AFA 2007 CHICAGO MEETINGS (ARCHIVE)
Chicago, IL – January 5, 2007 through January 7, 2007
SIXTY SEVENTH ANNUAL MEETING AMERICAN FINANCE ASSOCIATION
President: Richard C. Green
President-Elect and Program Chair: Kenneth R. French
1/6/2007 5:30 PM
Business Meeting and Presidential Address
01/05/2007 – 8:00 AM
Location: Hyatt-Regency A
Session: Determinants of Default Swap Spreads
Chair: Pierre Collin-Dufresne, Columbia Business School – Finance and Economics
Gaiyan Zhang, University of California, Irvine and Philippe Jorion, University of California, Irvine – Paul Merage School of Business – Intra-Industry Credit Contagion: Evidence from the Credit Default Swap and Stock Markets
Dragon Yongjun Tang, University of Hong Kong – School of Economics and Finance and Hong Yan, University of South Carolina – Department of Finance – Liquidity and Credit Default Swap Spreads
Antje Berndt, Carnegie Mellon University, Aziz A. Lookman, Moody’s Investors Service and Iulian Obreja, University of Colorado at Boulder – Department of Finance – Default Risk Premia and Asset Returns
Discussants:
Kenneth Singleton, Stanford Graduate School of Business
Viral Acharya, New York University (NYU) – Leonard N. Stern School of Business
Kent Daniel, Goldman Sachs Group, Inc. – Quantitative Strategy Group
01/05/2007 – 8:00 AM
Location: Hyatt-Regency B
Session: Understanding Risks & Expected Returns
Chair: Joseph Chen, University of Southern California – Marshall School of Business
Zhi Da, University of Notre Dame – Mendoza College of Business and Pengjie Gao, University of Notre Dame – Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks
Evan W. Anderson, Northern Illinois University – Department of Economics, Eric Ghysels, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Jennifer L. Juergens, Drexel University – Department of Finance – The Impact of Risk and Uncertainty on Expected Returns
Discussants:
Tarun Chordia, Emory University – Department of Finance
Christopher Jones, University of Southern California – Marshall School of Business – Finance and Business Economics Department
01/05/2007 – 8:00 AM
Location: Hyatt-Regency C
Session: International Comparisons
Chair: Rafael La Porta, Dartmouth College – Tuck School of Business
Franklin Allen, University of Pennsylvania – Finance Department, Laura Bartiloro, Bank of Italy – Research Department and Oskar Kowalewski, Warsaw School of Economics (SGH) – World Economy Research Institute – Does Economic Structure Determine Financial Structure?
Heitor Almeida, University of Illinois at Urbana-Champaign, Crocker H. Liu, New York University (NYU) – Department of Finance and Murillo Campello, Cornell University – Samuel Curtis Johnson Graduate School of Management – The Financial Accelerator: Evidence from International Housing Markets
Lubomir P. Litov, University of Arizona – Department of Finance, Kose John, New York University (NYU) – Department of Finance and Bernard Yin Yeung, Leonard N. Stern School of Business – Department of Economics – Corporate Governance and Corporate Risk Taking: Theory and Evidence
Discussants:
Luigi Zingales, University of Chicago – Booth School of Business (Finance Authors)
Jeremy Stein, Harvard University – Department of Economics (Finance Authors)
Peter Tufano, University of Oxford – Said Business School
01/05/2007 – 8:00 AM
Location: Hyatt Regency D
Session: Corporate Governance
Chair: Simi Kedia, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Michael Bradley, Duke University – Fuqua School of Business, Alon P. Brav, Duke University – Fuqua School of Business, Itay Goldstein, University of Pennsylvania – Finance Department and Wei Jiang, Columbia Business School – Finance and Economics – Costly Communication, Shareholder Activism, and Limits to Arbitrage
Dalida Kadyrzhanova, University of Maryland – Department of Finance and Matthew Rhodes-Kropf, Harvard Business School – Concentrating on Governance
Shane A. Johnson, Texas A&M University (TAMU) – Department of Finance, Theodore C. Moorman, Northern Illinois University – Department of Finance and Sorin M. Sorescu, Texas A&M University (TAMU) – Department of Finance – A Reexamination of Corporate Governance and Equity Prices
Discussants:
Laura Starks, University of Texas at Austin – Department of Finance
S. Ravid, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Kenneth Lehn, University of Pittsburgh – Finance Group
01/05/2007 – 8:00 AM
Location: Hyatt-Columbus Hall IJ
Session: Dividends & Stock Repurchases
Chair: Kose John, New York University (NYU) – Department of Finance
Amy Chun-Chia Chang, San Francisco State University – College of Business, Praveen Kumar, University of Houston – Department of Finance and Shiva Sivaramakrishnan, Texas A&M University (TAMU) – Department of Accounting – Dividend Changes, Cash Flow Predictability, and Signaling of Future Cash Flows
Radhakrishnan Gopalan, Washington University in Saint Louis – Olin Business School, Vikram K. Nanda, Georgia Institute of Technology – College of Management and Amit Seru, University of Chicago – Booth School of Business (Finance Authors) – Internal Capital Market and Dividend Policies: Evidence from Business Groups
Gerard Hoberg, University of Maryland – Department of Finance and Nagpurnanand R. Prabhala, University of Maryland – Robert H. Smith School of Business – Disappearing Dividends, Catering, and Risk
Discussants:
Douglas Skinner, University of Chicago – Booth School of Business
Michael Brennan, University of California, Los Angeles (UCLA) – Finance Area
01/05/2007 – 8:00 AM
Location: Hyatt-Acapulco
Session: Executive Compensation & Corporate Governance
Chair: Milton Harris, University of Chicago – Booth School of Business (Finance Authors)
Nisan Langberg, University of Houston – C.T. Bauer College of Business and Praveen Kumar, University of Houston – Department of Finance – Overinvestment and Corporate Fraud in Efficient Capital Markets
Ulf Axelson, London School of Economics & Political Science (LSE) – Department of Finance and Sandeep Baliga, Northwestern University – Kellogg School of Management – Liquidity and Manipulation of Executive Compensation Schemes
Gustavo Manso, University of California, Berkeley – Haas School of Business – Motivating Innovation
Discussants:
Oguzhan Ozbas, University of Southern California – Marshall School of Business – Finance and Business Economics Department
Morten Sorensen, Columbia Business School – Finance and Economics
01/05/2007 – 10:15 AM
Location: Hyatt-Regency D
Session: Derivatives
Chair: Jun Pan, Massachusetts Institute of Technology (MIT) – Economics, Finance, Accounting (EFA)
Alessandro Beber, City University London – Faculty of Finance and Michael W. Brandt, Duke University – Fuqua School of Business – Resolving Macroeconomic Uncertainty in Stock and Bond Markets
Rossen I. Valkanov, University of California, San Diego (UCSD) – Rady School of Management, Yuzhao Zhang, Temple University and Pradeep K. Yadav, University of Oklahoma – Division of Finance – Does the Early Exercise Premium Contain Information About Future Underlying Returns?
