| 8:30-10:00 | | Balmoral | Imperial A | Imperial B | Loyalist | Somerset | Trillium | | International FinanceAndras MarosiCross Listing Waves and the Search for Value GainsSergei Sarkissian, McGill University; MICHAEL SCHILL, University of VirginiaMichael KingEffects of International Institutional Factors on Earnings Quality in BanksKIRIDARAN KANAGARETNAM, McMaster University; Chee Yeow Lim, Singapore Management University; Gerald Lobo, University of HoustonMehdi Beyhaghi Liquidity Effects of Listing RequirementsSARAH DRAUS, Université Paris DauphineCarmen Stefanescu |
Corporate Governance - OwnershipMark HusonCorporate Risk-Taking and Ownership StructureTEODORA PALIGOROVA, Bank of CanadaYisong TianVoting with their Feet or Activism? Institutional Investors’ Impact on CEO TurnoverJEAN HELWEGE, Penn State University; Vincent Intintoli, Southern Illinois University Carbondale; Andrew Zhang, University Nevada at Las VegasKarthik Krishnan |
Fixed Income 1Kenneth VetzalRevisions to Short Rate Expectations: Policy Shocks and Macroeconomic NewsMICHAEL BAUER, University of California, San DiegoMadhu KalimipalliIdiosyncratic Volatility vs. Liquidity? Evidence from the U.S. Corporate Bond MarketMADHU KALIMIPALLI, Wilfrid Laurier University; Subhankar Nayak, Wilfrid Laurier UniversityKenneth VetzalCash Flow Volatility and Corporate Bond Yield SpreadsALAN HUANG, University of Waterloo; Alan Douglas, University of Waterloo; Kenneth Vetzal, University of WaterlooYuriy Zabolotnyuk |
BankingGordon RobertsBank competition and collateral : Theory and evidenceChrista Hainz, IFO; LAURENT WEILL, University of Strasbourg and EM Strasbourg Business School; Christophe Godlewski, University of Strasbourg and EM Strasbourg Business SchoolGordon RobertsInternal Capital Markets: The Bright Side of Corporate PoliticsROCCO HUANG, Federal Reserve Bank of PhiladelphiaPatricia McGrawIT use and the competitiveness of small banksFELIX NOTH, Goethe-University Frankfurt; Michael Koetter, University of GroningenLaurent Weill |
Asset Pricing and RiskRaymond KanChanges in Multiplicative Background Risk and Risk-taking BehaviourOCTAVE JOKUNG, Edhec Business SchoolLiyan YangThe Empirical Importance of Background RisksDarius Palia, Rutgers Business School; YAXUAN QI, Concordia University; Yangru Wu, Rutgers Business SchoolAkiko WatanabeLearning Complementarities through Hedging-Motivated TradesYan Li, Temple University; LIYAN YANG, Rotman, University of TorontoOctave Jokung |
Behavioural FinanceYuri KhoroshilovCan Diversification be LearnedANN MARIE HIBBERT, West Virginia University; Edward Lawrence, Florida International University; Arun Prakash, Florida International UniversityMikhail SimutinCultural Values and Corporate Risk-TakingDale Griffin, UBC; KAI LI, UBC; Heng Yue, Peking University; Longkai Zhao, Peking UniversityFatma Sonmez SaryalReligious Beliefs, Gambling Attitudes, and Financial Market OutcomesAlok Kumar, University of Texas at Austin; JEREMY PAGE, University of Texas at Austin; Oliver Spalt, University of Texas at AustinMohammad Rahaman |
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| 10:15-11:45 | | Balmoral | Imperial A | Imperial B | Loyalist | Somerset | Trillium | | Corporate FinanceSean ClearyCEO General Skill and Firm Performance: What Does An External CEO Bring to the Table?MOHAMMAD RAHAMAN, University of Toronto; Varouj Aivazian, University of Toronto; Tat-Kei Lai, University of TorontoJun Zhou Corporate Precautionary SavingsNATHALIE MOYEN, University of Colorado at Boulder; Martin Boileau, University of Colorado at BoulderMohammad RahamanMarket Power and Dividend Policy: a Risk-Based PerspectiveJUN ZHOU, Rotman School of Management, University of Toronto; Laurence Booth, Rotman School of Management, University of TorontoAdlai Fisher |
