CONFERENCE SESSIONS (June 25, 2003 (10:40AM))





SESSION 1 Monday 2:00-3:30 Room A

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ASSET PRICES AND RETURNS (MS131)
Session Chair: Panayiotis Theodossiou - Rutgers University and Aristotle University of Thessaloniki, Greece
School of Business
Rutgers University
Camden, NJ 08102
(856) 225-6594
(856) 225-6632
mfs@camden.rutgers.edu


(MS131A) "Defining and Dating Bull and Bear Markets: Two Centuries of Evidence" (MFC-116)
Liliana Gonzalez - University of Rhode Island


John G. Powell - University of Otago, New Zealand
Department of Finance and Quantitative Analysis
University of Otago
Dunedin, PO Box 56
NEW ZEALAND
+64 3 4798114
+64 3 4798193
jpowell@business.otago.ac.nz
J.Powell@massey.ac.nz


Jing Shi - The Australian National University, Australia


Discussant: Zheng Wang - City University of New York
Zicklin School of Business
Baruch College
City University of New York
Box B11-220, Room 11-269, Vertical Campus
One Bernard Baruch Way
New York, NY 10010
(646) 312-3383
(646) 312-3351
zwang@baruch.cuny.edu


(MS131C) "Dynamics of Real Estate Assets Price in International Metropolitan: Background and Empirical Findings from Manhattan" (MFC-057)
Zheng Wang - City University of New York
Zicklin School of Business
Baruch College
City University of New York
Box B11-220, Room 11-269, Vertical Campus
One Bernard Baruch Way
New York, NY 10010
(646) 312-3383
(646) 312-3351
zwang@baruch.cuny.edu


Discussant: Richard Michelfelder - Rutgers University
School of Business
Rutgers University
Camden, NJ 08102
(856) 225-6919
(856) 225-6231
richmich@camden.rutgers.edu


SESSION 2 Monday 2:00-3:30 Room B

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PRICING OF DEBT INSTRUMENTS (MS132)
Session Chair: Aron A. Gottesman - Pace University
Lubin School of Business
Pace University
New York, NY 10038
(212) 346-1813
agottesman@pace.edu


(MS132A) "The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macroeconomic Conditions" (MFC-025)
Geetanjali Bali - University of Reading, UK


Frank S. Skinner - University of Reading, UK
ISMA Centre
University of Reading
Whiteknights Park
Box 242
Reading RG6 6BA
UK
+44 118 931-6407
+44 118 931-4741
f.skinner@ismacentre.reading.ac.uk


Discussant: Peter Carayannopoulos - Wilfrid Laurier University, Canada
The Mutual Group Financial Services Research Center
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario N2L 3C5
CANADA
(519) 884-0710, x3613
pcarayan@wlu.ca


(MS132B) "Maturity and Corporate Loan Pricing" (MFC-028)
Aron A. Gottesman - Pace University
Lubin School of Business
Pace University
New York, NY 10038
(212) 346-1813
agottesman@pace.edu


Gordon S. Roberts - York University, Canada


Discussant: Frank S. Skinner - University of Reading, UK
ISMA Centre
University of Reading
Whiteknights Park
Box 242
Reading RG6 6BA
UK
+44 118 931-6407
+44 118 931-4741
f.skinner@ismacentre.reading.ac.uk


(MS132C) "Convertible Bond Prices and Inherent Biases" (MFC-100)
Peter Carayannopoulos - Wilfrid Laurier University, Canada
The Mutual Group Financial Services Research Center
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario N2L 3C5
CANADA
(519) 884-0710, x3613
pcarayan@wlu.ca


Madhu Kalimipalli - Wilfrid Laurier University, Canada


Discussant: Aron A. Gottesman - Pace University
Lubin School of Business
Pace University
New York, NY 10038
(212) 346-1813
agottesman@pace.edu


SESSION 3 Monday 2:00-3:30 Room C

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MARKET EFFICIENCY (MS133)
Session Chair: Thomas C. Chiang - Drexel University
Department of Finance
Drexel University
32nd & Chestnut Streets
Philadelphia, PA 19104
(609) 265-1315
chiangtc@drexel.edu


(MS133A) "Asymmetric Reacting to the US Stock-Return News: Evidence from Major Stock Markets Based on Double-Threshold Model" (MFC-137)
Cathy W.S. Chen - Feng Chia University, Taiwan


Thomas C. Chiang - Drexel University
Department of Finance
Drexel University
32nd & Chestnut Streets
Philadelphia, PA 19104
(609) 265-1315
chiangtc@drexel.edu


Mike K.P. So - Hong Kong University of Science and Technology, Hong Kong


Discussant: Gulnur Muradoglu - City University, UK
City University Business School
Frobisher Crescent
Barbican Centre
London EC2Y 8HB
UK
+44 207 4770124
+44 207 477 8853
G.Muradoglu@city.ac.uk


(MS133B) "Regime Switching Models of Speculative Bubbles with Volume: An Empirical Investigation of the S&P500 Composite Index" (MFC-071)
Chris Brooks - University of Reading, UK


Apostolos Katsaris - University of Reading, UK
ISMA Centre
University of Reading
Whiteknights Park
Reading RG6 6BA
UK
+44 118 3786048
A.Katsaris@ismacentre.rdg.ac.uk


Discussant: Thomas C. Chiang - Drexel University
Department of Finance
Drexel University
32nd & Chestnut Streets
Philadelphia, PA 19104
(609) 265-1315
chiangtc@drexel.edu


(MS133C) "Do Extreme Falls Help Forecasting Stock Returns? Evidence from World Markets" (MFC-095)
Erdem Basci - Bilkent University, Turkey


Sidika Basci - ESTIM Forecasting Center, Turkey


Gulnur Muradoglu - City University, UK
City University Business School
Frobisher Crescent
Barbican Centre
London EC2Y 8HB
UK
+44 207 4770124
+44 207 477 8853
G.Muradoglu@city.ac.uk


Discussant: Apostolos Katsaris - University of Reading, UK
ISMA Centre
University of Reading
Whiteknights Park
Reading RG6 6BA
UK
+44 118 3786048
A.Katsaris@ismacentre.rdg.ac.uk


SESSION 4 Monday 2:00-3:30 Room D

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ISSUES IN BANKING AND FINANCE (MS134)
Session Chair: Nongnooch Poramacom - Kasetsart University, Thailand
Department of Agricultural and Resource Economics
Kasetsart University
Bangkok 11000
THAILAND
wowsprinkle@yahoo.com


(MS134A) "Mean-Variance Theory and the Bid-Ask Spread" (MFC-055)
Gady Jacoby - University of Manitoba, Canada


Kamal Smimou - University of Manitoba, Canada
Department of Accounting and Finance
Asper School of Business
Faculty of Management
University of Manitoba
Winnipeg MB R3T 5V4
CANADA
(204) 474-7036
(204) 474-7545
umsmimou@cc.umanitoba.ca


Aron A. Gottesman - Pace University
Lubin School of Business
Pace University
New York, NY 10038
(212) 346-1813
agottesman@pace.edu


Discussant: Skander Lazrak - Concordia University


skander@vax2.concordia.ca


(MS134B) "Islamic Banking: A New Era of Financing" (MFC-101)
Reena Tilva - Georgetown University
Georgetown University
1401 36th Street, N.W.
Washington, DC 20057
(202) 257-7653
Tilvar@georgetown.edu


Jay Tuli - Georgetown University
Georgetown University
143 Prospect Street
Belmont, MA 02478
(617) 290-7907
Tulij@georgetown.edu


Discussant: Nongnooch Poramacom - Kasetsart University, Thailand
Department of Agricultural and Resource Economics
Kasetsart University
Bangkok 11000
THAILAND
wowsprinkle@yahoo.com


(MS134C) "Interest Rate of Agricultural Credit Provided by Commercial Banks in Thailand" (MFC-126)
Nongnooch Poramacom - Kasetsart University, Thailand
Department of Agricultural and Resource Economics
Kasetsart University
Bangkok 11000
THAILAND
wowsprinkle@yahoo.com


Discussant: Reena Tilva - Georgetown University
Georgetown University
1401 36th Street, N.W.
Washington, DC 20057
(202) 257-7653
Tilvar@georgetown.edu


SESSION 5 Monday 3:45-5:15 Room A

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RISK AND HEDGING (MS141)
Session Chair: Richard A. Michelfelder - Rutgers University
School of Business
Rutgers University
Camden, NJ 08102
(856) 225-6919
(856) 225-6231
richmich@camden.rutgers.edu


(MS141A) "Portfolio Performance Measurement Using Higher-Order Moment and Nonlinear Asset Pricing Kernel Models" (MFC-158)
Mohamed Ayadi - Brock University, Canada


