FIFTEENTH ANNUAL CONFERENCE OF THE MULTINATIONAL FINANCE SOCIETY
(As of July 1, 2008)
Sponsored by
School of Economics and Management
Cyprus University of Technology, Cyprus
LeBow College of Business
Drexel University, USA
School of Business-Camden
Rutgers University, USA
July 6-8, 2008
DoubleTree Guest Suites
Walt Disney World® Resort
Orlando, Florida, USA
SESSION 1 Monday 9:00-10:30 Buena Vista - 1
MERGERS AND ACQUISITIONS
Session Chair: Uzi Yaari - Rutgers University, USA
"Motivation for Foreign Acquisitions by Indian firms"
Suneeta Sathye - University of Canberra, Australia
Discussant: Raheel Gohar - NUST Institute of Management Sciences Rawalpindi-Pakistan
"What are the Causes and Effects of M&As? The UK Evidence"
Jie (Michael) Guo - University of Durham, UK
Dimitrios Petmezas - University of Surrey, UK
Discussant: Suneeta Sathye - University of Canberra, Australia
"Business Group’s Diversification and Firm Value: Evidence From Pakistani Business Group Firms"
Raheel Gohar - NUST Institute of Management Sciences Rawalpindi-Pakistan
Discussant: Jie (Michael) Guo - University of Durham, UK
SESSION 2 Monday 9:00-10:30 Buena Vista - 2
FINANCIAL ISSUES IN GREECE
Session Chair: Nikolaos Philippas - University of Piraeus, Greece
"The Efficiency of Greek Public Pension Fund Portfolios"
Timotheos Angelidis - University of Peloponnese, Greece
Nikolaos Tessaromatis - ALBA, Greece
Discussant: Christos I. Negakis - University of Makedonia, Greece
"Earnings-Returns Relation in Greece: The impact of IFRS"
Dimitrios V. Kousenidis - Aristotle University of Thessaloniki, Greece
Anestis C. Ladas - University of Makedonia, Greece
Christos I. Negakis - University of Makedonia, Greece
Discussant: Panayotis Alexakis - University of Athens, Greece
"Data Envelopment Analysis of Athens Exchange Large-Cap securities"
Panayotis Alexakis - University of Athens, Greece
Ioannis Tsolas - National Technical University of Athens, Greece
Discussant: Nikolaos Tessaromatis - ALBA, Greece
SESSION 3 Monday 9:00-10:30 Florida Room
CORPORATE GOVERNANCE
Session Chair: Samuel H. Szewczyk - Drexel University
"Stock Options, Managerial Portfolio Behavior and Corporate Governance"
Paul A. Grout - University of Bristol, UK
Anna Zalewska - University of Bath, UK
Discussant: Yeng Wai Lau - University Putra Malaysia, Malaysia
"Creative Destruction? UK Evidence That Buyouts Cut Jobs to Raise Returns"
Robert Cressy - University of Birmingham Business School, UK
Federico Munari - University of Bologna, Italy
Alessandro Malipiero - University of Bologna, Italy
Discussant: Anna Zalewska - University of Bath, UK
"Are Government-linked Companies (GLCs) Creating Value? Malaysian Evidence"
Yeng Wai Lau - University Putra Malaysia, Malaysia
Chue Qun Tong - Sunway University College, Malaysia
Discussant: Robert Cressy - University of Birmingham Business School, UK
SESSION 4 Monday 9:00-10:30 Evergreen
BEHAVIOR IN EQUITY MARKETS
Session Chair: Henk Berkman - Massey University, New Zealand
"Stock Market Return and Volatility Relationship: Monday Effect"
Hakan Berument - Bilkent University, Turkey
Nukhet Dogan - Gazi University, Turkey
Discussant: Thomas Chiang - Drexel University, USA
"Common and Local Asymmetry and Day-of-the-week Effects among EU Equity Markets"
Kenneth Högholm - HANKEN, Finland
Johan Knif - HANKEN, Finland
Seppo Pynnönen - University of Vaasa, Finland
Discussant: Hakan Berument - Bilkent University, Turkey
"Empirical investigation of herding behavior in Chinese stock markets – Evidence from quantile regression analysis"
Thomas Chiang - Drexel University, USA
Lin Tan - California Polytechnic University, Poloma
Discussant: Johan Knif - HANKEN, Finland
Refreshments 10:30-10:45 a.m.
