5:00 - 7:00 Registration and reception in the Conference Foyer. We will provide two tickets for alcoholic drinks and unlimited non-alcoholic drinks. You can meet friends and work out your own dinner plans.
7:30 - 8:30 am Breakfast in the Conference Foyer and the Gold Room
8:30 - 10:00 am: Parallel sessions (6)
10:00 - 10:15 am: Coffee and snacks
10:15 am - 11:45 am: Parallel sessions (6)
12:00 - 1:30 pm: Lunch, with keynote speaker Philip Dybvig in the Gold Room
1:45 - 3:15 pm: Parallel sessions (6)
3:15 - 3:30 pm: Coffee and snacks
3:30 - 5:00 pm: Parallel sessions (6)
5:00 - 7:00 pm: Free time. Take a walk or drive or bike ride. If you are really Type A, write a paper.
6:30 - 7:00 pm: Cash Bar in the Gold Room. We will have wine at the dinner tables, when you are seated at 7:00 pm.
7:00 - 9:30 pm: Dinner with keynote speaker Michael Brennan in the Gold Room
7:30 - 8:30 am Breakfast in the Conference Foyer and the Gold Room
8:30 - 10:00 am: Parallel sessions (6)
10:00 - 10:15 am: Coffee and snacks
10:15 am - 11:45 am: Parallel sessions (6)
8:30 AM: Black's Simple Discounting Rule: A Simple Implementation
Claudio Loderer, University of Bern; John B. Long, University of Rochester; Lukas Roth, Penn State University
Discussant: Felipe Aguerrevere, University of Alberta
9:00 AM: Who Holds Risky Assets?
Bryan Routledge, Carnegie Mellon University; David Backus, New York University; Stanley Zin, Carnegie Mellon University
Discussant: Ali Lazrak, University of British Columbia
9:30 AM: Empirical Likelihood Estimators for Stochastic Discount Factors
Caio Almeida, Getulio Vargas Fundacao; René Garcia, EDHEC Business School
Discussant: Raymond Kan, University of Toronto
8:30 AM: Trading Places: Impact of Ownership Changes on Canadian Firms
Michael King, Bank for International Settlements; Eric Santor, Bank of Canada
Discussant: Pei Shao, University of Northern British Columbia
9:00 AM: Operating Performance Changes Associated with Corporate Mergers and the Role of Corporate Governance
Nicholas Carline, University of Lancaster; Scott Linn, Pradeep Yadav, University of Oklahoma
Discussant: Paul Seguin , University of Minnesota
9:30 AM: Multiple Large Shareholders, Control Contests, and Implied Cost of Equity
Najah Attig, Saint Mary's University; Omrane Guedhami, University of South Carolina; Dev Mishra, University of Saskatchewan
Discussant: Kee-Hong Bae, Queen's University
8:30 AM: The Structure of Jumps: Evidence from Returns with Implications for Option Valuation
Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai, McGill University
Discussant: Giovanni Barone Adesi, University of Lugano
9:00 AM: VaR and Expected Shortfall: A Non-normal Regime Switching Framework
Robert Elliott, Hong Miao; University of Calgary
Discussant: Alexander Melnikov, University of Alberta
9:30 AM: The immunization performance of traditional and stochastic durations: A mean-variance analysis
Pascal François, HEC Montréal; Franck Moraux, Université de Rennes
Discussant: Giovanna Zanotti, SDA Bocconi
Dev Mishra, George Tannous; University of Saskatchewan
Discussant: Lorne Switzer, Concordia University
Kai Li, Dale Griffin, University of British Columbia; Heng Yue, Longkai Zhao, Peking University
Discussant: Vikas Mehrotra, University of Alberta
9:30 AM: Predation, Stock Prices and Financial Structure
Andres Almazan, University of Texas, András Marosi, University of Alberta; Sheridan Titman, University of Texas
Discussant: James Thompson, University of Waterloo
8:30 AM: Seasonal Asset Allocation: Evidence from Mutual Fund Flows
Mark Kamstra, York University; Lisa Kramer, University of Toronto; Maurice Levi, University of British Columbia; Russ Wermers, University of Maryland
Discussant: Anna Scherbina, University of California at Davis
9:00 AM: The role of demographic dynamics in explaining asset returns: Italy as a case study
Marianna Brunetti, University of Rome; Costanza Torricelli, University of Modena
Discussant: Xifeng Diao, University of Calgary
Tolga Cenesizoglu, HEC Montréal
Discussant: Bo-Young Chang, McGill University
9:00 AM: Media Coverage, Investor Inattention, and the Market's Reaction to News
Charles Gaa, University of British Columbia
Discussant: Nadia Massoud, York University
9:30 AM: Does short-sale constraint impede long run informational efficiency?
