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    p95 Program sessions revised Feb 26 (1).doc p95 Program sessions revised Feb 26 (1).doc Document Transcript

    • Eastern Finance Association 2003 Annual Meeting Program Sessions Session 1-1 Thursday, April 10, 2003 Coronado M 8:15 - 9:45 Psychology and Finance Chair: Thomas E. Willey, Grand Valley State University Papers: Interest Sensitive Stocks and Flights to Safe Havens P.V. Viswanath, Pace University Gordon Tang, Hong Kong Baptist University Discussant: Thomas E. Willey, Grand Valley State University An Experimental Study of Subjective Discount Rates Joseph Yagil, Haifa University and Columbia University Uri Benzion, The Technion Israel Institute of Technology and Ben Gurion University Discussant: James E. Owers, Georgia State University What's in a Name? An Experimental Examination of Investment Behavior Lucy Ackert, Kennesaw State University Bryan Church, Georgia Institute of Technology James G. Tompkins, Kennesaw State University Ping Zhang, University of Toronto Discussant: Beverly B. Marshall, Auburn University Session 1-2 Thursday, April 10, 2003 Coronado N 8:15 - 9:45 Mutual Fund Performance Chair: Benedicte Reyes, Monmouth University Papers: Hybrid Fund Manager Behavior During Financial Crises George Comer, Georgetown University Discussant: Barrie A. Bailey, Monmouth University Identifying Superior Performing Equity Mutual Funds Ravi Shukla, Syracuse University Discussant: Amy F. Lipton, Lehigh University Mutual Fund Performance -- What Really Matters: Style or Risk? Steven Krull, Hofstra University Discussant: Lucy Ackert, Kennesaw State University
    • Session 1-3 Thursday, April 10, 2003 Coronado P 8:15 - 9:45 Board Composition & Corporate Misconduct Chair: Jayant Kale, Georgia State University Papers: The Importance of Board Composition in the Event of a CEO Death Kelly Brunarski, Miami University Kenneth Borokhovich, Cleveland State University Yvette Harman, Miami University Maura Skill, University of Dayton Discussant: Melissa B. Frye, University of Central Florida The Board Structure of Socially Responsible Firms Elizabeth Webb, Drexel University Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University Determinants of the Stock Price Reaction to Allegations of Corporate Misconduct: Firm Size, Earnings and Risk Effects Deborah Murphy, University of Tennessee Ronald E. Shrieves, University of Tennessee Samuel L. Tibbs, University of Tennessee Discussant: Janet D. Payne, Southwest Texas State University Session 1-4 Thursday, April 10, 2003 Coronado Q 8:15 - 9:45 Finance and Economic Development Chair: Bharat Bhalla, Fairfield University Papers: Patterns of Industrial Development Revisited: The Role of Finance Raymond Fisman, Columbia University Inessa Love, World Bank Discussant: Alicia Garcia-Herrero, Bank of Spain Why do Countries Develop More Financially than Others? Lucia Cuadro-Saez, Banco de Espana Alicia Garcia-Herrero, Bank of Spain Sonsoles Gallego, Bank of Spain Discussant: Jim McIntyre, Jacksonville State University Intra Industry Effects of Privatization Announcements. Evidence from Developed and Developing Countries. Isaac Otchere, University of Melbourne Discussant: Melinda Newman, University of Akron
    • Session 1-5 Thursday, April 10, 2003 Coronado R 8:15 - 9:45 Regulating Liquidity Chair: Harald Henke, Europa University Viadrina Papers: Decimalization and the Ex-dividend-day Behavior of Stock Prices Dan French, New Mexico State University Natalya Delcoure, University of South Alabama Discussant: George Schatz, Maine Maritime Academy Does Price Quote Matter? Ehsan Nikbakht, Hofstra University Discussant: Peter R. Locke, George Washington University A Transaction-Level Analysis of Price Change Volatility and Autocorrelation after the Decimalization Yan He, San Francisco State University Chunchi Wu, Syracuse University Discussant: Michael Haigh, University of Maryland Session 1-6 Thursday, April 10, 2003 Coronado S 8:15 - 9:45 Debt Contracts and Firm Defaults Chair: Helen L. Bowers, University of Delaware Papers: Corporate Governance and Debt Structure Sara Robicheaux, Birmingham-Southern College James A. Ligon, University of Alabama Discussant: Rodolfo Apreda, Universidad Del Cema The Zero Debt Puzzle William Wells, Georgia Sothern University Discussant: Phyllis Y. Keys, Ohio State University Detecting the Nonlinear Structure in the Relationship of Financial Ratios and Firm Default Zheng Wang, Baruch College - City University of New York Discussant: Claire E. Crutchley, Auburn University Panel Session 1-7 Thursday, April 10, 2003 Cancun 8:15 - 9:45 GSEs and Systemic Risk Chair: Gerald A. Hanweck, George Mason University Panelists: Gerald A. Hanweck, George Mason University Robert S. Seiler, Jr., Office of Federal Housing Enterprise Oversight Bernard Shull, City University of New York