Investment BankingMichael HertzelAdvisor Skill and Acquisition Performance: Do Investment Bankers Make a Difference? KARTHIK KRISHNAN, Northeastern University; Mine Ertugrul, Northeastern UniversityMarco PerezGeographic Proximity of Financial Advisors and Value Creation by Mergers and AcquisitionsCong Wang, Chinese University of Hong Kong; FEI XIE, George Mason UniversityKai LiPublic Market Staging: The Timing of Capital Infusions in Newly Public FirmsMichael Hertzel, Arizona State University; MARK HUSON, University of Alberta; Robert Parrino, University of Texas at AustinJean Helwege |
Informed TradingKatya MalinovaMicrostructure Analysis of Informed Trading in Tender OffersIGOR SEMENENKO, University of AlbertaAndreas ParkA Trans-Niagara Tale of Informed TradersPAUL MOON SUB CHOI, Cornell University / SUNY Binghamton SOMIgor SemenenkoAre short sellers really informed?LEONARDO FERNANDEZ, University of Technology, Sydney; David Michayluk, University of Technology, SydneyAndriy Shkilko |
Hedge Funds 1Lorne SwitzerBeing Locked Up HurtsFrans de Roon, Tilburg University; JINQIANG GUO, Tilburg University; Jenke ter Horst, Tilburg UniversityPhelim BoyleMr Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion StrategyCAROLE BERNARD, University of Waterloo; Phelim Boyle, Wilfrid Laurier UniversityNadia MassoudDo Hedge Funds Trade on Private Information? Evidence from Syndicated LendingNADIA MASSOUD; Debarshi Nandy; Keke SongJinqiang Guo |
Asset Pricing ModellingTim SiminIs the distribution of stock returns predictable?TOLGA CENESIZOGLU, HEC Montreal; Allan Timmermann, UCSDOliver BoguthPricing Model Performance and the Two-Pass Cross-Sectional Regression MethodologyRAYMOND KAN, University of Toronto; Jay Shanken, Emory University; Cesare Robotti, Federal Reserve Bank of AtlantaTim SiminThe Role of Heterogeneity in Asset Pricing: The Effect of Clustering ApproachOLESYA GRISHCHENKO, Penn State University; Marco Rossi, Penn State UniversityEsther Eiling |
Option PricingLars StentoftValuation of Housing Index DerivativesMELANIE CAO, York University; Jason Wei, University of TorontoAlexander DavidBayesian Option Pricing Using Mixed Model Normal Heteroskedasticity ModelsJeroen Rombouts, HEC Montreal; LARS STENTOFT, HEC MontrealFuad FarooqiMacroeconomic Uncertainty and Fear Measures Extracted From Index OptionsALEXANDER DAVID, Haskayne School of Business, University of Calgary; Pietro Veronesi, Booth School of Business, University of ChicagoLars Stentoft |
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| 13:45-15:15 | | Balmoral | Imperial A | Imperial B | Loyalist | Somerset | Trillium | | Capital StructureVijay JogFirm-Specific Human Capital and Firm Leverage: A Test of Stakeholder Theory of Capital StructureKee-Hong Bae, York University; Jun-Koo Kang, Nanyang Technological University; JIN WANG, Queen's UniversityHamed MahmudiInternational Tests of the Pecking Order TheoryWolfgang Bessler, University of Gießen; WOLFGANG DROBETZ, University of Hamburg; Matthias Grüninger, University of BaselJin WangRelative Tax Rates and Debt shifting:New Evidence from CanadaVIJAY JOG, Carleton UniversityWolfgang Drobetz |
Market MicrostructureAditya KaulHerding, Contrarianism and Delay in Financial Market TradingANDREAS PARK, University of Toronto; Daniel Sgroi, University of WarwickCarmen StefanescuInstitutional Herding and Information Cascades: Evidence from daily tradesSusan Christoffersen, McGill University; YA TANG, McGill UniversityIgor Semenenko Option trading: information or speculation?SIU KAI CHOY, University of Toronto; Jason Wei, University of TorontoKeywan Rasekhschaffe |
AnomaliesLaurence BoothExcess Cash Holdings, Risk, and Stock ReturnsMIKHAIL SIMUTIN, University of British ColumbiaWendy RotenbergThe Influence of Unusual Economic Conditions on the Occurrence of the Size AnomalyCharles E. Mossman, University of Manitoba; SERGIY RAKHMAYIL, Ryerson UniversityEsther EilingTruly Ambiguous: Cheap versus ChicFATMA SONMEZ SARYAL, Rotman School of ManagementOlesya Grishchenko |
