24 June - 27 June
Conference Information |
Session InformationThursday
8:30 - 10:00 1
2
3
4
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5TH ANNUAL CONFERENCE OF THE MULTINATIONAL FINANCE SOCIETY
The conference brings together academics and practitioners from all over the world to focus on timely financial issues. Papers presented at the conference can be submitted for publication free of a submission fee in the Multinational Finance Journal, the official publication of the Multinational Finance Society. The Journal publishes refereed papers in all areas of finance providing a balanced coverage of various philosophies, research approaches, and countries. Al l papers presented at the conference will be considered for a distinguished paper award of $500.
To participate in the conference, please mail the included participation form to Multinational Finance Society, School of Business, Rutgers University, Camden, NJ 08102, USA; Tel: (609) 225-6594, Fax: 225-6632, e-mail: mfs@cra b.rutgers.edu. For hotel reservations, contact Hotel Presidentti at +(358 9) 6911 (O) or +(358 9) 694 7886 (Fax), Hotel Helka at +(358 9) 613 580 (O) or +(358 9) 441 087 (Fax), or Hotel Rivoli at +(358 9) 435 811 (O) or +(358 9) 466 693 (Fax). The p rices for single rooms in the three hotels are FIM 630, FIM 500 and FIM 465 per night, respectively. For double rooms, the prices are FIM 740, FIM 600 and FIM 580 per night, respectively. All the prices include taxes, breakfast and sauna. Hotels Presid entti and Helka are located in the downtown of Helsinki. Hotel Rivoli is next to the Dipoli Congress Center. The distance to downtown Helsinki is about 10 km (15 minutes).
*Teppo Martikainen, Chair
- University of Vaasa, Finland * Christopher Adcock - Westmister Bus School,
UK
*George Athanassakos - Wilfrid Laurier University, Canada *Ekkehart Boehmer
- Humboldt University., Germany
*G. Geoffrey Booth - Louisiana State University * Glenn W. Boyle - Univ. of
Otago, New Zealand
*David Bradfield - University of Cape Town, South Africa *Menachem Brenner -
New York University
*Elio Canestrelli - University of Venice, Italy *Ian Cooper - London Business
School, UK
*Ulrike Diehl - Deutsche Vereingigung fur Finanzanalyse *Bjorn Hansson - Lund
University, Sweden
*Gikas Hardouvelis - National Bank of Greece, Greece *Gabriel Hawawini - INSEAD,
France
*Eero Kasanen - Helsinki School of Economics, Finland *Gregory Koutmos - Fairfield
University
*Cheng-few Lee - Rutgers University *Eva Liljeblom - Swedish Sch of Economics,
Finland
*Ji-Chai Lin - Louisiana State University *Otto Loistl - University of Wien,
Austria
*Ike Mathur - Southern Illinois University at Carbondale *Gordian Ndubizu -
Drexel University
*Yair Orgler - Tel Aviv University, *Israel Edgar Ortiz - UNAM, Mexico
*Cornelius Schilbred - Norwegian School of Mgnt, Norway *Raymond So - Chinese
U. of Hong Kong, Hong Kong
*Jaap Spronk - Erasmus Univ., Rotterdam, The Netherlands *Panayiotis Theodossiou
- Rutgers Univ.ersity **
*Nickolaos Travlos - University of Piraeus, Greece *Angelos Tsaklanganos - Aristotle
U. of Thess., Greece
*Jorge Urrutia - Loyola University of Chicago *Paavo Yli-Olli - University of
Vaasa, Finland
*Uzi Yaari - Rutgers University *William T. Ziemba - Univ of British Columbia,
Canada
**Also, members of the Distinguished
Paper Award Committee
6th Annual Conference Program
Chair: George Athanassakos July 7-10, 1999 Toronto, Canada
Dear Conference Participant:
Welcome to the 5th Annual Multinational Finance Conference in Helsinki, Finland. The Program includes 29 sessions covering a wide range of finance topics. We received more than 120 paper submissions. The Program Committee took a difficult job in selecting the best of those for presentation. Luckily, good papers were submitted from all over the world. As a consequence, the Conference has a strong multinational flavor with authors and discussants representing all major continents. Let me thank the members of the Program Committee for their outstanding work.
The Conference Program required the hard work and support of a large number of individuals. I am grateful to Panayiotis Theodossiou and Anna Shnayder, for their valuable experience and continuous assistance in keeping the program on tr ack on the U.S. side. On this side of the Atlantic, Minna Martikainen's and Sirpa Hiljala's help was essential and is gratefully acknowledged.