Caio Almeida, Getulio Vargas Foundation (FGV), Jeremy J. Graveline, Stanford Graduate School of Business and Scott Joslin, University of Southern California – Marshall School of Business – Finance and Business Economics Department – Do Options Contain Information About Excess Bond Returns?
Discussants:
Michael Johannes, Columbia Business School – Finance and Economics
01/05/2007 – 10:15 AM
Location: Hyatt-Regency B
Session: Behavior of Individual Investors
Chair: Terrance Odean, University of California, Berkeley – Haas School of Business
Markus Glaser, Ludwig Maximilians University of Munich – Faculty of Business Administration (Munich School of Management), Martin Weber, University of Mannheim – Department of Business Administration and Finance, Thomas Langer, University of Muenster – Finance Center Muenster and Jens Reynders, Siemens Management Consulting – Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns
Anders Anderson, Institute for Financial Research (SIFR) – Is Online Trading Gambling with Peanuts?
Soeren Hvidkjaer, Copenhagen Business School – Small Trades and the Cross-Section of Stock Returns
Discussants:
Ning Zhu, China Academy of Financial Research (CAFR)
L. Frieder, Purdue University
Andrey Ukhov, Cornell University
01/05/2007 – 10:15 AM
Location: Hyatt-Regency C
Session: Market Efficiency & Professional Investors
Chair: Jennifer Conrad, University of North Carolina (UNC) at Chapel Hill
Eric K. Kelley, University of Arizona – Department of Finance and Ekkehart Boehmer, EDHEC Business School – Institutional Investors and the Informational Efficiency of Prices
Zhi Da, University of Notre Dame – Mendoza College of Business and Ernst Schaumburg, Federal Reserve Banks – Federal Reserve Bank of New York – Target Prices, Relative Valuations and the Premium for Liquidity Provision
Jeffrey A. Busse, Emory University – Department of Finance, T. Clifton Green, Emory University – Department of Finance and Klaas Baks, Emory University – Department of Finance – Fund Managers Who Take Big Bets: Skilled or Overconfident
Discussants:
Charles Jones, Columbia Business School – Finance and Economics
Kent Womack, University of Toronto – Rotman School of Management
01/05/2007 – 10:15 AM
Location: Hyatt-Acapulco
Session: Equity Trading
Chair: Chester Spatt, Carnegie Mellon University – David A. Tepper School of Business
Christopher Charles Geczy, University of Pennsylvania – Finance Department and Jinghua Yan, SAC Capital Advisors – Who are the Beneficiaries When Insiders Trade? An Examination of Piggybacking in the Brokerage Industry
Sugato Chakravarty, Purdue University, Amber Anand, Syracuse University – Whitman School of Management and Chairat Chuwonganant, Indiana University Purdue University Fort Wayne – Cleaning House: Stock Reassignments on the NYSE
Ekkehart Boehmer, EDHEC Business School and J. (Julie) Wu, Texas A&M University (TAMU) – Order Flow and Prices
Discussants:
Stewart Mayhew, Cornerstone Research – Washington Office
01/05/2007 – 10:15 AM
Location: Hyatt-Regency A
Session: Governance Trade-Offs
Chair: Daniel Wolfenzon, Columbia Business School – Finance and Economics
Maria Guadalupe, Columbia Business School – Finance and Economics and Francisco Perez-Gonzalez, Stanford Graduate School of Business – Competition and Private Benefits of Control
Robert B. H. Hauswald, American University – Department of Finance and Real Estate and Robert S. Marquez, Boston University – School of Management – Governance Mechanisms and Corporate Disclosure
Xavier Gabaix, New York University (NYU) – Department of Finance and Augustin Landier, University of Toulouse 1 – Toulouse School of Economics (TSE) – Why Has CEO Pay Increased So Much?
Discussants:
Matias Braun, University of Adolfo Ibanez
Nittai Bergman, Massachusetts Institute of Technology (MIT) – Sloan School of Management
Steven Kaplan, University of Chicago – Booth School of Business (Finance Authors)
01/05/2007 – 2:30 PM
Location: Hyatt-Regency A
Session: Behavior of Institutions & Other Investors
Chair: Harrison Hong, Princeton University – Department of Economics
Tao Shu, University of Texas at Austin – Department of Finance – Does Positive-Feedback Trading by Institutions Contribute to Stock Return Momentum?