Lawrence Kryzanowski - Concordia University, CIRANO, and CREPEE, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2782
(514) 848-4500
lkryzan@vax2.concordia.ca


Discussant: Amrit Judge - Middlesex University, UK
Economics Group
Middlesex University
The Burroughs
Hendon
London NW4 4BT
UK
+44 20 8411 6344
+44 20 8411 5981
A.judge@mdx.ac.uk


(MS141B) "Asymmetric Response of Electric Utility Stock Returns to Up and Down Markets and Regulations" (MFC-157)
Richard A. Michelfelder - Rutgers University
School of Business
Rutgers University
227 Penn Street
Camden, NJ 08102
(856) 225-6919
(856) 225-6231
richmich@camden.rutgers.edu


Panayiotis Theodossiou - Rutgers University
School of Business
Rutgers University
227 Penn Street
Camden, NJ 08102
(856) 225-6594
(856) 225-6632
theodoss@camden.rutgers.edu


Discussant: Mohamed Ayadi - Brock University, Canada


mayadi@taro.bus.BrockU.CA


(MS141C) "The Determinants of Foreign Currency Hedging by UK Non-Financial Firms" (MFC-076)
Amrit Judge - Middlesex University, UK
Economics Group
Middlesex University
The Burroughs
Hendon
London NW4 4BT
UK
+44 20 8411 6344
+44 20 8411 5981
A.judge@mdx.ac.uk


Discussant: Panayiotis Theodossiou - Rutgers University and Aristotle University of Thessaloniki, Greece
School of Business
Rutgers University
Camden, NJ 08102
(856) 225-6594
(856) 225-6632
theodoss@camden.rutgers.edu


SESSION 6 Monday 3:45-5:15 Room B

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MARKET EFFICIENCY (MS142)
Session Chair: Nikos Nomikos - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 70400104
n.nomikos@city.ac.uk


(MS142A) "Calendar Anomalies in Istanbul Stock Exchange" (MFC-092)
Recep Bildik - Istanbul Stock Exchange, Turkey
Istanbul Menkul Kiymetler Borsasi
Tuncay Artun Cad. Emirgan 34467
Istanbul, TURKEY
+90 212 298 21 93-85
+90 212 298 25 00
recep.bildik@imkb.gov.tr
rbbildik@hotmail.com


Discussant: Syed Akbar Zamin Ali - University of Adelaide and Monash University, Australia
Department of Accounting and Finance
Faculty of Business and Economics
Monash University
Victoria 3800
AUSTRALIA
+61 3 9905 2388
syed.ali@BusEco.monash.edu.au


(MS142B) "Efficiency of Electricity Futures Prices; Evidence from the Nord Pool Exchange" (MFC-114)
Amir H. Alizadeh - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 70400104
a.alizadeh@city.ac.uk


Nikos K. Nomikos - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 70400104
n.nomikos@city.ac.uk


Discussant: Recep Bildik - Istanbul Stock Exchange, Turkey
Istanbul Menkul Kiymetler Borsasi
Tuncay Artun Cad. Emirgan 34467
Istanbul, TURKEY
+90 212 298 21 93-85
+90 212 298 25 00
recep.bildik@imkb.gov.tr
rbbildik@hotmail.com


(MS142C) "How Speculative was the Internet Stock Market? Evidence from the US Equity Market" (MFC-109)
Syed Akbar Zamin Ali - University of Adelaide and Monash University, Australia
Department of Accounting and Finance
Faculty of Business and Economics
Monash University
Victoria 3800
AUSTRALIA
+61 3 9905 2388
syed.ali@BusEco.monash.edu.au


Discussant: Amir H. Alizadeh - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 70400104
a.alizadeh@city.ac.uk


SESSION 7 Monday 3:45-5:15 Room C

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ISSUES IN MACROFINANCE (MS143)
Session Chair: Jan J. Jorgensen - McGill University, Canada
McGill University
Faculty of Management
1001 Sherbrooke Street West #560
Montreal, PQ H3A 1G5
CANADA
(514) 398-4027
(514) 398-3876
jan.jorgensen@mcgill.ca


(MS143A) "The Fisher Hypothesis in a VAR Framework: Evidence from Advanced and Emerging Markets" (MFC-068)
Jan J. Jorgensen - McGill University, Canada
McGill University
Faculty of Management
1001 Sherbrooke Street West #560
Montreal, PQ H3A 1G5
CANADA
(514) 398-4027
(514) 398-3876
jan.jorgensen@mcgill.ca


Paulo R.S. Terra - Universidade do Vale do Rio dos Sinos, Brazil


Discussant: Walid Hejazi - University of Toronto, Canada
Rotman School of Management
University of Toronto
105 St. George Street
Toronto, Ontario M5S 3E6
CANADA
hejazi@rotman.utoronto.ca


(MS143B) "Dynamic Risk Profile of the US Term Structure by Wavelet MRA" (MFC-149)
Sutthisit Jamdee - Kent State University


Cornelis A. Los - Kent State University
Department of Finance, BSA 416
Kent State University
Kent, OH 44242
(330) 672-1207
clos@kent.edu


Discussant: Jan J. Jorgensen - McGill University, Canada
McGill University
Faculty of Management
1001 Sherbrooke Street West #560
Montreal, PQ H3A 1G5
CANADA
(514) 398-4027
(514) 398-3876
jan.jorgensen@mcgill.ca


(MS143C) "Explaining Canada's Changing FDI Patterns" (MFC-001)
Walid Hejazi - University of Toronto, Canada


A. Edward Safarian - University of Toronto, Canada


Discussant: Cornelis A. Los - Kent State University
Department of Finance, BSA 416
Kent State University
Kent, OH 44242
(330) 672-1207
clos@kent.edu


SESSION 8 Tuesday 8:30-10:00 Room A

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INVESTOR BEHAVIOR (MS211)
Session Chair: Michael D. McKenzie - RMIT University, Australia
School of Economics and Finance
RMIT University Level 16
239 Bourke Street
Melbourne, Victoria 3000
AUSTRALIA
+61 3 9925 5891
+61 3 9925 5986
michael.mckenzie@rmit.edu.au


(MS211A) "An Empirical Investigation of Investor Risk Tolerance" (MFC-020)
Robert W. Faff - Monash University, Australia
Department of Accounting and Finance
Monash University
P.O. Box 527
Frankston 3199 Victoria
AUSTRALIA


Terrance Hallahan - RMIT University, Australia


Michael D. McKenzie - RMIT University, Australia
School of Economics and Finance
RMIT University Level 16
239 Bourke Street
Melbourne, Victoria 3000
AUSTRALIA
+61 3 9925 5891
+61 3 9925 5986
michael.mckenzie@rmit.edu.au


Discussant: Chris Veld - Tilburg University, The Netherlands
Department of Fiscal Economics
Tilburg University
Room B 609
P.O. Box 90153
5000 LE Tilburg
THE NETHERLANDS
+3113 4663257
+3113 4662875
C.H.Veld@uvt.nl


(MS211B) "Why Individual Investors Want Dividends" (MFC-026)
Ming Dong - York University, Canada


Chris Veld - Tilburg University, The Netherlands
Department of Fiscal Economics
Tilburg University
Room B 609
P.O. Box 90153
5000 LE Tilburg
THE NETHERLANDS
+3113 4663257
+3113 4662875
C.H.Veld@uvt.nl


Chris Robinson - York University, Canada


Discussant: Robert W. Faff - Monash University, Australia
Department of Accounting and Finance
Monash University
Clayton VIC 3800
AUSTRALIA
+61 3 9905 2387
+61 3 9905 2339
robert.faff@buseco.monash.edu.au


(MS211C) "Behavioral Preferences for Individual Securities: The Case for Call Warrants and Call Options" (MFC-027)
Jenke ter Horst - Tilburg University, The Netherlands


Chris Veld - Tilburg University, The Netherlands
Department of Fiscal Economics
Tilburg University
Room B 609
P.O. Box 90153
5000 LE Tilburg
THE NETHERLANDS
+3113 4663257
+3113 4662875
C.H.Veld@uvt.nl


Discussant: Michael D. McKenzie - RMIT University, Australia
School of Economics and Finance
RMIT University Level 16
239 Bourke Street
Melbourne, Victoria 3000
AUSTRALIA
+61 3 9925 5891
+61 3 9925 5986
michael.mckenzie@rmit.edu.au


SESSION 9 Tuesday 8:30-10:00 Room B

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EQUITIES (MS212)
Session Chair: Sorin A. Tuluca - Fairleigh Dickinson University
Samuel J. Silberman College of Business
Fairleigh Dickinson University
285 Madison Avenue, M104A
Madison, NJ 07940
(973) 443-8995
Tuluca@fdu.edu


(MS212A) "Investor Contagion: Evidence from the Asian Crisis" (MFC-125)
Sorin A. Tuluca - Fairleigh Dickinson University