Siu-Kai Choy, University of Toronto; Hua Zhang, Chinese University of Hong Kong
Discussant: Volkan Kayacetin, University of Alberta
10:15 AM: The Changing Nature of Systematic Risk
Francesco Franzoni, University of Lugano
Discussant: Hong Miao, University of Colorado at Boulder
10:45 AM: A Market Based Approach To Inflation Expectations, Risk Premia And Real Interest Rates
Jose Manuel Marques Sevillano, Ricardo Gimeno Nogues, Banco de España
Discussant: Masahiro Watanabe, Rice University
11:15 AM: A Disaggregate Approach to Test Financial Integration in North America Using the Four Factors Model
Marie-Hélène Gagnon, Marie-Claude Beaulieu, Université Laval; Lynda Khalaf, Carleton University
Discussant: Ethan Chiang, Boston College
10:15 AM: How does Venture Capital Financing Improve Efficiency in Private Firms? A Look Beneath the Surface.
Thomas Chemmanur, Karthik Krishnan, Boston College; Debarshi Nandy, York University
Discussant: Michael Robinson, University of Calgary
10:45 AM: When Bad Stocks Make Good Investments: The Role of Hedge Funds in Leveraged Buyouts
Jiekun Huang, Boston College
Discussant: Blake Phillips, University of Alberta
11:15 AM: The Value of a Reputation for Corporate Social Responsibility: Empirical Evidence
Stephanie Bertels, Anne Kleffner, Michael Robinson, University of Calgary
Discussant: Alan Kraus, University of British Columbia
10:15 AM: Can the Black-Scholes Model Survive Under Transaction Costs? An Affirmative Answer
Stylianos Perrakis, Michal Czerwonko, Concordia University
Discussant: Lars Stentoft, HEC Montréal
10:45 AM: Barrier Option Pricing using adjusted transition probabilities
Giovanni Barone-Adesi, Nicola Fusari, John Theal, University of Lugano
Discussant: Phelim Boyle, Wilfred Laurier University
11:15 AM: An Empirical Comparison of Convertible Bond Valuation Models
Yuriy Zabolotnyuk, Robert Jones, Simon Fraser University; Chris Veld, University of Stirling
Discussant: TBA
10:15 AM: Why are firms that raise more financing worth more?
