2011 FMA European Conference
8 - 10 June 2011
Porto, Portugal
Bem vindo ao Porto
Dear Colleagues:
Welcome to the 2011 FMA European Meeting in beautiful Porto,
Portugal!
You will find a wide array of sessions to attend, each of which offers a
unique opportunity for the discussion of timely academic and practical
issues in finance. There are many outstanding papers being presented
on this year's program – and many outstanding panel discussions as
well as a number of opportunities for socializing.
We express a very special thank you to the members of this year's Program Committee who evaluated the
academic paper submissions. We would also like to extend our appreciation to all of the participants on the
program — Dr. René Stulz, our Keynote Speaker, Dr. Miguel Ferreira, Doctoral Student Consortium Coordinator,
the paper presenters, session chairpersons, discussants, panel session organizers and panelists, and attendees.
Each of you makes a vital contribution to the program's success, and we are most appreciative.
Finally, we offer our most sincere thanks to this year's conference partners and sponsors:
Partners
Universidade do Porto
EGP-UPBS, University
of Porto Business
School
Faculdade de
Economia da
Universidade do Porto
(FEP)
CEF.UP
Keynote Address Sponsor
Associação Portuguesa de Bancos (APB)
Sponsors
Associação Portuguesa de
Analistas Financeiros (APAF)
Luso-American Development
Foundation (FLAD)
Banco de Portugal
Comissão do Mercado de Valores
Mobiliários (CMVM)
NYSE Euronext
Ordem dos Técnicos Oficiais de
Contas (OTOC)
The support provided by these partners and sponsors makes this a truly special event for all of us.
Thank you for joining us. We know you will enjoy this year’s program and social activities.
Sincerely,
Hendrik (Hank) Bessembinder
University of Utah
Jorge Farinha
Universidade do Porto
Ana Paula Serra
Universidade do Porto
2011 FMA EUROPEAN CONFERENCE
8 - 10 JUNE 2010 — PORTO, PORTUGAL
TABLE OF CONTENTS
Welcome ......................................................................................................................................... Inside Front Cover
Dr. Hendrik (Hank) Bessembinder, University of Utah
Dr. Jorge Farinha, Universidade do Porto
Dr. Ana Paula Serra, Universidade do Porto
Table of Contents ............................................................................................................................ 1
Doctoral Student Consortium .......................................................................................................... 2
Keynote Address, Dr. René Stulz, The Ohio State University ........................................................ 3
Special Panel Sessions ................................................................................................................... 4
2011 European Conference Program Committee ........................................................................... 6
Partners and Sponsors.................................................................................................................... 8
Conference Program ....................................................................................................................... 11
At-a-Glance Program Schedule ...................................................................................................... 27
Roster of Attendees......................................................................................................................... 29
Index of Participants ........................................................................................................................ 33
Porto Palácio Hotel Map.................................................................................................................. 35
Routledge Taylor & Francis Group .................................................................................................. 36
Oxford University Press................................................................................................................... 37
Upcoming FMA Conferences .......................................................................................................... 38
2012 FMA European Conference - Istanbul, Turkey ....................................................................... Inside Back Cover
Conference Exhibitor
Capital IQ
Partners
Sponsors
Porto cover photo: Jordi Ramisa - Istanbul cover photo: Ilker Canikligil
2011 FMA European Conference Program - 1
2011 FMA EUROPEAN CONFERENCE
DOCTORAL STUDENT CONSORTIUM
COORDINATOR
Dr. Miguel Ferreira, Universidade Nova de Lisboa
Associate Professor of Finance
PANELISTS & WORKSHOP LEADERS
Dr. Craig Lewis, Vanderbilt University and US SEC
Madison S. Wigginton Professor of Management in Finance
Dr. Gordon Roberts, York University
Professor of Finance and CIBC Professor of Financial Services
Dr. Pedro Santa-Clara, Universidade Nova de Lisboa
Millennium bcp and Professor of Finance
Dr. João Santos, Federal Reserve Bank of New York
Assistant Vice President, Financial Intermediation Function
Dr. Laura Starks, University of Texas
Chair, Finance Department, Charles E and Sarah M Seay Regents Chair, and Director, AIM Investment Center
STUDENT PARTICIPANTS
Iness Aguir .......................................................... University of Texas San Antonio
Gino Cenedese ................................................... University of Warwick
Burcin Col ........................................................... McGill University
Catarina Alexandra Alves Fernandes ................. Universidade do Porto
KiHoon Jimmy Hong ........................................... University of Cambridge
Pearpilai Jutasompakorn .................................... Monash University
Olga Lebedeva.................................................... University of Mannheim
Yuenjung Park .................................................... Korea Advanced Institute of Science & Technology (KAIST)
Joao Filipe Monteiro Pinto .................................. Universidade do Porto
Manuel Teixeira de Vasconcelos ........................ Erasmus University
Alminas Zaldokas................................................ INSEAD
2011 FMA European Conference Program - 2
Keynote Address Sponsored By
KEYNOTE ADDRESS
Dr. René M Stulz, The Ohio State University
Thursday, 9 June, 17:15 (5:15) pm
Sala Porto (Floor 1)
René M. Stulz is the Everett D. Reese Chair of Banking and Monetary
Economics and the Director of the Dice Center for Research in Financial
Economics at the Ohio State University. He has also taught at the
Massachusetts Institute of Technology, the University of Chicago, and the
University of Rochester. He received his Ph.D. from the Massachusetts
Institute of Technology. He was awarded a Marvin Bower Fellowship from the
Harvard Business School, a Doctorat Honoris Causa from the University of
Neuchâtel, and the 1999 Eastern Finance Association Distinguished Scholar
Award. In 2004, the magazine Treasury and Risk Management named him one
of the 100 most influential people in finance. A recent study found that he was
the sixth most often cited contributor to the top journals in financial economics
from 2003 to 2008. He is a past president of the American Finance Association,
a past president of the Western Finance Association, and a fellow of the
Financial Management Association.
René M. Stulz was the editor of the Journal of Finance, a leading academic publication in the field of finance, for
twelve years. He is on the editorial board of more than ten academic and practitioner journals. Further, he is a
member of the Asset Pricing and Corporate Finance Programs of the National Bureau of Economic Research.
He has published more than sixty papers in finance and economics journals, including the Journal of Political
Economy, Journal of Financial Economics, Journal of Finance, and Review of Financial Studies. His published
research deals with topics such as the valuation discount of conglomerates, the benefits and costs of leverage,
spinoffs and asset sales, the determinants of liquid asset holdings of firms, secured debt, bank loans, the pricing of
exotic options, credit risks, the cost of capital, managerial ownership, the market for corporate control, corporate
governance, the performance of firms issuing debt and equity, the determinants of firm capital structures and liquid
asset holdings, the use of derivatives in risk management, capital flows, and financial globalization. He is the author
of a textbook titled Risk Management and Derivatives and a co-author of the Squam Lake Report: Fixing the
Financial System, and has edited several books, including the Handbook of the Economics of Finance.
René M. Stulz has taught in executive development programs in the US, Europe, and Asia. He has consulted for
major corporations, the New York Stock Exchange, and the World Bank. He is a director of several companies, the
president of the Gamma Foundation, and a trustee of the Global Association of Risk Professionals. Finally, he has
worked with some of the country’s most prominent law firms on issues such as the Procter and Gamble derivatives
losses, internet IPOs, and the bankruptcy of Enron.
OPENING RECEPTION
Círculo Universitário do Porto (Rua do Campo Alegre, 877)
18:30 (6:30) pm
Advance registration required
2011 FMA European Conference Program - 3
2011 FMA EUROPEAN CONFERENCE
SPECIAL PANEL SESSIONS
THURSDAY, 9 JUNE
Session 06
Special Session Sponsor
Borrowing and Lending: Banks and Firms Revisited
Thursday, 9 June, 8:30 am – 10:00 am, Sala Tâmega (Floor 2)
Presentations
Did the Rise of CLOs Lead to Riskier Lending?
João Santos, Federal Reserve Bank of New York
Lending Relationships and the Effect of Bank Distress: Evidence from the 2007-2008 Financial Crisis
Miguel Ferreira, Universidade Nova de Lisboa
Daniel Carvalho, University of Southern California
Pedro Matos, University of Southern California
Borrowing Patterns, Bankruptcy, and Voluntary Liquidation
José Mata, Universidade Nova de Lisboa
António Antunes, Banco de Portugal
Pedro Portugal, Banco de Portugal
Special Session Sponsor
Session 16
Financial Regulation after the International Financial Crisis: What really will change?
Thursday, 9 June, 10:30 am - 12:00 noon, Sala Tâmega (Floor 2)
Panelists
Elisa Ferreira
Member, Economic and Monetary Affairs Committee
European Parliament
Maureen O'Hara
Robert W Purcell Professor of Finance
Cornell University
Carlos Tavares
Vice Chairman, European Securities and Markets Authority (ESMA)
Chair, Portuguese Securities Market Commission (CMVM)
Session 26
Special Session Sponsor
Financial Markets and Public Finance in Portugal
Thursday, 9 June, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Tâmega (Floor 2)
Panelists
Raúl Manuel Simões Marques
Chairman, APAF (Portuguese Association of Financial Analysts)
Executive Vice-President of the Board of Directors and Executive Committee, Banif Gestão de Activos and Banif Açor Pensões
Manuel Puerta da Costa
Member of the Board, BPI Gestão de Activos and APAF
João Cantiga Esteves, Member of the Board, APAF
2011 FMA European Conference Program - 4
FRIDAY, 10 JUNE
Session 56
The Shadow Financial Regulatory Committee: Dissecting the Financial Crisis and Financial Reform
Friday, 10 June, 10:30 am - 12:00 noon, Sala Tâmega (Floor 2)
Moderator
George Kaufman, John F Smith, Jr Professor of Finance & Economics
Loyola University Chicago
Panelists
Franklin Edwards, Arthur F Burns Chair of Free and Competitive Enterprise
Columbia University
Richard Herring, Jacob Safra Professor of International Banking, Professor of Finance & Co-Director, Wharton Financial Institutions Center
University of Pennsylvania
Kenneth Scott, Ralph M Parsons Professor of Law and Business, Emeritus
Stanford University
Session 66
Research Opportunities in Corporate Governance
Friday, 10 June, 13:30 (1:30) pm - 15:00 (3:00 pm), Sala Tâmega (Floor 2)
Moderator
Ralph A Walkling, Stratakis Chair in Corporate Governance and Executive Director of the Center for Corporate Governance
Drexel University
Panelists
Marco Bigelli, Professor of Finance
University of Bologna, Johns Hopkins University, and Université de Paris XII
Charles Elson, Edgar S. Woolard, Jr., Chair in Corporate Governance & Director, John L. Weinberg Center for Corporate Governance
University of Delaware
Ajay Patel, Professor and GMAC Chair in Finance
Wake Forest University
Laura Starks, Chair, Finance Department, Charles E. & Sara M. Seay Regents’ Chair, and Director, AIM Investment Center
University of Texas Austin
René Stulz, Everett D. Reese Chair of Banking and Monetary Economics & Director, Dice Center for Research in Financial Economics
The Ohio State University
2011 FMA European Conference Program - 5
2011 FMA EUROPEAN CONFERENCE PROGRAM COMMITTEE
NAME
AFFILIATION
COUNTRY
Margarida Abreu
Vikas Agarwal
Rui AP Albuquerque
Gordon J Alexander
Alvaro Santos Almeida
Carlos Francisco Alves
Mario Daniele Amore
Alexandre Miguel Baptista
Faten Ben Slimane
Wolfgang Bessler
Keith C Brown
Maria Carapeto
Lal C Chugh
Joao Cocco
Costanza Consolandi
Asher Curtis
Qinglei Dai
Nandita Das
Gang (Nathan) Dong
Mário Coutinho dos dos Santos
João Duque
Gary W Emery
Vihang Errunza
Javier Estrada
Shuang Feng
Miguel Almeida Ferreira
Francisco Gomes
Laura Gonzalez
Mamiza Haq
Huong N Higgins
Delroy M Hunter
Amrit Paul Judge
Aneel Keswani
Lawrence Kryzanowski
Asjeet S Lamba
Thorsten Lehnert
Abraham Lioui
Igor Loncarski
Qingzhong Ma
Carmen Pilar Martí-Ballester
Cesario Mateus
Pedro Matos
Victor Mendes
Usha R Mittoo
Rajesh Mohnot
José António Moreira
ISEG-UTL
Georgia State University
Boston University
University of Minnesota
Universidade do Porto
Universidade do Porto
Copenhagen Business School
The George Washington University
Champagne Management School
University of Giessen
University of Texas
Cass Business School
University of Massachusetts Boston
London Business School
University of Siena
University of Utah
Universidade Nova de Lisboa
Delaware State University
Rutgers University
Portuguese Catholic University
ISEG - UTL
University of Oklahoma
McGill University
IESE Business School
University of Massachusetts Amherst
Universidade Nova de Lisboa
London Business School
Fordham University
University of Queensland
Worcester Polytechnic Institute
University of South Florida
Middlesex University Business School
Cass Business School
Concordia University
University of Melbourne
University of Luxembourg
EDHEC Business School
University of Ljubljana
Cornell University
Universitat Autònoma de Barcelona
University of Greenwich
University of Southern California
CMVM
University of Manitoba
Middlesex University Dubai
Universidade do Portto
Portugal
US
US
US
Portugal
Portugal
Denmark
US
France
Germany
US
UK
US
UK
Italy
US
Portugal
US
US
Portugal
Portugal
US
Canada
Spain
US
Portugal
UK
US
Australia
US
US
UK
UK
Canada
Australia
Luxembourg
France
Slovenia
US
Spain
UK
US
Portugal
Canada
Dubai
Portugal
2011 FMA European Conference Program - 6
Narayan Naik
Mervi M Niskanen
João Pedro Vidal Nunes
José Renato Haas Ornelas
Shams Pathan
João Pedro Pereira
José Manuel Peres Jorge
Petya Platikanova
Peter F Pope
Peter N Posch
Marcel Prokopczuk
Sofia Brito Ramos
Clara Raposo
Raghavendra Rau
Luc Renneboog
Cláudia Alexandra Ribeiro
Lalith Samarakoon
Leire San-Jose
Pedro Santa-Clara
João Santos
Nicos A Scordis
Henri Servaes
Mark B Shackleton
Andre C Silva
Pierre Six
Sotiris K Staikouras
Carmen Stefanescu
Duane R Stock
David Stolin
Janikan Supanvanij
Kazunori Suzuki
Erik Theissen
Radu Sebastian Tunaru
Pedro Luiz Valls Pereira
Manuel Vasconcelos
João Paulo Vieito
Milos Vulanovic
Jean-Philippe Weisskopf
Sabine Wende
Lan Xu
Maxim Zagonov
Ania Zalewska
London Business School
University of Eastern Finland
ISCTE-IUL Business School
Central Bank of Brazil
The University of Queensland
ISCTE-IUL Business School
Universidade Porto
ESADE Business School
Lancaster University
University of Ulm
ICMA Centre, University of Reading
ISCTE Lisbon University Institute
ISEG-UTL
University of Cambridge
Tilburg University
Universidade do Porto
University of St Thomas
University of Huddersfield & Universidad del País Vasco
Universidade Nova de Lisboa
Federal Reserve Bank New York
St John's University
London Business School
Lancaster University Management School
Universidade Nova de Lisboa
Rouen Business School
Cass Business School
ESSEC
University of Oklahoma
Toulouse Business School
St Cloud State University
Chuo University
University of Mannheim
University of Kent at Canterbury
São Paulo School of Economics
Erasmus University
Polytechnic Institute of Viana do Castelo
Western New England College
University of Fribourg
University of Cologne
Washington University in St. Louis
Toulouse Business School
University of Bath
2011 FMA European Conference Program - 7
UK
Finland
Portugal
Brazil
Australia
Portugal
Portugal
Spain
UK
Germany
UK
Portugal
Portugal
UK
Netherlands
Portugal
US
UK & Spain
Portugal
US
US
UK
UK
Portugal
France
UK
France
US
France
US
Japan
Germany
UK
Brazil
Netherlands
Portugal
US
Switzerland
Germany
US
France
UK
2011 FMA EUROPEAN CONFERENCE —PARTNERS
UNIVERSIDADE DO PORTO
About Universidade do Porto
With origins dating back to the eighteenth century, the Universidade do Porto is currently the largest institution of teaching and scientific research in
Portugal. Nearly 31,000 students, 2,300 teachers and researchers, and 1,700 non-teaching staff are in its 15 schools and 69 research units, spread across
three campuses located in the city of Porto.
With 14 faculties and a business school, the Universidade do Porto offers a wide range of courses covering all levels of higher education and all major areas
of knowledge.
The qualifications of faculty make it the most sought after institution of higher learning by most Portuguese university applicants. Every year, more than
2,000 international students also choose the Universidade do Porto to complete their higher education.