Burton Zwick - Fairleigh Dickinson University


Discussant: William J. Bertin - Bond University, Australia
Bond University
Gold Coast, 4229
AUSTRALIA
+61 7 5595 2210
wbertin@bond.edu.au


(MS212B) "A New Look at Mutual Fund Performance" (MFC-080)
Laurie Prather - Bond University, Australia
Bond University
Gold Coast, 4229
AUSTRALIA
+61 7 5595 2073
lprather@bond.edu.au


William J. Bertin - Bond University, Australia
Bond University
Gold Coast, 4229
AUSTRALIA
+61 7 5595 2210
wbertin@bond.edu.au


Thomas Henker - The University of New South Wales, Australia


Discussant: Sorin A. Tuluca - Fairleigh Dickinson University
Samuel J. Silberman College of Business
Fairleigh Dickinson University
285 Madison Avenue, M104A
Madison, NJ 07940
(973) 443-8995
Tuluca@fdu.edu


SESSION 10 Tuesday 8:30-10:00 Room C

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FIRM VALUATION AND PERFORMANCE (MS213)
Session Chair: Fred R. Kaen - University of New Hampshire
Whittemore School of Business and Economics
University of New Hampshire
Durham, NH 03824
(603) 862-3354
fred.kaen@unh.edu


(MS213A) "Firm Size, Employees and Profitability in U.S. Manufacturing Industries" (MFC-066)
Fred R. Kaen - University of New Hampshire
Whittemore School of Business and Economics
University of New Hampshire
Durham, NH 03824
(603) 862-3354
fred.kaen@unh.edu


Hans Baumann - H.B.Services Partners, L.L.C.


Discussant: A.B. Dorsman - Nyenrode University, The Netherlands
Nyenrode University
Straatweg 25
3621 BG Breukelen
THE NETHERLANDS
+31 346 291227
a.dorsman@Nyenrode.nl


(MS213B) "EVA, A Pit-Stop on Our Way in the Development From a Profit-Orientation to Value-Orientation" (MFC-038)
A.B. Dorsman - Nyenrode University, The Netherlands
Nyenrode University
Straatweg 25
3621 BG Breukelen
THE NETHERLANDS
+31 346 291227
a.dorsman@Nyenrode.nl


H.A. Rijken - Vrije Universiteit Amsterdam, The Netherlands


Discussant: Fred R. Kaen - University of New Hampshire
Whittemore School of Business and Economics
University of New Hampshire
Durham, NH 03824
(603) 862-3354
fred.kaen@unh.edu


SESSION 11 Tuesday 8:30-10:00 Room D

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ASSET PRICING (MS214)
Session Chair: Peter J. Ryan - University of Ottawa, Canada
University of Ottawa
Faculty of Administration
136 Jean-Jacques Lussier St.
Ottawa, Ontario
CANADA K1N 6N5
(613) 562-5800 x4733 (O)
(613) 562-5164 (Fax)
ryan@admin.uottawa.ca


(MS214A) "Time Varying Expected Returns and Economic Conditions" (MFC-156)
Nasreen Soufian - University of Lethbridge, Canada
Faculty of Management
University of Lethbridge
4401 University Drive
Lethbridge, Alberta
CANADA T1K 3M4
nasreen.soufian@uleth.ca


Discussant: Robert W. Faff - Monash University, Australia
Department of Accounting and Finance
Monash University
Clayton VIC 3800
AUSTRALIA
+61 3 9905 2387
+61 3 9905 2339
robert.faff@buseco.monash.edu.au


(MS214B) "The Volume-Return Relationship Under Asymmetry of Information and Short Sales Prohibitions" (MFC-146)
Pongsak Hoontrakul - Chulalongkorn University, Thailand


Peter J. Ryan - University of Ottawa, Canada
University of Ottawa
Faculty of Administration
136 Jean-Jacques Lussier St.
Ottawa, Ontario
CANADA K1N 6N5
(613) 562-5800 x4733 (O)
(613) 562-5164 (Fax)
ryan@admin.uottawa.ca


Stylianos Perrakis - Concordia University, Canada


Discussant: Nasreen Soufian - University of Lethbridge, Canada
Faculty of Management
University of Lethbridge
4401 University Drive
Lethbridge, Alberta
CANADA T1K 3M4
nasreen.soufian@uleth.ca


(MS214C) "Asset Pricing and the Illiquidity Premium" (MFC-011)
Howard W. Chan - Monash University, Australia


Robert W. Faff - Monash University, Australia
Department of Accounting and Finance
Monash University
Clayton VIC 3800
AUSTRALIA
+61 3 9905 2387
+61 3 9905 2339
robert.faff@buseco.monash.edu.au


Discussant: Peter J. Ryan - University of Ottawa, Canada
University of Ottawa
Faculty of Administration
136 Jean-Jacques Lussier St.
Ottawa, Ontario
CANADA K1N 6N5
(613) 562-5800 x4733 (O)
(613) 562-5164 (Fax)
ryan@admin.uottawa.ca


SESSION 12 Tuesday 10:15-11:45 Room A

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MARKET MICROSTRUCTURE (MS221)
Session Chair: Aron A. Gottesman - Pace University
Lubin School of Business
Pace University
New York, NY 10038
(212) 346-1813
agottesman@pace.edu


(MS221A) "A Liquidity-Based Trade Direction Algorithm" (MFC-016)
David Michayluk - University of Rhode Island


Laurie Prather - Bond University, Australia
School of Business
Bond University
Gold Coast, QLD
AUSTRALIA 4226
+61 7 5595-2073
+61 7 5595-1160
lprather@staff.bond.edu.au


Discussant: Carole Gresse - Universite de Paris-Nanterre & CEREG, France
10, rue du Commandant Lamy
75011 Paris
FRANCE
+33 1 43 55 11 52
carolegresse@hotmail.com


(MS221B) "Trading Costs Analysis: A Comparison of Eurotext Paris and the London Stock Exchange" (MFC-112)
Jean-Francois Gajewski - Universite de Paris-12, IRG, France


Carole Gresse - Universite de Paris-Nanterre & CEREG, France
10, rue du Commandant Lamy
75011 Paris
FRANCE
+33 1 43 55 11 52
carolegresse@hotmail.com


Discussant: Laurie Prather - Bond University, Australia
School of Business
Bond University
Gold Coast, QLD
AUSTRALIA 4226
+61 7 5595-2073
+61 7 5595-1160
lprather@staff.bond.edu.au


SESSION 13 Tuesday 10:15-11:45 Room B

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SPECIAL TOPICS IN FINANCE (MS222)
Session Chair: Edgar Ortiz - UNAM, Mexico
Apartado 21-712
Col Coyoacan
Del Coyoacan 04000 MEXICO, D.F.
52 5 658-1949
52 5 658-1949
edgaro@servidor.unam.mx


(MS222A) "U.S. Acquisitions of Canadian Firms and the Role of the Exchange Rate" (MFC-014)
George J. Georgopoulos - University of Toronto at Scarborough, Canada
Division of Management
University of Toronto
1265 Military Trail
Scarborough, Ontario M1C 1A4
CANADA
(416) 287-7335
(416) 978-7363
georgop@utsc.utoronto.ca


Discussant: John D. Francis - Iona College
Hagan School of Business
Iona College
New Rochelle, NY 10801
(914) 637-2755
(914) 633-2012
jfrancis@iona.edu


(MS222B) "Optimizing Portfolio Investments in Short Term Government Bills from the NAFTA Countries: A Conditional VaR Approach" (MFC-151)
Alejandra Cabello - UNAM, Mexico
Apartado 21-712
Col Coyoacan
Del Coyoacan
04000 MEXICO, D.F.
+525 658-1949
+525 658-1949
alecr@servidor.unam.mx


Raul de Jesus - UNAM, Mexico


Edgar Ortiz - UNAM, Mexico
Apartado 21-712
Col Coyoacan
Del Coyoacan 04000 MEXICO, D.F.
52 5 658-1949
52 5 658-1949
edgaro@servidor.unam.mx


Discussant: George J. Georgopoulos - University of Toronto at Scarborough, Canada
Division of Management
University of Toronto
1265 Military Trail
Scarborough, Ontario M1C 1A4
CANADA
(416) 287-7335
(416) 978-7363
georgop@utsc.utoronto.ca


(MS222C) "Managerial Ownership Impacts on Decline and Turnaround" (MFC-110)
John D. Francis - Iona College
Hagan School of Business
Iona College
New Rochelle, NY 10801
(914) 637-2755
(914) 633-2012
jfrancis@iona.edu


Eleni Mariola - Iona College


Discussant: Edgar Ortiz - UNAM, Mexico
Apartado 21-712
Col Coyoacan
Del Coyoacan 04000 MEXICO, D.F.
52 5 658-1949
52 5 658-1949
edgaro@servidor.unam.mx