SESSION 5 Monday 10:45-12:15 Buena Vista - 1
ECONOMETRIC & STATISTICAL METHODS
Session Chair: Thomas Chiang - Drexel University, USA
"The Stationarity Properties of the Real Exchange Rate: The Case of Bahrain and Saudi Arabia"
Erdinc Telatara - Hacettepe University, Turkey
Funda Telatara - Hacettepe University, Turkey
Hasan Kazdaglõa - Hacettepe University, Turkey
Discussant: François de Paul Silatchom - CUNY, USA
"Wavelets, Multiscale Beta and Portfolio Market Risk"
Rossitsa Yalamova - University of Lethbridge, Canada
Discussant: Hasan Kazdaglõa - Hacettepe University, Turkey
"Asset Prices, Wealth, and Inflation Predictability"
François de Paul Silatchom - CUNY, USA
Discussant: Rossitsa Yalamova - University of Lethbridge, Canada
SESSION 6 Monday 10:45-12:15 Buena Vista - 2
FINANCIAL MARKETS
Session Chair: Hasan Kazdaglõa - Hacettepe University, Turkey
"An Empirical Examination of the Inter-linkages Between African Stock Markets"
Sam Agyei-Ampomah - University of Surrey, UK
Discussant: Aimao Zhang - Georgia Southern University, USA
"Understanding the Disparity in Trading Volume for U.S. Cross-Listings: The Effects of Recognition and Investment Risk Exposure"
George Athanassakos - University of Western Ontario, Canada
Lucy F. Ackert - Kennesaw State University and Federal Reserve Bank of Atlanta, USA
Budina Naydenova - Federal Reserve Bank of Atlanta, USA
Ivo Tafkov - Emory University, USA
Discussant: Wing-Keung (Alan) Wong - Hong Kong Baptist University, Hong Kong
"The Effects of Corruption on Financial Market Volatility"
Aimao Zhang - Georgia Southern University, USA
Discussant: Sam Agyei-Ampomah - University of Surrey, UK
SESSION 7 Monday 10:45-12:15 Florida Room
CORPORATE FINANCE
Session Chair: Johannes Raaballe - University of Aarhus,Denmark
"The Distribution of the Value of the Firm When the Interest Rate Is Stochastic"
S. Lakshmivarahan - University of Oklahoma, USA
Shengguang Qian - University of Oklahoma, USA
Duane Stock - University of Oklahoma, USA
Discussant: Jo Danbolt - University of Glasgow, UK
"Do Growth Companies Grow? The Measurement of Growth Opportunities and Valuable Firm Growth"
Jo Danbolt - University of Glasgow, UK
Ian R. C. Hirst - Heriot-Watt University, UK
Eddie Jones - University of Edinburgh, UK
Discussant: Nobuyuki Iwai - University of Florida, USA
"Real Options Analysis for Sugarcane Mechanization in Florida:Consolidated Approach"
Nobuyuki Iwai - University of Florida, USA
Robert D. Emerson - University of Florida, USA
Discussant: Shengguang Qian - University of Oklahoma, USA
SESSION 8 Monday 10:45-12:15 Evergreen
TUTORIAL: MODERN DEVELOPMENTS IN CORPORATE FINANCE
Presenter: Professor Laurence Booth - University of Toronto, Canada
Sponsored by
School of Economics and Management
Cyprus University of Technology, Cyprus
Research tutorial for doctoral students and other conference participants.
LUNCHEON AND KEYNOTE SPEECH
12:30-2:30 p.m. Buena Vista
Professor Laurence Booth
University of Toronto, Canada
Modern Developments in Corporate Finance
Sponsored by
School of Economics and Management
Cyprus University of Technology, Cyprus
SESSION 9 Monday 2:30-4:00 Buena Vista - 1
INFORMATION & FINANCIAL MARKETS
Session Chair: Anand Shetty - Iona College, USA
"Do the Prices of Stock Index Futures in Asia Overreact to U.S. Market Returns?"