The Universidade do Porto is responsible for more than 20% of the Portuguese scientific articles indexed annually in ISI Web of Science, making it the
largest producer of science in Portugal. More than half of those research units were rated "Excellent" or "Very Good" in the latest international independent
rankings. In fact, the Universidade do Porto has some of the most productive and internationally recognized centers of Portuguese research and
development.
In recent years, the Universidade do Porto has focused on economic value of research activities and recent partnerships with some of the largest companies
have resulted in several innovations with proven success in national and international markets.
EGP-UNIVERSITY OF PORTO BUSINESS SCHOOL (EGP-UPBS)
EGP-UPBS is the Business School of the University of Porto. Its mission is the teaching of graduate courses and advanced executive management training
programmes, as well as complementary activities in the fields of applied research and business services.
Founded in 1988, the School’s special governance structure is jointly assured by the University of Porto and a set of more than 20 large corporations and
other private entities. This provides the school with a very effective blend of scientific and pedagogical rigor coupled with a special concern for the practical
needs of the business world. School Faculty members are recruited from the University of Porto’s different departments but also from both the professional
world as well as from a large number of renowned international business schools.
EGP-UPBS offers one of the oldest full time MBAs in Portugal, as well as the largest Executive MBA program in the country, both of which enjoy a double
accreditation by AMBA-Association of MBAs and EPAS (EFMD). The full-time Magellan MBA is an international programme that currently has the largest
percentage of international students of any internationally accredited MBA programme in Portugal. Students from both MBA programmes have been
consistently recording relevant professional achievements, with a substantial number of these currently leading some of the most important private
corporations in Portugal (Sonae, EDP Renewables, Cerealis, ColepCCL, Bial, etc.).
The School has also one of the largest portfolios in Portugal of one-year Post-Graduate programmes (over 15) in all fields of Management, as well as a vast
array of shorter duration open-enrollment courses for executives.
In 2011, the quality of EGP-UPBS’s in-company training programmes was internationally acknowledged as EGP-UPBS entered the top-100 Financial Times
Woldwide Ranking of Customised Executive Education (at number 65).
FEP-FACULDADE DE ECONOMIA DA UNIVERSIDADE DO PORTO
Founded in 1953, the University of Porto School of Economics and Business (FEP - Faculdade de Economia da Universidade do Porto) awards
academic degrees in the fields of economics and business. FEP is renowned for its high educational standards and scientific research, and for the academic
merit, wide practical experience, and teaching ability of its faculty.
Currently FEP has more than three thousand students enrolled in 20 programmes of Economics and Business, more than two hundred of which are foreign
students. The school offers 2 undergraduate degrees in Economics and Business Administration, 16 MSc degrees and 2 PhD courses in Economics,
Business and Management Studies. FEP has two Research Centres classified as “Very Good” by FCT, the National Foundation for Science and Technology.
Its scientific production contributes to the University of Porto being in the top 200 European Universities in International Academic Rankings and being also
recognised as the most prestigious teaching and research institution in the country, producing 22,5% of the scientific articles produced in Portugal.
A highly qualified faculty, 77% of whom hold a PhD, good facilities and equipment, plus good relations with the business world are the basis for the first-rate
training that FEP provides its students, which is fully recognized and appreciated in today’s business and labour marketplace.
2011 FMA European Conference Program - 8
CEF.UP
CEF.UP is a research center in Economics and Finance hosted by the Faculdade de Economia (FEP), Universidade do Porto. It was created in 2009
following the merger of CEMPRE and CETE, also hosted by FEP and established in 1993 and 1991, respectively.
CEF.UP conducts theoretical and applied research in Economics and Finance. It aims at producing high quality scientific research and contributing to the
dissemination of economic knowledge and informing the public policy debate.
CEF.UP organizes three seminar series, publishes a working papers series, manages a data center, and organizes scientific events. Jointly with NIPE, the
Center develops and maintains a ranking of academic research performance website. The center regularly hosts visitors who cooperate with researchers on
individual projects, participate in the seminars series, and teach in the PhD program in Economics.
KEYNOTE ADDRESS SPONSOR
ASSOCIAÇÃO PORTUGUESA DE BANCOS
The Portuguese Banking Association (APB) is the main entity that represents the Portuguese banking sector. It was created in 1984 to strengthen the
financial system, as well as its relationship with society and contribute to the development of a stronger banking sector and is especially attentive to the
problems and needs of the country.
Its purpose is to represent members with the authorities responsible for setting the regulatory framework that develops banking and economic policy in order
to help improve the regulatory system, the service quality of banks, and reduce the levels of risk.
CONFERENCE SPONSORS
ASSOCIAÇÃO PORTUGUESA DE ANALISTAS FINANCEIROS (APAF)
The Portuguese Association of Financial Analysts (APAF) was established in 1984 to transfer financial information and expertise between analysts and
investment managers in Portugal with other countries through the European Federation. In order to attain its objectives, APAF also promotes several
initiatives aiming to strengthen the professional qualifications of its members through close relations with the most prestige institutions of higher education.
On an international level, APAF is a member of The European Federation of Financial Analysts' Societies (EFFAS), and participates in several initiatives and
on specialised commissions that focus on the fields of financial analysis.
BANCO DE PORTUGAL
Banco de Portugal is the central bank of the Republic of Portugal. Established by royal charter on 19 November 1846 to act
as a commercial bank and issuing bank, it came about as the result of a merger of the Banco de Lisboa and the Companhia
de Confiança Nacional, an investment company specialising in the financing of public debt. The bank issues legal tender that
is designated as the national currency – the real until 1911, the escudo from 1911 until 1998, and the euro since 1999.
Following its nationalisation in September 1974 and its new Organic Law (1975), the Banco de Portugal was, for the first time, responsible for the supervision
of the banking system. It is an integral part of the European System of Central Banks, which was founded in June 1998.
2011 FMA European Conference Program - 9
COMISSÃO DO MERCADO DE VALORES MOBILIÁRIOS (CMVM)
The Portuguese Securities Market Commission (CMVM) was established in April 1991 with the task of supervising and regulating
securities and other financial instruments markets (traditionally known as stock markets), as well as the activity of all those who
operate within said markets. The CMVM regulates the functioning of the securities markets, public offerings, actions of all the market
operators and, in general, all matters pertaining to this area of activity.
The CMVM is an independent public institution, with administrative and financial autonomy.
LUSO-AMERICAN DEVELOPMENT FOUNDATION (FLAD)
The Luso-American Development Foundation (FLAD) is a private, financially independent Portuguese institution.
Its main goal is to contribute towards Portugal's development by providing financial and strategic support for
innovative projects by fostering cooperation between Portuguese and American civil society. FLAD's support is
channeled in different ways. It awards scholarships and sponsors institutional projects, training programs and
exchanges, for example (programs and scholarships). A substantial part of the Foundation's activity consists of
launching its own projects, which it manages alone or in partnership with other institutions.
The Foundation is an active member of the main international foundations networks. It belongs to the Board of the European Foundation Centre (EFC) in
Brussels and is represented on its Legal Committee. The Foundation is a member of the Council on Foundations, which gathers US foundations or foundations
operating in the US. It is associated with the Bellagio Forum for Sustainable Development, which is a group of US and European grant making foundations in
the environmental area and which promote initiatives designed for supporting sustainable governance.
NYSE EURONEXT
NYSE Euronext is a leading global operator of financial markets and provider of innovative trading technologies. The
company's exchanges in Europe and the United States trade equities, futures, options, fixed-income, and exchangetraded products. With approximately 8,000 listed issues (excluding European Structured Products), NYSE Euronext's
equities markets - the New York Stock Exchange, NYSE Euronext, NYSE Amex, NYSE Alternext, and NYSE Arca
- represent one-third of the world's equities trading, the most liquidity of any global exchange group. NYSE Euronext
also operates NYSE Liffe, one of the leading European derivatives businesses and the world's second-largest
derivatives business by value of trading. The company offers comprehensive commercial technology, connectivity and
market data products and services through NYSE Technologies. NYSE Euronext is in the S&P 500 index, and is the
only exchange operator in the Fortune 500. For more information, please visit www.nyx.com.
ORDEM DOS TÉCNICOS OFICIAIS DE CONTAS (OTOC)
Ordem dos Técnicos Oficiais de Contas (OTOC) is a professional organization responsible for regulating the accountancy
practice in Portugal. OTOC administers an admittance examination every four months. Successful candidates earn the
designation of Técnico Oficial de Contas (TOC), the authorized tax and accountancy practitioner in Portugal.
OTOC, which is the largest Portuguese professional body with more than 75,000 affiliates, offers a broad range of training programs to its members, and is an
active member in the public discussion of accounting and finance issues.
2011 FMA European Conference Program - 10
2011 FMA EUROPEAN CONFERENCE PROGRAM
THURSDAY, 8:30 AM - 10:00 AM
Session 01
Corporate Finance
Thursday, June 9, 8:30 am - 10:00 am, Sala Douro Norte (Floor 1)
Chairperson: Yaxuan Qi, Concordia University
Impact of Pecking Order Preferences on Firm
Individual Political Contributions and Firm
Success in Real Business Cycles
Performance
Andreas Mueller, RWTH Aachen University
Alexei V Ovtchinnikov, Vanderbilt University
Malte Brettel, RWTH Aachen University
Eva Pantaleoni, Vanderbilt University
Self-Expropriation versus Self-Interest in Dual-Class
Voting: The Pirelli Case Study
Marco Bigelli, Univ of Bologna
Stefano Mengoli, Univ of Bologna
Presenter: Andreas Mueller
Discussant:
Charles Reuter, ESCP Europe, LSF & Paris Ouest
Presenter: Marco Bigelli
Discussant:
Markus Schmid, Univ of Mannheim
Presenter: Alexei Ovtchinnikov
Discussant:
Yaxuan Qi, Concordia University
Session 02
Family Firms and Entrepeneurial Finance
Thursday, June 9, 8:30 am - 10:00 am, Sala Douro Sul (Floor 1)
Chairperson: Katrin Baedorf, WHU, Otto Beisheim Sch of Mgmt
Financing and Managerial Support With (Some)
Do Not Wake Sleeping Dogs: Payout Policies in
Optimistic Entrepreneurs
Founding Family Firms
Laurent Vilanova, Univ of Lyon – Coactis
Jean-Philippe Weisskopf, Univ of Fribourg
Presenter: Laurent Vilanova
Discussant:
Wei-Peng Chen, Shih Hsin University
Presenter: Jean-Philippe Weisskopf
Discussant:
Katrin Baedorf, WHU, Otto Beisheim Sch of Mgmt
Ownership Structure, Family Control, and Acquisition
Decisions
Lorenzo Caprio, Università
Cattolica del Sacro Cuore – Milano
Ettore Croci, Università degli Studi
di Milano - Bicocca
Alfonso Del Giudice, Universita Cattolica - Milan
Presenter: Ettore Croci
Discussant:
Dorra Najar, University Paris Dauphine
Session 03
Managerial Incentives and Mergers
Thursday, June 9, 8:30 am - 10:00 am, Sala Minho (Floor 1)
Chairperson: George Alexandridis, ICMA Centre, University of Reading
Cultural Values, CEO Risk Aversion and Corporate
Cash versus Stocks for M&A Payments:
Takeovers
Determinants and Shareholder Valuation
Bart Frijns, Auckland Univ of Tech
Isabel Feito-Ruiz, Univ of Oviedo
Aaron Gilbert, Auckland Univ of Tech
Susana Menéndez-Requejo, Univ of Oviedo
Thorsten Lehnert, Luxembourg Sch of Finance
Alireza Tourani-Rad, Auckland Univ of Tech
Presenter: Thorsten Lehnert
Presenter: Isabel Feito-Ruiz
Discussant:
Discussant:
Mieszko Mazur, IESEG
George Alexandridis, ICMA Centre, Univ of Reading
Internal Capital Markets, Non-Cash Divestitures and
Managerial Incentives
Mieszko Mazur, IESEG
Presenter: Mieszko Mazur
Discussant:
Isabel Feito-Ruiz, Univ of Oviedo
Session 04
Credit Markets
Thursday, June 9, 8:30 am - 10:00 am, Sala Lima (Floor 1)
Chairperson: Gordon Roberts, York University
Savior or Sinner? Credit Defaults Swaps and the
Cross-Listed Bonds and Rating Conservatism
Market For Sovereign Debt
Yiğit Atilgan, Sabanci University
Iuliana Ismailescu, Pace University
Aloke Ghosh, Baruch College
Blake Phillips, Univ of Waterloo
Jieying Zhang, Univ of Southern California
Liquidity and Credit Risk Premia in the Pfandbrief
Market
Jan Bernd Siewert, Universität Mannheim
Volker Vonhoff, Universität Mannheim
Presenter: Blake Phillips
Discussant:
Yalin Gündüz, Deutsche Bundesbank
Presenter: Volker Vonhoff
Discussant:
Mary Pieterse-Bloem, Tilburg University
Presenter: Yiğit Atilgan
Discussant:
Gordon Roberts, York University
Session 05
Portfolio Management and Performance
Thursday, June 9, 8:30 am - 10:00 am, Sala Cávado (Floor 1)
Chairperson: F Douglas Foster, Australian National University
Portfolio Matching by Multi-Fund Managers: Effects Investment Style Volatility and Mutual Fund
on Fund Performance and Flows
Performance
Vijay Yadav, INSEAD
Keith C Brown, Univ of Texas
WV Harlow, Putnam Investments
Hanjiang Zhang, Nanyang Technological Univ
Presenter: Vijay Yadav
Discussant:
Tim A Kroencke, Ctr for European Econ Res (ZEW)
Presenter: Keith C Brown
Discussant:
F Douglas Foster, Australian National University
2011 FMA European Conference Program - 11
International Diversification Benefits with Foreign
Exchange Investment Styles
Tim A Kroencke, Centre for
European Economic Research (ZEW)
Felix Schindler, Centre for
European Economic Research (ZEW)
Andreas Schrimpf, Aarhus Univ &
CREATES
Presenter: Tim A Kroencke
Discussant:
Keith C Brown, Univ of Texas
Session 06
Borrowing and Lending: Banks and Firms Revisited
Special Session Sponsor
Thursday, June 9, 8:30 am – 10:00 am, Sala Tâmega (Floor 2)
PRESENTATIONS
Did the Rise of CLOs Lead to Riskier Lending?
João Santos, Federal Reserve Bank of New York
Lending Relationships and the Effect of Bank Distress: Evidence from the 2007-2008 Financial Crisis
Miguel Ferreira, Universidade Nova de Lisboa,
Daniel Carvalho, University of Southern California
Pedro Matos, University of Southern California
Borrowing Patterns, Bankruptcy, and Voluntary Liquidation
José Mata, Universidade Nova de Lisboa
António Antunes, Banco de Portugal
Pedro Portugal, Banco de Portugal
Session 07
Management Compensation
Thursday, June 9, 8:30 am - 10:00 am, Sala Corgo (Floor 2)
Chairperson: Christopher W Anderson, University of Kansas
Urban Agglomeration and CEO Compensation
What Is the Most Effective Executive Compensation
Bill B Francis, Rensselaer
Plan?