SESSION 14 Tuesday 10:15-11:45 Room C

---

MARKET VOLATILITY (MS223)
Session Chair: Richard Heaney - Australian National University, Australia
School of Finance and Applied Statistics
Australian National University
ACT 0200
AUSTRALIA
+61 2 6125 4726
+61 2 6125 0087
Richard.Heaney@anu.edu.au


(MS223A) "Forecasting Stock Market Volatility: Evidence from Fourteen Countries" (MFC-118)
Ercan Balaban - University of Edinburgh, UK, and Johann Wolfgang Goethe University, Germany


Asli Bayar - Cankaya University, Turkey


Robert Faff - Monash University, Australia
Department of Accounting and Finance Monash University P.O. Box 11E
Victoria 3800 AUSTRALIA
+61 3 9905 2387
+61 3 9905 2339
robert.faff@buseco.monash.edu.au


Discussant: Richard Heaney - Australian National University, Australia
School of Finance and Applied Statistics
Australian National University
ACT 0200
AUSTRALIA
+61 2 6125 4726
+61 2 6125 0087
Richard.Heaney@anu.edu.au


(MS223B) "Temporary and Permanent Stock-Price Innovation: A Multivariate, Nonlinear Approach" (MFC-044)
Philip A. Shively - Lafayette College
Department of Economics and Business
Lafayette College
Easton, PA 18042
(610) 330-5313
(610) 330-5715
shivelyp@lafayette.edu


Discussant: Robert Faff - Monash University, Australia
Department of Accounting and Finance
Monash University
Clayton VIC 3800
AUSTRALIA
+61 3 9905 2387
+61 3 9905 2339
robert.faff@buseco.monash.edu.au


(MS223C) "European Currency Volatility After Economic and Monetary Union" (MFC-048)
Richard Heaney - Australian National University, Australia
School of Finance and Applied Statistics
Australian National University
ACT 0200
AUSTRALIA
+61 2 6125 4726
+61 2 6125 0087
Richard.Heaney@anu.edu.au


John Swieringa - Australian National University, Australia


Discussant: Philip A. Shively - Lafayette College
Department of Economics and Business
Lafayette College
Easton, PA 18042
(610) 330-5313
(610) 330-5715
shivelyp@lafayette.edu


SESSION 15 Tuesday 10:15-11:45 Room D

---

CORPORATE FINANCIAL MANAGEMENT (MS224)
Session Chair: George Athanassakos - Wilfrid Laurier University, Canada
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario
CANADA N2L 3C5
(519) 884-0710, x2561
(519) 884-0201
gathanas@wlu.ca


(MS224A) "The Utilisation, Efficiency and Determinants of Usage of Value-Based Management in Canada" (MFC-023)
George Athanassakos - Wilfrid Laurier University, Canada
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario
CANADA N2L 3C5
(519) 884-0710, x2561
(519) 884-0201
gathanas@wlu.ca


Discussant: Khaled Soufani - Concordia University, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2926
(514) 848-4500
Ksoufani@jmsb.concordia.ca


(MS224B) "Firm Liquidity and Investment" (MFC-128)
Trevor W. Chamberlain - McMaster University, Canada
Michael G. Degroote School of Business
McMaster University
Hamilton, Ontario L8S 4M4
CANADA
(905) 525-9140, x23980
(905) 521-8995
chambert@mcmaster.ca


Discussant: George Athanassakos - Wilfrid Laurier University, Canada
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario
CANADA N2L 3C5
(519) 884-0710, x2561
(519) 884-0201
gathanas@wlu.ca


(MS224C) "On the Determinants of the Demand for Trade Credits: The Case of Accounts Payable" (MFC-093)
Khaled Soufani - Concordia University, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2926
(514) 848-4500
Ksoufani@jmsb.concordia.ca


Panikkos Poutziouris - University of Manchester Institute of Science and Technology, UK


Discussant: Trevor W. Chamberlain - McMaster University, Canada
Michael G. Degroote School of Business
McMaster University
Hamilton, Ontario L8S 4M4
CANADA
(905) 525-9140, x23980
(905) 521-8995
chambert@mcmaster.ca


SESSION 16 Tuesday 2:00-3:30 Room A

---

FIRM VALUATION AND PERFORMANCE (MS231)
Session Chair: Stephen R. Foerster - University of Western Ontario, Canada
Richard Ivey School of Business
The University of Western Ontario
London, Ontario N6A 3K7
CANADA
(519) 661-3726
(519) 661-3485
sfoerster@ivey.uwo.ca


(MS231A) "Valuation of Financial Versus Non-Financial Firms: A Global Perspective" (MFC-029)
Stephen R. Foerster - University of Western Ontario, Canada
Richard Ivey School of Business
The University of Western Ontario
London, Ontario N6A 3K7
CANADA
(519) 661-3726
(519) 661-3485
sfoerster@ivey.uwo.ca


Stephen G. Sapp - University of Western Ontario, Canada
Richard Ivey School of Business
The University of Western Ontario
London, Ontario N6A 3K7
CANADA
(519) 661-3006
(519) 661 3485
ssapp@ivey.uwo.ca


Discussant: Lewis D. Johnson - Queen's University, Canada
School of Business
Queen's University
Kingston, Ontario K7L 2H2
CANADA
(613) 533-2358
(613) 533-2013
ljohnson@business.queensu.ca


(MS231C) "Stochastic Dividend Discount Models: An Application to the Italian Financial Markets" (MFC-102)
Daniele Tortoriello - Alpha Test, Italy


Lewis D. Johnson - Queen's University, Canada
School of Business
Queen's University
Kingston, Ontario K7L 2H2
CANADA
(613) 533-2358
(613) 533-2013
ljohnson@business.queensu.ca


Discussant: Stephen R. Foerster - University of Western Ontario, Canada
Richard Ivey School of Business
The University of Western Ontario
London, Ontario N6A 3K7
CANADA
(519) 661-3726
(519) 661-3485
sfoerster@ivey.uwo.ca


SESSION 17 Tuesday 2:00-3:30 Room B

---

NEW ISSUES (MS232)
Session Chair: Richard Heaney - Australian National University, Australia
School of Finance and Applied Statistics
Australian National University
Canberra ACT 0200
AUSTRALIA
+61 2 61254726
+61 2 61250087
Richard.Heaney@anu.edu.au


(MS232A) "Bookbuilding vs. Fixed Price Revisited: The Effect of Aftermarket Trading" (MFC-056)
Walid Y. Busaba - University of Western Ontario, Canada
Ivey School of Business
University of Western Ontario
London, Ontario N6A 3K7
CANADA
(519) 661-4178
wbusaba@ivey.uwo.ca


Chun Chang - University of Minnesota


Discussant: Robert Cressy - Cass Business School, UK
Cass Business School
City University
106 Bunhill Row London EC1Y 8TZ UK
+44 020 7040 8774
hubertsumlin76@yahoo.com


(MS232B) "The Decision to Voluntarily Provide an IPO Prospectus Earnings Forecast: Theoretical Implications and Empirical Evidence" (MFC-117)
Chris Bilson - Australian National University, Australia


Richard Heaney - Australian National University, Australia
School of Finance and Applied Statistics
Australian National University
Canberra ACT 0200
AUSTRALIA
+61 2 61254726
+61 2 61250087
Richard.Heaney@anu.edu.au


John G. Powell - Massey University, New Zealand
Department of Finance, Banking and Property
Massey University
Palmerston North
Private Bag 11 222
NEW ZEALAND
+64 6 3505799, x2333
+64 6 3505651
J.Powell@massey.ac.nz


Jing Shi - Australian National University, Australia


Discussant: Walid Y. Busaba - University of Western Ontario, Canada
Ivey School of Business
University of Western Ontario
London, Ontario N6A 3K7
CANADA
(519) 661-4178
wbusaba@ivey.uwo.ca


(MS232C) "Do Venture Capitalists Add Credibility to Prospectus Earnings Forecasts? Evidence From French Initial Public Offerings" (MFC-091)
Xavier Gerard - Cass Business School, UK


David Citron - Cass Business School, UK


Robert Cressy - Cass Business School, UK
Cass Business School
City University
106 Bunhill Row London EC1Y 8TZ UK
+44 020 7040 8774
hubertsumlin76@yahoo.com


Discussant: John G. Powell - Massey University, New Zealand
Department of Finance, Banking and Property
Massey University
Palmerston North
Private Bag 11 222
NEW ZEALAND
+64 6 3505799, x2333
+64 6 3505651
J.Powell@massey.ac.nz