Alexander Kwok-Wah Fung - Hong Kong Baptist University, China
Kin Lam - Hong Kong Baptist University, Hong Kong
Ka-Ming Lam - Hong Kong Baptist University, Hong Kong
Discussant: Henk Berkman - Massey University, New Zealand
"Overpricing and Speculative Trading Before Earnings Announcements"
Henk Berkman - Massey University, New Zealand
Paul D. Koch - University of Kansas, USA
Discussant: Alexander Kwok-Wah Fung - Hong Kong Baptist University, China
"The Magnitude Effect in the Over-and-Underreaction in International Markets"
Kin Lam - Hong Kong Baptist University, Hong Kong
Taisheng Liu - Hong Kong Baptist University, Hong Kong
Wing-Keung (Alan) Wong - Hong Kong Baptist University, Hong Kong
Discussant: Lucy F. Ackert - Kennesaw State University and Federal Reserve Bank of Atlanta, USA
SESSION 10 Monday 2:30-4:00 Buena Vista - 2
ASIAN FINANCIAL MARKETS
Session Chair: Wing-Keung (Alan) Wong - Hong Kong Baptist University, Hong Kong
"Facts and Fallacies about the Causes of the of the Financial Crisis in South-east Asia in 1997-98"
Abimbola Adedeji - University of Birmingham, UK
Discussant: Shuh-Chyi Doong - National Chung Hsing University,Tiawan
"The Spillover Effects between the Stock Market and the Foreign ExchangeMarket during Asian Financial Crisis"
Shuh-Chyi Doong - National Chung Hsing University,Tiawan
Discussant: Yi-Hsuan (Cathy) Chen - Chung Hua University, Taiwan
"Re-investigating the International Financial Market Dependence: the Role of China"
Yi-Hsuan (Cathy) Chen - Chung Hua University, Taiwan
Kehluh Wang - National Chiao Tung University, Taiwan
Discussant: Abimbola Adedeji - University of Birmingham, UK
SESSION 11 Monday 2:30-4:00 Florida Room
FINANCIAL MARKETS & MACROECONOMY
Session Chair: Sven-Olov Daunfeldt - University of Gavle, Sweden
"Competition and Regulation Issues in the Finance Sector of South Asia: A Survey of South Asian Banking"
Piyadasa Edirisuriya - Monash University, Australia
Discussant: Magdalena Malinowska - University of Cologne, Germany
"Liquidity Provision in Periods of High Information Flow"
Dieter Hess - University of Cologne, Germany
Magdalena Malinowska - University of Cologne, Germany
Discussant: André E. Thibeault - Vlerick Leuven Gent Management School, Belgium
"The Influence of Rating Philosophy on Regulatory and Economic Capital"
Frieda Rikkers - Katholieke Universiteit Leuven, Belgium
André E. Thibeault - Vlerick Leuven Gent Management School, Belgium
Discussant: Piyadasa Edirisuriya - Monash University, Australia
SESSION 12 Monday 2:30-4:00 Evergreen
TUTORIAL: PROBABILITY DISTRIBUTIONS IN FINANCE: ESTIMATION, VAR AND PRICING
Presenter: Professor James B. McDonald - Brigham Young University, USA
Sponsored by
School of Business-Camden
Rutgers University, USA
Research tutorial for doctoral students and other conference participants.
Refreshments 4:00-4:15 p.m.