Polytechnic Institute
Helena Pinto, Univ of Strathclyde
Iftekhar Hasan, Rensselaer
Martin Widdicks, Lancaster University
Polytechnic Institute
Kose John, New York University
Maya Waisman, Fordham University
Gender, Top Management Compensation Gap and
Firm Performances: Tournament versus Behavioral
Theory
João Paulo Torre Vieito,
Polythechnic Institute of Viana do Castelo
Presenter: Bill B Francis
Discussant:
Christopher W Anderson, Univ of Kansas
Presenter: João Paulo Vieito
Discussant:
Helena Pinto, University of Strathclyde
Presenter: Helena Pinto
Discussant:
João Paulo Vieito, Polytechnic
Instititue of Viana do Castelo
Session 08
Derivatives Modeling
Thursday, June 9, 8:30 am - 10:00 am, Sala Tua (Floor 2)
Chairperson: Jr-Yan Wang, National Taiwan University
Contingent Claims Valuation and Calibration with
The Valuation of Forward-Start Rainbow Options
Parameter Uncertainty for Low Frequency Data
Chun-Ying Chen, National Taiwan University
Radu Tunaru, Univ of Kent at Canterbury
Jr-Yan Wang, National Taiwan University
Presenter: Radu Tunaru
Discussant:
Jaqueson K Galimberti, Univ Federal de Santa Catarina
Presenter: Jr-Yan Wang
Discussant:
Cláudia Ribeiro, FEP, University of Porto and CEF.UP
Does Modeling Framework Matter? A Comparative
Study of Structural and Reduced-Form Models
Yalin Gündüz, Deutsche Bundesbank
Marliese Uhrig-Homburg, Karlsruhe Inst of Tech
Presenter: Yalin Gündüz
Discussant:
Jr-Yan Wang, National Taiwan University
Session 09
Bank Risk
Thursday, June 9, 8:30 am - 10:00 am, Sala Sousa (Floor 2)
Chairperson: Julapa Jagtiani, Federal Reserve Bank Philadelphia,
Risk Management, Corporate Governance, and
Risk and Stability in Islamic Banking
Bank Performance During the Financial Crisis
Pejman Abedifar, Université de Limoges
Vincent Aebi, Univ of St Gallen
Amine Tarazi, Université de Limoges
Gabriele Sabato, Royal Bank of Scotland
Philip Molyneux, Univ of Wales
Markus Schmid, Univ of Mannheim
Presenter: Markus Schmid
Discussant:
Julapa Jagtiani, Fed Res Bank Philadelphia
Presenter: Pejman Abedifar
Discussant:
Milagros Vivel, Univ of Santiago de Compostela
Bank Risk and Analyst Forecasts
Mario Anolli, Univ del Cattolica Sacro Cuore
Elena Beccalli, Univ Cattolica Sacro Cuore & London
School of Economics
Presenter: Mario Anolli
Discussant:
Oliver Pucker, Univ of Cologne
Session 10
International Finance 1
Thursday, June 9, 8:30 am - 10:00 am, Sala Sabor (Floor 2)
Chairperson: Iraj Fooladi, Dalhousie University
Stock Exchange Consolidation and Financial Risk
Sovereign Wealth Funds: An Exploratory Study of
Faten Ben Slimane, Champagne Sch of Mgmt
their Behavior
Ali Fatemi, DePaul University
Iraj Fooladi, Dalhousie University
Nargess Kayhani, Mt Saint Vincent University
Presenter: Faten Ben Slimane
Presenter: Iraj Fooladi
Discussant:
Discussant:
Ulf Nielsson, Copenhagen Business School
Aditya Kaul, Univ of Alberta
2011 FMA European Conference Program - 12
Privatization and Fiscal Deficits in European
Emerging Markets
Christina Hunt, Bank of America Merrill Lynch
David A Walker, Georgetown University
Presenter: David A Walker
Discussant:
Iraj Fooladi, Dalhousie University
COFFEE BREAK, 10:00 am - 10:30 am
Foyer, Floor 1 & Foyer, Floor 2
THURSDAY, 10:30 AM - 12:00 NOON
Session 11
Agency and Financial Contracting
Thursday, June 9, 10:30 am - 12:00 noon, Sala Douro Norte (Floor 1)
Chairperson: Bill Francis, Rensselaer Polytechnic Institute
Investor Objective and Financial Contracting:
Do Agency Relations Mediate the Interaction
Evidence from the PIPE Market
Between Firms’ Financial Policies and Business
Christopher W Anderson, Univ of Kansas
Cycles?
Na Dai, University at Albany SUNY
Charles HJ Reuter, ESCP Europe, LSF &
Paris Ouest
Presenter: Christopher W Anderson
Presenter: Charles Reuter
Discussant:
Discussant:
Ma Camino Ramón-Llorens,
Bill Francis, Rensselaer Polytechnic Institute
Universidad Politécnica de Cartagena
Effort, Risk Sharing, and Syndication in Venture
Capital
András Danis, Vienna Grad Sch of Finance
Presenter: Andras Danis
Discussant:
Alexander Guembel, Univ of Toulouse
Session 12
Governance and Corporate Decisions
Thursday, June 9, 10:30 am - 12:00 noon, Sala Douro Sul (Floor 1)
Chairperson: Narayanan Jayaraman, Georgia Tech
Why do Firms Adopting more Antitakeover
Does Director Liability Protection Matter?
Provisions have Lower Valuation?
Iness Aguir, Univ of Texas San Antonio
Te-Feng Chen, National Taiwan University
Natasha Burns, Univ of Texas San Antonio
Huimin Chung, National Chiao Tung University
Sattar A Mansi, Virginia Tech
Ming-Ying Lin, National Chiao Tung University
John K Wald, Univ of Texas San Antonio
Ji-Chai Lin, Louisiana State University
Presenter: Ming-Ying Lin
Presenter: Sattar A Mansi
Discussant:
Discussant:
Narayanan Jayaraman, Georgia Tech
Alexander Molchanov, Massey University
Overconfidence, Corporate Governance, and Global
CEO Turnover
Hyung-Suk Choi, Hongik University
Steven P Ferris, Univ of Missouri
Narayanan Jayaraman, Georgia Tech
Sanjiv Sabherwal, Univ of Texas Arlington
Presenter: Narayanan Jayaraman
Discussant:
Jean-Philippe Weisskopf, Université de Fribourg
Session 13
Mergers
Thursday, June 9, 10:30 am - 12:00 noon, Sala Minho (Floor 1)
Chairperson: Alan Gregory, University of Exteter
How have M&As Changed? Evidence from the Sixth Assessing Market Attractiveness for Mergers and
Merger Wave
Acquisitions: The MARC M&A Maturity Index
George Alexandridis, ICMA Centre,
Maria Carapeto, Cass Business School
Univ of Reading,
Scott Moeller, Cass Business School
Christos F Mavrovitis, ICMA Centre,
Anna Faelten, Cass Business School
Univ of Reading
Alexandra Smolikova, Cass Business School
Nickolaos G Travlos, ALBA Grad Bus School
Presenter: George Alexandridis
Discussant:
Ching-chieh Chang, Univ of Washington
Presenter: Anna Faelten
Discussant:
Alan Gregory, Univ of Exeter
Managerial Discretion and the Value of Cash
Proceeds From Asset Sales
Petya Platikanova, ESADE
Presenter: Petya Platikanova
Discussant:
Martin Bugeja, Univ of Technology Sydney
Session 14
Credit
Thursday, June 9, 10:30 am - 12:00 noon, Sala Lima (Floor 1)
Chairperson: John V Duca, Federal Reserve Bank Dallas
A Short-Term View of Cash Holding, Trade Credit
Shifting Credit Standards and the Boom and Bust in
and Access to Short-Term Bank Finance
US House Prices
Gerhard Kling, Univ of Southampton
John V Duca, Federal Reserve Bank of Dallas
Salima Paul, Univ of West of England Bristol
John Muellbauer, Oxford University
Eleimon Gonis, Univ of West of England Bristol
Anthony Murphy, Fed Res Bank of Dallas
Does Loan Renegotiation Differ by Securitization
Status?
Yan Zhang, US OCC
Presenter: Gerhard Kling
Discussant:
Diana Bonfim, Banco de Portugal & ISEG-UTL
Presenter: Yan Zhang
Discussant:
John V Duca, Fed Res Bank Dallas
Presenter: John V Duca
Discussant:
David A Walker, Georgetown University
2011 FMA European Conference Program - 13
Session 15
Portfolio Decisions and Investor Choices
Thursday, June 9, 10:30 am - 12:00 noon, Sala Cávado (Floor 1)
Chairperson: David Rakowski, SIU Carbondale
Investors’ Distraction and Strategic Re-Pricing
The Wisdom of Crowds: Mutual Fund Investors'
Decisions
Aggregate Asset Allocation Decisions
Marco Navone, Università Bocconi
John Chalmers, Univ of Oregon
Aditya Kaul, Univ of Alberta
Blake Phillips, Univeristy of Waterloo
Presenter: Marco Navone
Presenter: Aditya Kaul
Discussant:
Discussant:
Blake Phillips, Univ of Waterloo
David Rakowski, SIU Carbondale
Session 16
Financial Regulation after the International Financial Crisis: What will really change?
Thursday, June 9, 10:30 am - 12:00 noon, Sala Tâmega (Floor 2)
Why Might Investors Choose Active Management?
F Douglas Foster, Australian National University
Geoffrey J Warren, Australian National University
Presenter: F Douglas Foster
Discussant:
Juan Sotes-Paladino, Univ of Southern California
Special Session Sponsor
PANELISTS
Elisa Ferreira, Member, Economic and Monetary Affairs Committee
European Parliament
Maureen O'Hara, Robert W Purcell Professor of Finance
Cornell University
Carlos Tavares, Vice Chairman, European Securities and Markets Authority (ESMA)
Chair, Portuguese Securities Market Commission (CMVM)
Session 17
Modeling Risk and Performance
Thursday, June 9, 10:30 am - 12:00 noon, Sala Corgo (Floor 2)
Chairperson: Nicos Scordis, St John's University
Key Investment Criteria used by Venture Capitalists The Efficiency of Ratio Models in Performance
For Evaluating Entrepreneurs’ Business Proposals: Measurement - The Case of Private Banking
a Cluster Analysis
Portfolios
Mª Camino Ramón-Llorens, Universidad
Katrin Baedorf, WHU - Otto
Politécnica de Cartagena
Beisheim Sch of Mgmt
Ginés Hernández-Cánovas, Universidad
Politécnica de Cartagena
Presenter: Mª Camino Ramón-Llorens
Presenter: Katrin Baedorf
Discussant:
Discussant:
Andreas Mueller, RWTH Aachen
Nicos Scordis, St John's University
Prudence and the Modeling of Risk
Nicos A Scordis, St John's University
Presenter: Nicos Scordis
Discussant:
Gerhard Winkler, Oesterreichische Nationalbank
Session 18
Options Pricing and Strategies
Thursday, June 9, 10:30 am - 12:00 noon, Sala Tua (Floor 2)
Chairperson: Craig Lewis, Vanderbilt University
An Empirical Model Comparison for Valuing Crack
Options on Troubled Stock
Spread Options
Ana Câmara, Oklahoma State University
Steffen Mahringer, Goldman Sachs
António Câmara, Oklahoma State University
Marcel Prokopczuk, ICMA Centre, Univ of Reading
Ivilina Popova, Texas State University
Betty Simkins, Oklahoma State University
Presenter: Marcel Prokopczuk
Presenter: Betty Simkins
Discussant:
Discussant:
Panos K Pouliasis, Cass Business School
Craig Lewis, Vanderbilt University
Persistence of Derivative Returns through the
Financial Crisis: Directional Bets and Market Neutral
Strategies
Loke Seng Onn, Monash University
Jothee Sinnakkannu, Monash University
Presenter: Loke Seng Onn
Discussant:
Guido Baltussen, Erasmus University Rotterdam
Session 19
Contagion and Systemic Risk
Thursday, June 9, 10:30 am - 12:00 noon, Sala Sousa (Floor 2)
Chairperson: Raquel Gaspar, ISEG, Technical University of Lisbon
Liquidity, Contagion and Financial Crisis
Measuring International Systemic Risk: An
Alexander Guembel, Univ of Toulouse
Application of CoVaR To the Global Banking
Oren Sussman, Univ of Oxford
Industry
Germán López-Espinosa, Univ of Navarra
Antonio Moreno, Univ of Navarra
Antonio Rubia, Univ of Alicante
Laura Valderrama, IMF
The Real Effects of Banking Crises: Finance or Asset
Allocation Effects? Some International Evidence
Ana I Fernández, Univ of Oviedo
Francisco González, Univ of Oviedo
Nuria Suárez, Univ of Oviedo
Presenter: Alexander Guembel
Discussant:
Raquel Gaspar, ISEG, Technical Univ of Lisbon
Presenter: Nuria Suárez
Discussant:
Antonio Rubia, Univ of Alicante
Presenter: Antonio Rubia, Univ of Alicante
Discussant:
Francesco Vallascas, Univ of Leeds & Univ of Cagliari
2011 FMA European Conference Program - 14
Session 20
International Finance 2
Thursday, June 9, 10:30 am - 12:00 noon, Sala Sabor (Floor 2)
Chairperson: Delroy Hunter, Univ of South Florida
Taylor Rules and Exchange Rate Predictability in
Empirical Investigation of Covered Interest Rate
Emerging Economies
Parity in Developed and Emerging Markets
Jaqueson K Galimberti,
Emrah Sener, Ozyegin University
Universidade Federal de Santa Catarina
Sait Satiroglu, Ozyegin University
Marcelo L Moura, Insper –
Yildiray Yildirim, Syracuse University
Institute of Education and Research
Do Implicit Barriers Matter for Globalization?
Ines Chaieb, Univ of Geneva
Francesca Carrieri, McGill University
Vihang Errunza, McGill University
Presenter: Jaqueson Galimberti
Discussant:
Abu Jalal, Suffolk University
Presenter: Ines Chaieb
Discussant:
Delroy Hunter, Univ of South Florida
Presenter: Emrah Sener
Discussant:
Voker Vonhoff, Universität Mannheim
LUNCHEON, 12:00 noon - 13:30 (1:30) pm
Madruga Restaurant (Floor -1)
THURSDAY, 13:30 (1:30) PM - 15:00 (3:00) PM
Session 21
Financing
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Douro Norte (Floor 1)
Chairperson: Nizar Atrissi, Université Saint-Joseph
Product Market Concentration, Financing
Optimal Leverage, its Benefits, and the Business
Constraints, and Firms’ Business Cycle Sensitivity
Cycle
Peter Pontuch, Université Paris Dauphine
Dieter Hess, Univ of Cologne
Philipp Immenkötter, Univ of Cologne
Presenter: Peter Pontuch
Discussant:
Murillo Campello,
Univ of Illinois Urbana-Champaign & NBER
Presenter: Philipp Immenkötter
Discussant:
Gerhard Kling, Univ of Southhampton
Capital Structure and the Redeployability of Tangible
Assets
Murillo Campello, Univ of Illinois
Urbana -Champaign & NBER
Erasmo Giambona, Univ of Amsterdam
Presenter: Murillo Campello
Discussant:
Petya Platikanova, ESADE
Session 22
International Corporate Governance
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Douro Sul (Floor 1)
Chairperson: Lawrence Kryzanowski, Concordia University
Canadian Financial Restatements and Corporate
Foreign Institutional Investment: Is Governance
Governance
Quality at Home Important?
Lawrence Kryzanowski, Concordia University
Nida Abdioglu, Manchester Business School
Ying Zhang, Concordia University
Arif Khurshed, Manchester Business School
Konstantinos Stathopoulos,
Manchester Business School
Presenter: Lawrence Kryzanowski
Presenter: Nida Abdioglu
Discussant:
Discussant:
Brandon Chen, Univ of New South Wales
Ines Chaieb, Univ of Geneva
The Impact of Foreign Government Investments on
Corporate Performance: Evidence From the US
Elvira Sojli, Erasmus University
Wing Wah Tham, Erasmus University
Presenter: Elvira Sojli
Discussant:
Lawrence Kryzanowski, Concordia University
Session 23
Buyouts and Acquisitions
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Minho (Floor 1)
Chairperson: Sung Bae, Bowling Green State University
Incidence and Structure of Buyout Syndicates: The
An Investment-Based Explanation for the PostEffects of Target and Lead-Investor Characteristics
Merger Underperformance Puzzle
Nancy Huyghebaert, KU Leuven
Ching-chieh Chang, Univ of Washington
Randy Priem, KU Leuven
Linda Van de Gucht, KU Leuven
Presenter: Randy Priem
Discussant:
Ruediger Stucke, Univ of Oxford
Presenter: Ching-chieh Chang
Discussant:
Sung Bae, Bowling Green State University
2011 FMA European Conference Program - 15
Determinants of Target Selection and Acquirer
Returns: Evidence from Cross-Border Acquisitions
Sung C Bae, Bowling Green State University
Kiyoung Chang, Univ of South Florida-SarasotaManatee
Doseong Kim, Sogang University
Presenter: Sung C Bae
Discussant:
François Belot, University Paris Dauphine
Session 24
Borrowing Costs and Risk
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Lima (Floor 1)
Chairperson: John Finnerty, Fordham University
Convertibles and Hedge Funds as Distributors of
How Does Sovereign Debt Affect Corporate
Equity Exposure
Borrowing Costs in Emerging Markets?
Stephen J Brown, New York University
Şenay Ağca, George Washington University
Bruce D Grundy, Univ of Melbourne
Oya Celasun, International Monetary Fund
Craig M Lewis, Vanderbilt University & US SEC
Patrick Verwijmeren, VU University Amsterdam
Presenter: Craig Lewis
Discussant:
John Finnerty, Fordham University
Presenter: Şenay Ağca
Discussant:
Zuzana Fungáčová, Bank of Finland
Performance Pricing Covenants and Corporate Loan
Spreads
Kamphol Panyagometh, NIDA Business School
Gordon S Roberts, York University
Aron A Gottesman, Pace University
Presenter: Gordon Roberts
Discussant:
Andy Naranjo, Univ of Florida
Session 25
Fund Management
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Cávado (Floor 1)
Chairperson: Thorsten Lehnert, University of Luxembourg
Do Regulated Mutual Fund Fees Affect
Know When To Hold ‘Em, and Know When To Fold
Competition, Fund Flows and Performance?
‘Em: The Success of Frequent Hedge Fund
Evidence from US Equity Funds
Activists
Natalie Y Oh, Univ of New South Wales
Nicole M Boyson, Northeastern University
Jerry T Parwada, Univ of New South Wales
Robert Mooradian, Northeastern University
Kian Ming (Eric) Tan, Univ of New South Wales
Presenter: Eric Tan
Discussant:
Thorsten Lehnert, Univ of Luxembourg
Presenter: Robert Mooradian
Discussant:
Ettore Croci,
Università degli Studi di Milano - Bicocca
Session 26
Financial Markets and Public Finance in Portugal
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Tâmega (Floor 2)
Why Closed-End Funds Make Open Market
Repurchases?