    • Session 2-1 Thursday, April 10, 2003 Coronado M 10:00 - 11:30 Insurance and Financing Companies Chair: William A. Scroggings, Jacksonville State University Papers: Assessing the Contestability of the Hong Kong Banking Industry: 1991 - 2000 Rongrong Zhang, University of Tennessee George Philippatos, University of Tennessee Discussant: Jim McIntyre, Jacksonville State University The Effect of the Gramm-Leach-Bliley Act on the Insurance Industry Faith R. Neale, Florida State University Wendy D. Habegger, Florida State University Pamela P Peterson, Florida State University Discussant: Larry Lynch, Roanoke College Inter-industry Contagion and the Competitive Effects of Financial Distress Announcements: Evidence from Commercial Banks and Life Insurance Companies Elijah Brewer III, Federal Reserve Bank of Chicago William E. Jackson III, University of North Carolina Discussant: Christopher Westley, Jacksonville State University Session 2-2 Thursday, April 10, 2003 Coronado N 10:00 - 11:30 Additional Evidence on Mutual Fund Performance Chair: Paula Tkac, Federal Reserve Bank of Atlanta Papers: Simulating a Socially Screened Enhanced Index Fund Lloyd Kurtz, Harris Bretall Sullivan & Smith Dan D. DiBartolomeo, Northfield Information Services Sandy Warrick, Northfield Information Services Discussant: Kimberly C. Gleason, Bentley College The Relationship Between the Consumer Sentiment Index and the Stock Market Ronnie Clayton, Jacksonville State University Discussant: Juan Dempere, Florida Atlantic University US-based Global Government Bond Fund: Style Analysis and Performance Measurement Sirapat Polwitoon, Susquehanna University Discussant: Anita K. Pennathur, Florida Atlantic University
    • Session 2-3 Thursday, April 10, 2003 Coronado P 10:00 - 11:30 Managerial Incentives Chair: Douglas Lamdin, University of Maryland - Baltimore County Papers: The Impact of Stock Option Incentives on Investment and Firm Value Daniel Pasternack, Swedish School of Economics and Business Administration Matts Rosenberg, Swedish School of Economics and Business Administration Discussant: Kuldeep Shastri, University of Pittsburgh Managerial Incentives and Executive Stock Option Repricing: A study of US Casino Executives Daniel A. Rogers, Portland State University Discussant: Matts Rosenberg, Swedish School of Economics and Business Administration Delegated Portfolio Management and Agency Saltuk Ozerturk, Southern Methodist University Discussant: Gerald P. Dwyer, Jr., Federal Reserve Bank of Atlanta Session 2-4 Thursday, April 10, 2003 Coronado Q 10:00 - 11:30 Government Influence on Financial Markets and Instruments Chair: Raj Aggarwal, Kent State University Papers: Renegotiations on Sovereign Debt: Reduce or Reschedule? Pascal Francois, HEC Montreal Discussant: John H. Thornton, Jr., Kent State University Impact of Capital Control on Stock Returns: Evidence from Malaysia Yewmun Yip, San Francisco State University Discussant: Tara N. Rice, Federal Reserve Bank of Chicago Emerging Financial Issues and Strategies for Multinational Investments Kashi Nath Tiwari, KNT's Academic Financial Research Discussant: Seyed Mehdian, University of Michigan - Flint Session 2-5 Thursday, April 10, 2003 Coronado R 10:00 - 11:30 Competition, Behavior and Liquidity Chair: Pankaj Jain, University of Memphis Papers: Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis Michael Haigh, University of Maryland John List, University of Maryland Discussant: Damir Tokic, University of Houston - Downtown Microstructure Differences Between the Two Classes of Dual-Class Firms Premal P. Vora, Pennsylvania State University - Harrisburg John R. Ezzell, Pennsylvania State University Discussant: Chad Zutter, University of Pittsburgh The Impact of Competition on Intraday Spreads: QQQ Example Asli Ascioglu, Bryant College Murat Aydogdu, Bryant College Discussant: Liang Peng, University of Cincinnati