SESSION 13 Monday 4:15-5:45 Buena Vista - 1
FINANCIAL ISSUES AND OIL PRICES
Session Chair: Ephraim Clark - MDX Business School, UK
"OPEC Announcements and Their Effects on Crude Oil Prices"
Sharon Xiaowen Lin - Cass Business School, UK
Michael Tamvakis - Cass Business School, UK
Discussant: André E. Dorsman - Nyenrode Business University and Vrije Universiteit Amsterdam
"Mercurious Oil Index (MOI)"
Jerry de Leeuw - WTC, Netherlands
André E. Dorsman - Nyenrode Business University and Vrije Universiteit Amsterdam
R. Nelissen - Institute for Research and Investment Services (IRIS)
Discussant: Mohan Nandha - Monash University, Australia
"Oil Price and Transport Returns"
Mohan Nandha - Monash University, Australia
Robert Brooks - Monash University, Australia
Discussant: Sharon Xiaowen Lin - Cass Business School, UK
SESSION 14 Monday 4:15-5:45 Buena Vista - 2
EXCHANGE RATE VOLATILITY
Session Chair: Shuh-Chyi Doong - National Chung Hsing University,Tiawan
"Can Trading Volume Help Explain Exchange Rate Volatility? Competing Hypotheses and Evidence from Currency Futures Markets"
Raj Aggarwal - University of Akron, USA
Mbodja Mougoué - Wayne State University, USA
Discussant: Meher Manzur - Curtin University of Technology, Australia
"Does the Single Currency for EU Resolve the Exchange Rate Volatility and Purchasing Power Parity Puzzle?"
Felix Chan - Curtin University of Technology, Australia
Meher Manzur - Curtin University of Technology, Australia
Discussant: Amrit Judge - Middlesex University, UK
"The Role of Financial Sector Development on the Impact of Exchange Rate Volatility and Exports: Evidence from the Emerging East Asian Economies"
Myint Moe Chit - Middlesex University Business School, UK
Amrit Judge - Middlesex University, UK
Discussant: Mbodja Mougoué - Wayne State University, USA
SESSION 15 Monday 4:15-5:45 Florida Room
ASSET PRICING
Session Chair: Kiseok Nam - Yeshiva University, USA
"Macro-Wealth Valuation and Aggregate Stock Market Co-Movement: Systemic Relation and Mean Reversal?"
Samuel B. Bulmash - University of South Florida, USA
Discussant: Laura Ballotta - Cass Business School, UK
"Pricing and Capital Requirements for with Profit Contracts: Modelling Considerations"
Laura Ballotta - Cass Business School, UK
Discussant: Pedro Miguel Pimentel - University of the Azores, Portugal
"High Speed Rail Transport Valuation with Multiple Uncertainty Factors"
Pedro Miguel Pimentel - University of the Azores, Portugal
José Azevedo-Pereira - Universidade Técnica de Lisboa, Portugal
Gualter Couto - University of the Azores, Portugal
Discussant: Samuel B. Bulmash - University of South Florida, USA
SESSION 16 Monday 4:15-5:45 Evergreen
CAPITAL STRUCTURE & DIVIDEND DECISIONS
Session Chair: Janikan Supanvanij - St. Cloud State University, USA
"Dividend Determinants in Denmark"
Jakob Stig Hedensted - University of Aarhus, Denmark
Johannes Raaballe - University of Aarhus,Denmark
Discussant: Ephraim Clark - Middlesex University, UK
"Simultaneous Determination of Capital Structure and Dividend Decisions under Agency Cost and Monitoring: Evidence from UK Firms"
Xiaoming Ding - University of Birmingham, UK
Victor Murinde - University of Birmingham, UK
Discussant: Johannes Raaballe - University of Aarhus,Denmark
"CEO Compensation: Europe vs. UK vs. US"
Yacine Belghitar - Middlesex University, UK
Ephraim Clark - Middlesex University, UK
Amrit Judge - Middlesex University, UK
Discussant: Xiaoming Ding - University of Birmingham, UK