Susanne Espenlaub, Manchester Bus School
Arif Khurshed, Manchester Business School
Tianna Yang, Manchester Business School
Presenter: Susanne Espenlaub
Discussant:
Eric Tan, Univ of New South Wales
Special Session Sponsor
PANELISTS
Raul Marques, Chairman, APAF (Portuguese Association of Financial Analysts) and, Executive Vice-President of the
Board of Directors and Executive Committee at Banif Gestão de Activos and Banif Açor Pensões
Manuel Puerta da Costa, Member of the Board , BPI Gestão de Activos and APAF
João Cantiga Esteves, XXX
Session 27
Forecasting and Market Efficiency
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Corgo (Floor 2)
Chairperson: Christian Dick, ZEW Mannheim
How Serious is the Anchoring Bias in US
Are Analysts Misleading Investors? The Case of
Macroeconomic Consensus Forecasts?
Going-Concern Opinions
Dieter Hess, Univ of Cologne
Rúben M T Peixinho, Univ of Algarve & CEFAGESebastian Orbe, Univ of Cologne
UE
Richard J Taffler, Manchester Business School
Presenter: Sebastian Orbe
Presenter: Rúben Peixinho
Discussant:
Discussant:
Christian Dick,
Danielle Lyssimachou, Manchester Bus School
Centre for European Economic Research (ZEW) Mannheim
Crash Worries and Stock Returns
Guido Baltussen, Erasmus University Rotterdam
Presenter: Guido Baltussen
Discussant:
Loke Seng Onn, Monash University
Session 28
Measuring and Managing Risk
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Tua (Floor 2)
Chairperson: Radu Tunaru, University of Kent at Canterbury
Pitfalls and Remedies in Testing the Calibration
The Information Content of the S&P 500 Index and
Quality of Rating Systems
VIX Options on the Dynamics of the S&P 500 Index
Wolfgang Aussenegg, Vienna Univ of Tech
San-Lin Chung, National Taiwan University
Florian Resch, Oesterreichische Nationalbank
Wei-Che Tsai, National Taiwan University
Gerhard Winkler, Oesterreichische Nationalbank &
Yaw-Huei Wang, National Taiwan University
WU Wien
Pei-Shih Weng, National Central University
Presenter: Gerhard Winkler
Discussant:
Yaw-Huei Wang, National Taiwan University
Presenter: Yaw-Huei Wang
Discussant:
Andreas Kaeck, ICMA Centre, Univ of Reading
2011 FMA European Conference Program - 16
VIX Dynamics With Stochastic Volatility of Volatility
Andreas Kaeck, ICMA Centre, Univ of Reading
Carol Alexander, ICMA Centre, Univ of Reading
Presenter: Andreas Kaeck
Discussant:
Radu Tunaru, Univ of Kent at Canterbury
Session 29
Default, Securitization, and Banking
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Sousa (Floor 2)
Chairperson: Duane Stock, University of Oklahoma
Consumer Strategic Default Bahavior: The Case of
Share Price Response to Credit Risk Securitization
Mortgage and Home Equity Loan Defaults
in European Banking
Julapa Jagtiani, Fed Res Bank of Philadelphia
Christian Farruggio, Univ of Bochum
William W Lang, Fed Res Bank of Philadelphia
Tobias C Michalak, Univ of Bochum
André Uhde, Univ of Bochum
Presenter: Julapa Jagtiani
Presenter: Tobias Michalak
Discussant:
Discussant:
Yan (Jenny) Zhang, US OCC
Jens Hagendorff, Univ of Edinburgh
CEO Remuneration and Bank Default Risk: Evidence
from the US and Europe
Francesco Vallascas, Univ of Leeds &
Univ of Cagliari
Jens Hagendorff, Univ of Edinburgh
Presenter: Jens Hagendorff
Discussant:
Duane Stock, Univ of Oklahoma
Session 30
International Cross Listings
Thursday, June 9, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Sabor (Floor 2)
Chairperson: Qian Sun, Fudan University
Development of Emerging Stock Markets and the
One Security, Four Markets: Canada-US CrossDemand for Cross-Listing
Listed Options and Underlying Equities
Adriana Korczak, Univ of Bristol
Michal Czerwonko, McGill University
Piotr Korczak, Univ of Bristol
Nabil Khoury, Univ of Quebec in Montreal
Stylianos Perrakis, Concordia University
Marko Savor, Univ of Quebec in Montreal
Presenter: Adriana Korczak
Presenter: Marko Savor
Discussant:
Discussant:
Qian Sun, Fudan University
Yiğit Atilgan, Sabanci University
How Cross-Listings from an Emerging Economy
Affect the Host Market
Qian Sun, Fudan University
Wilson HS Tong, Hong Kong Poly University
Xin Zhang, Queen's University
Presenter: Qian Sun
Discussant:
Marko Savor, Univ of Quebec in
Montreal
COFFEE BREAK, 15:00 (3:00) PM - 15:30 (3:30) PM
Foyer, Floor 1 & Foyer, Floor 2
THURSDAY, 15:30 (3:30) PM - 17:00 (5:00) PM
Session 31
Debt
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Douro Norte (Floor 1)
Chairperson: Thomas O'Brien, University of Connecticut
Analysis of Debt Capacity as a Tax Incentive to
Collateral and its Determinants: Evidence from
Currency Hedging
Vietnam
Luis Otero Gonzalez, Univ of
Thanh Dinh, Maastricht University
Santiago de Compostela
Christa Hainz, ifo Inst for Economic Research
Milagros Vivel, Univ of Santiago
Stefanie Kleimeier, Maastricht University
de Compostela
Sara Fernandez Lopez, Univ of
Santiago de Compostela
Pablo Durán, Univ of Santiago de
Compostela
Presenter: Luis Otero
Presenter: Stefanie Kleimeier
Discussant:
Discussant:
Thomas O'Brien, Univ of Connecticut
Günseli Tümer-Alkan, VU University Amsterdam
Borrowing Beyond Borders: The Geography and
Pricing of Syndicated Bank Loans
Joel Houston, Univ of Florida
Jennifer Itzkowitz, Seton Hall University
Andy Naranjo, Univ of Florida
Presenter: Andy Naranjo
Discussant:
Randy Priem, KU Leuven
Session 32 Thursday, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Douro Sul, Floor 1,
No Session
Session 33
Corporate Acquisitions
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Minho (Floor 1)
Chairperson: Fernando Anjos, University of Texas
Excess Control Rights and Corporate Acquisitions
Client Performance, Choice of Investment Bank
François Belot, Université Paris-Dauphine
Advisors in Corporate Takeovers, and Investment
Bank Market Share
Valeriy Sibilkov, Univ of Wisconsin - Milwaukee
Presenter: François Belot
Presenter: Valeriy Sibilkov
Discussant:
Discussant:
Fernando Anjos, Univ of Texas
Alexei Ovtchinnikov, Vanderbilt University
2011 FMA European Conference Program - 17
Takeovers and Target Firm Financial Distress
Martin Bugeja, Univ of Technology, Sydney
Presenter: Martin Bugeja
Discussant:
Mariela Borell,
Centre for European Economic Research (ZEW)
Session 34
CDS
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Lima (Floor 1)
Chairperson: João Pedro Pereira, ISCTE-IUL Business School Lisbon
The Impact of Credit Rating Announcements on
The Complete Picture of Credit Default Swap
Credit Default Swap Spreads
Spreads - A Quantile Regression Approach
John D Finnerty, Fordham University
Pedro Pires, ISCTE-IUL Business School Lisbon
Cameron Miller, Standard & Poor's
João Pedro Pereira, ISCTE-IUL Business
Ren-Raw Chen, Fordham University
School Lisbon
Luís Filipe Martins, ISCTE-IUL Business
School Lisbon
Presenter: John D Finnerty
Presenter: João Pedro Pereira
Discussant:
Discussant:
Kam Fong Chan, Univ of Queensland
Lidija Lovreta, CUNEF
Structural Imbalances in the Credit Default Swap
Market: Empirical Evidence
Lidija Lovreta, CUNEF
Presenter: Lidija Lovreta
Discussant:
João Pedro Pereira, ISCTE-IUL Business School Lisbon
Session 35
Fund Performance and Management
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Cávado (Floor 1)
Chairperson to be announced
What Explains Mutual Fund Performance
Geography and Local (Dis)Advantage: Evidence
Persistence? International Evidence
from Muni Bond Funds
Miguel A Ferreira, Universidade Nova de Lisboa
David Rakowski, SIU Carbondale
Aneel Keswani, Cass Business School
Saiying Deng, SIU Carbondale
Antonio F Miguel, ISCTE- Lisbon University
Institute
Sofia B Ramos, ISCTE- Lisbon University Institute
Presenter: Antonio F Miguel
Discussant:
Benilde Oliveira, Univ of Minho
Presenter: David Rakowski
Discussant:
Antonio Miguel, ISCTE- Lisbon University Institute
Factor Decomposition and Diversification in
European Corporate Bond Markets
Mary Pieterse-Bloem, Tilburg University
Ronald J Mahieu, Tilburg University
Presenter: Mary Pieterse-Bloem
Discussant:
Alfonso Del Giudice, Universita Cattolica - Milano
Session 36
Financial Modeling
Thursday, June 9, 15:30 (3:30) pm – 17:00 (5:00) pm, Sala Tâmega (Floor 2)
Chairperson: Matti Suominen, Aalto University
Ambiguity Aversion, Strategic Trading and Funding A Stuctural Model of Short-term Reversals
Liquidity
Matti Suominen, Aalto University
Ji Yeol Jimmy Oh, Univ of Cambridge
Kalle Rinne, Aalto University
Presenter: Ji Yeol Jimmy Oh
Discussant:
Matti Suominen, Aalto University
Presenter: Matti Suominen
Discussant:
Alexei Orlov, Radford University
The Price of Macroeconomic Announcement News
Peter C de Goeij, Tilburg University
Jiehui Hu, Tilburg University
Bas J M Werker, Tilburg University
Presenter: Jiehui Hu
Discussant:
Sebastian Orbe, Univ of Cologne
Session 37
Events and Market Efficiency
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Corgo (Floor 2)
Chairperson: Marc Umber, Frankfurt School of Finance & Management
Deal Spreads in European Cross-Border M&A: Do
The Price of Growth: Evidence of the Pedestrian
Deal Spreads Adequately Reflect the Risk in Merger Nature of Post-Merger Returns
Arbitrage?
Sandra Mortal, Univ of Memphis
Marc P Umber, Frankfurt School of Finance &
Michael J Schill, Univ of Virginia
Management
Differential Interpretation of Information and the PostAnnouncement Drift: A Story of Consensus Learning
António Barbosa, ISCTE Business SchoolLisbon
Presenter: Marc Umber
Discussant:
Anna Faelten, Cass Business School
Presenter: António Barbosa
Discussant:
Steffen Hitzemann, Karlsruhe Institute of Technology
Presenter: Sandra Mortal
Discussant:
Marc Umber, Frankfurt School of Finance & Mgmt
Session 38
Capital Structure
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Tua (Floor 2)
Chairperson: Philipp Immenkötter, Univ of Cologne
Why are US Firms Using More Short-Term Debt?
Claudia Custódio, Arizona State University
Miguel Ferreira, Universidade Nova de Lisboa
Luis Laureano, ISCTE-IUL
Presenter: Miguel Ferreira
Discussant:
Gary W Emery, Univ of Oklahoma
Testing Dynamic Tradeoff Theory: Profitability and Leverage
András Danis, Vienna Grad Sch of Finance
Daniel Rettl, Vienna Grad Sch of Finance
Presenter: András Danis
Discussant:
Philipp Immenkötter, Univ of Cologne
2011 FMA European Conference Program - 18
Session 39
Bank Governance
Thursday, June 9, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Sousa (Floor 2)
Chairperson: Amama Shaukat, Univ of Exeter
Which Cross-Border Mergers and Acquisitions
Risky Lending: Does Bank Corporate Governance
Create Value to Listed Acquirer's Bank? The Role
Matter?
of Differences in Regulatory Arbitrage, Governance
Olubunmi Faleye, Northeastern University
and Institution between Acquirers and Targets
Karthik Krishnan, Northeastern University
Sheng-Hung Chen, Nanhua University
Mei-Hsin Hsiao, Nanhua University
Did Bank Executive Compensation Structure Lead to
Excessive Risk Taking and the Current Financial
Crisis?
Lin Guo, Suffolk University
Abu Jalal, Suffolk University
Shahriar Khaksari, Suffolk University
Presenter: Sheng-Hung Chen
Discussant:
Amama Shaukat, Univ of Exeter
Presenter: Abu Jalal
Discussant:
Şenay Ağca, George Washington University
Presenter: Olubunmi Faleye
Discussant:
Sheng-Hung Chen, Nanhua University
Session 40 - Sala Sabor (Floor 2), 15:30 (3:30) pm - 17:00 (5:00 pm)
No session scheduled
KEYNOTE ADDRESS
SPONSORED BY
René M. Stulz, Everett D. Reese Chair of Banking and Monetary Economics
Director of the Dice Center for Research in Financial Economics
The Ohio State University
Thursday, June 9, 17:15 (5:15) pm - Sala Porto (Floor 1)
René M. Stulz is the Everett D. Reese Chair of Banking and Monetary Economics and the Director of the Dice Center for
Research in Financial Economics at the Ohio State University. He has also taught at the Massachusetts Institute of
Technology, the University of Chicago, and the University of Rochester. He received his Ph.D. from the Massachusetts
Institute of Technology. He was awarded a Marvin Bower Fellowship from the Harvard Business School, a Doctorat Honoris
Causa from the University of Neuchâtel, and the 1999 Eastern Finance Association Distinguished Scholar Award.
In 2004, the magazine Treasury and Risk Management named him one of the 100 most influential people in finance. He is a
past president of the American Finance Association and of the Western Finance Association, and a fellow of the American
Finance Association, of the Financial Management Association, and of the European Corporate Governance Institute.
OPENING RECEPTION
Círculo Universitário do Porto (walking directions available at the Conference Registration Desk)
18:30 (6:30) pm
SPONSORED BY
Advance reservations required
FRIDAY, 8:30 AM - 10:00 AM
Session 41 - Sala Douro Norte (Floor 1), 8:30 am - 10:00 am
No session scheduled
Session 42
Financial Strength and Distress
Friday, June 10, 8:30 am - 10:00 am, Sala Douro Sul (Floor 1)
Chairperson: Bo Zhao, George Washington University
Cash Holdings within Subsidiaries: The Impact of
Financial Distress, Corporate Investment and the
Group Health
Chill Effect
Nico Dewaelheyns, KU Leuven
Lan Xu, Washington University in St Louis
Rosy Locorotondo, KU Leuven
Cynthia Van Hulle, KU Leuven
Ultimate Controllers, Ownership and the Probability
of Insolvency in Financially Distressed Firms
Jannine Poletti-Hughes, Univ of Liverpool
Presenter: Rosy Locorotondo
Discussant:
Pedro J Garcia-Teruel, University of Murcia
Presenter: Jannine Poletti-Hughes
Discussant:
Rosy Locorotondo, KU Leuven
Presenter: Lan Xu
Discussant:
Bo Zhao, George Washington University
Session 43
LBOs and Delistings
Friday, June 10, 8:30 am -10:00 am, Sala Minho (Floor 1)
Chairperson: Sandra Mortal, University of Memphis
The Delisting Decision: The Case of Buyout Offers
Delistings, Controlling Shareholders, and Firm
with Squeeze-Out (BOSO)
Performance in Europe
Isabelle Martinez, Univ of Toulouse
Ettore Croci, Università degli Studi
Stéphanie Serve, Univ of Cergy Pontoise
di Milano - Bicocca
Alfonso Del Giudice, Universita Cattolica - Milan
Presenters: Stéphanie Serve & Isabelle Martinez
Presenter: Alfonso Del Giudice
Discussant:
Discussant:
Marco Bigelli, Univ of Bologna
Melissa Toffanin, Concordia University
2011 FMA European Conference Program - 19
Who Benefits from the Leverage in LBOs?
Rüdiger Stucke, Oxford University
Tim Jenkinson, Oxford University & CEPR
Presenter: Rüdiger Stucke
Discussant:
Sandra Mortal, University of Memphis
Session 44 - Sala Lima (Floor 1), 8:30 am - 10:00 am
No session scheduled
Session 45
Institutional Investors and Return Predictability
Friday, June 10, 8:30 am - 10:00 am, Sala Cávado (Floor 1)
Chairperson: Laurent Barras, McGill University
Hedge Fund Predictability Under the Magnifying
Predicting Defined Benefit Pension Returns: The
Glass: The Economic Value of Forecasting
Impact of SFAS 132 Required Disclosure of Asset
Individual Fund Returns
Allocation Information
Doron Avramov, Hebrew Univ of Jerusalem
Joanne Doyle, James Madison University
Laurent Barras, McGill University
Kenneth Eades, Univ of Virginia
Robert Kosowski, Imperial College Bus School
Brooks Marshall, James Madison University
Does Institutional Ownership Matter for International
Stock Return Comovement?