Rasha Ashraf, Georgia Institute of Technology and Narayanan Jayaraman, Georgia Institute of Technology – Finance Area – Institutional Investors’ Trading Behavior in Mergers and Acquisitions
Malcolm P. Baker, Harvard Business School – Finance Unit, Stefan Nagel, Stanford Graduate School of Business and Jeffrey A. Wurgler, New York University (NYU) – Department of Finance – The Effect of Dividends on Consumption
Discussants:
Natalia Piqueira, University of Houston – C.T. Bauer College of Business
Kai Li, University of British Columbia (UBC) – Sauder School of Business
01/05/2007 – 2:30 PM
Location: Hyatt-Regency B
Session: Corporate Bankruptcy & Loan Ratings
Chair: Karin Thorburn, Norwegian School of Economics and Business Administration (NHH)
Tom Chang, University of Southern California – Marshall School of Business – Finance and Business Economics Department and Antoinette Schoar, Massachusetts Institute of Technology (MIT) – Sloan School of Management – Judge Specific Differences in Chapter 11 and Firm Outcomes
Federico Ciliberto, University of Virginia (UVA) – Department of Economics and Carola Schenone, University of Virginia (UVA) – Bankruptcy and Product-Market Competition: Evidence from the Airline Industry
Amir Sufi, University of Chicago – Booth School of Business (Finance Authors) – The Real Effects of Debt Certification: Evidence from the Introduction of Bank Loan Ratings
Discussants:
Edith Hotchkiss, Boston College – Carroll School of Management
Michael Roberts, University of Pennsylvania – Finance Department
01/05/2007 – 2:30 PM
Location: Hyatt-Regency C
Session: Directors, Shareholders, & Other Monitors
Chair: Andrew Metrick, University of Pennsylvania – Finance Department
Stuart L. Gillan, University of Georgia – Department of Banking and Finance, Jay C. Hartzell, University of Texas at Austin – Department of Finance and Laura T. Starks, University of Texas at Austin – Department of Finance – Evidence on Corporate Governance: The Joint Determination of Board Structures and Charter Provisions
Steven N. Kaplan, University of Chicago – Booth School of Business (Finance Authors) and Bernadette A. Minton, Ohio State University (OSU) – Department of Finance – How has CEO Turnover Changed? Increasingly Performance Sensitive Boards and Increasingly Uneasy CEOs
I. J. Alexander Dyck, University of Toronto – Rotman School of Management, Adair Morse, University of Chicago – Booth School of Business (Finance Authors) and Luigi Zingales, University of Chicago – Booth School of Business (Finance Authors) – Who Blows the Whistle on Corporate Fraud?
Henrik Cronqvist, Claremont Colleges – Robert Day School of Economics and Finance and Rüdiger Fahlenbrach, Ecole Polytechnique Fédérale de Lausanne – Large Shareholders and Corporate Policies
Discussants:
Kose John, New York University (NYU) – Department of Finance
Shivaram Rajgopal, Emory University – Goizueta Business School
Clifford Holderness, Boston College – Department of Finance
01/05/2007 – 2:30 PM
Location: Hyatt-Acapulco
Session: Theoretical Corporate
Chair: Denis Gromb, London Business School
Andrea L. Eisfeldt, University of California, Los Angeles (UCLA) – Anderson School of Management and Adriano A. Rampini, Duke University – Fuqua School of Business – Leasing, Ability to Repossess, and Debt Capacity
Thierry Foucault, HEC Paris (Groupe HEC) – Departement Finance et Economie and Thomas Gehrig, University of Vienna – Faculty of Business, Economics, and Statistics – Stock Price Informativeness, Cross-Listings and Investment Decisions
Engelbert J. Dockner, University of Vienna – Department of Finance, Murray D. Carlson, University of British Columbia (UBC) – Sauder School of Business, Adlai J. Fisher, University of British Columbia (UBC) – Sauder School of Business and Ron Giammarino, University of British Columbia (UBC) – Sauder School of Business – Leaders, Followers, and Risk Dynamics in Industry Equilibrium
Discussants:
Kenneth Ayotte, Northwestern University – School of Law
Itay Goldstein, University of Pennsylvania – Finance Department
Antonio Mello, University of Wisconsin – Madison – School of Business
01/05/2007 – 2:30 PM
Location: Hyatt-Regency D
Session: Hedge Funds: Performance & Persistance
Chair: Cliff Asness, AQR Capital Management, LLC
William Fung, London Business School, David A. Hsieh, Duke University – Fuqua School of Business, Tarun Ramadorai, University of Oxford – Said Business School and Narayan Y. Naik, London Business School – Institute of Finance and Accounting – Hedge Funds: Performance, Risk, and Capital Formation
Andrew Ang, Columbia Business School – Finance and Economics, Matthew Rhodes-Kropf, Harvard Business School and Rui Zhao, BlackRock – Do Funds-of-Funds Deserve Their Fees-on-Fees?
Ravi Jagannathan, Northwestern University – Kellogg School of Management, Alexey Malakhov, University of Arkansas, Fayetteville – Department of Finance and Dmitry Novikov, J.P. Morgan Chase & Co. – Derivatives Research – Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
G. Baquero, ESMT European School of Management and Technology and Marno Verbeek, Erasmus University Rotterdam (EUR) – Department of Financial Management – Do Sophisticated Investors Believe in the Law of Small Numbers?