    • Session 2-6 Thursday, April 10, 2003 Coronado S 10:00 - 11:30 Bankruptcy Costs Chair: Pamela P. Peterson, Florida State University Papers: A Real Options Approach to Bankruptcy Costs: Evidence from Failed Commercial Banks During the 1990s Joseph R. Mason, Drexel University Discussant: Scott Besley, University of South Florida Corporate Diversification and Industry Shocks: Evidence from Competitors' Bankruptcy Filings Peter J. DaDalt, Georgia State University Jacqueline L. Garner, Drexel University Bing-Xuan Lin, University of Rhode Island Discussant: Ninon Kohers, University of South Florida Optimization of Corporate Capital Structure. A Quantitative Approach Based on a Joint Probabilistic Prognosis of Event and Time of Bankruptcy Vladimir Philosophov, Interregional Bankruptcy Service for Central Russia Leonid Philosophov, Moscow Committee of Bankruptcy Affairs Discussant: Michael Gombola, Drexel University Special Session 2-7 Thursday, April 10, 2003 Cancun 10:00 - 11:30 Teaching Technical Analysis Chair: Julie Dahlquist, University of Texas - San Antonio Session 3-1 Thursday, April 10, 2003 Coronado M 11:45 - 1:15 Bank Lending and Production Chair: M. Cary Collins, University of Tennessee Papers: The Composition of Loan Portfolios Andreas Pfingsten, University of Muenster Kai Rudolph, University of Muenster Discussant: Alistair Milne, City University Business School, London Examining the Sources of Productivity Developments in Banks of Emerging Markets Ihsan Isik, Rowan University Discussant: Seyed Mehdian, University of Michigan - Flint Efficiencies and Thrift Takeovers: Evidence from the 1990s A. Sinan Cebenoyan, Hofstra University Elizabeth S. Cooperman, University of Colorado - Denver Fatma Cebenoyan, City University of New York Discussant: Tara N. Rice, Federal Reserve Bank of Chicago
    • Session 3-2 Thursday, April 10, 2003 Coronado N 11:45 - 1:15 Mutual Fund Fees Chair: Stephen Pruitt, University of Missouri - Kansas City Papers: Economies of Scale in Equity Mutual Funds Miles Livingston, University of Florida Edward S. O'Neal, Wake Forest University Discussant: David Shrider, University of South Carolina How do Agency Problems Impact Mutual Fund Investor Decisions? David Shrider, University of South Carolina Discussant: Paula Tkac, Federal Reserve Bank of Atlanta Economies of Scale in the Management of Mutual Funds D. K. Malhotra, Philadelphia University Rand Martin, Bloomsburg University Discussant: Melissa B. Frye, University of Central Florida Session 3-3 Thursday, April 10, 2003 Coronado P 11:45 - 1:15 Executive Compensation Structure Chair: Ramesh Rao, Oklahoma State University Papers: Indexed Executive Stock Options With Ratchet Mechanism and Average Prices Jian Wu, Rouen Graduate School of Management - France Discussant: Claire E. Crutchley, Auburn University Golden Parachutes: Managerial Opportunism or Compensation Mechanism Kenneth Small, University of Tennessee - Knoxville Discussant: Rodolfo Apreda, Universidad Del Cema Does Option Compensation Induce Managers to Increase Risk-taking? Joseph H. Meredith, Elon University Discussant: Helen L. Bowers, University of Delaware Session 3-4 Thursday, April 10, 2003 Coronado Q 11:45 - 1:15 Issues in Cross-Border Growth Chair: Beverly B. Marshall, Auburn University Papers: Intra-Industry Effects of Successful and Unsuccessful Cross Border Acquisitions: A Test of the Acquisition Probability Hypothesis Edwina Ip, University of Melbourne Isaac Otchere, University of Melbourne Discussant: Rejin Guo, University of Illinois - Chicago Risk and Wealth Effects of U.S. Firm Joint Venture Activity Karen Denning, West Virginia University Heather Hulburt, West Virginia University Stephen Ferris, University of Missouri - Columbia Discussant: Robert S. Parti, Florida State University Managerial Incentives and International Acquisition Decisions Dong-Kyoon Kim, State University of New York Discussant: Janet D. Payne, Southwest Texas State University