G. Geoffrey Booth, Eva Liljeblom and Peter Theodossiou made a major job in the Distinguished Paper Award Committee, which is also highly appreciated.
The Finnish Graduate School of Finance and Financial Accounting and Rutgers University provided great institutional support and generous financial assistance. Generous financial support was also provided by the Finnish Academy of Scie nces, Jenny and Antti Wihuri
Foundation, Liikesivistysrahasto, Okobank and The City of Espoo, which is gratefully acknowledged.
Of course, the success of any conference relies on the collaboration and the quality work of the Session Chairs, Discussants and Authors. The contribution of everyone associated with this year's conference is greatly appreciated.
I hope that you find the
program challenging and that you have a great time in the fresh and maritime
atmosphere of Helsinki.
Sincerely yours,
Teppo Martikainen
Conference Program Chair
Wednesday, June 24 4:30
p.m. - 9:00 p.m., Okobank, Helsinki
Thursday, June 25 8:00 a.m. - 3:00 p.m., Dipoli
Friday, June 26 8:00 a.m. - 3:00 p.m., Dipoli
Saturday, June 27 8:00 a.m. - 10:00 a.m., Dipoli
Wednesday, June 24
Reception 5:00 p.m., Okobank,
Teollisuus-katu 1b, Helsinki
Professor Hans Stoll’s plenary lecture
Thursday, June 25
Breakfast* 6:30 a.m. - 8:20
a.m.
Refreshments 10:00 a.m. - 10:15 a.m.
Luncheon 12:00 p.m. - 1:45 p.m.
Refreshments 3:15 p.m. - 3:30 p.m.
Board Meeting 5:30 p.m., Presidentti Hotel, Conference Room 2, Helsinki
Friday, June 26
Breakfast* 6:30 a.m. - 8:20
a.m.
Refreshments 10:00 a.m. - 10:15 a.m.
Luncheon 12:00 p.m. - 1:45 p.m.
Cocktails 3:30 p.m. - 4:30 p.m., Dipoli, City of Espoo and GSFFA
Saturday, June 27
Breakfast* 6:30 a.m. - 8:20
a.m.
Refreshments 10:00 a.m. - 10:15 a.m.
Wednesday, June 24 Presidentti / Helka - Okobank 4:15 p.m.
Rivoli - Okobank 4:00 p.m.
Okobank - hotels (after reception)
Thursday, June 25 Presidentti / Helka - Dipoli 7:45 a.m.
Dipoli - Presidentti / Helka 5:15 p.m.
Friday, June 26 Presidentti / Helka - Dipoli 7:45 a.m.
Dipoli - Presidentti / Helka 4:45 p.m.
Saturday, June 27 Presidentti / Helka - Dipoli 7:45 a.m.
Dipoli - Presidentti / Helka 12:15 p.m.
* Breakfast is complementary for participants registered at the conference hotels only
** There is also public
bus transportation between Dipoli and Presidentti available several time per
hour.
Session 1 Option Pricing
Session 2 Market Microstructure
Session 3 Financial Reporting
Session 4 Financial Structure and Economic Performance
Thursday 10:15 - 11:45
Session 5 Option Markets
Session 6 Pricing in Emerging Markets
Session 7 Exchange and Interest Rates
Session 8 Investments
Thursday 1:45 - 3:15
Session 9 Options
Session 10 Statistical Modeling of Asset Returns
Session 11 Investments and Transitional Economies
Session 12 Financial Accounting and Valuation
Thursday 3:30 - 5:00
Session 13 Derivatives
Session 14 Volatility and Liquidity
Session 15 Financial Markets and the Macroeconomy
Session 16 Financial Ratios and Solvency
Friday 8:30 - 10:00
Session 17 Risk Management
and Issues in Corporate Finance
Session 18 Asset Pricing Models
Session 19 Emerging Markets
Friday 10:15 - 11:45
Session 20 Exchange Rates:
Real and Global
Session 21 Asset Returns
Session 22 Initial Public Offerings
Friday 1:45 - 3:15
Session 23 Interest Rates
Session 24 International Co-Movements
Session 25 Banking
Saturday 8:30 - 10:00
Session 26 Financial Structure
and Regulation
Session 27 Volatility and Risk Management
Session 28 International Stock Markets
Saturday 10:15 - 11:45
Session 29 Editors’
Panel Plenary lecture
by Professor Stoll
OPTION PRICING
Session Chair: Chris
Adcock - Westminster Business School, UK
"Early Exercise of American Put Options: Investor Rationality on the Swedish Equity Options Market"
Malin Engström - Stockholm