01/06/2007 – 8:00 AM
Location: Hyatt-Regency A
Session: Exploring Asset Pricing Anomalies
Chair: Jonathan Lewellen, Dartmouth College – Tuck School of Business
Lubos Pastor, University of Chicago – Booth School of Business (Finance Authors) and Pietro Veronesi, University of Chicago – Booth School of Business (Finance Authors) – Technological Revolutions and Stock Prices
Laura Xiaolei Liu, Hong Kong University of Science & Technology (HKUST) – Department of Finance, Toni M. Whited, Simon Graduate School of Business, University of Rochester and Lu Zhang, Ohio State University (OSU) – Department of Finance – Regularities
Walter N. Torous, University of California, Los Angeles (UCLA) – Finance Area, Rossen I. Valkanov, University of California, San Diego (UCSD) – Rady School of Management and Alberto Plazzi, Universita della Svizzera Italiana (USI) – Institute of Finance – Expected Returns and the Expected Growth in Rents of Commercial Real Estate
Discussants:
Leonid Kogan, Massachusetts Institute of Technology (MIT) – Sloan School of Management
Sydney Ludvigson, New York University (NYU) – Department of Economics
Markus Brunnermeier, Princeton University – Department of Economics
01/06/2007 – 8:00 AM
Location: Hyatt-Acapulco
Session: Portfolio Choice
Chair: Dimitri Vayanos, London School of Economics & Political Science (LSE) – Department of Accounting and Finance
Paul Willen, Federal Reserve Banks – Federal Reserve Bank of Boston and Felix E. Kubler, University of Zurich – Collateralized Borrowing And Life-Cycle Portfolio Choice
Otto Van Hemert, New York University (NYU) – Department of Finance – Household Interest Rate Risk Management
Jules H. van Binsbergen, Northwestern University – Kellogg School of Management, Michael W. Brandt, Duke University – Fuqua School of Business and Ralph S. J. Koijen, University of Chicago – Booth School of Business (Finance Authors) – Optimal Decentralized Investment Management
Discussants:
Francisco Gomes, London Business School – Institute of Finance and Accounting
01/06/2007 – 8:00 AM
Location: Hyatt-Regency B
Session: The Dynamics of International Equity Markets
Chair: George Karolyi, Cornell University – Samuel Curtis Johnson Graduate School of Management
Esther Eiling, University of Toronto – Finance Area and Bruno Gerard, Norwegian School of Management BI – Department of Financial Economics – Dispersion, Equity Returns Correlations and Market Integration
Söhnke M. Bartram, University of Warwick – Finance Group, Stephen J. Taylor, Lancaster University – Department of Accounting and Finance and Yaw-Huei Wang, National Taiwan University – College of Management – The Euro and European Financial Market Dependence
Discussants:
Francesca Carrieri, McGill University – Faculty of Management
Frans de Roon, Tilburg University – Department of Finance
01/06/2007 – 8:00 AM
Location: Hyatt-Regency C
Session: Capital Structure
Chair: Michael Roberts, University of Pennsylvania – Finance Department
Vahap B. Uysal, University of Oklahoma – Michael F. Price College of Business – Deviation from the Target Capital Structure and Acquisition Choices
Murray D. Carlson, University of British Columbia (UBC) – Sauder School of Business and Ali Lazrak, University of British Columbia (UBC) – Division of Finance – Leverage Choice and Credit Spread Dynamics When Managers Risk Shift
Xin Chang, Nanyang Technological University (NTU) and Sudipto Dasgupta, Hong Kong University of Science & Technology (HKUST) – Department of Finance – Target Behavior and Financing: How Conclusive is the Evidence?
Discussants:
Mark Leary, Washington University in Saint Louis – Olin Business School
Michael Lemmon, University of Utah – Department of Finance
01/06/2007 – 8:00 AM
Location: Hyatt-Regency D
Session: M&A
Chair: Steven Kaplan, University of Chicago – Booth School of Business (Finance Authors)
Ulrike Malmendier, University of California, Berkeley – Department of Economics and Enrico Moretti, University of California, Berkeley – Department of Economics – Winning by Losing: Evidence on Overbidding in Mergers
Darren J. Kisgen, Boston College – Carroll School of Management, Jun Qian, Boston College – Carroll School of Management and Weihong Song, University of Cincinnati – Department of Finance – Real Estate – Are Fairness Opinions Fair? The Case of Mergers and Acquisitions
Erik Devos, University of Texas at El Paso – College of Business Administration – Department of Economics and Finance, Palani-Rajan Kadapakkam, University of Texas at San Antonio – Department of Finance and Srinivasan Krishnamurthy, North Carolina State University – Poole College of Management – How do Mergers Create Value? A Comparison of Taxes, Market Power and Efficiency Improvements as Explanations for Synergies
Jinghua Yan, SAC Capital Advisors – Merger Waves: Theory and Evidence
Discussants:
Michael Weisbach, Ohio State University (OSU) – Department of Finance
Matthew Rhodes-Kropf, Harvard Business School
Erik Stafford, Harvard Business School – Finance Unit
C. Edward Fee, Michigan State University – Department of Finance
01/06/2007 – 10:15 AM
Location: Hyatt-Regency A
Session: Equity Volatility & Leverage
Chair: James Darrell Duffie, Stanford Graduate School of Business
Hazem Daouk, Cornell University – School of Applied Economics and Management and David Ng, Cornell University – Is Unlevered Firm Volatility Asymmetric?
Harjoat Singh Bhamra, University of British Columbia (UBC) – Sauder School of Business and Raman Uppal, London Business School – Institute of Finance and Accounting – The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns
Abdullah C. Aydemir, Lehman Brothers, New York, Michael F. Gallmeyer, University of Virginia (UVA) – McIntire School of Commerce and Burton Hollifield, Carnegie Mellon University – David A. Tepper School of Business – Financial Leverage Does Not Cause the Leverage Effect
Discussants:
Jun Pan, Massachusetts Institute of Technology (MIT) – Economics, Finance, Accounting (EFA)
Jessica Wachter, University of Pennsylvania – Finance Department
01/06/2007 – 10:15 AM
Location: Hyatt-Regency B
Session: Behavioral Approaches to Asset Pricing
Chair: Nicholas Barberis, Yale School of Management
William Charles Weld, University of Wisconsin – Madison – School of Business, Shlomo Benartzi, University of California, Los Angeles (UCLA) – Accounting Area, Roni Michaely, Cornell University – Samuel Curtis Johnson Graduate School of Management and Richard H. Thaler, University of Chicago – Booth School of Business (Finance Authors) – The Nominal Price Puzzle
Kewei Hou, Ohio State University (OSU) – Department of Finance, Lin Peng, City University of New York, CUNY Baruch College, Zicklin School of Business and Wei Xiong, Princeton University – Department of Economics – A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
Discussants:
Owen Lamont, Yale School of Management
Kent Daniel, affiliation not provided to SSRN
01/06/2007 – 10:15 AM
Location: Hyatt-Regency C
Session: Mutual Fund Organizations
Chair: Daniel Bergstresser, Harvard Business School
Ajay Khorana, Georgia Institute of Technology – Finance Area, Lei Wedge, University of South Florida – Department of Finance and Peter Tufano, University of Oxford – Said Business School – Board Structure, Mergers and Shareholder Wealth: A Study of the Mutual Fund Industry
Jerold B. Warner, Simon Graduate School of Business, University of Rochester and Joanna Shuang Wu, Simon Graduate School of Business, University of Rochester – Changes in Mutual Fund Advisory Contracts
Massimo Massa, INSEAD – Finance, Jonathan Reuter, Boston College – Department of Finance and Eric Zitzewitz, Dartmouth College – Department of Economics – When Should Firms Share Credit with Employees? Evidence from Anonymously Managed Mutual Funds
Discussants:
Richard Evans, University of Virginia (UVA) – Darden School of Business
Camelia Kuhnen, Kellogg School of Management – Department of Finance
01/06/2007 – 10:15 AM
Location: Hyatt-Acapulco
Session: Trading & Information in Markets
Chair: Maureen O’Hara, Cornell University – Samuel Curtis Johnson Graduate School of Management
Delphine Sabourin, University of Paris 9 Dauphine – CEREMADE – Are Designated Market Makers Necessary in Centralized Limit Order Markets?