    • Session 3-5 Thursday, April 10, 2003 Coronado R 11:45 - 1:15 Trading Systems and Liquidity Chair: Thomas H. McInish, University of Memphis Papers: Financial Market Design and Equity Premium: Electronic versus Floor Trading Pankaj Jain, University of Memphis Discussant: Jacqueline L. Garner, Drexel University When Continuous Trading Becomes Continuous Harald Henke, Europa University Viadrina Discussant: Haiwei Chen, Westminster College Liquidity Providers on an Electronic Order-Driven Market Edward Chow, National Chengchi University Discussant: Premal P. Vora, Pennsylvania State University - Harrisburg Session 3-6 Thursday, April 10, 2003 Coronado S 11:45 - 1:15 Measuring Risk Chair: Jinliang Li, Northeastern University Papers: The Impact of Clearing on the Credit Risk of a Derivatives Portfolio Carsten Murawski, University of Zurich Discussant: Wei Zhang, State University of New York -- Fredonia How to Include Liquidity in a Market VAR Statistic? Robert Dubil, San Jose State University Discussant: Yan He, San Francisco State University The Estimation of a Firm's Hedging Effects: Marginal Value at Risk (M-Var) Approach Sam Chung, Long Island University Discussant: Jinliang Li, Northeastern University Special Session 3-7 Thursday, April 10, 2003 Cancun 11:45 - 1:15 Incorporating CFP Board Requirements into a Finance Curriculum Chair: Anne Kern, CFP Board of Standards
    • Session 4-1 Thursday, April 10, 2003 Coronado M 1:30 - 3:00 Economic Effects on Bank Returns Chair: Seyed Mehdian, University of Michigan - Flint Papers: Bank Stock Return Sensitivities to the Long-term and Short-term Interest Rates: A Multivariate GARCH Iqbal Mansur, Widener University Elyas Elyasiani, Temple University Discussant: Sridhar Sundaram, Grand Valley State University An Investigation of the Mid-Loan Relationship Between Bank-Lenders and Borrowers Aron Gottesman, Pace University Gordon Roberts, York University Discussant: Yaman Erzurumlu, University of Central Florida Can a Lack of Information be Informative? The Evidence from Approved and Denied Loans Eugene Bland, Francis Marion University Discussant: Vitaly Guzha, University of Central Florida Session 4-2 Thursday, April 10, 2003 Coronado N 1:30 - 3:00 The Pricing of Mutual Funds Chair: D. K. Malhotra, Philadelphia University Papers: Assessing Diversification Benefits of Hedge Funds by Kernel Fit Muzaffer Balta, City University of New York Discussant: Erik Lueders, University of Konstanz The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing Ernest Biktimirov, Brock University Discussant: Ray Sturm, Florida Atlantic University Clientele Differences in the Market for Exchange-Traded Funds: A Comparison of the Trading Characteristics of ETFs vis-à-vis their Underlying Equities Stephen Pruitt, University of Missouri - Kansas City John M. Clark, University of Missouri - Kansas City Bonnie F. Van Ness, University of Mississippi Discussant: Jian Wu, Rouen Graduate School of Management - France
    • Session 4-3 Thursday, April 10, 2003 Coronado P 1:30 - 3:00 Executive Ownership and Compensation Chair: Anita K. Pennathur, Florida Atlantic University Papers: Who is in Whose Pocket? Director Compensation, Bargaining Power and Board Independence Harley "Chip" E. Ryan, Jr., Louisiana State University Roy A. Wiggins III, Bentley College Discussant: Stuart L. Gillan, University of Delaware Executive Loans Kathleen M. Kahle, University of Pittsburgh Kuldeep Shastri, University of Pittsburgh Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University Ownership Structure and Risk: A Canadian Empirical Analysis Mohamed Ayadi, Brock University Yoser Gadhoum, University of Quebec in Montreal Discussant: Mengxin Zhao, University of Pittsburgh/Bentley College Session 4-4 Thursday, April 10, 2003 Coronado Q 1:30 - 3:00 International Investment Chair: Brian M Lucey, University of Dublin Papers: Market Concentration Liquidity and Emerging Markets Performance Harri Ramcharran, University of Akron Discussant: Lei Zhou, Miami University Diffusion Indicies for Capital Markets Lawrence Pohlman, Panagora Daniel Morillo, Panagora Discussant: Angela J. Black, University of Aberdeen The Impact of Sovereign Country Risk and Market Integration on European Stock Markets Anthony Chambet, University of Zurich Rajna Gibson, University of Zurich Discussant: Shiyun Wang, University of Manchester