Fixed Income 2Usha MittooChange Points in Term-Structure Models: Pricing, Estimation and ForecastingKYU HO KANG, Washington University in St. Louis; Siddhartha Chib, Washington University in St. LouisMarco RossiThe geography of European convertible bonds: Why firms issue convertibles?Franck Bancel, ESCP-EAP; Usha Mittoo, University of Manitoba; ZHOU ZHANG, University of ReginaAnna DanielovaVolatility, Liquidity, and Corporate Bond returnsMARCO ROSSI, Penn StateKyu Ho Kang |
Correlation and CoskewnessPeter KleinPricing Kernels with Coskewness and Volatility RiskFOUSSENI CHABI-YO, Fisher College of Business, Ohio State UniversityBo-Young ChangDefault Risk, Idiosyncratic Coskewness and Equity ReturnsFousseni Chabi-Yo, Ohio State University; JUN YANG, Bank of CanadaBill BobeyThe Effects of Default Correlation on Corporate Bond Credit SpreadsBILL BOBEY, St Mary's University Sobey School of Business Yuriy Zabolotnyuk |
Accounting and RegulationEdward LawrenceCross Listing, Management Earnings Forecasts, and Firm ValuesYAQI SHI, Ivey Business School - UWO; JeongBon Kim, Hong Kong Polytechnic University; Michel Magnan, Concordia UniversityEdward LawrenceEffect of Regulation FD on Disclosure of Information by FirmsRashiqa Kamal, University of Wisconsin, Whitewater WI,; EDWARD LAWRENCE, Florida International University, Miami FL; George McCabe, University of Nebraska, Lincoln NE; Arun Prakash, Florida International University, Miami FLYuri KhoroshilovFinancial Restatements, Litigation, and Implied Cost of EquityKATSIARYNA SALAVEI, Fairfield University; Dev Mishra, University of SaskatchewanSean Cleary |
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| 15:30-17:00 | | Balmoral | Imperial A | Imperial B | Loyalist | Somerset | Trillium | | Corporate GovernanceYisong TianCompensation Contract Adjustments and the Economic Consequences of Financial Reporting in Response to FAS 123R: Accelerated Vesting of Employee Stock OptionsFAYEZ ELAYAN, Brock University; Thomas Meyer, Southeastern Louisiana University; Jingyu Li, Brock UniversityYi FengDOES MANDATORY DISCLOSURE OF DIRECTORS’ AND OFFICERS’ LIABILITY INSURANCE CURB MANAGERIAL OPPORTUNISM? EVIDENCE FROM THE CANADIAN SECONDARY MARKETNABIL GHALLEB, King Fahad University of Petroleum & Minerals; Narjess Boubakri, HEC MontrealTeodora PaligorovaEntrenchment or Incentive? CEO Employment Contracts and Corporate Acquisition DecisionsJING ZHAO, North Carolina State UniversityDaisy Li |
TradingDouglas CummingShort Changed? The Market's Reaction to the Short Sale Ban of 2008Louis Gagnon, Queen's University; JONATHAN WITMER, Bank of CanadaDan LiCompensating executives by insider trading? International EvidenceJIN XU, Purdue UniversityMelanie CaoExchange Trading RulesDouglas Cumming, York University Schulich School of Business; Sofia Johan, Tilburg University; DAN LI, York UniversityYa Tang |
Asset Pricing and LiquidityDavid GoldreichBEHAVIOR OF LIQUIDITY AND RETURNS AROUND CANADIAN SEASONED EQUITY OFFERINGSLAWRENCE KRYZANOWSKI, Concordia University; Skander Lazrak, Brock University; Ian Rakita, Concordia UniversityKent WomackFlight-to-Liquidity and Global Equity ReturnsRuslan Goyenko, McGill University; SERGEI SARKISSIAN, McGill UniversityDan LiangLIQUIDITY RISK, FIRM RISK, AND ISSUE RISK PREMIUM EFFECTS ON THE ABNORMAL RETURNS TO NEW ISSUES OF CONVERTIBLE BONDSLORNE SWITZER; Jinlin LiuAmbrus Kecskes |
Hedge Funds 2Nadia MassoudAnalysis of Hedge Fund Investment ChoiceYUNHUA ZHU, Wilfrid Laurier UniversityEvan DudleyShare Restrictions, Risk Taking and Hedge Fund PerformanceJUHA JOENVääRä, University of Oulu, Faculty of Economics and Business administration, Department of accounting and finance; Pekka Tolonen, University of Oulu, Faculty of Economics and Business administration, Department of accounting and financeYunhua ZhuHedge fund contagion, liquidity spirals and flight to qualityEVAN DUDLEY, University of Florida; Mahendrarajah Nimalendran, University of FloridaJuha Joenväärä |