Clara Vega, Federal Reserve Board and Paolo Pasquariello, University of Michigan at Ann Arbor – Stephen M. Ross School of Business – Informed and Strategic Order Flow in the Bond Market
Diego Agudelo, Indiana University Bloomington – Do Local or Foreign Traders know More in an Emerging Market? A Possible Solution to the Puzzle
Discussants:
Lawrence Glosten, Columbia Business School – Finance and Economics
Michael Goldstein, Babson College – Finance Division
Gideon Saar, Cornell University – Samuel Curtis Johnson Graduate School of Management
01/06/2007 – 10:15 AM
Location: Hyatt-Regency D
Session: Corporate Investment & Capital Structure
Chair: John Graham, Duke University – Finance
Murillo Campello, Cornell University – Samuel Curtis Johnson Graduate School of Management and Zsuzsanna Fluck, Michigan State University – Department of Finance – Product Market Performance, Switching Costs, and Liquidation Values: The Real Effects of Financial Leverage
–
Tor-Erik Bakke, University of Oklahoma – Division of Finance and Toni M. Whited, Simon Graduate School of Business, University of Rochester – Which Firms Follow the Market? An Analysis of Corporate Investment Decisions
Sudheer Chava, Georgia Institute of Technology – College of Management and Michael R. Roberts, University of Pennsylvania – Finance Department – How Does Financing Impact Investment? The Role of Debt Covenants
Discussants:
Gordon Phillips, University of Maryland – Department of Finance
01/06/2007 – 2:30 PM
Location: Hyatt-Regency C
Session: Market Efficiency
Chair: John Griffin, University of Texas at Austin – Department of Finance
Utpal Bhattacharya, Indiana University Bloomington – Department of Finance and Neal E. Galpin, University of Melbourne – Department of Finance – The Global Rise of the Value-Weighted Portfolio
Ekkehart Boehmer, EDHEC Business School, Charles M. Jones, Columbia Business School – Finance and Economics and Xiaoyan Zhang, Purdue University – Department of Management – Which Shorts are Informed?
Paul H. Schultz, University of Notre Dame – Department of Finance – Downward Sloping Demand Curves, the Supply of Shares, and the Collapse of Internet Stock Prices
Discussants:
Randall Morck, University of Alberta – Department of Finance and Management Science
Ingrid Werner, Ohio State University (OSU) – Department of Finance
Wei Xiong, Princeton University – Department of Economics
01/06/2007 – 2:30 PM
Location: Hyatt-Regency A
Session: Empirical Asset Pricing: Skeptical Perspectives
Chair: Lubos Pastor, University of Chicago – Booth School of Business (Finance Authors)
Martin Lettau, University of California, Berkeley – Finance Group and Sydney C. Ludvigson, New York University (NYU) – Department of Economics – Euler Equation Errors
Jonathan W. Lewellen, Dartmouth College – Tuck School of Business, Stefan Nagel, Stanford Graduate School of Business and Jay A. Shanken, Emory University – Department of Finance – A Skeptical Appraisal of Asset Pricing Tests
Long Chen, Washington University in Saint Louis – Olin Business School and Xinlei Shelly Zhao, Government of the United States of America – Risk Analysis Division – Return Decomposition
Discussants:
Vito Gala, London Business School – Department of Finance
Motohiro Yogo, Federal Reserve Banks – Federal Reserve Bank of Minneapolis
01/06/2007 – 2:30 PM
Location: Hyatt-Acapulco
Session: Financial Intermediation
Chair: Manju Puri, Duke University – Fuqua School of Business
Nadia Massoud, York University – Schulich School of Business, Anthony Saunders, New York University (NYU) – Department of Finance and Barry Scholnick, University of Alberta – Department of Marketing, Business Economics & Law – The Cost of Being Late: The Case of Credit Card Penalty Fees
Elena Loutskina, University of Virginia (UVA) – Darden School of Business and Philip E. Strahan, Boston College – Department of Finance – Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Acceptance Rates
João A. C. Santos, Federal Reserve Banks – Federal Reserve Bank of New York and Kristin E. Wilson, affiliation not provided to SSRN – Does Banks’ Corporate Control Benefit Firms? Evidence from US Banks’ Control Over Firms’ Voting Rights
Discussants:
Loretta Mester, Federal Reserve Banks – Federal Reserve Bank of Philadelphia
Mark Leary, Washington University in Saint Louis – Olin Business School
Steven Drucker, affiliation not provided to SSRN
01/06/2007 – 2:30 PM
Location: Hyatt-Regency B
Session: The Corporate Governance of Executive & Employee Compensation
Chair: Paolo Volpin, London Business School
Henrik Cronqvist, Claremont Colleges – Robert Day School of Economics and Finance, Fredrik Heyman, Research Institute of Industrial Economics (IFN), Mattias Nilsson, University of Colorado at Boulder – Department of Finance, Helena Svaleryd, Research Institute of Industrial Economics (IFN) and Jonas Vlachos, Stockholm University – Department of Economics – Do Entrenched Managers Pay Their Workers More?