RECEPTION WITH FOOD
8:30-10:00 p.m. Buena Vista
Sponsored by
School of Business-Camden
Rutgers University, USA
SESSION 17 Tuesday 9:00-10:30 Buena Vista - 1
FINANCIAL ASPECTS OF ECONOMIC INTEGRATION
Session Chair: Edgar Ortiz - UNAM, Mexico
"Returns and Volatility Dynamics and Transmission among the NAFTA Capital Markets"
Edgar Ortiz - UNAM, Mexico
Francisco Lopez-Herrera - UNAM, Mexico
Alejandra Cabello - UNAM, Mexico
Discussant: Anand B.S. Gulati - Hanken-Svenska Handelshögskolan, Finland
"Effect of Exchange Rate on Industrial Competitiveness before and after Euro – Empirical Evidence from Stock Markets of Finland and Sweden"
Anand B.S. Gulati - Hanken-Svenska Handelshögskolan, Finland
Discussant: Chien-Hsiu (Lucy) Lin - National Chengchi University,Tiawan
"Risk Exposures in the Asian Emerging Markets"
Chien-Hsiu (Lucy) Lin - National Chengchi University,Tiawan
Discussant: Edgar Ortiz - UNAM, Mexico
SESSION 18 Tuesday 9:00-10:30 Buena Vista - 2
FINANCIAL ISSUES
Session Chair: April M. Knill - Florida State University, USA
"When the Going Gets Tough: SRI Negative Screens and Alliance Formation as an Industry Response"
Laurie Ingraham - University of Lethbridge, Canada
John M. Usher - University of Lethbridge, Canada
Discussant: Lucy-Ruoyun Zhao - University of Technology, Australia
"Health Status and Portfolio Choice: Causality or Heterogeneity?"
Elliott Fan - Australian National University, Australia
Lucy-Ruoyun Zhao - University of Technology, Australia
Discussant: Manfred Frühwirth - Wu Wien
"The Optimal Design of Savings Plans for Prospect Theory Investors"
Manfred Frühwirth - Wu Wien
Georg Mikula - Vienna University of Economics and Business Administration, Austria
Discussant: John M. Usher - University of Lethbridge, Canada
SESSION 19 Tuesday 9:00-10:30 Florida Room
RISK MANAGEMENT
Session Chair: Dror Parnes - University of South Florida, USA
"Reassessing Canadian Hedging Practices: A Survey Study"
Ashraf Al Zaman - Saint Mary’s University, Canada
Karen Lightstone - Saint Mary’s University, Canada
Discussant: Özgür Arslan - Hacettepe University, Turkey
"Consumer Credit Risk Factors of Turkish Householders"
Mehmet Baha Karan - Hacettepe University, Turkey
Özgür Arslan - Hacettepe University, Turkey
Discussant: Amrit Judge - Middlesex University, UK
"Foreign Currency Derivatives Hedging and Firm Value in the Era of International Accounting Standards: Evidence from France"
Ephraim Clark - MDX Business School, UK
Amrit Judge - Middlesex University, UK
Salma Mefteh - Angers and Paris-Dauphine University, France
Discussant: Ashraf Al Zaman - Saint Mary’s University, Canada
SESSION 20 Tuesday 9:00-10:30 Evergreen
FIRM VALUATION
Session Chair: Ayi Gavriel Ayayi - Audencia, School of Management, France
"Factors in Multinational Valuations: Transparency, Political Risk and Diversification"
Nyonyo Kyaw - Iona College, USA
John Manley - Iona College, USA
Anand Shetty - Iona College, USA
Discussant: George Iatridis - University of Thessaly, Greece
"Implementation of International Financial Reporting Standards and the Quality of Financial Statement Information"
George Iatridis - University of Thessaly, Greece
Discussant: Mehmet Baha Karan - Hacettepe University, Turkey
"Indicators of Corporate Failure for Turkish Firms"
Mehmet Baha Karan - Hacettepe University, Turkey
Ozgur Arslan - Hacettepe University, Turkey
Goksel Ozkul - Ðs Bankasi, Turkey
Discussant: Anand Shetty - Iona College, USA
Refreshments 10:30-10:45 a.m.
