chair: William H. Dare, Oklahoma State University
Papers:
Has Investment in the Stock Market Become Riskier Due to the Events of September 11?
Angela J. Black, University of Aberdeen
Discussant: Jose Mercado Mendez, Central Missouri State University
The Market's Reaction to Unexpected, Catastrophic Events: The Case of Airline Stock Returns and the
September 11th Attacks
Betty J. Simkins, Oklahoma State University
David A. Carter, Oklahoma State University
Discussant: William H. Dare, Oklahoma State University
Share Price Volatility of Transportation Companies Before and After September 11, 2001 and an Analysis of
Earnings and Share Prices of Transportation Companies Filing for Bankruptcy Protection After September 11,
George Schatz, Maine Maritime Academy
Discussant: Betty J. Simkins, Oklahoma State University
Session
10-6
Saturday, April 12, 2003
8:30 - 10:00
Coronado S
Industry Effects
Chair: Tarun K. Mukherjee, University of New Orleans
Papers:
Executive Compensation and Corporate Production Efficiency: A Stochastic Frontier Approach
H Young Baek, Nova Southeastern University
Jose A. Pagan, University of Texas - Pan American
Discussant: Carmen Cotei, University of New Orleans
Executive Compensation and Excess Performance
H Young Baek, Nova Southeastern University
Joung W. Kim, Concordia University
Discussant: Elisabetha Pana, University of New Orleans
The Impact of the 1992 Energy Policy Act on Financial Decisions of the Electric Utility Industry: A Survey
Tarun K. Mukherjee, University of New Orleans
Wei He, University of New Orleans
Discussant: David R Wolfe, University of New Orleans
Session
10-7
Saturday, April 12, 2003
8:30 - 10:00
Coronado T
Trading Strategies
Chair: Jonathan Clarke, Georgia Institute of Technology
Papers:
Market Timing via Dividend Yields and Interest Rates
William J. Trainor, Jr., Western Kentucky University
Discussant: Karyl Leggio, University of Missouri - Kansas City
Evaluating the Effectiveness of Dollar-Cost Averaging Using Risk-Adjusted Performance Measures
Karyl Leggio, University of Missouri - Kansas City
Donald Lien, University of Texas - San Antonio
Discussant: Erik Lueders, University of Konstanz
The Effect of Pre-Formation Price on Momentum Profits
Robert Savickas, George Washington University
Zhan Onayev, George Washington University
Discussant: Jonathan Clarke, Georgia Institute of Technology
Session
10-8
Saturday, April 12, 2003
8:30 - 10:00
Cancun
Investment and MBOs
Chair: Isaac Otchere, University of Melbourne
Papers:
Real Options, Irreversible Investment and Firm Uncertainty: New Evidence from U.S. Firms
Laarni Bulan, Brandeis University
Discussant: John C. Yeoman, North Georgia College and State University
MBO Withdrawals and Determinants of Shareholders' Wealth
Pornsit Jiraporn, Texas A&M International
Wallace N. Davidson III, Southern Illinois University - Carbondale
Hong Qian, Pennsylvania State University
Discussant: John H. Thornton, Jr., Kent State University
Why Are Some MBOs Never Consummated? An Analysis of Corporate Governance, Firm Characteristics and
Stock Market Reactions
Portnsit Jiraporn, Texas A&M International University
Young Kim, Southern Illinois University - Carbondale
Wallace N. Davidson III, Southern Illinois University - Carbondale
Hong Qian, Pennsylvania State University
Discussant: Isaac Otchere, University of Melbourne
Session
11-1
Saturday, April 12, 2003
10:15 - 11:45
Coronado M
Mispricing in Equities
Chair: Kashi Nath Tiwari, KNT's Academic Financial Research
Papers:
A Robust Test for Bubbles in Emerging Stock Markets
Ako Doffou, Claremont Graduate University
Discussant: Alexander Philipov, Boston College
Pinpointing Stock Market Overreaction and Under-reaction for Losers
Stephen J. Larson, Eastern Illinois University
Discussant: Angela J. Black, University of Aberdeen
Are We Discounting the Future... or the Hereafter? Bubbles versus Growth Stocks: The U.S. Auto Industry as
a Case Study
Michael Long, Rutgers University
Robert Porter, Rutgers University
Discussant: Jing Chen, University of Northern British Columbia
Session
11-2
Saturday, April 12, 2003
10:15 - 11:45
M&A in Banking
Chair: Hesna Genay, Federal Reserve Bank of Chicago
Papers:
The Consolidation and Efficiency in the U.S. Banking Industry: The Impact of Regulations
Harri Ramcharran, University of Akron
Discussant: Ihsan Isik, Rowan University
Long-Term Bank Performance following a Merger/Acquisition in the 1990s
Terry D. Nixon, Miami University
Julie Cagle, Xavier University
Discussant: Kenneth Small, University of Tennessee - Knoxville
Can Post-Merger Success in Bank Holding Company Mergers Be Predicted Before the Fact?