SESSION 18 Tuesday 2:00-3:30 Room C

---

LISTING AND ISSUE EFFECTS (MS233)
Session Chair: Usha R. Mittoo - University of Manitoba, Canada
Asper School of Business
University of Manitoba
Winnipeg, MB R3T 5V4
CANADA
(204) 474-8969
(204) 474-7545
umittoo@ms.umanitoba.ca


(MS233A) "Why European Firms Issue Convertible Debt?" (MFC-050)
Franck Bancel - ESCP-EAP, France


Usha R. Mittoo - University of Manitoba, Canada
Asper School of Business
University of Manitoba
Winnipeg, MB R3T 5V4
CANADA
(204) 474-8969
(204) 474-7545
umittoo@ms.umanitoba.ca


Discussant: Steven Shuye Wang - The Hong Kong Polytechnic University, China
Department of Accountancy
The Hong Kong Polytechnic University
Kowloon, Hong Kong
CHINA
+852 2766-4952
+852 2330-9845
acwang@inet.polyu.edu.hk


(MS233B) "Location of Trade, Ownership Restriction, and Market Illiquidity: Examining Chinese A- and H-Shares" (MFC-113)
Steven Shuye Wang - The Hong Kong Polytechnic University, China
Department of Accountancy
The Hong Kong Polytechnic University
Kowloon, Hong Kong
CHINA
+852 2766-4952
+852 2330-9845
acwang@inet.polyu.edu.hk


Li Jiang - The Hong Kong Polytechnic University, China


Discussant: Usha R. Mittoo - University of Manitoba, Canada
Asper School of Business
University of Manitoba
Winnipeg, MB R3T 5V4
CANADA
(204) 474-8969
(204) 474-7545
umittoo@ms.umanitoba.ca


SESSION 19 Tuesday 3:45-5:15 Room A

---

SPECIAL TOPICS IN FINANCE (MS241)
Session Chair: Anna D. Martin - Fairfield University
Department of Finance
Charles F. Dolan School of Business
Fairfield University
Fairfield, CT 06824
(203) 254-4000, x2881
amartin@mail.fairfield.edu


(MS241A) "Hedging and the Use of Derivatives: Evidence from UK Non-Financial Firms" (MFC-107)
Armit Judge - Middlesex University Business School, UK
Economic Group
Middlesex University Business School
The Burroughs, Hendon
London NW4 4BT
UK
+44 20 8411 6344
+44 20 8411 4739
A.judge@mdx.ac.uk


Discussant: Guzhan Gulay - Marmara University and Istanbul Stock Exchange, Turkey
Istanbul Stock Exchange
Tuncay Artun Cad Emirgan 34467
Istanbul, TURKEY
+90 212 298 21 96
+90 212 298 25 00
guzhan.gulay@imkb.gov.tr
gushang@ixir.com


(MS241B) "The Impact of the Asian Crisis on Currency Bid-Ask Spreads" (MFC-106)
Lloyd Blenman - University of North Carolina - Charlotte


Anna D. Martin - Fairfield University
Department of Finance
Charles F. Dolan School of Business
Fairfield University
Fairfield, CT 06824
(203) 254-4000, x2881
amartin@mail.fairfield.edu


Discussant: Armit Judge - Middlesex University Business School, UK
Economic Group
Middlesex University Business School
The Burroughs, Hendon
London NW4 4BT
UK
+44 20 8411 6344
+44 20 8411 4739
A.judge@mdx.ac.uk


(MS241C) "Effects of Price Limits on Stock Market: Evidence from the Istanbul Stock Exchange" (MFC-073)
Recep Bildik - Istanbul Stock Exchange, Turkey
Istanbul Stock Exchange
Tuncay Artun Cad Emirgan 34467
Istanbul, TURKEY
+90 212 298 21 93 - 85
+90 212 298 25 00
recep.bildik@imkb.gov.tr
rbbildik@hotmail.com


Guzhan Gulay - Marmara University and Istanbul Stock Exchange, Turkey
Istanbul Stock Exchange
Tuncay Artun Cad Emirgan 34467
Istanbul, TURKEY
+90 212 298 21 96
+90 212 298 25 00
guzhan.gulay@imkb.gov.tr
gushang@ixir.com


Discussant: Anna D. Martin - Fairfield University
Department of Finance
Charles F. Dolan School of Business
Fairfield University
Fairfield, CT 06824
(203) 254-4000, x2881
amartin@mail.fairfield.edu


SESSION 20 Tuesday 3:45-5:15 Room B

---

OPTION PRICING AND HEDGING (MS242)
Session Chair: Harjeet S. Bhabra - Concordia University, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. W.
Montreal, PQ H3G 1M8
CANADA
(514) 848-2909
(514) 848-4500
bhabra@vax2.concordia.ca


(MS242A) "Determinants of the Volatility Smile: A Study of the German Individual Stock Options" (MFC-097)
Janne Aijo - University of Vaasa, Finland
Graduate School of Finance and Financial Accounting
Department of Accounting and Finance
University of Vaasa
P.O. Box 700
FIN-65101, Vaasa
FINLAND
+358 6 324 8276
+358 6 324 8344
jja@uwasa.fi


Discussant: Harjeet S. Bhabra - Concordia University, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. W.
Montreal, PQ H3G 1M8
CANADA
(514) 848-2909
(514) 848-4500
bhabra@vax2.concordia.ca


(MS242B) "Balance Sheet Effects on Option Pricing" (MFC-147)
Peter J. Ryan - University of Ottawa, Canada, and SASIN of Chulalongkorn, Thailand
University of Ottawa
Faculty of Administration
136 Jean-Jacques Lussier St.
Ottawa, Ontario
CANADA K1N 6N5
(613) 562-5800 x4733 (O)
(613) 562-5164 (Fax)
ryan@admin.uottawa.ca


Pongsak Hoontrakul - SASIN of Chulalongkorn, Thailand


Discussant: Janne Aijo - University of Vaasa, Finland
Graduate School of Finance and Financial Accounting
Department of Accounting and Finance
University of Vaasa
P.O. Box 700
FIN-65101, Vaasa
FINLAND
+358 6 324 8276
+358 6 324 8344
jja@uwasa.fi


(MS242C) "Bias in Analysts' Earnings Forecasts and Foreign Currency Hedging: Evidence from Multinational, Large and Non-Financial U.S. Corporations" (MFC-108)
Dogan Tirtiroglu - Concordia University, Canada, and University of Cambridge, UK


Gabriela Rusu - Concordia University, Canada


Harjeet S. Bhabra - Concordia University, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. W.
Montreal, PQ H3G 1M8
CANADA
(514) 848-2909
(514) 848-4500
bhabra@vax2.concordia.ca


Discussant: Peter J. Ryan - University of Ottawa, Canada, and SASIN of Chulalongkorn, Thailand
University of Ottawa
Faculty of Administration
136 Jean-Jacques Lussier St.
Ottawa, Ontario
CANADA K1N 6N5
(613) 562-5800 x4733 (O)
(613) 562-5164 (Fax)
ryan@admin.uottawa.ca


SESSION 21 Wednesday 8:30-10:00 Room A

---

INVESTMENT MANAGEMENT (MS311)
Session Chair: P.C. Kumar - American University
Kogod School of Business
American University
Washington, D.C. 20016
(202) 885-1947 (O)
(202) 885-1946 (Fax)
pkumar@american.edu


(MS311A) "Overreaction to Daily Price Limits in the Istanbul Stock Exchange" (MFC-030)
Mehmet Baha Karan - Hacettepe University, Turkey
Hacettepe University Financial Research Center
Ali Suavi Sokak, No: 23/63
Maltepe, Ankara
TURKEY
+90 312 232 44 25
+90 312 232 44 27
mbkaran@hacettepe.edu.tr


S. Armagan Tarim - University of York, UK


Gulnur Muradoglu - City University Business School, UK
Cass Business School
City University
Frobisher Crescent
Barbican Centre
London EC2Y 8HB
UK
+44 20 7040 0124
+44 20 7040 8853
g.muradoglu@city.ac.uk


Discussant: P.C. Kumar - American University
Kogod School of Business
American University
Washington, D.C. 20016
(202) 885-1947 (O)
(202) 885-1946 (Fax)
pkumar@american.edu


SESSION 22 Wednesday 8:30-10:00 Room B

---

SPECIAL TOPICS IN FINANCE (MS312)
Session Chair: Ephraim Clark - Middlesex University Business School, UK
Middlesex University Business School
The Burroughs
London NW4 4BT
UK
+44 208 411 5130
e.clark@mdx.ac.uk


(MS312A) "Bank Effects and the Determinants of Loan Yield Spreads" (MFC-086)
Li Hao - York University, Canada
Finance Area
Schulich School of Business
York University
4700 Keele Street
Toronto, Ontario M3J 1P3
CANADA
(416) 736-2100, x20635
lhao@schulich.yorku.ca