    • Session 4-5 Thursday, April 10, 2003 Coronado R 1:30 - 3:00 Time and Volume Chair: Yan He, San Francisco State University Papers: Trading Takes Time Liang Peng, University of Cincinnati Discussant: Ahmet K. Karagozoglu, Hofstra University A First Look at the Interrelationships Between Priors, Information, Investor Interpretations and Trading Stephanie Rauterkus, Louisiana State University Discussant: Peter R. Locke, George Washington University Option Trading Around Information Events Dennis J. Whalen, Otterbein College Discussant: Pankaj Jain, University of Memphis Tutorial Session 4-6 Thursday, April 10, 2003 Coronado S 1:30 - 3:00 Conditional Value-at-Risk, Methodology and Applications: Overview Chair: Stanislav Uryasev, University of Florida Panel Session 4-7 Thursday, April 10, 2003 Cancun 1:30 - 3:00 The Large Lecture Classroom: What are the Benefits? What are the Pitfalls? Chair: Pamela P Peterson, Florida State University Panelists: Joel Houston, University of Florida Anthony Byrd, University of Central Florida Session 5-1 Thursday, April 10, 2003 Coronado M 3:15 - 4:45 Helping Students Understand Risk Chair: Raj Aggarwal, Kent State University Papers: The Retrospective Life Insurance Method: A Pedagogic Spreadsheet Application Betty J. Simkins, Oklahoma State University David R. Lange, Auburn University at Montgomery Discussant: Larry Lynch, Roanoke College Monte Carlo Simulation: A Hand's On Capital Budgeting Case Study Using @ Risk Samuel C. Weaver, Lehigh University Discussant: Lei Zhou, Miami University A Pedagogical Note on the Recognition and Management of Financial Risk Mike Barth, Georgia Southern University John J. Hatem, Georgia Southern University Discussant: Samuel C. Weaver, Lehigh University
    • Session 5-2 Thursday, April 10, 2003 Coronado N 3:15 - 4:45 The Behavior of Mutual Fund Managers Chair: Oliver Schnusenberg, St. Joseph's University Papers: Universal versus Segmented Competition in the Mutual Funds Industry Marco Navone, Bocconi University Discussant: Stefan Ruenzi, University of Cologne Tournaments in the Mutual Fund Industry Alexander Kempf, University of Cologne Stefan Ruenzi, University of Cologne Discussant: Ray Sturm, Florida Atlantic University Mutual Fund Ownership and the Number Effect Ken P. Johnston, Georgia Southern University Discussant: Andrea J. Heuson, University of Miami Session 5-3 Thursday, April 10, 2003 Coronado P 3:15 - 4:45 Incentive and Corporate Restructuring Chair: Douglas Lamdin, University of Maryland - Baltimore County Papers: The Price of Corporate Acquisition: An Analysis of Merger Premia Vijay Gondhalekar, University of Michigan - Flint Raymond Sant, Schweser Study Program, Kaplan, Inc. Stephen Ferris, University of Missouri - Columbia Discussant: Alan Gart, Indiana University of Pennsylvania Earnings Management, Stock Performance and the Role of Buyout Specialists in Reverse Leveraged Buyouts De-Wai Chou, National Chung Cheng University Michael Gombola, Drexel University Feng-Ying Liu, Rider University Discussant: Speros Margetis, University of South Florida Poison Pills: Do They Affect Takeover Activity? Ozkan Ozfidan, Virginia Department of Planning and Budget Ramesh Rao, Oklahoma State University Discussant: Peter J. DaDalt, Georgia State University
    • Session 5-4 Thursday, April 10, 2003 Coronado Q 3:15 - 4:45 International equity markets Chair: Andy Naranjo, University of Florida Papers: What Predicts Volume? Boyce Watkins, Syracuse University Discussant: Shaikh Hamid, Southern New Hampshire University Return Autocorrelation and Institutional Investors in the ADRS Market Kenneth Yung, Old Dominion University Diane DeQing Li, University of Maryland - Eastern Shore Discussant: Nikiforos Laopodis, Fairfield University Implied Cost of Equity and its Determinants: A Case of Emerging Market Equity Dev R. Mishra, Memorial University of Newfoundland Discussant: C. Mitchell Conover, University of Richmond Session 5-5 Thursday, April 10, 2003 Coronado R 3:15 - 4:45 International Liquidity Issues Chair: Peter R. Locke, George Washington University Papers: Order Imbalance, Return and Volatility During the Thailand Financial Crisis Nuttawat Visaltanachoti, Nanyang Business School Discussant: Yan He, San Francisco State University The Interrelation of Price Volatility and Trading Volume of Currency Options Ghulam Sarwar, St. Cloud State University Discussant: Karthik Krishnan, University of Connecticut Price Formation in FX Market Ryosuke Wada, Otaru University of Commerce Discussant: Kashi Nath Tiwari, KNT's Academic Financial Research