Ambrus Kecskes, University of Toronto
Discussant: Rick Green, Carnegie Mellon University
10:45 AM: Institutional Holdings and Seasoned Equity Offerings
Hamed Mahmudi, University of Toronto; Huasheng Gao, University of British Columbia
Discussant: Espen Eckbo, Dartmouth College
11:15 AM: Private Placements and Liquidity
Ari Pandes, Elizabeth Maynes, York University
Discussant: David Koslowsky, University of British Columbia, Okanagan
10:15 AM: Performance gauging in discrete time using a Luenberger portfolio productivity indicator
Olivier Brandouy, University of Sciences and Technologies, Lille; Walter Briec, University of Perpignan; Kristiaan Kerstens, IESEG School or Management; Ignace van de Woestyne, KU Bruxelles
Discussant: Aymen Karoui, HEC Montréal
10:45 AM: Measuring Performance in a Dynamic World: Conditional Mean-Variance Fundamentals
Ranjini Jha, University of Waterloo; Bob Korkie, University of Alberta; Harry Turtle, Washington State University
Discussant: Olivier Brandouy, University of Sciences and Technologies Lille 1
11:15 AM: Earnings Forecasts and Idiosyncratic Volatilities
Sana Mohsni, Lawrence Kryzanowski; Concordia University
Discussant: Keywan Rasekhschaffe, University of Lugano
10:15 AM: Debt Rating Initiations and Accompanying Corporate Behavior
Laurence Booth, University of Toronto; Sean Cleary, Lynnette Purda, Queen's University
Discussant: Andras Marosi, University of Alberta
Isabelle Distinguin, Amine Tarazi, Université de Limoges
Discussant: Mark Kamstra, York University
Ulrich Schuewer, Olaf Clemens, Goethe-University Frankfurt
Discussant: Matt Lyle, University of Calgary
Luncheon Sponsored by the Bank of Canada
The Collected Works of Stephen A Ross
Keynote Speaker: Philip Dybvig, Washington University at St. Louis
Keynote Speaker sponsored by The International Journal of Managerial Finance
1:45 PM: Return Comovement
Jason Chen, Jenny Chen, University of British Columbia; Feng Li, University of Michigan
Discussant: Evan Gatev, Simon Fraser University
2:15 PM: Industry-Specific Human Capital, Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Esther Eiling, Rotman School of Management, University of Toronto
Discussant: Tim Simin, Pennsylvania State University
Ying Duan, Boston College
Discussant: Wolfgang Bessler, University of Giessen
2:15 PM: Capital Markets and Corporate Control: Empirical Evidence from Hedge Fund Activism in Germany
Wolfgang Bessler, Julian Holler, University of Giessen
Discussant: Vijay Jog, Carleton University
Lobna Bouslimi, Narjess Boubakri, HEC Montréal
Discussant: Ambrus Kecskes, Virginia Tech
1:45 PM: Liquidity and Credit Default Swap Spreads
Dragon Tang, University of Hong Kong; Hon Yan, University of South Carolina
Discussant: Jingzhi Huang, Pennsylvania State University
Giovanna Zanotti, Bocconi University; Giampaolo Gabbi, Siena University; Manuela Geranio, Bocconi University
Discussant: Stylianos Perrakis, Concordia University
1:45 PM: Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?
James Thompson, Queen's University
Discussant: Jean Helwege, Pennsylvania State University
2:15 PM: Aggregate Volatility Risk: Explaining the Small Growth Anomaly and the New Issues Puzzle
Alexander Barinov, University of Georgia
Discussant: René Garcia, University of Montréal
2:45 PM: The Persistence of SEO Market Timing
David Koslowsky, University of British Columbia, Okanagan
Discussant: George Tannous, University of Saskatchewan
1:45 PM: Structured Investment Products and the Retail Investor
Carole Bernard, University of Waterloo; Phelim Boyle, Wilfrid Laurier University
Discussant: Rick Green, Carnegie Mellon University
2:15 PM: Why Mutual Funds "Underperform"
Vincent Glode, Carnegie Mellon University
Discussant: Russ Wermers, University of Maryland
2:45 PM: Systemic Risk as Renegotiation Breakdown: The Role of Structured Investment Products
Alexander David, Alfred Lehar, University of Calgary
Discussant: Phil Dybvig, Washington University in St. Louis
1:45 PM: Information Asymmetry, Signaling, and Share Repurchase
Jin Wang, Lewis Johnson, Queen's University
Discussant: Michael Halling, University of Utah
2:15 PM: Information Leakages in Financial Markets: Evidence from Shorting around Insider Sales
Bidisha Chakrabarty, Saint Louis University; Andriy Shkilko, Wilfrid Laurier University
Discussant: Jung-Wook Kim, University of Alberta
2:45 PM: Does Initial Placement Matter for Equity Analysts' Forecast Accuracy?