University, Sweden
Lars Nordén - Stockholm University, Sweden
Andres Strömberg - Lund University, Sweden
"A Genetic Algorithm Approach to Pricing Options with Futures-Style Marging"
A. Jay White - Murray State
University
Gay B. Hatfield - The University of Mississippi
Rober E. Dorsey - The University of Mississippi
"Skewness Implied in Call and Put Option Premiums: An Empirical Study of Heston’s Log-Gamma Model"
Jussi Nikkinen - University
of Vaasa, Finland
Discussants:
Vesa Puttonen - Helsinki
School of Economics, Finland
Kpate Adjaoute - University of Lausanne, Switzerland
Nicolaas Gronewold - University of Western Australia, Australia
SESSION 2 Thursday 8:30-10:00 Room 4B (Back to top)
MARKET MICROSTRUCTURE
Session Chair: Otto
Loistl - University of Wien, Austria
"The Components of Bid-Ask Spreads on the London Stock Exchange"
Kojo Menyah - London Guildhall
University, UK
Krishna Paudyal - Glasgow Caledonian University, UK
"The Effect of Price Stabilization in the Market for New Issues. A Market
Microstructure Approach"
Joakim Westerholm - Swedish School of Economics and Business Administration, Finland
"Transaction Costs for Different Stock Exchange Pricing Systems"
Otto Loistl - University
of Wien, Austria
Olaf Vetter - DVFA, Germany
Discussants:
Otto Loistl - University
of Wien, Austia
Gulnur Muradoglu - Bilkent University, Turkey
Jie-Haun Lee - National Central University, Taiwan
SESSION 3 Thursday 8:30-10:00 Room Palaver (Back to top)
FINANCIAL REPORTING
Session Chair: Juha-Pekka
Kallunki - University of Vaasa, Finland
"An Empirical and Comparative Institutional Investigation of Alternative Pension Asset and Liability Measures: The Japanese Case"
Makoto Nakano - Yokahama City University, Japan
"Financial Reporting Judgement by Auditors: Foreign Currency Translation Choise"
Hai Yap Teoh - Nanyang Technological
University, Singapore
Fawzi Laswad - Lincoln University, New Zealand
Herbert Schoch - Macquarie University, Australia
"Internal Rate of Return Estimation Methods vs. Accountant’s Rate of Return Revisited"
Timo Salmi - University
of Vaasa, Finland
Ilkka Virtanen - University of Vaasa, Finland
Discussants:
Henrik Nilsson - University
of Umeå, Sweden
Timo Salmi - University of Vaasa, Finland
Uzi Yaari - Rutgers University
SESSION 4 Thursday 8:30-10:00 Room Takka (Back to top)
FINANCIAL STRUCTURE AND ECONOMIC PERFORMANCE
Session Chair: Charlie
Conn- University of Miami
"Structure and Performance in the Portuguese Banking Industry in the Early Nineties"
Victor Mendes - Universidade
do Porto, Portugal
João Rebelo - Universidade de Trás-os-Montes e Alto Douro, Portugal
"Influences of Local and US Output on the Financial Sectors in Germany"
Yin-Wong Cheung - University
of California, Santa Cruz
Frank Westermann - University of California, Santa Cruz
"Correlations, Business Cycles and Integration"
Vanitha Ragunathan - Royal
Melbourne Institute of Technology, Australia
Robert Faff - Royal Melbourne Institute of Technology, Australia
Robert D. Brooks - Royal Melbourne Institute of Technology, Australia
Discussants:
P.C. Kumar - American University
George Philippatos - University of Tennessee
Bert Scholtens - University of Amsterdam, The Netherlands
SESSION 5 Thursday 10:15-11:45 Room 4A (Back to top)
OPTION MARKETS
Session Chair: Vesa
Puttonen - Helsinki School of Economics, Finland
"Stochastic Volatility and Pricing Bias in Swedish OMX-Index Call-Options"
Hans NE Byström - Lund University, Sweden
"Stochastic Interest Rates and the Pricing of European Currency Options"
Kpate Adjaoute - University of Lausanne, Switzerland
"Impact of Stock Option Listing on Return and Risk Characteristics in Finland"
Petri Sahlström - University
of Vaasa, Finland
Discussants:
Roger Koppl - Fairleigh
Dickinson University
Chris Adcock - Westminster Business School, UK