Nishant Dass, Georgia Institute of Technology – Finance Area, Massimo Massa, INSEAD – Finance and Urs C. Peyer, INSEAD – Finance – Why Do CEOS Increase Their Equity-Based Compensation? Because They Have to
Zacharias Sautner, University of Amsterdam – University of Amsterdam Business School and Martin Weber, University of Mannheim – Department of Business Administration and Finance – Corporate Governance and the Design of Stock Option Contracts
Discussants:
Augustin Landier, University of Toulouse 1 – Toulouse School of Economics (TSE)
Yaniv Grinstein, Cornell University – Samuel Curtis Johnson Graduate School of Management
Dirk Jenter, Stanford Graduate School of Business
01/06/2007 – 2:30 PM
Location: Hyatt-Regency D
Session: IPO’s
Chair: Jay Ritter, University of Florida – Department of Finance, Insurance and Real Estate
Tim Jenkinson, University of Oxford – Said Business School and Howard Jones, University of Oxford – Said Business School – Ipo Pricing and Allocation: a Survey of the Views of Institutional Investors
Ozgur “Ozzie” S. Ince, Virginia Polytechnic Institute & State University – Department of Finance, Insurance, and Business Law – Why Do IPO Offer Prices Only Partially Adjust?
Andy Puckett, University of Tennessee, Knoxville, Paul J. Irvine, University of Georgia – Department of Banking and Finance and Michael A. Goldstein, Babson College – Finance Division – Purchasing Ipos with Commissions
Discussants:
Raymond Fishe, University of Richmond – E. Claiborne Robins School of Business
Kathleen Hanley, Securities and Exchange Commission (SEC)
Jonathan Reuter, Boston College – Department of Finance
01/07/2007 – 8:00 AM
Location: Hyatt-Regency B
Session: Cross Section of Stock Returns
Chair: Lu Zhang, Ohio State University (OSU) – Department of Finance
Soosung Hwang, Sungkyunkwan University – Department of Economics and Alexandre Rubesam, Principia Capital Management – Is Value Really Riskier than Growth?
Ravi Bansal, Duke University – Fuqua School of Business, Robert F. Dittmar, University of Michigan at Ann Arbor – Stephen M. Ross School of Business and Dana Kiku, University of Pennsylvania – The Wharton School – Long Run Risks and Equity Returns
Michael J. Cooper, University of Utah – David Eccles School of Business, Huseyin Gulen, Purdue University – Finance and Michael J. Schill, University of Virginia (UVA) – Darden School of Business – Asset Growth and the Cross-Section of Stock Returns
Discussants:
Ralitsa Petkova, Texas A&M University (TAMU)
Sydney Ludvigson, New York University (NYU) – Department of Economics
Laura Xiaolei Liu, Hong Kong University of Science & Technology (HKUST) – Department of Finance
01/07/2007 – 8:00 AM
Location: Hyatt-Acapulco
Session: Asset Pricing with Heterogeneous Beliefs
Chair: Wei Xiong, Princeton University – Department of Economics
Bernard Dumas, INSEAD – Finance, Alexander Kurshev, London Business School – Department of Finance and Raman Uppal, London Business School – Institute of Finance and Accounting – What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Snehal Banerjee, Kellogg School of Management – Department of Finance, Ron Kaniel, Simon Graduate School of Business, University of Rochester and Ilan Kremer, Stanford Graduate School of Business – Price Drift as an Outcome of Differences in Higher Order Beliefs
Yang Bai, University of Hong Kong – School of Business, Eric C. Chang, University of Hong Kong – School of Business and Jiang Wang, Massachusetts Institute of Technology (MIT) – Sloan School of Management – Asset Prices and Short-Sale Constraints
Discussants:
Costis Skiadas, Northwestern University – Kellogg School of Management
Hongjun Yan, Yale University – International Center for Finance
01/07/2007 – 8:00 AM
Location: Hyatt-Regency A
Session: Behavioral Corporate Finance: Managerial Overconfidence & Corporate Overvaluation
Chair: Ulrike Malmendier, University of California, Berkeley – Department of Economics
Anand M. Goel, affiliation not provided to SSRN and Anjan V. Thakor, Washington University in Saint Louis – Olin Business School – Overconfidence, CEO Selection, and Corporate Governance
Weihong Song, University of Cincinnati – Department of Finance – Real Estate – Does Overvaluation Lead to Bad Mergers?
01/07/2007 – 8:00 AM
Location: Hyatt-Regency C
Session: Empirical Topics in Corporate Leverage
Chair: Antoinette Schoar, Massachusetts Institute of Technology (MIT) – Sloan School of Management
Julian Atanassov, University of Oregon – Department of Finance, Vikram K. Nanda, Georgia Institute of Technology – College of Management and Amit Seru, University of Chicago – Booth School of Business (Finance Authors) – Finance and Innovation: The Case of Publicly Traded Firms
David T. Brown, University of Florida – Department of Finance, Insurance and Real Estate, C. Edward Fee, Michigan State University – Department of Finance and Shawn E. Thomas, University of Pittsburgh – Finance Group – Financial Leverage and Bargaining Power With Suppliers: Evidence from Leveraged Buyouts
Jose Maria Liberti, DePaul University – Department of Finance and Atif R. Mian, University of California, Berkeley – Haas School of Business – Uncovering Collateral
Discussants:
Andres Almazan, University of Texas at Austin – Department of Finance
Holger Mueller, New York University (NYU) – Department of Finance
01/07/2007 – 8:00 AM
Location: Hyatt-Regency D
Session: The Financial Payoffs from Political Connections
Chair: Martin Gruber, New York University (NYU) – Department of Finance
Effi Benmelech, Harvard University – Department of Economics (Finance Authors) and Tobias J. Moskowitz, University of Chicago – Booth School of Business (Finance Authors) – The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 18th and 19th Century
Eitan Goldman, Indiana University Bloomington – Department of Finance, Jongil So, University of North Carolina (UNC) at Chapel Hill – Finance Area and Jörg Rocholl, ESMT European School of Management and Technology – Do Politically Connected Boards Affect Firm Value?