José Afonso Faias, Univ Católica Portuguesa
Miguel A Ferreira, Univ Nova de Lisboa
Pedro Santa-Clara, Univ Nova de Lisboa
Pedro Matos, Univ of Southern California
Presenter: Laurent Barras
Discussant:
José Afonso Faias, Universidade Catolica Portuguesa
Presenter: José Afonso Faias
Discussant:
Erkin Diyarbakirlioglu, Sorbonne Business School
Presenter: Kenneth Eades
Discussant:
Laurent Barras, McGill University
Session 46 - Sala Tâmega (Floor 2), 8:30 am - 10:00 am
No session scheduled
Session 47
Analysts, Accuracy, and Announcements
Friday, June 10, 8:30 am - 10:00 am, Sala Corgo (Floor 2)
Chairperson: Adriana Korczak, University of Bristol
The Determinants of Target Price Accuracy: The
Projected Earnings Accuracy and the Profitability
International Evidence
of Stock Recommendations
Pawel Bilinski, Manchester Business School
Dieter Hess, Univ of Cologne
Danielle Lyssimachou, Manchester Bus School
Daniel Kreutzmann, Univ of Cologne
Oliver Pucker, Univ of Cologne
Presenter: Danielle Lyssimachou
Discussant:
Michael Liebmann, University of Freiburg
Presenter: Oliver Pucker
Discussant:
Adriana Korczak, Univ of Bristol
Effects Behind Words: Quantifying Qualitative
Information in Corporate Announcements
Michael Liebmann, Univ of Freiburg
Michael Hagenau, Univ of Freiburg
Matthias Häussler, WHU - Otto Beisheim
School of Management
Dirk Neumann, Univ of Freiburg
Presenter: Michael Liebmann
Discussant:
António Barbosa, ISCTE Bus School - Lisbon
Session 48
Issues in Risk Management
Friday, June 10, 8:30 am - 10:00 am, Sala Tua (Floor 2)
Chairperson: Ricardo Correia, Universidad Carlos III de Madrid
Dealing with Recession: A Real Option Approach
Patent Now or Later? Corporate Financing
Into Project Evaluation of SMEs
Decisions, Agency Costs and Social Benefits
Farrah Merlinda Muharam,
Ricardo Correia, Universidad Carlos III de Madrid
Universidad Autonoma de Barcelona
Sydney Howell, Manchester Bus School
Maria-Antonia Tarrazon,
Peter Duck, Manchester Bus School
Universidad Autonoma de Barcelona
Presenter: Farrah Merlinda Muharam
Discussant:
Ricardo Correia,
Universidad Carlos III de Madrid
Presenter: Ricardo Correia
Discussant:
Farrah Merlinda Muharam,
Universidad Autonoma de Barcelona
Macro Expectations, Aggregate Uncertainty, and
Expected Term Premia
Christian D Dick, Centre for European Economic
Research (ZEW) Mannheim
Maik Schmeling, Universität of Hannover
Andreas Schrimpf, Aarhus University & CREATES
Presenter: Christian D Dick
Discussant:
Jiehui Hu, Tilburg University
Session 49
Cost of Bank Financing
Friday, June 10, 8:30 am - 10:00 am, Sala Sousa (Floor 2)
Chairperson: Tobias Michalak, University of Bochum
International Return and Volatility Spillovers among Banks and Insurers: A
VAR-BEKK Approach
Elyas Elyasiani, Temple University
Elena Kalotychou, Cass Business School
Sotiris K Staikouras, Cass Business School
Presenter: Sotiris Staikouras
Discussant:
Ken-ichi Tatsumi, Gakushuin University
Impact of the TARP Financing Choice on Existing Preferred Stock
Dong H Kim, Univ of Oklahoma
Duane Stock, Univ of Oklahoma
Presenter: Duane Stock
Discussant:
Tobias Michalak, University of Bochum
Session 50
Trading and Behavioral Finance
Friday, June 10, 8:30 am - 10:00 am, Sabor (Floor 2)
Chairperson: Grant McQueen, Brigham Young University
Positive Mood, Risk Attitudes, and Investment
Does Systematic Trading Behaviour in Different
Decisions: Field Evidence from Comedy Movie
Investor Categories Impact upon Future Stock
Attendance in the US
Returns? A Study of Investors in the Finnish Market
Gabriele M Lepori, Copenhagen Bus School
Henry Leung, Univ of Sydney
Annica Rose, Univ of Sydney
Joakim Westerholm, Univ of Sydney
Presenter: Gabriele Lepori
Presenter: Annica Rose
Discussant:
Discussant:
Laurent Vilanova, Univ of Lyon - Coactis
Grant McQueen, Brigham Young University
2011 FMA European Conference Program - 20
Advertising, Visibility, and Stock Turnover
Grant McQueen, Brigham Young University
Keith Vorkink, Brigham Young University
Eric DeRosia, Brigham Young University
Glenn L Christensen, Brigham Young University
Presenter: Grant McQueen
Discussant:
Annica Rose, Univ of Sydney
COFFEE BREAK, 10:00 am - 10:30 am
Foyer, Floor 1 & Foyer, Floor 2
FRIDAY, 10:30 AM - 12:00 NOON
Session 51
Borrowing
Friday, June 10, 10:30 am - 12:00 noon, Sala Douro Norte (Floor 1)
Chairperson: Kenneth Eades, University of Virginia
What Happens after Default? Stylized Facts on
Conditional Conservatism, Agency Costs, and the
Access to Credit
Contractual Features of Debt
Diana Bonfim, Banco de Portugal & ISEG-UTL
Hye Seung (Grace) Lee, Lehigh University
Daniel A Dias, Univ of Illinois Urbana-Champaign &
CEMAPRE
Christine Richmond, IMF
Presenter: Diana Bonfim
Discussant:
Peter Pontuch, Université Paris Dauphine
Presenter: Hye Seung Lee
Discussant:
Jiri Novak, Charles University
Bond Covenants, Bankruptcy Risk, and Issuance
Costs
Sattar A Mansi, Virginia Tech
Yaxuan Qi, Concordia University
John K Wald, Univ of Texas San Antonio
Presenter: Yaxuan Qi
Discussant:
Kenneth Eades, Univ of Virginia
Session 52
Boards
Friday, June 10, 10:30 am - 12:00 noon, Sala Douro Sul (Floor 1)
Chairperson: Dusan Isakov, University of Fribourg
Are all Non-Independent Non-Executives
Board Monitoring and the Wall Street Rule
Undesirable? Directors’ Independence and Firm
Brandon Chen, Univ of New South Wales
Value in UK
Amama Shaukat, Univ of Exeter
Paper Tiger? An Empirical Analysis of Majority Voting
Jay Cai, Drexel University
Jacqueline Garner, Drexel University
Ralph Walkling, Drexel University
Presenter: Amama Shaukat
Discussant:
Nida Abdioglu, Manchester Business School
Presenter: Ralph Walkling
Discussant:
Jannine Poletti-Hughes, Univ of Liverpool
Presenter: Brandon Chen
Discussant:
Ralph Walkling, Drexel University
Session 53
Financial Policies and Value
Friday, June 10, 10:30 am - 12:00 noon, Sala Minho (Floor 1)
Chairperson: Valeriy Sibilkov, University of Wisconsin Milwaukee
The Relative Importance of Financial and NonShopping for Information? Diversification and the
Financial Analysis in Project Evaluation - Evidence
Network of Industries
From Portuguese Firms
Fernando Anjos, Univ of Texas Austin
Nuno Moutinho, Polytechnic Inst of Braganca
Cesare Fracassi, Univ of Texas Austin
MDS Lopes, Univ of Porto
Presenter: Nuno Moutinho
Discussant:
Rúben Peixinho, Univ of Algarve & CEFAGE-UE
Presenter: Fernando Anjos
Discussant:
Valeriy Sibilkov, Univ of Wisconsin Milwaukee
Trade Credit Policy and Firm Value
Cristina Martínez-Sola, Univ of Jaén
Pedro J García-Teruel, Univ of Murcia
Pedro Martinez-Solano, Univ of Murcia
Presenter: Cristina Martínez-Sola
Discussant:
Andrea Signori, Univ of Bergamo
Session 54
Regulation and Markets
Friday, June 10, 10:30 am - 12:00 noon, Sala Lima (Floor 1)
Chairperson: Elvira Sojili, Erasmus University
Differential Access to Price Information in Financial Short Selling: The Impact of SEC Rule 201 of 2010
Markets
Chinmay Jain, Univ of Memphis
David Easley, Cornell University
Pankaj K Jain, Univ of Memphis
Maureen O'Hara, Cornell University
Thomas H McInish, Univ of Memphis
Liyan Yang, Univ of Toronto
Do Less Regulated Markets Attract Lower Quality
Firms? Evidence from the London AIM Market
Ulf Nielsson, Copenhagen Business School
Presenter: Maureen O'Hara
Discussant:
Ji Yeol Jimmy Oh, Univ of Cambridge
Presenter: Ulf Nielsson
Discussant:
Faten Ben Slimane, Groupe ESC Troyes
Presenter: Thomas H McInish
Discussant:
Elvira Sojli, Erasmus University
2011 FMA European Conference Program - 21
Session 55
Portfolio Choice
Friday, June 10, 10:30 am - 12:00 noon, Sala Cávado (Floor 1)
Chairperson: Vijay Yadav, INSEAD
The Value of Cross-Trading to Mutual Fund
Portfolio Selection with Spectral Risk Measures Families in Illiquid Markets: A Portfolio Choice
A Really Good Choice?
Approach
Mario Brandtner, Friedrich Schiller Univ of Jena
Luis Goncalves-Pinto, Univ of Southern California
Juan Sotes-Paladino, Univ of Southern California
The Determinants of International Equity Holdings:
Information versus Culture
Erkin Diyarbakirlioglu, Sorbonne Business School
Presenter: Juan Sotes-Paladino
Discussant:
Marco Navone, Universitá Bocconi
Presenter: Erkin Diyarbakirlioglu
Discussant:
Vijay Yadav, INSEAD
Presenter: Mario Brandtner
Discussant to be announced
Session 56
The Shadow Financial Regulatory Committee: Dissecting the Financial Crisis
and Financial Reform
Friday, June 10, 10:30 am - 12:00 noon, Sala Tâmega (Floor 1)
The Shadow Financial Regulatory Committee works to identify and analyze developing trends and ongoing events that promise to affect the efficiency and safe operation of
sectors of the financial services industry; explore the spectrum of short- and long-term implications of emerging problems and policy changes; help develop private, regulatory
and legislative responses to such problems that promote efficiency and safety and further the public interest; and to assess and respond to proposed and actual public policy
initiatives with respect to the impact on the public interest.
Moderator
George Kaufman, John F Smith, Jr Professor of Finance and Economics
Loyola University Chicago
Panelists
Franklin Edwards, Arthur F Burns Chair of Free and Competitive Enterprise
Columbia University
Richard Herring, Jacob Safra Professor of International Banking, Professor of Finance, and Co-Director, Wharton Financial Institutions Center
University of Pennsylvania
Kenneth Scott, Ralph M Parsons Professor of Law and Business, Emeritus
Stanford University
Session 57
Risk and Return 1
Friday, June 10, 10:30 am - 12:00 noon, Sala Corgo (Floor 2)
Chairperson: Javier Estrada, IESE Business School
Black Swans, Beta, Risk, and Return
Local Sports Sentiment and the Returns and
Javier Estrada, IESE Business School
Trading Behavior of Locally Headquartered Stocks:
María Vargas, Univ of Zaragoza
A Firm-Level Analysis
Shao-Chi Chang, National Cheng Kung Univ
Sheng-Syan Chen, National Taiwan University
Robin K Chou, Chengchi University
Yueh-Hsiang Lin, National Taipei College of Bus
Presenter: Javier Estrada
Presenter: Yueh-Hsiang Lin
Discussant:
Discussant:
Yueh-hsiang Lin, National Taipei University
Gabriele Lepori, Copenhagen Business School
The Impact of Stock Market Volatility Expectations
on Investor Behavior: Evidence from Aggregate
Mutual Fund Flows
Louis Ederington, Univ of Oklahoma
Evgenia (Janya) Golubeva, Univ of Oklahoma
Presenter: Louis Ederington
Discussant:
Javier Estrada, IESE Business School
Session 58
Risk
Friday, June 10, 10:30 am - 12:00 noon, Sala Tua (Floor 2)
Chairperson: Betty Simkins, Oklahoma State University
The Value Effects of Foreign Currency and Interest
Exposure, Hedging, and Value: New Evidence From
Rate Derivatives Use: Evidence From Italy, Spain
the US Airline Industry
and Portugal
Stephen David Treanor, Cal State Chico
Florbela Galvão da Cunha, ISCTE Bus School
Daniel A Rogers, Portland State University
José Dias Curto, ISCTE Business School
David A Carter, Oklahoma State University
Amrit Judge, Middlesex University
Betty J Simkins, Oklahoma State University
Presenter: Florbela Galvão da Cunha
Presenter: Betty Simkins
Discussant:
Discussant:
Betty Simkins,
Marcel Prokopczuk,
Oklahoma State University
ICMA Centre, Univ of Reading
Session 59 - Sala Sousa, Floor 2, 10:30 am - 12:00 noon
No session scheduled
2011 FMA European Conference Program - 22
Nonlinear Foreign Exchange Exposure: Evidence
from Brazilian Companies
José Luiz Rossi, Insper Inst of Educ & Research
Presenter: José Luiz Rossi
Discussant:
Delroy Hunter, Univ of South Florida
Session 60
Money and Capital Flows
Friday, June 10, 10:30 am - 12:00 noon, Sala Sabor (Floor 2)
Chairperson: Stefanie Kleimeier, Maastricht University
Payment Systems in the Accession Countries
Common Information Asymmetry Factors in
Francisco José Callado Muñoz, Universitat de
Syndicated Loan Structures: Evidence From
Girona
Syndications and Privately Placed Deals
Jana Hromcová , Universitat Autonoma de
Claudia Champagne, Université de Sherbrooke
Barcelona
Frank Coggins, Université de Sherbrooke
Natalia Utrero González, Universitat de Girona
Presenter: Francisco José Callado Muñoz
Discussant:
Olubunmi Faleye, Northeastern University
Presenter: Claudia Champagne
Discussant:
Stefanie Kleimeier, Maastricht University
Political Risk, Trade, and Capital Allocation
Art Durnev, McGill University
Alexander Molchanov, Massey University
Presenter: Alexander Molchanov
Discussant:
Francisco Jose Callado Muñoz, Universitat de Girona
LUNCHEON, 12:00 noon - 13:30 (1:30) pm
Madruga Restaurant (Floor -1)
FRIDAY, 13:30 (1:30) PM - 15:00 (3:00) PM
Session 61
Taxes and Leverage
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Douro Norte (Floor 1)
Chairperson: Nandu Nayar, Lehigh University
Do Equity Tax Shields Reduce Leverage? The
LYON Taming by the IRS: Evidence on the Tax
Austrian Case
Advantage of Debt
Manfred Frühwirth, WU Wien
Nandu Nayar, Lehigh University
Marek Kobialka, WU Wien
Presenter: Manfred Frühwirth
Discussant:
Nandu Nayar, Lehigh University
Presenter: Nandu Nayar
Discussant:
Manfred Frühwirth, WU Wein
The Zero-Leverage Phenomenon: International
Evidence
Wolfgang Bessler, Univ of Giessen
Wolfgang Drobetz, Univ of Hamburg
Rebekka Haller, Univ of Hamburg
Iwan Meier, HEC Montréal
Presenter: Wolfgang Drobetz
Discussant:
András Danis, Vienna Graduate School of Finance
Session 62 - Sala Douro Sul, Floor 1, 13:30 (1:30) pm - 15:00 (3:00) pm
No session scheduled
Session 63
Private Equity
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Minho (Floor 1)
Chairperson: Donia Trabelsi, University Paris I Panthéon - Sorbonne
Do Private Equity Investors Help Distressed
Why do Private Equity Firms Sell to Each Other?
Companies to Become Healthy or do they Trigger
Miguel Sousa, University of Oxford & Faculdade de
Financial Distress?
Economia do Porto
Mariela Borell, Centre for European Economic
Research (ZEW)
Tereza Tykvová, Centre for European Economic
Research (ZEW)
Presenter: Mariela Borell
Discussant:
Miguel Sousa, University of Oxford &
Faculdade de Economia do Porto
Presenter: Miguel Sousa
Discussant:
Donia Trabelsi, Univ Paris I
Panthéon - Sorbonne
Venture Capital and the Financing of Innovation
Donia Trabelsi, Univ Paris 1 Panthéon - Sorbonne
Ghasem Shiri, Univ Paris 1 Panthéon - Sorbonne
Presenter: Donia Trabelsi
Discussant:
Nuno Moutinho, Polytechnic Inst of Braganca
Session 64
Information and Market Prices
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Lima (Floor 1)
Chairperson: Richard Payne, Cass Business School
Does Order Flow in the European Carbon
Measuring the Information Content of Limit Order
Allowances Market Reveal Information?