Paul Brockman - Hong Kong Polytechnic University, Hong Kong
SESSION 6 Thursday 10:15-11:45 Room 4B (Back to top)
PRICING IN EMERGING MARKETS
Session Chair: Allan
Young - Syracuse University
"Conditional Variance and Nonlinearity in the Polish Emerging Market"
Sunil Poshakwale - University
of Kent, UK
Douglas Wood - Manchester Business School, UK
"Information and Volatility: Evidence from an Emerging Market"
Nuray Guner - Middle East
Technical University, Turkey
Zeynep Onder - Bilkent University, Turkey
"Are There Trends Towards Efficiency for Emerging Markets? Cointegration Between Stock Prices and Monetary Variables at Istanbul Stock Exchange"
Gulnur Muradoglu - Bilkent
University, Turkey
Kivilcim Metin - Bilkent University, Turkey
Reha Argac - Yapi ve Kredi Bankasi, Turkey
Discussants:
Ayce Yuce - Bilkent University,
Turkey
John P. Broussard - Rutgers University
Sunil Poshakwale - University of Kent, UK
SESSION 7 Thursday 10:15-11:45 Room Palaver (Back to top)
EXCHANGE AND INTEREST RATES
Session Chair: George
Papaioannou - Hofstra University
"The Hysteretic Effects on the Real Exchange Rates"
K.A. Agorastos - University
of Macedonia, Greece
D. Chionis - University of Macedonia, Greece
"Interest Rate Differentials and Banking Structure: The Case of Italy’s small Banks"
Maria Minniti - Babson College
"Analysis of the Impact of Exchange Rate on Global Investor"
Anand Shetty - Iona College
Irene Hammerbacher - Iona College
Francis McGrath - Iona College
John Manley - Iona College
Discussants:
D.K.Malhotra - Philadelphia
College of Textiles and Science
Hubert Ooghe - University of Kent, Belgium
Nikiforos T. Laopodis - Villa Julie College
SESSION 8 Thursday 10:15-11:45 Room Takka (Back to top)
INVESTMENTS
Session Chair: Nickolaos
Travlos - University of Piraeus, Greece
"To Reach the Top: A Case on Foreign Direct Investment in Nepal"
Wim Westerman - University
of Groningen, The Netherlands
Bienja Jense - University of Groningen, The Netherlands
"Does Internationalizing a United States Firm Change the Characteristics which Determine the Financing Decision?"
Eleni Mariola - Iona College
John Manley - Iona College
"Dividend Reinvestment Plans with a Price Discount: Theoretical and Empirical Evidence"
Katerina Lyroudi - University
of Macedonia, Greece
Discussants:
Charlie Conn - University
of Miami
Cornelius Schilbred - Norwegian School of Management, Norway
George Philippatos - University of Tennessee
SESSION 9 Thursday 1:45-3:15 Room 4A (Back to top)
OPTIONS
Session Chair: Gikas
Hardouvelis - National Bank of Greece, University of Piraeus, CEPR, Greece
"Are There Consistent Abnormal Profits Arising from Mispricing of Options in the Australian Market"
Antony J. Cusack - University of Melbourne, Australia
"Intraday Put-Call Parity Efficiency of the FTSE100 Option Market"
Antonios Antoniou - Brunel
University, UK
Paris P. Frangoulis - Brunel University, UK
"A Comparison of the Informational Roles of Competing Stock Index Derivatives"
Paul Brockman - Hong Kong
Polytechnic University, Hong Kong
Yiuman Tse - Binghamton University (SUNY)
Discussants:
Lars Norden - Stockholm
University, Sweden
Malin Engström - Stockholm University, Sweden
Petri Sahlström - University of Vaasa, Finland
SESSION 10 Thursday 1:45-3:15 Room 4B (Back to top)
STATISTICAL MODELING OF ASSET RETURNS
Session Chair: John
Paul Broussard - Rutgers University
"The Probability of Large Losses and Reit Returns"
G. Geoffrey Booth - Louisiana
State University
John Paul Broussard - Rutgers University
"The Tradeoff Between Skewness and Variance of Return in a Three Moment Capital Asset Pricing Model"
Marie D. Racine - Wilfrid Laurier University, Canada
"Multivariate GARCH Modelling of Exchange Rate Volatility Transmission in the EMS"
Colm Kearney - University