SESSION 21 Tuesday 10:45-12:15 Buena Vista - 1
FUND PERFORMANCE
Session Chair: Michael D. McKenzie - RMIT University and University of Cambridge, UK
"False Discoveries: Winners and Losers in Mutual Fund Performance"
Keith Cuthbertson - Cass Business School, UK
Dirk Nitzsche - Cass Business School, UK
Niall O’Sullivan - University College Cork, Ireland
Discussant: Hatice Azize Ergeneli - Hacettepe University, Turkey
"Managing Mutual Funds or Managing Expense Ratios?"
Vassilios Babalos - University of Piraeus, Greece
Alexandros Kostakis - University of York, UK
Nikolaos Philippas - University of Piraeus, Greece
Discussant: Karen H.Y. Wong - Open University of Hong Kong, Hong Kong
"Performance Characteristics of Exchange-traded Funds in Bullish and Bearish Markets"
Karen H.Y. Wong - Open University of Hong Kong, Hong Kong
Wai Cheong Shum - The Open University of Hong Kong, Hong Knong
Discussant: Nikolaos Philippas - University of Piraeus, Greece
SESSION 22 Tuesday 10:45-12:15 Buena Vista - 2
CREDIT RISK
Session Chair: Mehmet Baha Karan - Hacettepe University, Turkey
"Characteristics of Defaulted Conventional and Islamic Bonds in Malaysia"
Sazali Zainal Abidin - Universiti Putra Malaysia, Malaysia
Shamsher Mohamad - Universiti Putra Malaysia, Malaysia
Suhana Hashim - Universiti Putra Malaysia, Malaysia
Discussant: Dror Parnes - University of South Florida, USA
"The Impact of Exchange Rate Exposure on Multinationals’ Credit Risk"
Dror Parnes - University of South Florida, USA
Discussant: Aydin Ulucan - Hacettepe University, Turkey
"Estimation of Credit Risk of Retail Stores by Using Their Payment History: A Comparative Study Using Logistic Regression and Multicriteria Analysis"
Mehmet Baha Karan - Hacettepe University, Turkey
Aydin Ulucan - Hacettepe University, Turkey
Mustafa Kaya - Hacettepe University, Turkey
Discussant: Sazali Zainal Abidin - Universiti Putra Malaysia, Malaysia
SESSION 23 Tuesday 10:45-12:15 Florida Room
PORTFOLIO CHOICE
Session Chair: Nikolaos Tessaromatis - ALBA, Greece
"Correlation and Portfolio Diversification among South East Asia, Emerging, and Developed Countries"
Sazali Zainal Abidin - Universiti Putra Malaysia, Malaysia
Razali Haron - International Islamic University Malaysia, Malaysia
Discussant: Laurent Bodson - University of Liège, Belgium
"Dynamic Hedge Fund Style Analysis with Errors in Variables"
Laurent Bodson - University of Liège, Belgium
Alain Coën - University of Quebec-Montreal, Canada
Georges Hübner - University of Liège, Belgium & University of Maastricht and University of Luxembourg, Belgium
Discussant: Andrew Mason - University of Surrey Guildford Surrey, UK
"Portfolio Characteristics and Equity Investment Styles:A Multidimensional Approach"
Andrew Mason - University of Surrey Guildford Surrey, UK
Stephen Thomas - Cass Business School, UK
Discussant: Sazali Zainal Abidin - Universiti Putra Malaysia, Malaysia
SESSION 24 Tuesday 10:45-12:15 Evergreen
TUTORIAL: REAL OPTIONS IN CAPITAL BUDGETING
Presenter: Professor Gordon Arthur Sick - University of Calgary, Canada
Sponsored by
School of Business-Camden
Rutgers University, USA
Research tutorial for doctoral students and other conference participants.