Lin Zou, Jess Cornaggia, University of Texax at Dallas
Discussant: Jean Helwege, Pennsylvania State University
3:30 PM: Value, Trading Strategies and Financial Investment of Natural Gas Storage Assets
Youyi Feng, Chinese University of Hong Kong; Zhan Pang, University of Calgary
Discussant: Gordon Sick, University of Calgary
4:00 PM: Expected Commodity Futures Returns
Saqib Khan, University of Regina; Zeigham Khokher, University of Western Ontario; Timothy Simin, Penn State University
Discussant: Murray Carlson, University of British Columbia
4:30 PM: The Explanatory Power Of The Hotelling Valuation Principle On Canadian Oil And Gas Royalty Trusts
Michael Shumlich, Jennings Capital; Craig Wilson, University of Saskatchewan
Discussant: Charles Gaa, University of British Columbia
Changling Chen, Alan G. Huang, Ranjini Jha, University of Waterloo
Discussant: Akiko Watanabe, University of Alberta
4:00 PM: Compensation, Decentralization and Investment in Firm-Specific Human Capital
Neil Brisley, University of Western Ontario; Alan Douglas, University of Waterloo
Discussant: Tom Cottrell, University of Calgary
4:30 PM: Can earnings manipulation create value?
Anton Miglo, University of Guelph
Discussant: Eric Santor, Bank of Canada
3:30 PM: Exploring the Common Factors in the Term Structure of Credit Spreads
Marcos Perez, Wilfrid Laurier University; Seung Ahn, Stephan Dieckmann, Arizona State University
Discussant: Yaxuan Qi, Concordia University
4:00 PM: Cash Holdings and Credit Risk
Viral Acharya, London Business School; Sergei Davydenko, University of Toronto; Ilya Strebulaev, Stanford University
Discussant: Bryan Routledge, Carnegie Mellon University
4:30 PM: Specification Analysis of Structural Credit Risk Models
Jing-zhi Huang, Penn State University; Hao Zhou, Federal Reserve Board
Discussant: Pascal François, HEC Montréal
3:30 PM: Restructuring, corporate performance, and returns in Japan
Vikas Mehrotra, Dick Beason, Akiko Watanabe, University of Alberta; Ken Gordon, JapanInvest
Discussant: Scott Linn, University of Oklahoma
4:00 PM: Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China
Kai Li, Tan Wang, University of British Columbia; Yan-Leung Cheung, Ping Jiang, City University of Hong Kong
Discussant: Sean Cleary, Queen's University
4:30 PM: Political Rights and the Cost of Debt
Yaxuan Qi, Concordia University; Lukas Roth, Pennsylvania State University; John Wald, University of Texas at San Antonio
Discussant: Dick Beason, University of Alberta
3:30 PM: Inflation Risk Premium: Evidence from the TIPS Market
Olesya Grishchenko, Jing-zhi Huang, Penn State University
Discussant: Shubo Wang, University of British Columbia
4:00 PM: Term Premium Dynamics and the Taylor Rule
Michael Gallmeyer, Texas A & M, Burton Hollifield, Carnegie Mellon; Fanciso Palmonino, University of Michigan; Stanley Zin, Carnegie Mellon
Discussant: Alexander David, University of Calgary
4:30 PM: Skewness and co-skewness in bond returns
I-Hsuan Ethan Chiang, Boston College
Discussant: Kris Jacobs, McGill University
3:30 PM: Performance Analysis of New Mutual Funds: a Bayesian Approach
Aymen Karoui, HEC Montréal
Discussant: Blake Phillips, University of Alberta
4:00 PM: How Bank Regulation and Lender Location Influence Loan Pricing
Li Hao, CitiGroup Hong Kong; Debarshi Nandy, York University; Gordon Roberts, York University
Discussant: Greg Hebb, Dalhousie University
Dinner sponsored by the Haskayne School of Business, University of Calgary
Tranching and Rating
Keynote Speaker: Michael Brennan, University of California at Los Angeles
Keynote Speaker Sponsored by the Canadian Institute of Chartered Business Valuators
8:30 AM: Productivity-based Asset Pricing: Does the Real Side of the Economy Help Explain Stock Returns?