of Technology, Sydney, Australia
Andrew Patton - University of Technology, Sydney, Australia
Discussants:
Johan Knif - Swedish School
of Economics, Finland
John P. Broussard - Rutgers University
Peter Theodossiou - Rutgers University
SESSION 11 Thursday 1:45-3:15 Room Palaver (Back to top)
INVESTMENTS AND TRANSITIONAL ECONOMIES
Session Chair: Jerry
Stevens - University of Richmond
"Corporate Cash Flows, Investments and Firm Size: The Evidence from Emerging Markets"
P.C. Kumar - American University
"Stock Dividend Distributions in Greece: Motives and Market Value Effects"
George J. Papaioannou -
Hofstra University
Nickolaos B. Tsagarakis - National Bank of Greece and University of Piraeus,
Greece
Nickolaos G. Travlos - University of Piraeus, Greece
"Dynamics of the Real Exchange Rates in Transitional Economies-Intertemporal Approach"
Sanja Grubacic - Southern
Connecticut State University
Zeljan E. Suster - University of New Haven
Discussants:
Jerry Stevens - University
of Richmond
Chuang-Chang Chang - National Central University, Taiwan
Anand Shetty - Iona College
SESSION 12 Thursday 1:45-3:15 Room Takka (Back to top)
FINANCIAL ACCOUNTING AND VALUATION
Session Chair: Timo
Salmi - University of Vaasa, Finland
"The Variation of Accounting Losses Over Time and Earnings Response Coefficients in Different Industries"
Minna Martikainen - University of Vaasa, Finland
"An Accounting Ethos for Transitional Economies"
G. Geoffrey Booth - Louisiana
State University
Allan Young - Syracuse University
"Neural Fuzzy Systems: A Flexible Tool for Evaluating Consumer Loans in the Credit Union Environment"
Rashmi Malhotra - Cabrini
College
D.K. Malhotra - Philadelphia College of Textiles and Science
Discussants:
Jack Topiol - Community
College of Philadelphia
Makoto Nakano - Yokohama City University, Japan
Kenneth Högholm - Swedish School of Economics and Business Administration, Finland
SESSION 13 Thursday 3:30-5:00 Room 4A (Back to top)
DERIVATIVES
Session Chair: Kpata
Adjaoute - University of Lausanne, Switzerland
"The Impact of Interest Rate Reset Period on the Bid-Offer Rates in an Interest Rate Swap Contract - An Empirical Investigation"
D.K. Malhotra - Philadelphia College of Textiles and Science
"Valuation and Heding of Differential Swaps With Foreign Currency Denominate Principal"
Chuang-Chang Chang - National
Central University, Taiwan
Min-Teh Yu - National Central University, Taiwan
"Valuation Process of Financial Derivatives in Mexico"
Edgar Ortiz - Universidad
National Autonoma de Mexico, Mexico
Discussants:
Hans Byström - Lund University,
Sweden
Kpata Adjaoute - University of Lausanne, Switzerland
Jussi Nikkinen - University of Vaasa, Finland
SESSION 14 Thursday 3:30-5:00 Room 4B (Back to top)
VOLATILITY AND LIQUIDITY
Session Chair: Kenneth
Högholm - Swedish School of Economics, Finland
"Market Microstructure in an Emerging Market with Short Sales Constraints: The Case of Thailand. Part II: Asymmetric Information, Short Sales Restrictions and Speed of Convergence. Theory and Empirical Evidence from the Stock Excha nge of Thailand"
Pongsak Hootrakul - Thammasat
University, Thailand
Peter Ryan - University of Ottawa, Canada
Anya Khanthvit - Thammasat University, Thailand
Stylianos Perrakis - University of Ottawa, Canada
"The Impact of Volatility Developement on the Pricing of Equity - An Empirical Study Covering a Period of Market Deregulations in Finland"
Kenneth Högholm - Swedish
School of Economic, Finland
Johan Knif - Swedish School of Economics and Business Administration, Finland
Tina Rönnholm - Interbank Osakepankki, Finland
"Trading Mechanisms, Volatility, and Liquidity: A Case Study of Japanese Stocks Cross-Listed on the TSE and the LSE"
Jie-Haun Lee - National
Central University, Taiwan
Discussants:
Otto Loistl - University
of Wien, Austria