LUNCHEON AND KEYNOTE SPEECH
12:30-2:30 p.m. Buena Vista
Professor Gordon Arthur Sick
University of Calgary, Canada
Real Options in Capital Budgeting
Sponsored by
LeBow College of Business
Drexel University, USA
SESSION 25 Tuesday 2:30-4:00 Buena Vista - 1
CORPORATE FINANCE
Session Chair: John M. Usher - University of Lethbridge, Canada
"Some General Results about the Optimal Timing of Relocation"
José Azevedo-Pereira - Instituto Superior de Economia e Gestão, Portugal
Gualter Couto - Universidade dos Açores, Portugal
Cáudia Nunes - Instituo Superior Técnico, Portugal
Discussant: Sophocles Ioulianou - University of Cyprus, Cyprus
"Impact of Growth Options, Real Option Capability and Multinationality on Firm Performance and Stock Returns"
Sophocles Ioulianou - University of Cyprus, Cyprus
Lenos Trigeorgis - University of Cyprus, Cyprus
Discussant: Anna Zalewska - University of Bath, UK
"The Utility of Personality Factors and Risk Tolerance in Predicting FinancialPerformance of Fund Managers in Turkey"
Selin Metin Camgoz - Hacettepe University, Turkey
Mehmet Baha Karan - Hacettepe University, Turkey
Hatice Azize Ergeneli - Hacettepe University, Turkey
Discussant: Dirk Nitzsche - Cass Business School, UK
SESSION 26 Tuesday 2:30-4:00 Buena Vista - 2
EXECUTIVE COMPENSATION
Session Chair: Anna Zalewska - University of Bath, UK
"The Role of Compensation Consultant in CEO Pay Governance"
Marizah Minhat - University of Stirling, UK
Discussant: Janikan Supanvanij - St. Cloud State University, USA
"Executive Compensation Models in Australia"
Jean M. Canil - University of Adelaide, Australia
Bruce A. Rosser - University of Adelaide, Australia
Discussant: Marizah Minhat - University of Stirling, UK
"Top Executive’s Performance and Compensation: Evidence Across Industries"
Janikan Supanvanij - St. Cloud State University, USA
Discussant: Jean M. Canil - University of Adelaide, Australia
SESSION 27 Tuesday 2:30-4:00 Florida Room
FINANCIAL DEVELOPMENT
Session Chair: Lin Lin - National Chi-Nan University, Taiwan
"Empirical Testing of Insider’s Trading in the Istanbul Stock Exchange"
Murat Dogu - Dogan Yayin Holding Corp.
Mehmet Baha Karan - Hacettepe University, Turkey
Semra Karacaer - Hacettepe University, Turkey
Discussant: Ekin Tokat - TOBB University of Economics and Technology, Turkey
"The Impact of the Introduction of Futures Markets on the Stock Exchange Markets: A Case for Turkey"
Ekin Tokat - TOBB University of Economics and Technology, Turkey
Nildag Basak Ceylan - Atilim University, Turkey
Mete Doganay - Çankaya University, Turkey
Ali Alp - TOBB University of Economics and Technology
Ramazan Aktas - TOBB University of Economics and Technology
Discussant: Jörgen Hellström - Umeå University, Sweden
"Determinants of Central Bank Independence Reforms"
Sven-Olov Daunfeldt - University of Gavle, Sweden
Jörgen Hellström - Umeå University, Sweden
Mats Landström - University of Gävle, Sweden
Discussant: Semra Karacaer - Hacettepe University, Turkey
SESSION 28 Tuesday 2:30-4:00 Evergreen
MARKET MICROSTRUCTURE
Session Chair: Johan Knif - HANKEN, Finland
"Liquidity and Trading Activity of REITs in Hong Kong:A Market-Microstructure Analysis"
Sherry Z. Zhou - City University of Hong Kong,Hong Kong
Kaiguo Zhou - Sun Yat-Sen University,China
Helen X. H. Bao - University of Cambridge, UK
Discussant: William J. Bertin - Bond University, Australia
"Liquidity Issues Surrounding Neglected Firms"
William J. Bertin - Bond University, Australia
David Michayluk - University of Technology, Australia
Laurie Prather - Bond University, Australia
Discussant: Victor Fang - Monash University, Australia
"Value-at-Risk Disclosures and the Implications on Bank Stakeholders"
Jason Ball - Ernst & Young Services
Victor Fang - Monash University, Australia
Discussant: Kaiguo Zhou - Sun Yat-Sen University,China
Refreshments 4:00-4:15 p.m.