Discussant: Ephraim Clark - Middlesex University Business School, UK
Middlesex University Business School
The Burroughs
London NW4 4BT
UK
+44 208 411 5130
e.clark@mdx.ac.uk


(MS312B) "Sovereign Debt and the Cost of Migration: India 1990-1992" (MFC-037)
Ephraim Clark - Middlesex University Business School, UK
Middlesex University Business School
The Burroughs
London NW4 4BT
UK
+44 208 411 5130
e.clark@mdx.ac.uk


Geeta Lakshmi - Middlesex University Business School, UK


Discussant: Li Hao - York University, Canada
Finance Area
Schulich School of Business
York University
4700 Keele Street
Toronto, Ontario M3J 1P3
CANADA
(416) 736-2100, x20635
lhao@schulich.yorku.ca


(MS312C) "Have Your Cake and Eat It, Too: Increasing Returns While Lowering Large Risk!" (MFC-159)
Joergen Vitting Andersen - University de Nice and Universite Paris X-Nanterre, France


+33 4 92076795
+33 4 92076754
Jorgen.Vitting-Andersen@unice.fr


D. Sornette - University of California


Discussant: TBA -




SESSION 23 Wednesday 8:30-10:00 Room C

---

CORPORATE GOVERNANCE (MS313)
Session Chair: Ken J. Bechmann - Copenhagen Business School, Denmark
Department of Finance
Copenhagen Business School
Solbjerg Plads 3
DK-2000 Frederiksberg
DENMARK
+45 38152953
+45 38153600
kb.fi@cbs.dk


(MS313A) "Shareholder Rights and CEO Compensation" (MFC-105)
Rudiger Fahlenbrach - University of Pennsylvania
Department of Finance
The Wharton School
University of Pennsylvania
2300 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104-6367
(215) 898-7542
rfahlenb@wharton.upenn.edu


Discussant: Sabri Boubaker - Institut Superieur de Recherche and Ecole Superieure des Affaires (Paris XII University), France
IRG, ESA
Universite Paris XII
La Pyramide
80 avenue du General de Gaulle
94000 Creteil
FRANCE
+33 1 48 99 65 89
+33 1 45 17 66 03
boubaker@univ-paris12.fr


(MS313B) "The Value and Incentives of Option Based Compensation in Danish Listed Companies" (MFC-096)
Ken J. Bechmann - Copenhagen Business School, Denmark
Department of Finance
Copenhagen Business School
Solbjerg Plads 3
DK-2000 Frederiksberg
DENMARK
+45 38152953
+45 38153600
kb.fi@cbs.dk


Peter Lochte Jorgensen - University of Aarhus, Denmark


Discussant: Rudiger Fahlenbrach - University of Pennsylvania
Department of Finance
The Wharton School
University of Pennsylvania
2300 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104-6367
(215) 898-7542
rfahlenb@wharton.upenn.edu


(MS313C) "Ownership-Control Discrepancy and Firm Value: Evidence from France" (MFC-085)
Sabri Boubaker - Institut Superieur de Recherche and Ecole Superieure des Affaires (Paris XII University), France
IRG, ESA
Universite Paris XII
La Pyramide
80 avenue du General de Gaulle
94000 Creteil
FRANCE
+33 1 48 99 65 89
+33 1 45 17 66 03
boubaker@univ-paris12.fr


Discussant: Ken J. Bechmann - Copenhagen Business School, Denmark
Department of Finance
Copenhagen Business School
Solbjerg Plads 3
DK-2000 Frederiksberg
DENMARK
+45 38152953
+45 38153600
kb.fi@cbs.dk


SESSION 24 Wednesday 8:30-10:00 Room D

---

CORPORATE FINANCIAL MANAGEMENT (MS314)
Session Chair: Nalinaksha Bhattacharyya - University of Manitoba, Canada
I.H. Asper School of Business
University of Manitoba
181 Freedman Crescent
Winnipeg, MB R3T 5V4
CANADA
(204) 474-6774
(204) 474-7545
bhattach@ms.umanitoba.ca


(MS314A) "An Examination of the Long-Run Market Reaction to Announcement of Dividend Omissions and Reductions" (MFC-046)
Yi Liu - Drexel University


Samuel H. Szewczyk - Drexel University
Department of Finance
Drexel University
101 N. 33rd Street, 2nd Floor
Philadelphia, PA 19105
(215) 895-1746
szewczsh@drexel.edu


Zaher Zantout - Rider University


Discussant: John K. Wald - Rutgers University
Department of Finance and Economics
Rutgers University Business School
111 Washington Street
Newark, NJ 07102-1820
(973) 353-5709
(973) 353-1233
wald@rbs.rutgers.edu


(MS314B) "Dividend Payout and Executive Compensation in US Firms" (MFC-134)
Nalinaksha Bhattacharyya - University of Manitoba, Canada
I.H. Asper School of Business
University of Manitoba
181 Freedman Crescent
Winnipeg, MB R3T 5V4
CANADA
(204) 474-6774
(204) 474-7545
bhattach@ms.umanitoba.ca


Amin Mawani - York University, Canada


Cameron Morrill - University of Manitoba, Canada


Discussant: Samuel H. Szewczyk - Drexel University
Department of Finance
Drexel University
101 N. 33rd Street, 2nd Floor
Philadelphia, PA 19105
(215) 895-1746
szewczsh@drexel.edu


(MS314C) "Firm Characteristics and the Impact of Emerging Market Liberalizations" (MFC-005)
Dilip K. Patro - Rutgers University


John K. Wald - Rutgers University
Department of Finance and Economics
Rutgers University Business School
111 Washington Street
Newark, NJ 07102-1820
(973) 353-5709
(973) 353-1233
wald@rbs.rutgers.edu


Discussant: Nalinaksha Bhattacharyya - University of Manitoba, Canada
I.H. Asper School of Business
University of Manitoba
181 Freedman Crescent
Winnipeg, MB R3T 5V4
CANADA
(204) 474-6774
(204) 474-7545
bhattach@ms.umanitoba.ca


SESSION 25 Wednesday 10:15-11:45 Room A

---

ISSUES IN BANKING (MS321)
Session Chair: Marie Hélène Noiseux - University of Quebec, Canada
Département de Stratégie des Affaires
École des sciences de la gestion
Université du Québec à Montréal
Montréal, Québec, CANADA
(514) 987-3000, x7896
(514) 987-0422
noiseux.marie_helene@uqam.ca


(MS321A) "Determinants of Concentration Changes and Target Prices for the Most Recent Banking Consolidation Wave in Canada, 1901-1931" (MFC-148)
Lawrence Kryzanowski - Concordia University, CIRANO, and CREPEE, Canada
Department of Finance
John Molson School of Business
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2782
(514) 848-4500
lkryzan@vax2.concordia.ca


Marie Hélène Noiseux - University of Quebec, Canada
Département de Stratégie des Affaires
École des sciences de la gestion
Université du Québec à Montréal
Montréal, Québec, CANADA
(514) 987-3000, x7896
(514) 987-0422
noiseux.marie_helene@uqam.ca


Discussant: Francesco Maria Paris - University of Brescia, Italy
University of Brescia
Contrada S. Chiara 48/B
25122 Brescia
ITALY
+39-030-298 8519 (O)
+39-030-240 0925 (Fax)
paris@eco.unibs.it


(MS321B) "An Empirical Investigation on Foreign Entry into the Canadian Banking Sector" (MFC-081)
Florence Fung - Competition Bureau, Canada


Dennis Lu - Competition Bureau, Canada
Competition Bureau
Industry Canada
Hull, Quebec K1A 0C9
CANADA
(819) 956-2907
(819) 953-6400
lu.dennis@ic.gc.ca


Michel Sabbagh - Competition Bureau, Canada


Jiamin Tang - Micro-Economic Policy Analysis Branch, Canada


Discussant: Marie Hélène Noiseux - University of Quebec, Canada
Département de Stratégie des Affaires
École des sciences de la gestion
Université du Québec à Montréal
Montréal, Québec, CANADA
(514) 987-3000, x7896
(514) 987-0422
noiseux.marie_helene@uqam.ca


(MS321C) "Pricing Mutual Bank Deposit Guarantees" (MFC-136)
Maria Elena De Giuli - University of Pavia, Italy


Mario Alessandro Maggi - University of Eastern Piedimont, Italy


Francesco Maria Paris - University of Brescia, Italy
University of Brescia
Contrada S. Chiara 48/B
25122 Brescia
ITALY
+39-030-298 8519 (O)
+39-030-240 0925 (Fax)
paris@eco.unibs.it


Discussant: Dennis Lu - Competition Bureau, Canada
Competition Bureau
Industry Canada
Hull, Quebec K1A 0C9
CANADA
(819) 956-2907
(819) 953-6400
lu.dennis@ic.gc.ca