Flows
Iordanis Kalaitzoglou, Heriot-Watt University
Torben Latza, Univ of Bristol
Boulis Maher Ibrahim, Heriot-Watt University
Richard Payne, Cass Business School
Does the Introduction of S&P 500 ETF Options
Improve Price Discovery of the S&P 500 ETF?
Wei-Peng Chen, Shih Hsin University
Huimin Chung, National Chiao Tung University
Presenter: Iordanis Kalaitzoglou
Discussant:
Richard Payne, Cass Business School
Presenter: Wei-Peng Chen
Discussant:
Thomas McInish, University of Memphis
Presenter: Richard Payne
Discussant:
Emrah Sener, Ozyegin University
2011 FMA European Conference Program - 23
Session 65
Risk and Performance Measurement
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Cávado (Floor 1)
Chairperson: Michael Wolf, University of Zurich
Does the Use of Downside Risk-Adjusted Measures Which Hedge Fund Managers Deliver Alpha?
Impact the Performance of UK Investment Trusts?
Assessing Performance when Returns are Skewed
Chris Adcock, Univ of Sheffield
Andrea Heuson, Univ of Miami
Nelson Areal, Univ of Minho
Mark Hutchinson, University College Cork
Manuel Armada, Univ of Minho
Maria Ceu Cortez, Univ of Minho
Florinda Silva, Univ of MInho
Belilde Oliveira, Univ of Minho
Presenter: Benilde Oliveira
Presenter: Andrea J Heuson
Discussant:
Discussant:
Mario Brandtner, Friedrich Schiller Univ of Jena
Michael Wolf, Univ of Zurich
Robust Performance Hypothesis Testing with the
Variance
Olivier Ledoit, Univ of Zurich
Michael Wolf, Univ of Zurich
Presenter: Michael Wolf
Discussant:
Mark Hutchinson, University College Cork
Session 66
Research Opportunities in Corporate Governance
Special Session Sponsor
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Tâmega (Floor 2)
This panel will explore research topics in corporate governance including the current research the panel is pursuing. Also, what can we
learn from international corporate governance? For example, the panel will discuss that, while the US is just enacting Say on Pay, it
already exists in at least five other countries. Norway’s experiment in mandating a fixed percentage of females on boards is another
example. The panelists will offer their thoughts on the best and worst aspects of the governance structures of their country and others
where their research was applicable.
Moderator
Ralph A Walkling, Stratakis Chair in Corporate Governance & Executive Director, Center for Corporate Governance
Drexel University
Panelists
Marco Bigelli, Professor of Finance
University of Bologna, Johns Hopkins University, and Université de Paris XII
Charles Elson, Edgar S. Woolard, Jr., Chair in Corporate Governance and the Director of the John L. Weinberg Center for Corporate Governance
University of Delaware
Ajay Patel, Professor and GMAC Chair in Finance
Wake Forest University
Laura Starks, Chair - Finance Department, Charles E. & Sara M. Seay Regents’ Chair, and Director, AIM Investment Center
University of Texas Austin
René Stulz, Everett D. Reese Chair of Banking and Monetary Economics and the Director of the Dice Center for Research in Financial Economics
The Ohio State University
Session 67
Risk and Return 2
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Corgo (Floor 2)
Chairperson: Valeri Zakamouline, University of Agder
Leverage, Beta Estimation, and the Size Effect
Idiosyncratic Volatility Premium: Dividend Matters
Jörg Seidel, Univ of Hamburg
Bo Zhao, George Washington University
Wolfgang Drobetz, Univ of Hamburg
Robert Savickas, George Washington University
Why Does Higher Variability of Trading Activity
Predict Lower Expected Returns?
Alexander Barinov, Univ of Georgia
Presenter: Wolfgang Drobetz
Discussant:
Valeri Zakamouline, Univ of Agder
Presenter: Alexander Barinov
Discussant:
Sotiris Staikouras, Cass Business School
Presenter: Bo Zhao
Discussant:
Hye Seung (Grace) Lee, Lehigh University
Session 68
Price Dynamics
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Tua (Floor 2)
Chairperson: Louis Ederington, University of Oklahoma
Understanding the Price Dynamics of Emission
Jumps and Trading Activities in Interest Rate
Permits: A Model for Multiple Trading Periods
Futures Markets: The Response To Macroeconomic
Steffen Hitzemann, Karlsruhe Institute of
Announcements
Technology (KIT)
Johan Bjursell, Ronin Capital LLC
Marliese Uhrig-Homburg, Karlsruhe Institute of
George HK Wang, George Mason University
Technology (KIT)
Robert I Webb, Univ of Virginia
Forecasting Petroleum Futures Markets Volatility:
The Role of Regimes & Market Conditions
Nikos K Nomikos, Cass Business School
Panos K Pouliasis, Cass Business School
Presenter: Steffen Hitzemann
Discussant:
Paulo Pereira, Universidad do Porto & CEF.UP
Presenter: Panos K Pouliasis
Discussant:
Iordanis (Jordan) Kalaitzoglou, Heriot-Watt University
Presenter: Robert I Webb
Discussant:
Louis Ederington, Univ of Oklahoma
2011 FMA European Conference Program - 24
Session 69
Bank Regulation
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Sousa (Floor 2)
Chairperson: Nuria Suárez, Univ of Oviedo
Bank Capital Regulation - A Double-Edged Sword?
Does Deposit Insurance Retard the Development of
Minimum Capital Norms Promote Safety but Lower
Financial Markets?
Efficiency
Kaysia T Campbell, Eastern Carolina University
Vinod S Changarath, Univ of Cincinnati
Delroy M Hunter, Univ of South Florida
Michael F Ferguson, Univ of Cincinnati
James E Owers, Georgia State University
Bank Capital, Liquidity Creation and Deposit
Insurance
Zuzana Fungáčová, Bank of Finland
Laurent Weill, Univ of Strasbourg
Mingming Zhou, Univ of Colorado Col Springs
Presenter: Vinod S Changarath
Discussant:
Pejman Abedifar, Université de Limoges
Presenter: Zuzana Fungáčová
Discussant:
Florbela Galvao da Cunha, ISCTE Business School
Presenter: Delroy Hunter
Discussant:
Nuria Suárez, Univ of Oviedo
Session 70
Insurance
Friday, June 10, 13:30 (1:30) pm - 15:00 (3:00) pm, Sala Sabor (Floor 2)
Chairperson: Mario Anolli, Universita Cattolica Sacro Cuore & London School of Economics
How Have Acquirers Fared in Bank-Insurance
Liquidity Risk and Solvency II
Takeovers? A Risk Decomposition Approach
Raquel M Gaspar, ISEG, Tech Univ of Lisbon
Barbara Casu, Cass Business School
Hugo Sousa, Instituto de Seguros de Portugal
Panagiotis Dontis-Charitos, Univ of Westminster
Sotiris Staikouras, Cass Business School
Jonathan Williams, Bangor University
Presenter: Panagiotis Dontis-Charitos
Discussant:
Bjoern Hagendorff, University of Leeds
Presenter: Raquel M Gaspar
Discussant:
Mario Anolli, Universita Cattolica
Sacro Cuore & London School of Economics
The Shareholder Wealth Effects of Insurance
Securitization: The Case of Catastrophe Bonds
Bjoern Hagendorff, Univ of Leeds
Jens Hagendorff, Univ of Edinburgh
Kevin Keasey, Univ of Leeds
Presenter: Bjoern Hagendorff
Discussant:
Panagiotis Donis-Charitos, Univ of Westminster
COFFEE BREAK, 15:00 (3:00) pm - 15:30 (3:30) pm
Foyer, Floor 1 & Foyer, Floor 2
FRIDAY, 15:30 (3:30) PM - 17:00 (5:00) PM
Session 71 - Sala Douro Norte, Floor 1, 15:30 (3:30) pm - 17:00 (5:00) pm
No session scheduled
Session 72 - Sala Douro Sud, Floor 1, 15:30 (3:30) pm - 17:00 (5:00) pm
No session scheduled
Session 73
Initial Public Offerings
Friday, June 10, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Minho (Floor 1)
Chairperson: Andrea Heuson, University of Miami
Motives and Valuation Effects of Share Repurchase The Effect of a Firm's IPO on its IOU - An
Announcements in Germany: A Comparison of
Examination of Changes in Bank Loan Covenants
Established Firms and Initial Public Offerings
and Yields
Wolfgang Bessler, Justus-Liebig-Univ Giessen
Melissa Toffanin, Concordia University
Wolfgang Drobetz, Hamburg University
Martin Seim, Justus-Liebig-University Giessen
What are IPO Underwriters Paid for?
Michele Meoli, Univ of Bergamo
Andrea Signori, Univ of Bergamo
Silvio Vismara, Univ of Bergamo
Presenter: Wolfgang Bessler
Discussant:
Andrea Heuson, Univ of Miami
Presenter: Andrea Signori
Discussant:
Wolfgang Bessler, Univ of Giessen
Presenter: Melissa Toffanin
Discussant:
Vinod Changarath, Univ of Cincinnati
Session 74 - Sala Lima, Floor 1, 15:30 (3:30) pm - 17:00 (5:00) pm
No session scheduled
Session 75
Ethics, Law, and Social Responsibility
Friday, June 10, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Cávado (Floor 1)
Chairperson: Robert Webb, University of Virginia
Ethical vs Non-Ethical - Is There a Difference?
The Role of Law, Corruption and Culture in
Analyzing the Performance of Ethical and NonInvestment Fund Manager Fees
Ethical Investment Funds
Sofia A Johan, Tilburg Law & Economics Center
Linnéa Lundberg, Stockholm University
Dorra Najar, University Paris-Dauphine
Maria Vikman, Stockholm University
Jiri Novak, Charles University
Presenter: Jiri Novak
Presenter: Dorra Najar
2011 FMA European Conference Program - 25
Stock Market Valuation of Corporate Social
Responsibility Indicators
Alan Gregory, Univ of Exeter
Julie Whittaker, Univ of Exeter
Xiaojuan Yan, Univ of Exeter
Presenter: Alan Gregory
Discussant:
Robert Webb, Univ of Virginia
Discussant:
Julie Whittaker, University of Exeter
Discussant:
Sattar Mansi, Virginia Tech
Session 76 - Sala Tâmega, Floor 2, 15:30 (3:30) - 17:00 (5:00) pm
No session scheduled
Session 77
International Equity Risk
Friday, June 10, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Corgo (Floor 2)
Chairperson: Alexander Barinov, University of Georgia
Estimating Cost of Equity using the International
The Variance Risk Premium Around the World
CAPM: Are Two Factors Better than One?
Juan-Miguel Londono, Tilburg University
Walter Dolde, Univ of Connecticut
Carmelo Giaccotto, Univ of Connecticut
Dev R Mishra, Univ of Saskatchewan
Thomas J O'Brien, Univ of Connecticut
Spatial Modeling of Stock Market Comovements
Gema Fernández-Avilés, Univ of Castilla
Jose-María Montero, Univ of Castilla
Alexei G Orlov, Radford University
Presenter: Thomas O'Brien
Discussant:
Dusan Isakov, University of Fribourg
Presenter: Alexei G Orlov
Discussant:
Juan-Miguel Londono, Tilburg University
Presenter: Juan-Miguel Londono
Discussant:
Alexander Barinov, University of Georgia
Session 78 - Sala Tua, Floor 2, 15:30 (3:30) - 17:00 (5:00) pm
No session scheduled
Session 79
Bank Liquidity and Risk
Friday, June 10, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Sousa (Floor 2)
Chairperson: Claudia Champagne, Université de Sherbrooke
Transmission of Bank Liquidity Shocks in Loan and The Nexus between Monetary Policy, Banking
Deposit Markets: The Role of Interbank Borrowing
Market Structure and Bank Risk Taking: An
and Market Monitoring
Empirical Assessment of the Risk Taking Channel
Franklin Allen, Univ of Pennsylvania
of Monetary Policy
Aneta Hryckiewicz, Univ of Frankfurt & Kozminski
Tobias C Michalak, Univ of Bochum
University
Oskar Kowalewski, Warsaw School of Economics
(SGH)
Günseli Tümer-Alkan, VU Univ Amsterdam
Presenter: Günseli Tümer-Alkan
Discussant:
María Rodríquez Moreno, Univ Carlos III de Madrid
Presenter: Tobias Michalak
Discussant:
Jose Luis Rossi, Insper Inst of Educ & Research
Systemic Risk Measures: The Simpler the Better?