    • Session 5-6 Thursday, April 10, 2003 Coronado S 3:15 - 4:45 Risk Measurement and Management Chair: Gerald Gay, Georgia State University Papers: Risk Management and Portfolio Optimization with Conditional Drawdown-at-Risk Alexei Chekhlov, Thor Asset Management, Inc. Stanislav Uryasev, University of Florida Discussant: Anand Venkateswaran, Georgia State University Model Risk and Regulatory Capital Jeroen Kerkhof, Tilburg University and Center Bertrand Melenberg, Tilburg University and Center Hans Schumacher, Tilburg University and Center Discussant: Jouahn Nam, Pace University Does the Choice of a Risk Measure Matter? Andreas Pfingsten, University of Muenster Carsten Hahn, University of Muenster Peter Wagner, University of Muenster Discussant: Chen-Miao Lin, Georgia State University Special Session 5-7 Thursday, April 10, 2003 Cancun 3:15 - 4:45 Financial Issues Ahead Chair: Vincent G. Massaro, Long Island University Topics/Panelists: Monetary Policy and Asset Price Inflation Robert McGee, U.S. Trust Company of New York The Changing Nature of the Transmission Mechanism of Monetary Policy Albert E. DePrince, Jr., Middle Tennessee State University Does Monetary Policy Matter? Vincent G. Massaro, Long Island University Default Risk with Endogenous Interest Rates Christopher D. McGee, Assumption College
    • Session 6-1 Friday, April 11, 2003 Coronado M 8:15 - 9:45 Corporate Government, Auditor Monitoring, and Accounting Scandals Chair: Robert Schweitzer, University of Delaware Papers: The Auditor to Client Revolving Door and Earnings Management David S. North, University of Richmond Brendan O'Connell, Deakin University Marshall Geiger, University of Richmond Discussant: Terry L. Campbell II, University of Delaware Accounting and Governance Deficiencies as Contributors to the Crisis of Confidence James E. Owers, Georgia State University Chen-Miao Lin, Georgia State University Ronald C. Rogers, University of South Carolina Discussant: Phyllis Y. Keys, Ohio State University Climate for Scandal: Financial Environments that Contribute to Fraud Beverly B. Marshall, Auburn University Claire E. Crutchley, Auburn University Marlin Jensen, Auburn University Discussant: M. Andrew Fields, University of Delaware Session 6-2 Friday, April 11, 2003 Coronado N 8:15 - 9:45 Symposium: Financial Institutions Chair: Lawrence G. Goldberg, University of Miami Papers: Payments Services and Commercial Banks Robert DeYoung, Federal Reserve Bank of Chicago Tara N. Rice, Federal Reserve Bank of Chicago Discussant: Steven A. Dennis, East Tennessee State University The Relative Cost Efficiency of Stock versus Mutual Thrifts: Does Organizational Form Matter? James M. Sfiridis, University of Connecticut Kenneth N. Daniels, Virginia Commonwealth University Discussant: Sylvia C. Hudgins, Old Dominion University Loan Loss Provisioning: Cross-Country Evidence Iftekhar Hasan, Rensselaer Polytechnic Institute Larry D. Wall, Federal Reserve Bank of Atlanta Discussant: Julie A Elston, University of Central Florida
    • Session 6-3 Friday, April 11, 2003 Coronado P 8:15 - 9:45 Models of Risk Premia Chair: Gergana Jostova, George Washington University Papers: Time-Varying Risk Premia and the Cross Section of Stock Returns Hui Guo, Federal Reserve Bank of St. Louis Discussant: Lei Zhou, Miami University Firm-Specific Determinants of Nominal Stock Return Risk Kenneth Kopecky, Temple University Tai Yi, University of Sioux Falls Discussant: Shiyun Wang, University of Manchester The Pricing Kernel and Time-Series Characteristics of Asset Returns Erik Lueders, University of Konstanz Discussant: Alexander Philipov, Boston College Session 6-4 Friday, April 11, 2003 Coronado Q 