Patricia Chelley-Steeley - University of Wales, UK
Peter Ryan - University of Ottawa, Canada
SESSION 15 Thursday 3:30-5:00 Room Palaver (Back to top)
FINANCIAL MARKETS AND THE MACROECONOMY
Session Chair: George
Philippatos - University of Tennessee
"Financial Intermediation, Investments and Output: A Study in International Market Macrostructure"
P.C. Kumar - American University
"Regionalisation Versus Globalisation in European Financial Market Integration: Evidence from Co-Integration Analyses"
Stefanie Kleimeier - Maastricht
University, The Netherlands
Harald Sander - Maastricht University, The Netherlands
"Financial Markets and Economic Policy in OECD Countries"
David N. Nawrocki - Villanova
University
George C. Philippatos - University of Tennessee
"Financial Sector Reforms in Australia: Lessons for Asian Economies"
M. Sathye - University of
Southern Queensland, Australia
Discussants:
Francesco M. Paris - University
of Brescia, Italy
Gulnur Muradoglu - Bilkent University, Turkey
M. Sathye - University of Southern Queensland, Australia
Roger W. Clark - Austin Peay University
SESSION 16 Thursday 3:30-5:00 Room Takka SESSION (Back to top)
FINANCIAL RATIOS AND SOLVENCY
Session Chair: Minna
Martikainen - University of Vaasa, Finland
"Financial Management Practices in China"
Hubert Ooghe - Universiteit Gent, Belgium
"Size and Book-to-Market Factors in the Relationship Between Average Stock Returns and Average Book Returns: Some Evidence From an Emerging Market"
Iordanis N. Floropoulos
- Aristotle University of Thessaloniki, Greece
Dimitrios V. Kousenidis - Aristotle University of Thessaloniki, Greece
Christos I. Negakis - Aristotle University of Thessaloniki, Greece
"The Impact of Transformations on the Distributional Properties of Financial Ratios: Finnish Evidence"
Juha-Pekka Kallunki - University
of Vaasa, Finland
Discussants:
Timo Salmi - University
of Vaasa, Finland
David Dupre - CIBC Oppenheimer, Investment Banking
Hai Yap Teoh - Nanyang Technological University, Singapore
SESSION 17 Friday 8:30-10:00 Room 4A (Back to top)
RISK MANAGEMENT AND ISSUES IN CORPORATE FINANCE
Session Chair: Wim
Westerman - University of Groningen, The Netherlands
"Limited Liability and Risk Exposure in Spanish Firms"
Javier Campos - Universidad
de Las Palmas, Spain
Raquel Carrasco - CEMFI and Universidad de Alcala, Spain
Alejandro Requejo - Universidad Carlos III, Spain
"The Choice of Foreign Exchange Exposure Management Techniques Among Finnish Firms"
Antta Hakkarainen - Abovo
Consulting (Ernst & Young International), Finland
Nathan Lael Joseph - University of Manchester, UK
Eero Kasanen - Helsinki School of Economics and Business Administration, Finland
Vesa Puttonen - Helsinki School of Economics and Business Administration, Finland
"Foreign and Domestic Investors and Tax Induced Ex-Dividend Day Trading"
Kaj Hedvall - Swedish School
of Economics and Business Administration, Finland
Eva Liljeblom - Swedish School of Economics and Business Administration, Finland
Andres Löflund - Swedish School of Economics and Business Administration, Finland
Discussants:
Wim Westerman - University
of Groningen, The Netherlands
Lars Norden - Stockholm University, Sweden
Paul Brockman - Hong Kong Polytechnic University, Hong Kong
SESSION 18 Friday 8:30-10:00 Room 4B (Back to top)
ASSET PRICING MODELS
Session Chair: Johan
Knif - Swedish School of Economics, Finland
"Cointegration and Granger Causality in the Global Dollar Markets"
John M. Clinebell - University
of Northern Colorado
Douglas R. Kahl - University of Akron
Jerry L. Stevens - University of Richmond
"A New Arch Version of the Capital Asset Pricing Model"
C.J. Adcock - Westminster
Business School, UK
E.A. Clark - Groupe CERAM, France
"Tests of Asset-Pricing Models: How Important is the IID-Normal Assumption?"