María Rodríquez Moreno, Univ Carlos III de Madrid
Juan Ignacio Peña, Univ Carlos III de Madrid
Presenter: Maria Rodriguez-Moreno
Discussant:
Claudia Champagne, Université de Sherbrooke
Session 80
Stock Market Risk and Dynamics
Friday, June 10, 15:30 (3:30) pm - 17:00 (5:00) pm, Sala Sabor (Floor 2)
Chairperson: José Dias, ISCTE-Lisbon University Institute
Regime-Switching and Long Memory in Systematic
Explaining the Dynamics of the Size Premium
Risk: Evidence from Realized Betas of Industry
Valeriy Zakamulin, Univ of Agder
Portfolios
Kam Fong Chan, Univ of Queensland
Bowman Robert, Univ of Queensland
Lawrence Gillian, Res Bank of New Zealand
Presenter: Kam Fong Chan
Discussant:
José Dias, ISCTE-Lisbon University Institute
Presenter: Valeriy Zakamulin
Discussant:
Lan Xu, Washington University in St Louis
The Dynamics of Stock Market Cycles in the Euro
Zone
José G Dias, ISCTE-Lisbon Univ Institute
Sofia Brito Ramos, ISCTE-Lisbon Univ Institute
Presenter: José G Dias
Discussant:
Joana Franco Rocha,
FEP, Universidade do Porto & CEF.UP
WINE CELLAR TOUR AND TASTING AND GALA DINNER
Yeatman Hotel
Buses will depart Porto Palácio Hotel at 18:00 (6:00) pm and 18:30 (6:30) pm
Advance Reservations Required
2011 FMA European Conference Program - 26
AT-A-GLANCE CONFERENCE PROGRAM
THURSDAY, 9 JUNE - 8:30 am -10:00 am
SALA DOURO NORTE
01
Corporate Finance
SALA TÂMEGA
06
SPECIAL SESSION
Borrowing and Lending: Banks
and Firms Revisited
 FLOOR 1 
SALA MINHO
03
Managerial Incentives and
Mergers
SALA DOURO SUL
02
Family Firms and Entrepeneurial
Finance
 FLOOR 2 
SALA TUA
08
Derivatives Modeling
SALA CORGO
07
Management Compensation
SALA LIMA
04
Credit Markets
SALA CÁVADO
05
Portfolio Management and
Performance
SALA SOUSA
09
Bank Risk
SALA SABOR
10
International Finance 1
10:00 am - 10:30 am - Foyer, Floor 1 and Foyer, Floor 2
COFFEE BREAK
THURSDAY, 9 JUNE - 10:30 am - 12:00 noon
SALA DOURO NORTE
11
Agency and Financial
Contracting
SALA TÂMEGA
16
SPECIAL SESSION
Financial Regulation after the
International Financial Crisis
SALA DOURO SUL
12
Governance and Corporate
Decisions
SALA CORGO
17
Modeling Risk and Performance
 FLOOR 1 
SALA MINHO
13
Mergers
SALA LIMA
14
Credit
SALA CÁVADO
15
Portfolio Decisions and
Investor Choices
 FLOOR 2 
SALA TUA
18
Options Pricing and
Strategies
SALA SOUSA
19
Contagion and
Systemic Risk
SALA SABOR
20
International Finance 2
Noon - 13:30 (1:30 pm) - Madruga Restaurant (Floor -1)
LUNCHEON
THURSDAY, 9 JUNE - 13:30 (1:30) pm - 15:00 (3:00) pm
SALA DOURO NORTE
21
Financing
SALA TÂMEGA
26
SPECIAL SESSION
Financial Markets and Public
Finance in Portugal
SALA DOURO SUL
22
International Corporate Governance
SALA CORGO
27
Forecasting and Market Efficiency
 FLOOR 1 
SALA MINHO
23
Buyouts and Acquisitions
SALA LIMA
24
Borrowing Costs and Risk
SALA CÁVADO
25
Fund Management
 FLOOR 2 
SALA TUA
28
Measuring and Managing
Risk
SALA SOUSA
29
Default, Securitization, and
Banking
SALA SABOR
30
International Cross
Listings
15:00 (3:00) pm - 15:30 (3:30) pm - Foyer, Floor 1 and Foyer, Floor 2
COFFEE BREAK
THURSDAY, 9 JUNE - 15:30 (3:30) pm - 17:00 (5:00) pm
SALA DOURO NORTE
31
Debt
SALA TÂMEGA
36
Financial Modeling
SALA DOURO SUL
 FLOOR 1 
SALA MINHO

33
Corporate Acquisitions
SALA CORGO
 FLOOR 2 
SALA TUA
37
Events and Market Efficiency
38
Capital Structure
SALA LIMA
34
CDS
SALA SOUSA
39
Bank Governance
17:15 (5:15) pm
KEYNOTE ADDRESS
Sala Porto, Floor 1
18:30 (6:30) pm
RECEPTION
Círculo Universitário do Porto (Rua do Campo Alegre, 877)
2011 FMA European Conference Program - 27
SALA CÁVADO
35
Fund Performance and
Management
SALA SABOR

FRIDAY, 10 JUNE- 8:30 am - 10:00 am
 FLOOR 1 
SALA MINHO
SALA DOURO NORTE
SALA DOURO SUL

42
Financial Strength and Distress
SALA TÂMEGA
SALA CORGO

 FLOOR 2 
SALA TUA
47
Analysts, Accuracy, and
Announcements
SALA LIMA

43
LBOs and Delistings
48
Issues in Risk Management
SALA SOUSA
49
Cost of Bank Financing
SALA CÁVADO
45
Institutional Investors and Return
Predictability
SALA SABOR
50
Trading and Behavioral Finance
10:00 AM - 10:30 AM - Foyer, Floor 1 and Foyer, Floor 2
COFFEE BREAK
FRIDAY, 10 JUNE- 10:30 am - 12:00 noon
SALA DOURO NORTE
51
Borrowing
52
Boards
SALA TÂMEGA
56
SPECIAL SESSION
Shadow Financial Regulatory
Committee: Dissecting the
Financial Crisis and Financial
Reform
 FLOOR 1 
SALA MINHO
SALA DOURO SUL
53
Financial Policies and
Value
SALA LIMA
54
Regulation and Markets
SALA CÁVADO
55
Portfolio Choice
SALA SOUSA
SALA SABOR
60
Money and Capital Flows
 FLOOR 2 
SALA TUA
SALA CORGO
57
Risk and Return 1

58
Risk
Noon - 13:30 (1:30) pm - Madruga Restaurant - Floor -1
LUNCHEON
FRIDAY, 10 JUNE- 13:30 (1:30) pm - 15:00 (3:00) pm
SALA DOURO NORTE
61
Taxes and Leverage
SALA TÂMEGA
66
SPECIAL SESSION
Research Opportunities in
Corporate Governance
SALA DOURO SUL

 FLOOR 1 
SALA MINHO
63
Private Equity
 FLOOR 2 
SALA TUA
SALA CORGO
67
Risk and Return 2
68
Price Dynamics
SALA LIMA
64
Information and Market Prices
SALA SOUSA
69
Bank Regulation
SALA CÁVADO
65
Risk and Performance
Measurement
SALA SABOR
70
Insurance
15:00 (3:00) PM - 15:30 (3:30 PM) - Foyer, Floor 1 and Foyer, Floor 2
COFFEE BREAK
FRIDAY, 10 JUNE- 15:30 (3:30) pm - 17:00 (5:00) pm
SALA DOURO NORTE
SALA DOURO SUL


SALA TÂMEGA
SALA CORGO

77
International Equity Risk
 FLOOR 1 
SALA MINHO
SALA LIMA

73
Initial Public Offerings
 FLOOR 2 
SALA TUA

SALA SOUSA
79
Bank Liquidity and Risk
18:00 (6:00) pm and 18:30 (6:30) pm
BUS DEPARTURES FROM HOTEL FOR WINE TOUR AND GALA DINNER
(Advance Registration Required)
2011 FMA European Conference Program - 28
SALA CÁVADO
75
Ethics, Law, and Social
Responsibiiity
SALA SABOR
80
Stock Market Risk and Dynamics
2011 FMA EUROPEAN CONFERENCE – ROSTER OF ATTENDEES
NAME
Abdioglu, Nida
Abedifar, Pejman
Agca, Senay
Aguir, Iness
Aiguzhinov, Artur
Alexandridis, George
Almeida, Álvaro
Anderson, Christopher
Anjos, Fernando
Anolli, Mario
Atilgan, Yigit
Atrissi, Nizar
AFFILIATION
Manchester Business School
Universite de Limoges
George Washington University
University of Texas San Antonio
Universidade do Porto
ICMA Centre, University of Reading
Universidade do Porto
University of Kansas
University of Texas
Università Cattolica del Sacro Cuore
Sabanci University
Université Saint-Joseph
HOTEL
Porto Palácio
ARRIVAL
6/8/2011
DEPARTURE
Porto Palácio
6/7/2011
6/11/2011
Porto Palácio
Porto Palácio
6/8/2011
6/8/2011
6/15/2011
6/11/2011
Bae, Sung
Baedorf, Katrin
Baltussen, Guido
Barbosa, António
Barinov, Alexander
Barras, Laurent
Belot, Francois
Ben Slimane, Faten
Benzinho, Jose
Bessembinder, Hank
Bessler, Wolfgang
Bigelli, Marco
Bonfim, Diana
Borell, Mariela
Brandtner, Mario
Brown, Keith
Bugeja, Martin
Bowling Green State University
WHU - Otto Beisheim School of Management
Erasmus University Rotterdam
ISCTE Business School
University of Georgia
McGill University
Université Paris-Dauphine
Champagne School of Management
IP Coimbra/ISCAC
University of Utah
University of Giessen
University of Bologna
Banco de Portugal and ISEG-UTL
Centre for European Economic Research (ZEW), Mannheim
Friedrich Schiller University of Jena
University of Texas
University of Technology, Sydney
Porto Palácio
6/8/2011
6/12/2011
Porto Palácio
Porto Palácio
6/6/2011
6/8/2011
6/11/2011
6/11/2011
Porto Palácio
Porto Palácio
6/8/2011
6/12/2011
Porto Palácio
6/9/2011
6/7/2011
6/11/2011
6/11/2011
Callado-Muñoz, Francisco José
Campello, Murillo
Cenedese, Gino
Chaieb, Ines
Chamberlain, Trevor
Champagne, Claudia
Chan, Andrew
Chan, Kam Fong
Chang, Ching-chieh
Changarath, Vinod
Chen, Brandon
Chen, Sheng-Hung
Chen, Wei-Peng
Col, Burcin
Cooley, Philip
Correia, Ricardo
Croci, Ettore
Girona University
University of Illinois
University of Warwick
University of Geneva & Swiss Finance Institute
McMaster University
Université de Sherbrooke
Capital IQ
University of Queensland
University of Washington
University of Cincinnati
University of New South Wales
Nanhua University
Shih Hsin University
McGill University
Trinity University
Universidad Carlos III
University of Milan - Bicocca
Porto Palácio
6/8/2011
6/10/2011
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/14/2011
6/7/2011
6/8/2011
6/11/2011
6/10/2011
Porto Palácio
Porto Palácio
6/8/2011
6/8/2011
6/11/2011
6/12/2011
da Cunha, Florbela
Dabo, Moriba
Danielova, Anna
Danis, Andras
ISCTE Business School
Cairo University
McMaster University
Vienna Graduate School of Finance
Porto Palácio
6/9/2011
6/10/2011
Porto Palácio
Del Giudice, Alfonso
Dias, José
Dick, Christian
Diyarbakirlioglu, Erkin
Dontis-Charitos, Panagiotis
Draper, Paul
Drobetz, Wolfgang
Duca, John
Universita Cattolica - Milan
ISCTE - IUL
Centre for European Economic Research (ZEW) Mannheim
Sorbonne Business School
University of Westminster
University of Leeds
University of Hamburg
Federal Reserve Bank of Dallas
Porto Palácio
12:00:00
AM ??
8/6/2011
12:00:00 AM
??
12/6/2011
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/7/2011
6/8/2011
6/11/2011
6/12/2011
6/11/2011
Eades, Ken
Easley, David
Ederington, Louis
Elson, Charles
University of Virginia
Cornell University
University of Oklahoma
University of Delaware
Porto Palácio
6/8/2011
6/9/2011
6/11/2011
6/11/2011
2011 FMA European Conference Program - 29
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Emery, Gary
Espenlaub, Susanne
Estrada, Javier
University of Oklahoma
Manchester Business School
IESE Business School
Porto Palácio
6/8/2011
6/11/2011
Porto Palácio
6/8/2011
6/11/2011
Faelten, Anna
Faias, Jose
Faleye, Olubunmi
Farinha, Jorge
Fatemi, Ali
Feito-Ruiz, Isabel
Fernandes, Catarina
Ferreira, Miguel
Finnerty, John
Fooladi, Iraj
Foster, Douglas
Francis, Bill
Fruehwirth, Manfred
Fungacova, Zuzana
Cass Business School
Catolica Lisbon
Northeastern University
Universidad do Porto
DePaul University
University of Oviedo
University of Porto & Polytechnic Institute of Bragança
Nova School of Business and Economics
Fordham University
Dalhousie University
Australian National University
Rensselaer Polytechnic Institute
WU Wien
Bank of Finland
Porto Palácio
Porto Palácio
6/7/2011
6/11/2011
Porto Palácio
6/7/2011
6/11/2011
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/7/2001
6/7/2011
6/8/2011
6/12/2011
6/13/2011
6/12/2011
6/11/2011
Galimberti, Jaqueson
Garcia-Teruel, Pedro
Gaspar, Raquel
Goncalves-Pinto, Luis
Gregory, Alan
Guembel, Alexander
Gunduz, Yalin
Manchester Business School
University of Murcia
ISEG - Technical University of Lisbon
USC Marshall School of Business
University of Exeter
University of Toulouse
Deutsche Bundesbank
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/8/2011
6/8/2011
6/11/2011
6/11/2011
6/11/2011
Hagenau, Michael
Hagendorff, Bjoern
Hagendorff, Jens
Harlow, Van
Harris, Robert
Herring, Richard
Heuson, Andrea
Hitzemann, Steffen
Hong, KiHoon Jimmy
Hu, Jiehui
Hunter, Delroy
Hutchinson, Mark
Immenkötter, Philipp
University of Freiburg
University of Leeds
University of Edinburgh
Putnam Investments
University of Virginia
University of Pennsylvania
University of Miami
Karlsruhe Institute of Technology
University of Cambridge
Tilburg University
University of South Florida
University College Cork
University of Cologne
Porto Palácio
Porto Palácio
6/7/2011
6/11/2011
6/8/2011
6/7/2011
6/11/2011
6/11/2011
6/9/2011
6/12/2011
Porto Palácio
HF Tuela Porto
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/12/2011
6/8/2011
6/10/2011
Irek, Fabian
Isakov, Dusan
Itzkowitz, Jennifer
Luxembourg School of Finance
University of Fribourg
University of Florida
Jagtiani, Julapa
Jalal, Abu
Jayaraman, Narayanan
Jorge, Jose
Joy, Michael
Jutasompakorn, Pearpilai
Federal Reserve Bank of Philadelphia
Suffolk University
Georgia Institute of Technology
CEF.UP, Universidade do Porto
Irish Public Bodies Mutal Insurance Ltd
Monash University
Porto Palácio
Porto Palácio
Porto Palácio
6/7/2011
6/8/2011
6/8/2011
6/12/2011
6/12/2011
6/12/2011
Porto Palácio
6/8/2011
6/10/2011
Kaeck, Andreas
Kalaitzoglou, Iordanis
Kalotychou, Elena
Kaufman, George
Kaul, Aditya
Khoury, Nabil
Kleimeier, Stefanie
Kling, Gerhard
Korczak, Adriana
Kroencke, Tim
Kryzanowski, Lawrence
ICMA Centre, University of Reading
Heriot Watt University
Cass Business School
Loyola University Chicago
University of Alberta
Universite du Quebec a Montreal
Maastricht University
University of Southampton
University of Bristol
Centre for European Economic Research (ZEW)
Concordia University
Porto Palácio
Porto Palácio
Porto Palácio
6/9/2011
6/13/2011
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
6/6/2011
6/11/2011
6/7/2011
6/8/2011
6/11/2011
6/11/2011
Porto Palácio
6/8/2011
6/11/2011
Lebedeva, Olga
Lee, Hye Seung
Lehnert, Thorsten
Lepori, Gabriele
Lewis, Craig
Liebmann, Michael
University of Mannheim
Lehigh University
Luxembourg School of Finance
Copenhagen Business School
Vanderbilt University & US SEC
University of Freiburg
Porto Palácio
Porto Palácio
6/7/2011
6/11/2011
Porto Palácio
6/7/2011
6/11/2011
6/8/2011
6/10/2011
2011 FMA European Conference Program - 30
Porto Trinidade Hotel
Porto Palácio
Porto Palácio
Porto Palácio
Lin, Ming-Ying
Lin, Yueh-Hsiang
Locorotondo, Rosy
Londono Yarce, Juan Miguel
Lovreta, Lidija
Lyssimachou, Danielle
National Chiao Tung University
National Taipei College of Business
Katholieke Universiteit Leuven & Research Foundation Flanders
Tilburg University
CUNEF
Manchester Business School
Porto Palácio
6/8/2011
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/8/2011
6/12/2011
6/11/2011
6/8/2011
6/12/2011
Mansi, Sattar
Martí, Carmen
Martinez, Isabelle
Martinez-Sola, Cristina
Mavrovitis, Christos
Mazur, Mieszko
McInish, Thomas
McQueen, Grant
Michalak, Tobias
Miguel, Antonio
Molchanov, Alexander
Mooradian, Robert
Mortal, Sandra
Moutinho, Nuno
Mueller, Andreas
Muharam, Farrah Merlinda
Muscarella, Chris
Virginia Tech
Universitat Autònoma de Barcelona
University of Toulouse Paul Sabatier
University of Jaen
ICMA Centre, Henley Business School
IESEG
University of Memphis
Brigham Young University
University of Bochum
Instituto Universitario de Lisboa (ISCTE-IUL)
Massey University
Northeastern University
University of Memphis / SEC
Instituto Politecnico de Braganca
RWTH Aachen University
Universitat Autonoma de Barcelona
Penn State University
Porto Palácio
6/7/2011
6/10/2011
6/6/2011
6/12/2011
6/7/2011
6/11/2011
6/8/2011
6/10/2011
Porto Palácio
6/7/2011
6/11/2011
Najar, Dorra
Naranjo, Andy
Navone, Marco
Nayar, Nandkumar
Nielsson, Ulf
Novak, Jiri
Université Paris Dauphine
University of Florida
Università Bocconi
Lehigh University
Copenhagen Business School
Charles University in Prague
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/6/2011
6/14/2011
12/6/2011
O'Brien, Thomas
Oh, Ji Yeol
O'Hara, Maureen
Oliveira, Benilde
Onn, Loke
Orbe, Sebastian
Orlov, Alexei
Ovtchinnikov, Alexei
University of Connecticut
University of Cambridge
Cornell University
University of Minho
Monash University
University of Cologne
Radford University
Vanderbilt University
Porto Palácio
6/8/2011
6/12/2011
Porto Palácio
6/7/2011
6/11/2011
Porto Palácio
Porto Palácio
Porto Palácio
6/8/2011
6/10/2011
6/7/2011
6/11/2011
Palma, Pedro
Panyagometh, Kamphol
Park, Yuenjung
Patel, Ajay
Payne, Richard
Peixinho, Ruben
Pereira, Joao Pedro
Phillips, Blake
Pieterse-Bloem, Mary
Pinto, Helena
Pinto, João
Platikanova, Petya
Poletti Hughes, Jannine
Pontuch, Peter
Pouliasis, Panagiotis
Priem, Randy
Universidade do Porto
NIDA Business School
KAIST
Wake Forest University
Cass Business School
University of the Algarve and CEFAGE-UE
ISCTE-IUL
University of Waterloo
Tilburg University
University of Strathclyde
Universidad do Porto
ESADE Business School
University of Liverpool
Universite Paris Dauphine
Cass Business School
Katholieke Universiteit Leuven
Porto Palácio
Porto Palácio
6/7/2011
6/7/2011
6/10/2011
6/10/2011
6/8/2011
6/11/2011
6/8/2011
6/8/2011
6/8/2011
6/8/2011
6/10/2011
6/11/2011
6/12/2011
6/12/2011
Prokopczuk, Marcel
Pucker, Oliver
ICMA Centre - Henley Business School
University of Cologne
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Hotel Quality Inn
Portus Cale
Porto Palácio
Porto Palácio
6/8/2011
6/10/2011
Qi, Yaxuan
Concordia University
Porto Palácio
6/8/2011
6/11/2011
Rader, Jack
Rakowski, David
Ramón-Llorens, Ma Camino
Reuter, Charles
Roberts, Gordon
Rodriguez-Moreno, Maria
FMA
SIU Carbondale
Universidad Politenica de Cartagena
ESCP Europe, L.S.F., Université de Paris Ouest
York University
Universidad Carlos III
6/7/2011
6/7/2011
6/11/2011
6/11/2011
2011 FMA European Conference Program - 31
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Hotel Quality Inn
Portus Caleþ
Rosa, Mark
Rose, Annica
Rossi, José
Santa Clara, Pedro
Santos, Joao
Savor, Marko
Schallheim, James
Schmid, Markus
Scordis, Nicos
Scott, Ken
Sener, Emrah
Serra, Ana Paula
Serve, Stephanie
Shaukat, Amama
Sianab, Alex
Sibilkov, Valeriy
Signori, Andrea
Simkins, Betty
Soares Lopes, Maria
Sojli, Elvira
Sousa, Miguel
University of Sydney
Insper Institute of Education and Research
Porto Palácio
Porto Palácio
6/9/2011
6/10/2011
6/6/2011
6/8/2011
6/11/2011
6/11/2011
6/8/2011
6/12/2011
Porto Palácio
Porto Palácio
6/7/2011
6/8/2011
6/12/2011
6/11/2011
Porto Palácio
Porto Palácio
6/7/2011
6/11/2011
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
6/7/2011
6/7/2011
6/8/2011
6/12/2011
6/15/2011
6/11/2011
Porto Palácio
Porto Palácio
6/8/2011
6/9/2011
6/10/2011
6/11/2011
Porto Palácio
6/8/2011
6/11/2011
6/8/2011
6/11/2011
Porto Palácio
6/7/2011
6/10/2011
Porto Palácio
6/8/2011
6/12/2011
Springauf, Eva-Maria
Staikouras, Sotirs
Starks, Laura
Stock, Duane
Strong, Robert
Stucke, Ruediger
Stulz, Rene
Suarez Suarez, Nuria
Sun, Qian
Suominen, Matti
Universidad Nova de Lisboa
Federal Reserve Bank New York
University of Quebec in Montreal
University of Utah
University of Mannheim
St. John's University
Stanford University
Ozyegin University
Universidad do Porto
University of Cergy-Pontoise
University of Exeter
Capital IQ
University of Wisconsin - Milwaukee
University of Bergamo
Oklahoma State University
University of Porto
Erasmus University Rotterdam
Universidade do Porto & Oxford Private Equity Institute, Saïd
Business School
Oesterreichische National Bank
Cass Business School
University of Texas
University of Oklahoma
University of Maine
Oxford University
The Ohio State University
University of Oviedo
Fudan University
Aalto University
Tan, Kian
Tastan, Mesut
Toffanin, Melissa
Trabelsi, Donia
Tümer Alkan, Günseli
Tunaru, Radu
University of New South Wales
University of Texas Dallas
Concordia University
University Paris 1 Pantheon - Sorbonne
VU University Amsterdam
University of Kent at Canterbury
Umber, Marc
Frankfurt School of Finance & Management
Valderrama, Laura
Vallascas, Francesco
Vasconcelos, Manuel
Vieito, João Paulo
Vilanova, Laurent
Vivel, Milagros
Vonhoff, Volker
IMF
University of Leeds
Erasmus University
Polytechnic Institute of Viana do Castelo
University Lyon 2 - Coactis
University of Santiago de Compostela
University of Mannheim
Walker, David
Walkling, Ralph
Wang, Jr-Yan
Wang, Yaw-Huei
Webb, Robert
Weisskopf, Jean-Philippe
Westerholm, Joakim
Whittaker, Julie
Winkler, Gerhard
Wolf, Michael
Georgetown University
Drexel University
National Taiwan University
National Taiwan University
University of Virginia & KAIST Business School
University of Fribourg
University of Sydney
University of Exeter
Oesterreichische Nationalbank
University of Zurich
Porto Palácio
Porto Palácio
6/8/2011
6/7/2011
6/10/2011
6/12/2011
Porto Palácio
Porto Palácio
6/8/2011
6/8/2011
6/10/2011
6/13/2011
Xu, Lan
Yadav, Vijay
Zakamulin, Valeriy
Zaldokas, Alminas
Zeitun, Rami
Zhang, Yan
Zhao, Bo
Washington University in St Louis
INSEAD
University of Agder
INSEAD
University of Queensland
US OCC
The George Washington University
Porto Palácio
6/8/2011
6/11/2011
2011 FMA European Conference Program - 32
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
Porto Palácio
PRESENTERS - DISCUSSANTS - CHAIRPERSONS SPECIAL SESSION PARTICIPANTS - DOCTORAL STUDENT CONSORTIUM PARTICIPANTS
NAME
Nida
Pejman
Senay
Iness
George
Christopher
Álvaro
Kalaitzoglou
Fernando
Mario
Antonio
Yigit
Nizar
Iordanis
Sung
Katrin
Guido
António
Alexander
Laurent
François
Wolfgang
Marco
Diana
Mariela
Mario
Keith
Martin
Francisco
Murillo
Daniel
Gino
Ines
Claudia
Kam
Ching-chieh
Vinod
Brandon
Sheng-Hung
Wei-Peng
Burcin
Ricardo
Ettore
Manuel
Florbela
Andras
Manuel Teixeira
Alfonso
Jose
Christian
Erkin
Panagiotis
Wolfgang
John
Kenneth
Louis
Franklin
Charles
Gary
Jose
Fong
S.