8:15 - 9:45 IPO Costs and Returns Chair: Richard Ajayi, University of Central Florida Papers: Why do Underwriters Charge Lower Underwriting Fees for IPO in Taiwan? Hsuan-Chi Chen, Yuan Ze University Robert C.W. Fok, Shippensburg University Yu-Jen Wang, Fu Jen Catholic University Discussant: Alicia Garcia-Herrero, Bank of Spain How do Different Types of Investors React to New Financial Statement Information? Anders Ekholm, Swedish School of Economics and Business Administration Discussant: Seyed Mehdian, University of Michigan - Flint Overconfidence and Investor Size (The Negative News Threshold -- an Explanation for Negative Skewness in Stock Returns) Anders Ekholm, Swedish School of Economics and Business Administration Daniel Pasternack, Swedish School of Economics and Business Administration Discussant: Richard Ajayi, University of Central Florida
    • Session 6-5 Friday, April 11, 2003 Coronado R 8:15 - 9:45 Information and Market Efficiency Chair: Douglas Dyer, Tarleton State University Papers: Earnings Surprise and the Relative Information Content of Short Interest Jose Mercado-Mendez, Central Missouri State University Roger J. Best, Central Missouri State University Ronald W. Best, State University of West Georgia Discussant: Iftekhar Hasan, Rensselaer Polytechnic Institute Herd Behavior in Financial Markets Wenjin Kang, University of California - Los Angeles Discussant: J. R. Norsworthy, Rensselaer Polytechnic Institute Evidence on the Foreign Share Discount Puzzle in China: Liquidity or Information Asymmetry? Albert J. Menkveld, Vrije Universiteit Amsterdam Kalok Chan, Hong Kong University of Science and Technology Zhishu Yang, Tsinghua University Discussant: Rifat Gorener, Rensselaer Polytechnic Institute Session 6-6 Friday, April 11, 2003 Coronado S 8:15 - 9:45 Dividend Policy & Markets Chair: Yi Liu, Drexel University Papers: Public Debt Markets and Dividend Policy Vorouj Aivozian, University of Toronto Laurence Booth, University of Toronto Sean Cleary, St. Mary's University -- Halifax, Nova Scotia, Canada Discussant: Yingmei Cheng, Florida State University Agency Costs and the Decision to Pay Special or Regular Dividends Kelly Brunarski, Miami University Yvette Harman, Miami University James Kehr, Miami University Discussant: Joseph H. Meredith, Elon University Corporate Dividends and Earnings: Is there a long-run equilibrium relationship? Asim Ghosh, St. Joseph's University Robert Boldin, Indiana University of Pennsylvania Christopher Coyne, St. Joseph's University Discussant: Huanliang (Mark) Liu, Boston College
    • Session 6-7 Friday, April 11, 2003 Coronado T 8:15 - 9:45 International Financial Markets Chair: Ronnie Clayton, Jacksonville State University Papers: Observable and Stationary Risk Premia on Foreign Exchange Kyung-Chun Mun, Truman State University Discussant: Asim Ghosh, St. Joseph's University International Financial Market Integration: Evidence from Latin America Bharat Bhalla, Fairfield University Anand Shetty, Iona College Discussant: Kenneth Small, University of Tennessee - Knoxville International Linkages Among Real Long-Term Interest Rates and Their Impact on Monetary Policy Nikiforos Laopodis, Fairfield University Discussant: Inessa Love, World Bank Special Session 7-1 Friday, April 11, 2003 Coronado M 10:00 - 11:30 Finance Assessment: Taking Advantage of Classroom Assignments Chair: Claire S. Bronson, Western New England College Session 7-2 Friday, April 11, 2003 Coronado N 10:00 - 11:30 Symposium: Bank Lending Chair: Lawrence G. Goldberg, University of Miami Papers: The Effect of Credit Scoring on Small Business Lending in Low and Moderate-Income Areas W. Scott Frame, Federal Reserve Bank of Atlanta Michael S. Padhi, Federal Reserve Bank of Atlanta Lynn Woosley, Federal Reserve Bank of Atlanta Discussant: Seung-Hun Han, University of Central Florida Maturity and Corporate Loan Pricing Aron Gottesman, Pace University Gordon Roberts, York University Discussant: Melissa B. Frye, University of Central Florida The Determinants of Secured Loans John S. Gonas, Belmont University Michael J Highfield, Louisiana Tech University Donald J. Mullineaux, University of Kentucky Discussant: Seyed Mehdian, University of Michigan - Flint