Morris Knapp, Miami-Dade Community College
Alan Gart, Indiana University of Pennsylvania
Discussant: M. Cary Collins, University of Tennessee
Coronado N
Session
11-3
Saturday, April 12, 2003
10:15 - 11:45
Coronado P
Debt Financing
Chair: Ehsan Nikbakht, Hofstra University
Papers:
Pricing inflation-indexed and foreign currency linked convertible bonds with credit risk
Alon Raviv, Hebrew University
Yoram Landskroner, New York University and Hebrew University
Discussant: Cesare Robotti, Federal Reserve Bank of Atlanta
Multifactor Closed-Form Term Structure Solution Arising from the Heath-Jarrow-Morton Methodology
Chen Guo, University of Ottawa
Discussant: Weipeng Kong, Pennsylvania State University
A Mathematical Model of Optimal Debt Financing Policy for a Firm
Manak C. Gupta, Temple University
Discussant: Haiwei Chen, Westminster College
Session
11-4
Saturday, April 12, 2003
10:15 - 11:45
Coronado Q
The Information Content of Analysts and Corporate Announcements
Chair: Thomas Coe, Quinnipiac University
Papers:
Buy-side Analysts, Sell-side Analysts, and Information Transmission: Theory and Evidence
Yingmei Cheng, Florida State University
Huanliang (Mark) Liu, Boston College
Jun Qian, Boston College
Discussant: Laarni Bulan, Brandeis University
Do Analysts' Overweight Earnings Information?
Alexander von Nandelstadh, Swedish School of Economics and Business Administration
Discussant: James E Pawlukiewicz, Xavier University
The Reaction of Corporate Bond Values to Call Announcements
Thomas Coe, Quinnipiac University
Discussant: Wendy D. Habegger, Florida State University
Session
11-5
Saturday, April 12, 2003
10:15 - 11:45
Coronado R
The Effect of News on Stock Prices
Chair: Boyce Watkins, Syracuse University
Papers:
Asset Price Processes Under Hara-Utility
Erik Lueders, University of Konstanz
Discussant: Boyce Watkins, Syracuse University
Contagion and Industry Risk: Evidence from Banking Industry
Chu-Sheng Tai, Texas A&M University - Kingsville
Discussant: Christopher Richardson, Department of Justice
Large Price Declines, News, Liquidity, and Trading Strategies: An Intraday Analysis
Vladimir Zdorovtsov, University of South Carolina
Frank Fehle, University of South Carolina
Discussant: Stephanie Rauterkus, Louisiana State University
Session
11-6
Saturday, April 12, 2003
10:15 - 11:45
Corporate Value Creaters and Killers -- Myth or Reality
Chair: Bhavesh Patel, Myers University
Papers:
Intangible Capital in the Pharmaceutical & Chemical Industry
Katherine Gleason, University of New Orleans
Mark Klock, George Washington University
Discussant: Sabyasachi Sengupta, XLRI
The impact of strikes on shareholders' wealth: Empirical evidence from the 1990s
Sherry Wang, San Francisco State University
Yewmun Yip, San Francisco State University
Yuli Su, San Francisco State University
Discussant: Pornsit Jiraporn, Texas A&M International
The Valuation Effects of Naming Rights Deals
Edward Waller, University of Houston - Clear Lake
Yvette Bendeck, University of Houston - Clear Lake
Sue Neeley, University of Houston - Clear Lake
Discussant: Joseph Farhut, University of New Orleans
Coronado S
Session
11-7
Saturday, April 12, 2003
10:15 - 11:45
Coronado T
Real Estate
Chair: Elijah Brewer III, Federal Reserve Bank of Chicago
Papers:
The Returns to Homeownership: An MSA Level Analysis from 1989 to 1999
Christopher Brown, Western Kentucky University
Indudeep Chhachhi, Western Kentucky University
Discussant: Ricardo J. Rodriguez, University of Miami
The Effects of Charm Listing Prices on House Transaction Prices
Marcus Allen, Florida Atlantic University
William H. Dare, Oklahoma State University
Discussant: Harold A. Black, University of Tennessee
Alternatives to Home Investment
Ki C. Han, Suffolk University
Suk Hun Lee, Loyola University - Chicago
David Y. Suk, Rider University
Discussant: Paul Calem, Federal Reserve Board
Session
11-8
Saturday, April 12, 2003
10:15 - 11:45
Diversification Discount and Agency Issues
Chair: Thomas Chen, St. John's University
Papers:
The Effect of Agency Costs on the Value of Single Segment and Multi-Segment Firms
John H. Thornton, Jr., Kent State University
Jouahn Nam, Pace University
Discussant: H Young Baek, Nova Southeastern University
The Role of Information Asymmetry Due to Diversification in Explaining the Firm Value Discount
Young Kim, Southern Illinois University - Carbondale
Ike Mathur, Southern Illinois University - Carbondale
Jouahn Nam, Pace University
Discussant: Lloyd P. Blenman, University of North Carolina - Charlotte
Optimal Pricing in a Principal-Agent Framework: Why Ticket Rationing Occurs so Frequently
John C. Yeoman, North Georgia College and State University
Steven L. Jones, Indiana University
Discussant: Ramon P. DeGennaro, University of Tennessee
Cancun