SESSION 26 Wednesday 10:15-11:45 Room B

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CORPORATE FINANCIAL MANAGEMENT (MS322)
Session Chair: Frank Leclerc - Hydro-Quebec, Canada
Tresorerie
Hydro-Quebec
6th Floor
75, blvd Rene-Levesque West
Montreal, H3C 3P8
CANADA
leclerc.frank@hydro.qc.ca


(MS322A) "Corporate Risk Management: A Model Based on Forward and Volatility Risk Premia" (MFC-142)
Simon Lalancette - HEC-Montreal, Canada


Frank Leclerc - Hydro-Quebec, Canada
Tresorerie
Hydro-Quebec
6th Floor
75, blvd Rene-Levesque West
Montreal, H3C 3P8
CANADA
leclerc.frank@hydro.qc.ca


David Turcotte - Hydro-Quebec, Canada


Discussant: James P. Murtagh - Rensselaer Polytechnic Institute
Lally School of Management and Technology
Rensselaer Polytechnic Institute
Troy, NY 12180
(518) 276-2758
(518) 276-2387
murtaj@rpi.edu


(MS322B) "Interest Rate and Exchange Rate Risk in Financial and Non-Financial Industries: An International Study" (MFC-103)
James P. Murtagh - Rensselaer Polytechnic Institute
Lally School of Management and Technology
Rensselaer Polytechnic Institute
Troy, NY 12180
(518) 276-2758
(518) 276-2387
murtaj@rpi.edu


Wolfgang Bessler - Justus-Liebig University Giessen, Germany


Discussant: Frank Leclerc - Hydro-Quebec, Canada
Tresorerie
Hydro-Quebec
6th Floor
75, blvd Rene-Levesque West
Montreal, H3C 3P8
CANADA
leclerc.frank@hydro.qc.ca


SESSION 27 Wednesday 10:15-11:45 Room C

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CORPORATE FINANCE (MS323)
Session Chair: Laurence Booth - University of Toronto, Canada
Faculty of Management
Joseph L. Rotman Centre of Management
University of Toronto
105 St. George Street
Toronto, Ontario
CANADA M5S 3E6
(416) 978-6311 (O)
(416) 978-5433 (F)
(416) 971-3048 (F)
booth@rotman.utoronto.ca


(MS323A) "Why Some Firms Smooth Their Dividends and Why Others Don't" (MFC-133)
Varouj Aivazian - University of Toronto, Canada


Laurence Booth - University of Toronto, Canada
Faculty of Management
Joseph L. Rotman Centre of Management
University of Toronto
105 St. George Street
Toronto, Ontario
CANADA M5S 3E6
(416) 978-6311 (O)
(416) 978-5433 (F)
(416) 971-3048 (F)
booth@rotman.utoronto.ca


Sean Cleary - St. Mary's University, Canada


Discussant: Jan J. Jorgensen - McGill University, Canada
McGill University
Faculty of Management
1001 Sherbrooke Street West #560
Montreal, PQ H3A 1G5
CANADA
(514) 398-4027
(514) 398-3876
jan.jorgensen@mcgill.ca


(MS323B) "Debt and Taxes: Evidence from a Bank Based System" (MFC-067)
Jan Bartholdy - Aarhus School of Business, Denmark


Cesario Mateus - Aarhus School of Business, Denmark
Aarhus School of Business
Department of Finance
Fuglesangs Alle 4
8210 Aarhus V
DENMARK
+45 89 48 64 28
+45 86 15 01 88
cmateus@asb.dk


Discussant: Laurence Booth - University of Toronto, Canada
Faculty of Management
Joseph L. Rotman Centre of Management
University of Toronto
105 St. George Street
Toronto, Ontario
CANADA M5S 3E6
(416) 978-6311 (O)
(416) 978-5433 (F)
(416) 971-3048 (F)
booth@rotman.utoronto.ca


(MS323C) "Determinants of Capital Structure in Latin America: The Role of Firm-Specific and Macroeconomic Factors" (MFC-069)
Jan J. Jorgensen - McGill University, Canada
McGill University
Faculty of Management
1001 Sherbrooke Street West #560
Montreal, PQ H3A 1G5
CANADA
(514) 398-4027
(514) 398-3876
jan.jorgensen@mcgill.ca


Paulo R.S. Terra - Universidade do Vale do Rio dos Sinos, Brazil


Discussant: Cesario Mateus - Aarhus School of Business, Denmark
Aarhus School of Business
Department of Finance
Fuglesangs Alle 4
8210 Aarhus V
DENMARK
+45 89 48 64 28
+45 86 15 01 88
cmateus@asb.dk


SESSION 28 Wednesday 10:15-11:45 Room D

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MARKET EFFICIENCY (MS324)
Session Chair: Jeffrey Callen - University of Toronto, Canada
Rotman School of Management
University of Toronto
105 St. George Street
Toronto, Ontario M5S 3E6
CANADA
(416) 946-5641
(416) 971-3048
callen@rotman.utoronto.ca


(MS324A) "The Enron-Andersen Debacle: Do Equity Markets React to Auditor Reputation?" (MFC-052)
Jeffrey L. Callen - University of Toronto, Canada
Rotman School of Management
University of Toronto
105 St. George Street
Toronto, Ontario M5S 3E6
CANADA
(416) 946-5641
(416) 971-3048
callen@rotman.utoronto.ca


Mindy Morel - Ben-Gurion University, Israel


Discussant: Peijie Wang - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 7040 8609
+44 20 7040 8881
p.wang-1@city.ac.uk


(MS324B) "An Empirical Investigation of the Relationship Between Corporate Fraud and Effectiveness of Internal and External Monitoring" (MFC-140)
Hatice Uzun - Long Island University


Samuel H. Szewczyk - Drexel University
Department of Finance
LeBow College of Business
Drexel University
Philadelphia, PA 19104
szewczsh@drexel.edu


Discussant: Jeffrey L. Callen - University of Toronto, Canada
Rotman School of Management
University of Toronto
105 St. George Street
Toronto, Ontario M5S 3E6
CANADA
(416) 946-5641
(416) 971-3048
callen@rotman.utoronto.ca


(MS324C) "Does a 'Correct' Parameter Estimate Tell a Better Story about Foreign Exchange Market Efficiency?" (MFC-129)
Peijie Wang - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 7040 8609
+44 20 7040 8881
p.wang-1@city.ac.uk


Discussant: Samuel H. Szewczyk - Drexel University
Department of Finance
Drexel University
101 N. 33rd Street, 2nd Floor
Philadelphia, PA 19105
(215) 895-1746
szewczsh@drexel.edu


SESSION 29 Wednesday 2:00-3:30 Room A

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CORPORATE GOVERNANCE (MS331)
Session Chair: John Manley - Iona College
Iona College
Hagan School of Business
715 North Avenue
New Rochelle, NY 10801
(914) 637-2733
jmanley@iona.edu


(MS331A) "Corporate Acquisitions, Diversification, and Executive Turnover" (MFC-079)
Ivan E. Brick - Rutgers University


John Manley - Iona College
Iona College
Hagan School of Business
715 North Avenue
New Rochelle, NY 10801
(914) 637-2733
jmanley@iona.edu


Eleni Mariola - Iona College


Discussant: Darren Henry - La Trobe University, Australia
Department of Economics and Finance
School of Business
La Trobe University
Bundoora Victoraia 3086
AUSTRALIA
+61 3 9479 1730
+61 3 9479 1654
d.henry@latrobe.edu.au


(MS331B) "Directors' Recommendations in Takeovers: An Agency and Governance Analysis" (MFC-003)
Darren Henry - La Trobe University, Australia
Department of Economics and Finance
School of Business
La Trobe University
Bundoora Victoraia 3086
AUSTRALIA
+61 3 9479 1730
+61 3 9479 1654
d.henry@latrobe.edu.au


Discussant: John Manley - Iona College
Iona College
Hagan School of Business
715 North Avenue
New Rochelle, NY 10801
(914) 637-2733
jmanley@iona.edu


SESSION 30 Wednesday 2:00-3:30 Room B

---

SPECIAL TOPICS IN FINANCE (MS332)
Session Chair: Edwin H. Neave - Queen's University, Canada
School of Business and Department of Economics
Queen's University
Kingston, Ontario K7L 3N6
CANADA
(613) 533-2348
neave@qsilver.queensu.ca


(MS332A) "Financial Systems Theory and Regulation: Application to the Citigroup Case" (MFC-009)
Edwin H. Neave - Queen's University, Canada
School of Business and Department of Economics
Queen's University
Kingston, Ontario K7L 3N6
CANADA
(613) 533-2348
neave@qsilver.queensu.ca