Laurence Booth, Walid Hejazi, University of Toronto; Bin Chang, University of Ontario Institute of Technology; Pauline Shum, York University
Discussant: Jason Chen, University of British Columbia
9:00 AM: Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?
Albert Lee Chun, HEC Montréal
Discussant: Craig Wilson, University of Saskatchewan
9:30 AM: Rethinking Idiosyncratic Volatility: Is It Really a Puzzle?
Fatma Sonmez Saryal, University of Toronto
Discussant: Lynette Purda, Queen's University
8:30 AM: Impact of Restricted Voting Share Structure on Firm Value and Performance
Vijay Jog, PengChen Zhu, Carleton University; Shantanu Dutta, St. Francis Xavier University
Discussant: Tony Tang, Wilfred Laurier University
9:00 AM: Adoptive Expectations: Rising Son Tournaments in Japanese Family
Vikas Mehrotra, Randall Morck, University of Alberta; Jungwook Shim, Yupana Wiwattanakantang, Hitotsubasshi University
Discussant: Amir Barnea, University of Texas, Austin
8:30 AM: The Impact of Earnings on the Pricing of Credit Default Swaps
Jeffrey Callen, University of Toronto; Joshua Livnat, New York University
Discussant: Yuriy Zabolotnyuk, Simon Fraser
9:00 AM: Default Dependence: the Equity Default Relationship
Stuart Turnbull, University of Houston; Jun Yang, Bank of Canada
Discussant: Peter Klein, Simon Fraser University
9:30 AM: Determinants of Credit Spread Changes within Switching Regimes
Olfa Maalaoui, George Dionne, Pascal François, HEC Montréal
Discussant: Muhammed Farooqi, University of Western Ontario
8:30 AM: Market Misvaluation, Managerial Horizon, and Acquisitions
Huasheng Gao, University of British Columbia
Discussant: Carmen Stefanescu, University of Alberta
9:00 AM: Reverse split announcements, effective dates and survival
Marie-Claude Beaulieu, William Sodjahin, Université Laval
Discussant: Si Li, Wilfrid Laurier University
9:30 AM: The Long Term Performance of Acquiring Firms: A Re-examination of an Anomaly
Shantanu Dutta, St. Francis Xavier University; Vijay Jog, Carleton University
Discussant: Kai Li, University of British Columbia
8:30 AM: Volatility, Market Structure, and the Bid-Ask Spread
Kee Chung, SUNY, Buffalo; Youngsoo Kim, University of Regina
Discussant: Dan Smith, Simon Fraser University
9:00 AM: Does Risk Aversion Vary During the Year? Evidence from Bid-Ask Spreads
Ramon DeGennaro, University of Tennessee and Federal Reserve Bank of Atlanta; Mark Kamstra, York University; Lisa Kramer, University of Toronto
Discussant: Xifeng Diao, University of Calgary
9:30 AM: Multimarket Trading, Volume Dynamics, and Market Integration
Michael Halling, University of Utah; Pamela Moulton, Fordham University; Marios Panayides, University of Utah
Discussant: Aditya Kaul, University of Alberta
8:30 AM: Liquidity Risk and Syndicate Structure
Evan Gatev, Simon Fraser University; Philip Strahan, Boston College
Discussant: Gordon Roberts, York University
9:00 AM: Industry contagion in loan spreads
Michael Hertzel, Arizona State; Micah Officer, University of Southern California
Discussant: Sergei Davydenko, University of Toronto
9:30 AM: Why Do Larger Lenders obtain Higher Returns in Syndicated Lending? Evidence from Sovereign Loans
Issam Hallak, Bocconi University; Paul Schure, University of Victoria
Discussant: Alfred Lehar, University of Calgary
10:15 AM: Do Financing Expectations Affect Firm Performance?