Nicolaas Groenewold - University
of Western Australia, Australia
Patricia Fraser - University of Aberdeen, UK
Discussants:
Nicholas Sarantis - London
Guildhall University, UK
Colm Kearney - University of Technology, Australia
Chris Adcock - Westminster Business School, UK
SESSION 19 Friday 8:30-10:00 Room Palaver (Back to top)
EMERGING MARKETS
Session Chair: Edgar
Ortiz - Universidad Nacional Autonoma de Mexico, Mexico
"Investigating Efficiency in Betting Markets: Evidence from the Greek 6/49 Lotto"
George Papachristou - Aristotle
University of Thessaloniki, Greece
Dimitri Karamanis - Aristotle University of Thessaloniki, Greece
"Causes and Consequences of Ownership Structure: Evidence from Performance of Turkish Firms"
Zeynep Önder - Bilkent University, Turkey
"Big Players in Slovenia"
Roger Koppl - Fairleigh
Dickinson University
Dusan Mramor - Securities Market Ageny and University of Ljubljana, Slovenia
Discussants:
Sanja Grubacic - Southern
Connecticut State University
Edgar Ortiz - Universidad Nacional Autonoma de Mexico, Mexico
Allan Young - Syracuse University
SESSION 20 Friday 10:15-11:45 Room 4A (Back to top)
EXCHANGE RATES: REAL AND GLOBAL
Session Chair: Peter Theodossiou - Rutgers University
"Forecasting Exchange Rates ond Interest Rates in the G-4 with Bvar Time-Varying
Parameters Model"
Nicholas Sarantis - London
Guildhall University, UK
Yonghao Pu - Bank of China International, China
"Effects of Eurodrachma Forward Premia and Forecast Errors on Greek Exchange Rates Volatility"
Nikiforos T. Laopodis -
Villa Julie College
Arav S. Ouandlous - Savannah State University
"Testing Long-Run PPP in the Presence of Sticky Prices"
Gikas Hardouvelis - National
Bank of Greece, University of Piraeus, CEPR, Greece
Dimitrios Malliaropulos - National Bank of Greece, Greece
Discussants:
Marie Racine - Wilfrid Laurier
University, Canada
Gikas Hardouvelis - National Bank of Greece, University of Piraeus, CEPR, Greece
Douglas R. Kahl - University of Akron
SESSION 21 Friday 10:15-11:45 Room 4B (Back to top)
ASSET RETURNS
Session Chair: Paul Brockman - Hong Kong Polytechnic University, Hong Kong
"Common Stock Returns and International Interlisting: New Tests of Mild Segmentation
Hypotesis"
Lorne N. Switzer - Concordia University, Canada
"An Analysis of Tracking Error Optimisation"
David Bradfield - University of Cape Town, South Africa
"The Angular Distribution of Asset Returns in Delay Space"
Roger Koppl - Fairleigh
Dickinson University
Carlo Nardone - CRS4, Italy
"Discounts in Closed-End Funds with Fixed Windup Dates: Evidence From Thailand’s Stock Markets"
Saumya Banerjee - Brunel
University, UK
Gora Gangopadhyay - Boston University
Discussants:
Juha-Pekka Kallunki - University
of Vaasa, Finland
Roger Koppl - Fairleigh Dickinson University
David Bradfield - University of Cape Town, South Africa
Antony J. Cusack - University of Melbourne, Australia
SESSION 22 Friday 10:15-11:45 Room Palaver (Back to top)
INITIAL PUBLIC OFFERINGS
Session Chair: Cornelius
Schilbred - Norwegian School of Management, Norway
"Pricing of Initial Public Offerings: Evidence from Germany"
Esmaralda O. Lyn - Hofstra
University
Thomas Schmiedel - Hornblower, Fischer & Co.
"The Demand for Stocks: An Analysis of IPO Auctions"
Shmuel Kandel - Tel Aviv
University, Israel
Oded Sarig - Tel Aviv University, Israel
Avi Wohl - Bar-Ilhan University, Israel
"Initial Public Offerings in Istanbul Stock Exchange, Short and Long Term Performance"
Ay e Yüce - Bilkent University,
Turkey
Discussants:
Ayse Yüce - Bilkent University,
Turkey
George Papaioannou - Hofstra University
Esmaralda Lyn - Hofstra University
SESSION 23 Friday 1:45-3:15 Room 4A (Back to top)
INTEREST RATES
Session Chair: G.