Puerta
Galvao
G.
V.
Abdioglu
Abedifar
Agca
Aguir
Alexandridis
Anderson
Almeida
Angelos
Anjos
Anolli
Antunes
Atilgan
Atrissi
SESSION(S)
22 52
09 69
24 39
DSC
03 13
07 11
55
64
33 53
09 70
06
04 30
21
Bae
Baedorf
Baltussen
Barbosa
Barinov
Barras
Belot
Bessler
Bigelli
Bonfim
Borell
Brandtner
Brown
Bugeja
23
02 17
18 27
37 47
67 77
45
23 33
73
01 43 66
14 51
33 63
55 65
05
13 33
Callado Munoz
Campello
Carvalho
Cenedesde
Chaieb
Champagne
Chan
Chang
Changarath
Chen
Chen
Chen
Col
Correia
Croci
60
21
06
DSC
20 22
60 79
34 80
13 23
69 73
22 52
39
02 64
DSC
48
02 25
da Costa
da Cunha
Danis
de Vasconcelos
Del Giudice
Dias
Dick
Diyarbakirlioglu
Dontis-Charitos
Drobetz
Duca
26
58 69
11 36 61
DSC
35 43
80
27 48
45 55
70
61 67
14
Eades
Ederington
Edwards
Elson
Emery
45 51
57 68
56
66
36
Susanne
Javier
Espenlaub
Estrada
25
57
Anna
José
Olubunmi
Isabel
Catarina Alexandra
Elisa
Miguel
John
Iraj
F
Bill
Manfred
Zuzana
Faelten
Faias
Faleye
Feito-Ruiz
Fernandes
Ferreira
Ferreira
Finnerty
Fooladi
Foster
Francis
Frühwirth
Fungacova
13 37
45
39 60
03
DSC
16
DSC 06 38
24 34
10
05 15
07 11
61
24 69
Galimberti
Galvao da Cunha
Garcia-Teruel
Gaspar
Gregory
Guembel
Gunduz
08 20
69
42
19 70
13 75
11 19
04 08
Hagendorff
Hagendorff
Herring
Heuson
Hitzemann
Hong
Hu
Hunter
Hutchinson
Immenkötter
70
29
56
65 73
37 68
DSC
36 48
20 58 69
65
21 36
Dusan
Isakov
52 77
Julapa
Abu
Narayanan
Jose
Pearpilai
Jagtiani
Jalal
Jayaraman
Jorge
Jutasompakorn
09 29
20 39
12
80
DSC
Kaeck
Kalaitzoglou
Kaufman
Kaul
Khoury
Kleimeier
Kling
Korczak
Kroencke
Kryzanowski
28
64 68
56
10 15
30
31 60
14 21
30 47
05
22
Lebedeva
Lee
Lehnert
Lepori
Lewis
Liebmann
Lin
Lin
DSC
51 67
03 25
50 57
DSC 18 24
47
12 36
57
Jaqueson
Florbela
Pedro
Raquel
Alan
Alexander
Yalin
Bjoern
Jens
Richard
Andrea
Steffen
KiHoon
Jiehui
Delroy
Mark
Philipp
Andreas
Iordanis
George
Aditya
Nabil
Stefanie
Gerhard
Adriana
Tim
Lawrence
Olga
Hye
Thorsten
Gabriele
Craig
Michael
Ming-Ying
Yueh-hsiang
2011 FMA European Conference Program - 33
Alves
Douglas
B.
J
J.
Jimmy
P
(Jordan)
Alexander
Seung
Rosy
Juan-Miguel
Lidija
Danielle
Locorotondo
Londono
Lovreta
Lyssimachou
42
77
34
27 47
Claudia
Gordon
Annica
José
Mansi
Marques
Martinez
Martinez-Sola
Mata
Matos
Mazur
McInish
McQueen
Michalak
Miguel
Molchanov
Monteiro
Mooradian
Moreno
Mortal
Moutinho
Mueller
Muharm
12 75
26
43
53
06
06
03
54 64
50
29 49 79
35
12 60
26
25 55
79
37 43
53 63
01 17
48
Najar
Naranjo
Navone
Nayar
Nielsson
Novak
02 75
24 31
15 55
61
10 54
51 75
Pedro
Joao
Marko
Markus
Nicos
Kenneth
Emrah
Stéphanie
Amama
Valeriy
Andrea
Betty
Faten
Elvira
Juan
Miguel
Sotiris
Laura
Duane
Ruediger
Rene
Nuria
Qian
Matti
O'Brien
Oh
O'Hara
Oliveira
Onn
Orbe
Orlov
Otero
Ovtchinnikov
31 77
36 54
16 54
35 65
18 27
27 36
36 77
31
01 33
Park
Payne
Peixinho
Pereira
Pereira
Phillips
Pieterse-Bloem
Pinto
Pinto
Platikanova
Poletti-Hughes
Pontuch
Portugal
Pouliasis
Priem
Prokopczuk
Pucker
DSC
64
27 53
34
68
04 15
04 35
07
DSC
13 21
42 52
21 51
06
18 68
23 31
18 58
09 47
Yaxuan
Qi
01 51
David
Ma
Charles
Rakowski
Ramón-Llorens
Reuter
15 35
11 17
01 11
Sattar
Raul Manuel
Isabelle
Cristina
Jose
Pedro
Mieszko
Thomas
Grant
Tobias
Antonio
Alexander
Manuel
Robert
Maria
Sandra
Nuno
Andreas
Farrah
Simoes
H
Alves
Rodriquez
Merlinda
Dorra
Andy
Marco
Nandu
Ulf
Jiri
Thomas
Ji Yeol
Maureen
Benilde
Loke
Sebastian
Alexei
Luis
Alexei
Yuenjung
Richard
Ruben
Joao
Paulo
Blake
Mary
Helena
Joao Filipe
Petya
Jannine
Peter
Pedro
Panos
Randy
Marcel
Oliver
Jimmy
Seng
Pedro
Monteiro
K
Camino
Ribeiro
Roberts
Rose
Rossi
08
DSC 04 24
50
58 79
Santa-Clara
Santos
Savor
Schmid
Scordis
Scott
Sener
Serve
Shaukat
Sibilkov
Signori
Simkins
Slimane
Sojli
Sotes-Paladino
Sousa
Staikouras
Starks
Stock
Stucke
Stulz
Suarez
Sun
Suominen
DSC
DSC 06
30
01 09
17
56
20 64
43
39 52
33 53
53 73
18 58
10 54
22 54
15 55
63
49 67
DSC 66
29 49
23 43
Keynote
19 69
30
36
Eric
Ken-ichi
Carlos
Melissa
Donia
Günseli
Radu
Tan
Tatsumi
Tavares
Toffanin
Trabelsi
Tümer-Alkan
Tunaru
25
49
16
43 73
63
31 79
08 28
Marc
Umber
37
Laura
Francesco
Joao
Laurent
Milagros
Volker
Valderrama
Vallascas
Vieito
Vilanova
Vivel
Vonhoff
19
19
07
02 50
09
04 20
Walker
Walkling
Wang
Wang
Webb
Weisskopf
Whittaker
Winkler
Wolf
10 14
52 66
08
28
68 75
02 12
75
17 28
65
Lan
Xu
42 80
Vijay
Yadav
05 55
Valeri
Valeriy
Alminas
Yan
Bo
Zakamouline
Zakamulin
Zaldokas
Zhang
Zhao
67
80
DSC
14 29
42 67
David
Ralph
Jr-Yan
Yaw-Huei
Robert
Jean-Philippe
Julie
Gerhard
Michael
2011 FMA European Conference Program - 34
Luiz
Ben
Paulo
A.
I.
(Jenny)
PORTO PALÁCIO HOTEL
FLOOR ONE
Stairs up to Floor Two
Sala Douro Norte
Sessions
Foyer
Sala Porto
Conference
Registration
Keynote Address
Thursday, 17:15 (5:15) pm
Salas
Minho
Cávado
Lima
Sessions
Coffee Breaks
Sala Douro Sul
Sessions
FLOOR TWO
Stairs up from Floor One
Sala Corgo
Sessions
Sala Sousa
Sala Tua
Sala Sabor
Sessions
Sessions
Sessions
Sala Tâmega
Sessions
Foyer
Coffee Breaks
Diagram for informational purposes only. Not to scale.
2011 FMA European Conference Program - 35
Financial Management Association Survey and Synthesis Series...
Survey Research in Corporate
Finance
Bridging the Gap between Theory and Practice
H. Kent Baker, J. Clay Singleton, and E.
Theodore Veit
Provides a unique summary of the state-of-the-art
of survey research in finance.
Hardback | 464 pages
978-0-19-534037-2 | February 2011 | $69.95 $45.47
Asset Pricing and Portfolio
Choice Theory
Kerry Back
Truth in Lending
Theory, History, and a Way Forward
Thomas A. Durkin and Gregory
Elliehausen
This book concerns an ongoing public policy
debate about the efficacy of financial disclosures as
consumer protections.
Hardback | 368 pages
978-0-19-517295-9 | March 2011 | $74.00 $48.10
Real Options in Theory and
Practice
Graeme Guthrie
Back covers the classical results on single-period,
discrete-time, and continuous-time models of
portfolio choice and asset pricing. Includes extensive
exercises and solutions.
Hardback | 464 pages
978-0-19-538061-3 | September 2010 | $89.95 $58.47
Develops the building blocks of real options
analysis and shows readers how to apply them
to a wide variety of problems in business and
economics. Includes CD.
Hardback | 432 pages
978-0-19-538063-7 | July 2009 | $89.95 $58.47
)0$PHPEHUVFDQUHFHLYHDQH[FOXVLYHGLVFRXQWRQDOOWLWOHVLQWKHVHULHV
9LVLWZZZRXSFRPXVIPDWRRUGHUQRZ
Give your work the visibility it deserves
Introducing 2 brand new top-level journals of the
Society for Financial Studies
RAPS Executive Editor:
Wayne Ferson
Editors:
Maureen O’Hara
Jeffrey Pontiff
Amir Yaron
RCFS Executive Editor:
Paolo Fulghieri
New
in 2012
New
in 2011
Submit online
Editors:
Christopher Hennessy
Joshua Rauh
Michael Roberts
UPCOMING CONFERENCES
2011 CONFERENCES
2011 FMA ANNUAL MEETING
October 19 - 22, 2011
Sheraton Denver Hotel
Denver, Colorado
www.fma.org/Denver/
2012 CONFERENCES
2012 FMA ASIAN CONFERENCE
11 - 13 July 2012
Phuket, Thailand
SUBMISSION DEADLINE: DECEMBER 15, 2011
www.fma.org/Thailand /
2012 FMA EUROPEAN CONFERENCE
6 - 8 June 2012
Istanbul, Turkey
SUBMISSION DEADLINE: DECEMBER 1, 2011
www.fma.org/Istanbul/
2012 FMA ANNUAL MEETING
17 - 20 October 2012
Atlanta, Georgia
SUBMISSION DEADLINE: JANUARY 13, 2012
Financial Management Association International
First Call for Papers and Participation
2012 FMA European Conference
6 - 8 June 2012
Istanbul, Turkey
Recep Bildik, Istanbul Stock Exchange and Koç University
William L. Megginson, University of Oklahoma
2012 FMA European Conference Program Chairs
DEADLINE SUMMARY
Program Committee Member Application
November 11, 2011
Completed Papers and Abstracts
December 1, 2011
Panel Discussion Proposals
December 1, 2011
Requests to serve as session chairperson or paper discussant
February 10, 2012
Doctoral Student Consortium Applications
February 18, 2012
The Sixteenth Annual European Conference of the Financial Management
Association International (FMA) will be held June 6 through June 8 at the
Point Hotel Barbaros in breathtaking Istanbul, Turkey. FMA’s European
Conference brings together academicians and practitioners with interests in
financial decision-making and provides a forum for presenting new research
and discussing current issues in financial management and related topics.
Presentations of research papers, panel discussions, and tutorials will begin
either Wednesday afternoon or Thursday morning and end Friday afternoon.
The Doctoral Student Consortium will be held on Wednesday.
Submission Fee: US$25/ US $35 for non-members
For information on submission procedures, go to
www.fma.org/Istanbul /
2012 Yılında Istanbul'da Görüşürüz!
www.fma.org/Istanbul/