Mark Kamstra, Debarshi Nandy, York University; Pei Shao, University of Northern British Columbia
Discussant: Ranjini Jha, University of Waterloo
10:45 AM: The Exact Distribution of the Hansen-Jagannathan Bound
Raymond Kan, University of Toronto; Cesare Robotti, Federal Reserve Bank of Atlanta
Discussant: Burton Hollifield, Carnegie Mellon University
11:15 AM: Alternative Explanations of the Volatility Trend: Are They Really That Different?
Amir Rubin, Daniel Smith; Simon Fraser University
Discussant: Yisong Tian, York University
10:15 AM: The Impact of Management Voluntary Disclosure on Firm Risk and Firm Value
Stephen Foerster, Stephen Sapp, Yaqi Shi; University of Western Ontario
Discussant: Si Li, Wilfrid Laurier University
10:45 AM: Backdating of CEO Stock Option Grants and Timing of Earnings Disclosures
Wenli Huang, Boston University; Hai Lu, University of Toronto
Discussant: Igor Semenenko, University of Alberta
11:15 AM: The Effect of the Sarbanes-Oxley Act on CEO Pay for Luck
Teodora Paligorova, Bank of Canada
Discussant: Dev Mishra, University of Saskatchewan
10:15 AM: Option Pricing with Stochastic Volatility Using Fuzzy Sets Theory
Anatoliy Swishchuk, Tony Ware, Hua Li, University of Calgary
Discussant: Robert Elliott, University of Calgary
10:45 AM: Optimal Early Exercise of Vulnerable American Options
Peter Klein, Simon Fraser University; Jun Yang, Manulife
Discussant: Carlton Osakwe, Mount Royal College
Lars Stentoft, HEC Montréal
Discussant: Chay Ornthanalai, McGill University
10:15 AM: Markup pricing and short-term toeholds in takeovers
Sandra Betton, Concordia University; Espen Eckbo, Karin Thorburn, Dartmouth University
Discussant: TBA
10:45 AM: To wait or not to wait: When do announced Initial Public Offerings are completed?
William Sodjahin, Marie-Claude Beaulieu, Laval University
Discussant: Daisy Li, University of Western Ontario
11:15 AM: Does Investor Heterogeneity Lead to IPO Overvaluation?
Ming Dong, Jean-Sébastien Michel, York University
Discussant: Steve Foerster, University of Western Ontario
Lorne Switzer, Fan Haibo, Concordia University
Discussant: David Michalyuk, University of Technology, Sydney
10:45 AM: Hidden Orders and Optimal Submission Strategies in a Dynamic Limit Order Market
Sabrina Buti, University of Toronto; Barbara Rindi, Bocconi University
Discussant: Carmen Stefanescu, University of Alberta
11:15 AM: Equity Market Order Flow, Macroeconomic Fundamentals, And Expected Stock Returns
Volkan Kayacetin, Aditya Kaul, University of Alberta
Discussant: Masahiro Watanabe, Rice University
10:15 AM: Does It Help to Secretly Buy Stock Recommendations?
Saif Ullah, University of Alberta; Nadia Massoud, York University; Barry Scholnick, University of Alberta
Discussant: Jeffrey Callen, University of Toronto
10:45 AM: Option introduction, short sale constraints and the speed of stock price adjustment to negative news
Blake Phillips, University of Alberta
Discussant: Lisa Kramer, University of Toronto
11:15 AM: Information Quality and Risk Premium: the Role of Endogenous Consumption
Shubo Wang, University of British Columbia
Discussant: Tolga Cenesizoglu, HEC Montréal