Financial CrisesMichael KingCentral Bank Initiatives and Market OutcomesERIC SANTOR, Bank of Canada; Lena SuchanekJean HelwegePrice Inflation and Uninformed Trader Losses Due to the 2008 SEC Short Sale BanBLAKE PHILLIPS, University of Waterloo; Lawrence Harris, University of Southern California; Ethan Namvar, University of California - IrvinePaul Moon Sub ChoiSystemic Risk-Taking: Amplification Effects, Externalities, and Regulatory ResponsesANTON KORINEK, University of MarylandEric Santor |
International Finance - Home BiasKai LiIs Information the Motive for Home Bias? A New Perspective from Motives of TradingXI DONG, Boston CollegePei ShaoMulti-Country Event Study MethodsCynthia Campbell, Iowa State University; ARNOLD COWAN, Iowa State University and Eventus; Valentina Salotti, Iowa State UniversityMichael HertzelChinese MedicinePETER KLEIN, Simon Fraser UniversityMark Huson |
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| 8:30-10:00 | | Balmoral | Imperial A | Imperial B | Loyalist | Somerset | Trillium | | Corporate Finance - SignallingDavid StangelandSecurity Design in IPOsARCHISHMAN CHAKRABORTY, Schulich School, York University; Simon Gervais, Fuqua School, Duke University; Bilge Yilmaz, GSB Stanford UniversityDebarshi NandyStock Splits, Credible Signals, and Short SqueezesANDRIY SHKILKO, Wilfrid Laurier University; Fabricio Perez, Wilfrid Laurier University; Ning Tang, Wilfrid Laurier UniversityArchishman ChakrabortyThe Market Value of the Vote: A Contingent Claims ApproachAvner Kalay, University of Utah and Tel Aviv University; SHAGUN PANT, University of UtahDavid Stangeland |
Leverage and the Cost of BorrowingPadma KadiyalaOn the Determinants of the Implied Default BarrierGeorges Dionne, HEC Montreal; SADOK LAAJIMI, HEC MontrealSimiao ZhouThe Impact of Corporate Social Responsibility on the Cost of Bank LoansAllen Goss, Ryerson University; GORDON ROBERTS, York UniversitySadok LaajimiCorporate Investment, Leverage, and Unanticipated Growth OpportunitiesSIMIAO ZHOU, University of TorontoPadma Kadiyala |
Institutional InvestorsPaul HalpernWhen Shareholders Are Creditors: Effects of the Simultaneous Holding of Equity and Debt by Institutional Investors Wei Jiang, Columbia University ; Kai Li, University of British Columbia; PEI SHAO, University of Northern British ColumbiaNadia MassoudRisk Taking and Incentives of Institutional Investors: Evidence from US Defined Benefit Pension PlansChristina Atanasova, Simon Fraser University; EVAN GATEV, Simon Fraser UniversitySean ClearyThe Evolution of Aggregate Stock Ownership---A Unified ExplanationKRISTIAN RYDQVIST, Binghamton University; Joshua Spizman, Binghamton University; Ilya Strebulaev, Stanford UniversityRobert Kieschnick |
Fixed Income 3Marcos PerezTiming Ability of Government Bond Fund Managers: Evidence from Portfolio HoldingsJING-ZHI HUANG, Penn State University; Ying Wang, SUNY at AlbanyKyu Ho KangMeasuring Bond Mutual Fund Performance with Portfolio CharacteristicsFABIO MONETA, Boston College, Carroll School of ManagementAlan HuangImplied Interest Rates in a Market with FrictionsLORENZO NARANJO, New York UniversityJingzhi Huang |
Efficient Market TestsLawrence KryzanowskiInformation Revelation and Stock ReturnsUMUT GOKCEN, Boston CollegeSana MohsniThe Impact of Reasons for Credit Rating Announcements in Equity and CDS MarketsBJORN IMBIEROWICZ, Goethe University Frankfurt; Mark Wahrenburg, Goethe University FrankfurtFuad FarooqiTime to buy or just buying time? The market reaction to bank rescue packagesMICHAEL KING, Bank for International SettlementsLaurence Booth |