SESSION 29 Tuesday 4:15-5:45 Buena Vista - 1
INITIAL PUBLIC OFFERINGS
Session Chair: William J. Bertin - Bond University, Australia
"Underwriter Reputation and Underpricing: Evidence from the Australian IPO Market"
Simmala Philavanh - Deakin University, Australia
William Dimovski - Deakin University, Australia
Robert Brooks - Monash University, Australia
Discussant: Zarije Göknur Umutlu - Hacettepe University, Turkey
"Pecking Order and Timing Effects on Aftermarket Performance of IPOs: an Empirical Study on Emerging Markets"
Zarije Göknur Umutlu - Hacettepe University, Turkey
Mehmet Baha Karan - Hacettepe University, Turkey
Discussant: Michael D. McKenzie - RMIT University and University of Cambridge, UK
"Venture Capital Fund Performance and the IPO Market"
Michael D. McKenzie - RMIT University and University of Cambridge, UK
William H. Janeway - Warburg Pincus and University of Cambridge, UK
Discussant: William Dimovski - Deakin University, Australia
SESSION 30 Tuesday 4:15-5:45 Buena Vista - 2
ASSET PRICING
Session Chair: Samuel B. Bulmash - University of South Florida, USA
"Time-Varying Rationality and Testing Financial Contagion with Time-Varying Correlation of Heteroskedastic Asset Returns"
Kwang-il Choe - Minnesota State University, USA
Kiseok Nam - Yeshiva University, USA
Discussant: Giovanna Zanotti - Università Bocconi, Italy
"Hedging with Futures in a Context of High Time Varying Volatility: an Application of GARCH Correlation Models to European Electricity Markets"
Giovanna Zanotti - Università Bocconi, Italy
Giampaolo Gabbi - Università Siena, Italy
Manuela Geranio - Università Bocconi, Italy
Discussant: Phuong Doan - RMIT University, Australia
"Asset Pricing with Higher Moments: Evidence from Australian and the U.S. Markets"
Phuong Doan - RMIT University, Australia
Chien-Ting(Edward) Lin - University of Adelaide, Australia
Ralf Zurbruegg - University of Adelaide, Australia
Discussant: Kiseok Nam - Yeshiva University, USA
SESSION 31 Tuesday 4:15-5:45 Florida Room
FINANCIAL SERVICES
Session Chair: André E. Thibeault - Vlerick Leuven Gent Management School, Belgium
"Optimal Size of The Financial Services Industry in Taiwan: A New DEA-Option Based Merger Simulation Approach"
Lin Lin - National Chi-Nan University, Taiwan
Chieh-Yang Huang - National Chi Nan University and Takming College, Taiwan
Discussant: Ayi Gavriel Ayayi - Audencia, School of Management, France
"A Journey to the Market and Beyond for Vietnamese Firms"
Ayi Gavriel Ayayi - Audencia, School of Management, France
Toan Nyugen - Audencia, France
Discussant: Séverine Plunus - HEC-University of Liège, Belgium
"Operational Risk and Reputation in the Financial Industry"
Roland Gillet - University Paris and Free University of Brussels, France
Georges Hübner - HEC-University of Liège, Maastricht University, and University of Luxembourg
Séverine Plunus - HEC-University of Liège, Belgium
Discussant: Lin Lin - National Chi-Nan University, Taiwan
SESSION 32 Tuesday 4:15-5:45 Evergreen
FINANCIAL MARKETS
Session Chair: Lucy F. Ackert - Kennesaw State University and Federal Reserve Bank of Atlanta, USA
"Taking the Bad with the Good: The Volatility of Foreign Portfolio Investment and the Financial Constraints of Small Firms"
April M. Knill - Florida State University, USA
Discussant: Gualter Couto - Universidade dos Açores, Portugal
"SPAN Margining of Option Trading: How Accuracy Promotes Efficiency"
Rafi Eldor - Arison School of Business, Israel
Hauser Schmuel - Ben Gurion University, Israel
Uzi Yaari - Rutgers University, USA
Discussant: April M. Knill - Florida State University, USA