Pramuan Bunkanwanicha, ESCP Europe and Yupana Wiwattanakantang, NUS Business School, National University of Singapore – Big Business Owners in Politics
Discussants:
Mark Flannery, University of Florida – Department of Finance, Insurance and Real Estate
Alexander Ljungqvist, National Bureau of Economic Research (NBER)
Ronald Masulis, University of New South Wales (UNSW) – School of Banking and Finance
01/07/2007 – 10:15 AM
Location: Hyatt-Regency A
Session: Financial Market Returns & the Macroeconomy
Chair: Stefan Nagel, Stanford Graduate School of Business
Stijn Van Nieuwerburgh, New York University (NYU) – Department of Finance and Martin Lettau, University of California, Berkeley – Finance Group – Reconciling the Return Predictability Evidence
Menachem Brenner, New York University (NYU) – Department of Finance, Paolo Pasquariello, University of Michigan at Ann Arbor – Stephen M. Ross School of Business and Marti G. Subrahmanyam, New York University (NYU) – Department of Finance – Financial Markets and the Macro Economy
Long Chen, Washington University in Saint Louis – Olin Business School, Ralitsa Petkova, Texas A&M University (TAMU) and Lu Zhang, Ohio State University (OSU) – Department of Finance – The Expected Value Premium
Discussants:
Jonathan Lewellen, Dartmouth College – Tuck School of Business
Amit Goyal, University of Lausanne
01/07/2007 – 10:15 AM
Location: Hyatt-Regency B
Session: Mutual Fund Performance
Chair: Lu Zheng, University of California, Irvine – Paul Merage School of Business
Martijn Cremers, Yale School of Management and Antti Petajisto, New York University (NYU) – Department of Finance – How Active is Your Fund Manager? A New Measure That Predicts Performance
Susan Kerr Christoffersen, University of Toronto – Rotman School of Management and Sergei Sarkissian, McGill University – Faculty of Management – City Size and Fund Performance
Discussants:
Clemens Sialm, University of Texas at Austin – Red McCombs School of Business
Zhi Wang, University of Illinois at Urbana-Champaign
01/07/2007 – 10:15 AM
Location: Hyatt-Acapulco
Session: Liquidity in Financial Markets
Chair: Ronnie Sadka, Boston College – Department of Economics
Wenjin Kang, National University of Singapore (NUS) – Department of Accounting, Allaudeen Hameed, National University of Singapore (NUS) – Department of Finance and S. “Vish” Viswanathan, Duke University – Finance – Stock Market Declines and Liquidity
Prachi Deuskar, University of Illinois at Urbana-Champaign – Extrapolative Expectations: Implications for Volatility and Liquidity
Anurag Gupta, Case Western Reserve University – Department of Banking & Finance, Ajai K. Singh, Case Western Reserve University – Department of Banking & Finance and Allan A. Zebedee, Clarkson University – School of Business – Liquidity in the Pricing of Syndicated Loans
Discussants:
Dimitri Vayanos, London School of Economics & Political Science (LSE) – Department of Accounting and Finance
01/07/2007 – 10:15 AM
Location: Hyatt-Regency C
Session: IPO’s, SEO’s, & Investment Banking
Chair: Alon Brav, Duke University – Fuqua School of Business
Paul Oyer, Stanford Graduate School of Business – The Making of an Investment Banker: Macroeconomic Shocks, Career Choice, and Lifetime Income
Bernardo Bortolotti, University of Turin – Department of Economics and Financial Sciences G. Prato, Scott B. Smart, Indiana University Bloomington – Department of Finance and William L. Megginson, University of Oklahoma – Division of Finance – The Rise of Accelerated Seasoned Equity Underwritings
Oya Altinkilic, George Washington University – Department of Finance, Robert S. Hansen, Tulane University – A.B. Freeman School of Business and Emir Hrnjic, National University of Singapore (NUS) – Department of Accounting – Investment Bank Governance
Thomas J. Chemmanur, Boston College – Department of Finance, Shan He, Louisiana State University, Baton Rouge and Debarshi K. Nandy, Brandeis University – International Business School – The Going Public Decision and the Product Market
Discussants:
Yaniv Grinstein, Cornell University – Samuel Curtis Johnson Graduate School of Management
Itay Goldstein, University of Pennsylvania – Finance Department
01/07/2007 – 10:15 AM
Location: Hyatt-Regency D
Session: Security Analysts: Conflicts of Interest in Opinions & Return Predictability from Opinions
Chair: Avanidhar Subrahmanyam, University of California, Los Angeles (UCLA) – Finance Area
Alexander Ljungqvist, National Bureau of Economic Research (NBER), Christopher J. Malloy, Harvard Business School and Felicia C. Marston, University of Virginia (UVA) – McIntire School of Commerce – Rewriting History
John S. Howe, University of Missouri at Columbia – Department of Finance, Xuemin Sterling Yan, University of Missouri at Columbia – Department of Finance and Emre Unlu, University of Nebraska at Lincoln – The Predictive Content of Aggregate Analyst Recommendations
Bilal Erturk, Oklahoma State University – Stillwater – Department of Finance – Dispersion of Forecasts and Stock Returns
Francois Derrien, HEC Paris (Groupe HEC) – Currying Favor to Win IPO Mandates
Discussants:
Jennifer Juergens, Drexel University – Department of Finance
James Weston, Rice University – Jesse H. Jones Graduate School of Business
Anna Scherbina, University of California, Davis – Graduate School of Management
Leslie Boni, University of New Mexico – Department of Finance, International, and Techology (FIT)
01/07/2007 – 1:00 PM
Location: Hyatt-Regency A
Session: Fixed Income
Chair: Monika Piazzesi, University of Chicago – Booth School of Business