Robert J. Morin - Queen's University, Canada


Discussant: Wim Westerman - University of Groningen, The Netherlands
Faculty of Management and Organization
University of Groningen
P.O. Box 800
9700 AV Groningen
THE NETHERLANDS
+31 50 3637088
+31 50 3637356
w.westerman@bdk.rug.nl


(MS332B) "The Personal Consumption-Stock Market Nexus: The International Evidence" (MFC-150)
P.C. Kumar - American University
Kogod School of Business
American University
Washington, D.C. 20016
(202) 885-1947 (O)
(202) 885-1946 (Fax)
pkumar@american.edu


Discussant: Edwin H. Neave - Queen's University, Canada
School of Business and Department of Economics
Queen's University
Kingston, Ontario K7L 3N6
CANADA
(613) 533-2348
neave@qsilver.queensu.ca


(MS332C) "Financial Management of Dutch FDI in Europe" (MFC-098)
Wim Westerman - University of Groningen, The Netherlands
Faculty of Management and Organization
University of Groningen
P.O. Box 800
9700 AV Groningen
THE NETHERLANDS
+31 50 3637088
+31 50 3637356
w.westerman@bdk.rug.nl


Discussant: P.C. Kumar - American University
Kogod School of Business
American University
Washington, D.C. 20016
(202) 885-1947 (O)
(202) 885-1946 (Fax)
pkumar@american.edu


SESSION 31 Wednesday 2:00-3:30 Room C

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LISTING EFFECTS (MS333)
Session Chair: Ryan Davies - University of Reading, UK
ISMA Centre
University of Reading
PO Box 242, Whiteknights
Reading RG6 6BA
UK
+44 118 378-6117
+44 118 378-4741
r.davies@ismacentre.rdg.ac.uk


(MS333A) "Globalization and the Value of U.S. Listing: Revisiting Canadian Evidence" (MFC-062)
Usha R. Mittoo - University of Manitoba, Canada
Asper School of Business
181 Freedman Crescent
University of Manitoba
Winnipeg, Manitoba R3T 5V4
CANADA
(204) 474-8969
umittoo@ms.umanitoba.ca


Discussant: George J. Papaioannou - Hofstra University
Dept. of Banking and Finance
Zarb School of Business
134 Hofstra University
Hempstead, NY 11549
(516) 463-5141 (O)
(516) 463-4834 (Fax)
fingjp@hofstra.edu


(MS333B) "Matching and the Estimated Impact of Interlisting" (MFC-115)
Ryan Davies - University of Reading, UK
ISMA Centre
University of Reading
PO Box 242, Whiteknights
Reading RG6 6BA
UK
+44 118 378-6117
+44 118 378-4741
r.davies@ismacentre.rdg.ac.uk


Sang Soo Kim - University of Reading, UK


Discussant: Usha R. Mittoo - University of Manitoba, Canada
Asper School of Business
181 Freedman Crescent
University of Manitoba
Winnipeg, Manitoba R3T 5V4
CANADA
(204) 474-8969
umittoo@ms.umanitoba.ca


(MS333C) "Stock Listing Changes: Timing or Signaling" (MFC-121)
George J. Papaioannou - Hofstra University
Dept. of Banking and Finance
Zarb School of Business
134 Hofstra University
Hempstead, NY 11549
(516) 463-5141 (O)
(516) 463-4834 (Fax)
fingjp@hofstra.edu


Nickolaos G. Travlos - ALBA, Greece, and Cardiff Business School, UK


K.G. Viswanathan - Hofstra University


Discussant: Ryan Davies - University of Reading, UK
ISMA Centre
University of Reading
PO Box 242, Whiteknights
Reading RG6 6BA
UK
+44 118 378-6117
+44 118 378-4741
r.davies@ismacentre.rdg.ac.uk


SESSION 32 Wednesday 2:00-3:30 Room D

---

RISK AND HEDGING (MS334)
Session Chair: Amir Alizadeh - City University Business School, UK
Centre for Shipping, Trade and Finance
City University Business School
Frobisher Crescent, Barbican Centre
London EC2Y 8BH
UK
+44 20 7040 8853
a.alizadeh@city.ac.uk


(MS334A) "The Pricing of Risky Assets in the Hong Kong Stock Market: New Evidence" (MFC-012)
Gordon Y. N. Tang - Hong Kong Baptist University, China
Department of Finance and Decision Sciences
Hong Kong Baptist University
Kowloon Tong
Kowloon, Hong Kong
CHINA
+852 3411 7563
+852 3411 5585
gyntang@hkbu.edu.hk


Wai Cheong Shum - Hong Kong Baptist University, China


Discussant: Sami Vahamaa - University of Vaasa, Finland
Graduate School of Finance and Financial Accounting
Department of Accounting and Finance
University of Vaasa
P.O. Box 700
FIN-65101, Vaasa
FINLAND
+358 6 324 8197
+358 6 324 8344
sami@uwasa.fi


(MS334B) "Market Conditions and Stock Indices Hedging: A Markov Regime Switching Approach" (MFC-008)
Amir Alizadeh - City University Business School, UK
Centre for Shipping, Trade and Finance
City University Business School
Frobisher Crescent, Barbican Centre
London EC2Y 8BH
UK
+44 20 7040 8853
a.alizadeh@city.ac.uk


Nikos Nomikos - City University Business School, UK
Centre for Shipping, Trade and Finance
City University Business School
Frobisher Crescent, Barbican Centre
London EC2Y 8BH
UK
+44 20 7040 0104
+44 20 7040 8853
n.nomikos@city.ac.uk


Discussant: Gordon Y.N. Tang - Hong Kong Baptist University, China
Department of Finance and Decision Sciences
Hong Kong Baptist University
Kowloon Tong
Kowloon, Hong Kong
CHINA
+852 3411 7563
+852 3411 5585
gyntang@hkbu.edu.hk


(MS334C) "Delta Hedging With the Smile" (MFC-099)
Sami Vahamaa - University of Vaasa, Finland
Graduate School of Finance and Financial Accounting
Department of Accounting and Finance
University of Vaasa
P.O. Box 700
FIN-65101, Vaasa
FINLAND
+358 6 324 8197
+358 6 324 8344
sami@uwasa.fi


Discussant: Nikos Nomikos - City University, UK
Faculty of Finance
Cass Business School
City University
106 Bunhill Row
London EC1Y 8TZ
UK
+44 20 70400104
n.nomikos@city.ac.uk


SESSION 33 Wednesday 3:45-5:15 Room A

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TUTORIAL ON DERIVATIVES (MS341)
Session Chair: George Athanassakos - Wilfrid Laurier University, Canada
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario N2L 3C5
CANADA
(519) 884-1970 ext. 2561
(519) 884-0201
gathanas@wlu.ca


(MS341A) "Tutorial on Derivatives" (TUTORIAL)
Alan White - University of Toronto, Canada
Department of Finance
Joseph L. Rotman School of Management
University of Toronto
105 Saint George Street
Toronto, ON M5S 3E6
CANADA
(416) 978-3689
(416) 978-5433
awhite@rotman.utoronto.ca


Discussant: -




SESSION 34 Wednesday 3:45-5:15 Room B

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ASSET PRICING (MS342)
Session Chair: Lorne N. Switzer - Concordia University and AMI Partners, Inc., Canada
Finance Department
John Molson School of Business
Concordia University
1455 De Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2960 (O)
(514) 575-9552 (H)
(514) 848-4500
switz@mercato.concordia.ca


(MS342A) "Risk Factors in Developing Capital Markets" (MFC-083)
Lakshman Alles - Curtin University of Technology, Australia
School of Economics and Finance
Curtin University of Technology
GPO Box U1987
Perth 6001
AUSTRALIA
+61 8 9266 7811
+61 8 9266 3026
AllesL@cbs.curtin.edu.au


Louis Murray - University College Dublin, Ireland


Discussant: Lorne N. Switzer - Concordia University and AMI Partners, Inc., Canada
Finance Department
John Molson School of Business
Concordia University
1455 De Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2960 (O)
(514) 575-9552 (H)
(514) 848-4500
switz@mercato.concordia.ca


(MS342B) "Sources of Time-Varying Risk and Risk Premia in U.S. Stock and Bond Markets" (MFC-111)
Bala Arshanapalli - Indiana Universit Northwest


Lorne N. Switzer - Concordia University and AMI Partners, Inc., Canada
Finance Department
John Molson School of Business
Concordia University
1455 De Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
CANADA
(514) 848-2960 (O)
(514) 575-9552 (H)
(514) 848-4500
switz@mercato.concordia.ca


Alexandre Vezina - Concordia University, Canada


Discussant: Lakshman Alles - Curtin University of Technology, Australia
School of Economics and Finance
Curtin University of Technology
GPO Box U1987
Perth 6001
AUSTRALIA
+61 8 9266 7811
+61 8 9266 3026
AllesL@cbs.curtin.edu.au