Geoffrey Booth - Louisiana State University
"International Interest and Exchange Rates: A Simulation of Historical Financial Opportunities and Test of Interest Rate Parity Theory"
Kenneth G. McClure - Skidmore
College
Paul B. Girma - Skidmore College
Eric E. Lewis - Skidmore College
Stanley M. Atkinson - University of Central Florida
"Beyond the Expectations Hypotesis: Endogenous Time-Varying Risk Premia in the Gilt-Edged Market"
James M. Steeley - Cardiff Business School, UK
"Estimating the Explosure of Financial Institutions to Interest Rate and Foreign Exchange Rate Changes"
Nathan Lael Joseph - University
of Manchester, UK
Alexandros V. Kontopoulos - Greece
Discussants:
G. Geoffrey Booth - Louisiana
State University
Nikiforos T. Laopodis - Villa Julie College
James M. Steeley - University of Wales, UK
SESSION 24 Friday 1:45-3:15 Room 4B (Back to top)
INTERNATIONAL CO-MOVEMENTS
Session Chair: Johan
Knif - Swedish School of Economics and Business Administration, Sweden
"Are Returns in the International Economy Explained by a Single or Multiple-factor Structure"
Sinclair Davidson - Royal
Melbourne Institute of Technology, Australia
Robert Faff - Royal Melbourne Institute of Technology, Australia
Heather Mitchell - Royal Melbourne Institute of Technology, Australia
"Feedback Trading in the Exchange Rate Markets: Evidence from Within and Across Economic Blocks"
Maria Sophia Aguirre - Catholic
University of America
Reza Saidi - Catholic University of America
"The Trading Mechanism and the Returns of Cross Listed Stocks: A Comparison of the Paris Bourse and SEAQ International"
Patricia Chelley-Steeley - University of Wales, UK
Discussants:
Reza Saidi - The Catholic
University of America
Lorne N. Switzer - Concordia University, Canada
Joakim Westerholm - Swedish School of Economics, Finland
SESSION 25 Friday 1:45-3:15 Room Palaver (Back to top)
BANKING
Session Chair: Jorge
Urrutia - Loyola University of Chicago
"Interest Rates and Bank Stock Returns: A Comparison between Japanese and U.S. Banks"
John Paul Broussard - Rutgers
University
Kenneth A. Kim - University of Wisconsin
Piman Limpaphayom - University of Rhode Island
"Setting the Fair Interbank Fund’s Size in Protected Banking Systems: The Case of Italy"
Francesco M. Paris - University of Brescia, Italy
"Customer Specific Capital and Bank Lending Behavior"
Pekka Ahtiala - University
of Tampere, F inland
Yair Orgler - Tel Aviv University, Israel
Discussants:
Jorge Urrutia - Loyola University
of Chicago
Maria Minniti - Babson College
Francesco M. Paris - University of Brescia, Italy
SESSION 26 Saturday 8:30-10:00 Room 4A (Back to top)
FINANCIAL STRUCTURE AND REGULATION
Session Chair: P.C.
Kumar - American University
"A Taxonomy of Central and Eastern European and Former USSR Transition Economies"
John Broussard - Rutgers
University
Roger Koppl - Fairleigh Dickinson University
Allan Young - Syracuse University
"A Theoretical Analysis of Alternative Approaches to Financial Regulation"
Francesco M. Paris - University of Brescia, Italy
"Financial Structure and Economic Performance: An International Perspective"
Bert Scholtens - University
of Amsterdam, The Netherlands
Discussants:
Stefanie Kleimeier - Maastricht
University, The Netherlands
John Manley - Iona College
Frank Westermann - University of California
SESSION 27 Saturday 8:30-10:00 Room 4B (Back to top)
VOLATILITY AND RISK MANAGEMENT
Session Chair: Eva
Liljeblom - Swedish School of Economics and Business Administration, Finland
"The Impact of Primes and Scores on the Prices, Volatility and Trading Volume of the Underlying Stocks"
Jorge Urrutia - Loyola University
of Chicago
Joseph D. Vu - DePaul University
"Volume and Volatility in Stocks Subject to Takeover Bids: Australian Evidence Using Daily Data"
Elaine Hutson - University
of Technology, Sydney, Australia
Colm Kearney - University of Technology, Sydney, Australia
"Managing Corporate Exposure to Financial Risks"
Michel van Bremen - Tilburg
University, The Netherlands
Adri Verboven - Tilburg University, The Netherlands
Discussants:
Eva Liljeblom - Swedish
School of Economics and Business Administration, Finland
Zeynep Önder - University of Bilkent, Turkey
Alexandros V. Kontopoulos - Greece
SESSION 28 Saturday 8:30-10:00 Room Palaver (Back to top)
INTERNATIONAL STOCK MARKETS
Session Chair: George
Philippatos - University of Tennesee
"Stock Market and Macroeconomic Policies: New Evidence for the Pacific Basin Countries"
Unro Lee - University of the Pacific
"Multiple-Input Rolling Granger-causality between the Finnish Stock Return and Global Factor Representing Portfolios
Jaana Aaaltonen - Åbo Akademi
University, Finland
Ralf Östermark - Åbo Akademi University, Finland
"The Tao of Chinese Capital Markets: Riding the Tiger to the Shanghai, Shenzen and Hong Kong Stock Exchanges"
Roger W. Clark - Austin
Peay State University
George C. Philippatos - University of Tennessee
Discussants:
Johan Knif - Swedish School
of Economics, Finland
Kojo Menyah - London Guildhall University, UK
Unro Lee - University of the Pacific
SESSION 29 Saturday 10:15-11:45 Room 4B (Back to top)
EDITOR'S FORUM
Moderator: Panayiotis Theodossiou - Rutgers University, Camden
Panelists
G. Geoffrey Booth - Louisiana State University
Teppo Martikainen - University of Vaasa, Finland