Emanuel Moench, Humboldt University of Berlin – School of Business and Economics – Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach
Torben G. Andersen, Northwestern University – Kellogg School of Management and Luca Benzoni, Federal Reserve Banks – Federal Reserve Bank of Chicago – Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
Qiang Dai, University of North Carolina (UNC) at Chapel Hill – Finance Area, Anh Le, New York University (NYU) – Department of Finance and Kenneth J. Singleton, Stanford Graduate School of Business – Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk
Don H. Kim, Yonsei University and Athanasios Orphanides, Central Bank of Cyprus – Term Structure Estimation with Survey Data on Interest Rate Forecasts
Discussants:
Jean Boivin, HEC Montreal
Pedro Santa-Clara
Joann Jasiak, York University – Department of Economics
Mikhail Chernov, London School of Economics & Political Science (LSE)
01/07/2007 – 1:00 PM
Location: Hyatt-Regency B
Session: Accounting Information & Security Valuation
Chair: Scott Richardson, London Business School
Vladimir A. Gatchev, University of Central Florida – Department of Finance, Todd C. Pulvino, CNH Partners and Vefa Tarhan, Loyola University of Chicago – School of Business Administration – The Interdependent and Intertemporal Nature of Financial Decisions: An Application to Cash Flow Sensitivities
Laurel Franzen, Loyola Marymount University, Kimberly Rodgers Cornaggia, Indiana University Bloomington – Department of Finance and Timothy T. Simin, Pennsylvania State University – Mary Jean and Frank P. Smeal College of Business Administration – Measuring Distress Risk: The Effect of R&D Intensity
Ashiq Ali, University of Texas at Dallas – School of Management, Jane Chen, Kansas State University – College of Business Administration, Tong Yao, University of Iowa – Henry B. Tippie College of Business and Tong Yu, University of Rhode Island – College of Business Administration – Do Mutual Funds Profit from the Accruals Anomaly?
David A. Hirshleifer, University of California, Irvine – Paul Merage School of Business, Kewei Hou, Ohio State University (OSU) – Department of Finance and Siew Hong Teoh, University of California, Irvine – Paul Merage School of Business – The Accrual Anomaly: Risk or Mispricing?
01/07/2007 – 1:00 PM
Location: Hyatt-Acapulco
Session: International Portfolio Allocation
Chair: Ingrid Werner, Ohio State University (OSU) – Department of Finance
Timothy K. Chue, Hong Kong University of Science & Technology (HKUST) – Department of Economics – Is Equity Home Bias Really Suboptimal?
Warren B. Bailey, Cornell University – Samuel Curtis Johnson Graduate School of Management, Alok Kumar, University of Miami – Department of Finance and David Ng, Cornell University – Foreign Investments of U’S’ Individual Investors: Causes and Consequences
Qinghai Wang, Georgia Institute of Technology – College of Management, Dongmin Ke, Kean University and Lilian K. Ng, University of Wisconsin – Milwaukee – School of Business Administration – Home Bias in Foreign Investment Decisions
Discussants:
Tarun Ramadorai, University of Oxford – Said Business School
Rodolfo Martell, Barclays – Barclays Global Investors (BGI)
Vicentiu Covrig, California State University, Northridge – Department of Finance, Real Estate, & Insurance
01/07/2007 – 1:00 PM
Location: Hyatt-Regency C
Session: Venture Capital & Private Equity
Chair: Paul Gompers, Harvard Business School – Finance Unit
Yael V. Hochberg, Kellogg School of Management – Department of Finance, Alexander Ljungqvist, National Bureau of Economic Research (NBER) and Yang Lu, AQR Capital Management, LLC – Networking as Entry Deterrence and the Competitive Supply of Venture Capital
Rebecca Zarutskie, Duke University – Fuqua School of Business – The Role of Top Management Team Human Capital in Venture Capital Markets: Evidence from First-Time Funds
Philipp Krohmer, CEPRES – Center of Private Equity Research, Rainer Lauterbach, University of Pennsylvania and Victor Franco M. Calanog, University of Pennsylvania – Business & Public Policy Department – The Bright and Dark Side of Staging: Investment Performance and the Varying Motivations of Private Equity Firms
Discussants:
Andrew Metrick, Yale School of Management
Rüdiger Fahlenbrach, Ecole Polytechnique Fédérale de Lausanne
Yuhai Xuan, Harvard Business School – Finance Unit
01/07/2007 – 1:00 PM
Location: Hyatt-Regency D
Session: The Evolution of Financial Institutions
Chair: Mitchell Petersen, Northwestern University – Kellogg School of Management
William O. Brown Jr., University of North Carolina (UNC) at Greensboro, J. Harold Mulherin, University of Georgia – Department of Banking and Finance and Marc D. Weidenmier, Claremont Colleges – Robert Day School of Economics and Finance – Competing with the NYSE
Evan Gatev, Simon Fraser University (SFU) – Finance Area, Philip E. Strahan, Boston College – Department of Finance and Til Schuermann, Federal Reserve Banks – Federal Reserve Bank of New York – Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
Bernadette A. Minton, Ohio State University (OSU) – Department of Finance, Rohan G. Williamson, Georgetown University – Department of Finance and Rene M. Stulz, Ohio State University (OSU) – Department of Finance – How Much do Banks use Credit Derivatives to Reduce Risk?
Discussants:
Michael Barclay, Deceased
Andrea Eisfeldt, University of California, Los Angeles (UCLA) – Anderson School of Management
Gregory Brown, University of North Carolina (UNC) at Chapel Hill – Finance Area