Emerging MarketsMadhu KalimipalliInformation Asymmetry and Acquisition Premiums in Domestic and Cross Border M&As in Emerging MarketsPENGCHENG ZHU, Eberhardt School of Business, University of the Pacific; Vijay Jog, Eric Sprott School of Business, Carleton UniversityFrancesca CarrieriMarket Liquidity and Ownership Structure with weak protection for minority shareholders: evidence from Brazil and ChileDIEGO CUETO, Universidad ESAN Pengcheng ZhuDo Implicit barriers matter for investability and globalization?FRANCESCA CARRIERI, Faculty of Management McGill University; Ines Chaieb, University of Amsterdam; Vihang Errunza, Faculty of ManagementDiego Cueto |
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| 10:15-11:45 | | Balmoral | Imperial A | Imperial B | Loyalist | Somerset | Trillium | | RegulationBrian SmithBay Street’s Broken Windows: Negligence in Insider Disclosure and EnforcementWILLIAM McNALLY, Wilfrid Laurier University; Brian Smith, Wilfrid Laurier UniversityLukas RothHow Laws Affect Contracts: Evidence from Yankee Bond CovenantsYaxuan Qi, Concordia University; LUKAS ROTH, University of Alberta; John Wald, University of Texas at San AntonioPadma KadiyalaReal Options and Facilities Access RegulationGORDON SICK, University of Calgary; Mark Cassano, Alberta Securities CommissionPhelim Boyle |
Initial Public OfferingsCraig DunbarDoes Information Production Reduce IPO Overvaluation?MING DONG, York University; Jean-Sébastien Michel, York University; Ari Pandes, York UniversityAlexander VedrashkoIPO Waves, Product Market Competition, and the Going Public Decision: Theory and EvidenceThomas Chemmanur, Boston College; JIE HE, Boston CollegeKristian RydqvistWhat Can One Million Regressions Tell Us About IPO Underpricing?Alexander Butler, University of Texas at Dallas; MICHAEL KEEFE, University of Texas at Dallas; Robert Kieschnick, University of Texas at DallasJie He |
Reaction to ShocksEric SantorThe Long Memory in Stock Price ShocksHAI LU, University of Toronto; Kevin Wang, University of Toronto; Xiaolu Wang, University of TorontoLars NordenAsset Growth and Idiosyncratic Return VolatilityZHONGZHI SONG, University of British ColumbiaHai LuCredit Derivatives, Corporate News, and Credit RatingsLARS NORDEN, Rotterdam School of ManagementZhongzhi Song |
Fund ManagementYuriy ZabolotnyukCurrency Investing in Global Portfolios: Hedging or Speculative Benefits?Frans De Roon, Tilburg University; ESTHER EILING, University of Toronto, Rotman School of Management; Bruno Gerard, Norwegian School of Management BI; Pierre Hillion, InseadChris VeldEconomic Conditions, Flight to Quality and Mutual Fund FlowBLAKE PHILLIPS, University of Alberta; Aditya Kaul, University of AlbertaWolfgang BesslerWhy is Persistent Mutual Fund Performance so Difficult to Achieve? The Impact of Fund Flows and Manager TurnoverWOLFGANG BESSLER, Justus-Liebig-University Giessen; David Blake, Cass Business School, The Pensions Institute; Peter Lueckoff, Justus-Liebig-University Giessen; Ian Tonks, University of ExeterVijay Jog |
Asset Pricing and ConsumptionDan LiangConsumption Volatility RiskOliver Boguth, Sauder School of Business, University of British Columbia; LARS-ALEXANDER KUEHN, Tepper School of Business, Carnegie Mellon UniversityMao-wei HungDynamic Portfolio Choice and Consumption Plan under Inflation with Nominal and Indexed BondsMAO-WEI HUNG, National Taiwan University; Nan-wei Han, Takming University of Science and Technology,Evgeny LyandresProduct Market Competition and Equity ReturnsEvgeny Lyandres, Boston University; MASAHIRO WATANABE, Rice UniversityLars-Alexander Kuehn |
VolatilityMelanie CaoEquity Risk Premium and Volatility: A Correlation StructureYONGGAN ZHAO, Dalhousie UniversityMehdi BeyhaghiOption based forecasts of volatility: An empirical study in the DAX index options marketSILVIA MUZZIOLI, University of Modena and Reggio Emilia Siu Kai ChoySpot and Forward Volatility in Foreign ExchangePasquale Della Corte, University of Warwick; Lucio Sarno, City University London; ILIAS TSIAKAS, University of WarwickYonggan Zhao |
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