    • Session 7-3 Friday, April 11, 2003 Coronado P 10:00 - 11:30 Portfolio Choice Chair: Natalya Delcoure, University of South Alabama Papers: Investing for the Short Run When Return Volatility is Predictable Leping Wang, University of Pennsylvania Discussant: Harikumar Sankaran, New Mexico State University Dynamic Portfolio Optimization Under Tracking Error Constraints Isabelle Bajeux-Besnainou, George Washington University Roland Portait, Conservatoire National des Arts et Métiers and ESSEC Guillaume Tergny, Conservatoire National des Arts et Métiers and La Compagnie Financière E. De Rotschild Discussant: Dan French, New Mexico State University Another Correlation Risk in Portfolio Optimization Takaki Hayashi, Columbia University Discussant: Natalya Delcoure, University of South Alabama Session 7-4 Friday, April 11, 2003 Coronado Q 10:00 - 11:30 Initial Public Offerings Chair: Angela J. Black, University of Aberdeen Papers: Valuation Effects of Domestic and International Seasoned Canadian Offerings by Firms Cross-Listed on the NYSE/AMEX or NASDAQ Arturo Rubalcava, Concordia University Lawrence Kryzanowski, Concordia University Discussant: Andrea J. Heuson, University of Miami Management Behaviour and Market Response Josef Schuster, London School of Economics Jinhui Luo, London School of Economics Discussant: Oliver Schnusenberg, St. Joseph's University IPO: Internet Stocks and the Bubble Economy Yuli Su, San Francisco State University Ming-ngar Tsoi, San Francisco State University Discussant: Brian M Lucey, University of Dublin
    • Session 7-5 Friday, April 11, 2003 Coronado R 10:00 - 11:30 Markets, Crises and Crashes Chair: Anita K. Pennathur, Florida Atlantic University Papers: Introduction of Derivatives Exchanges in Emerging Markets Ahmet K. Karagozoglu, Hofstra University Hatice Pinar Ersen, Undersecretariat for Foreign Trade Prime Ministry Discussant: Nivine Richie, Susquehanna University The Asymptotic Distribution of Extreme Changes in Asian Exchange Rates Raj Aggarwal, Kent State University Min Qi, Kent State University Discussant: Marilyn K. Wiley, Florida Atlantic University Modeling Market Crashes as Phase Transition and Traders' Behavior Rossitsa Yalamova, Kent State University Discussant: Terrance R. Skantz, Florida Atlantic University Session 7-6 Friday, April 11, 2003 Coronado S 10:00 - 11:30 Dividend Policy Chair: Malcolm Baker, Harvard Business School Papers: Dividend Surprises, Agency Costs and Corporate Monitoring Kelly Brunarski, Miami University Yvette Harman, Miami University James Kehr, Miami University Discussant: Phyllis Y. Keys, Ohio State University An Examination of the Long-run Market Reaction to Announcement of Dividend Omissions and Reductions Yi Liu, Drexel University Samuel H. Szewczyk, Drexel University Zaher Zantout, Rider University Discussant: Robert Boldin, Indiana University of Pennsylvania A Catering Theory of Dividends Malcolm Baker, Harvard Business School Jeffrey Wurgler, New York University Discussant: Gerald P. Dwyer, Jr., Federal Reserve Bank of Atlanta
    • Session 7-7 Friday, April 11, 2003 Coronado T 10:00 - 11:30 Foreign Exchange Exposure and Hedging Chair: Bharat Bhalla, Fairfield University Papers: Derivatives Hedging, Geographical Diversification, and Firm Market Value Bengt Pramborg, Stockholm University Discussant: Larry Fauver, University of Miami Transaction vs. Economic Exposure: Which has Greater Cash Flow Consequences? Anna D. Martin, Fairfield University Laurence Mauer, St. John's University Discussant: Dev R. Mishra, Memorial University of Newfoundland Hedging Foreign Exchange Risk: A Multifactor Analysis James Ross McCown, Florida Atlantic University Ky-Hwang Yuhn, Florida Atlantic University Discussant: Ronnie Clayton, Jacksonville State University Panel Session 7-8 Friday, April 11, 2003 Cancun 10:00 - 11:30 Analyzing a Country's Financial Stability Chair: Philip F. Bartholomew, International Monetary Fund Session 8-1 Friday, April 11, 2003 Coronado M 2:00 - 3:30 Emerging Markets Chair: George W. Trivoli, Jacksonville State University Papers: Predictability in Emerging Sovereign Debt Markets Gergana Jostova, George Washington University Discussant: Pascal Francois, HEC Montreal On Return and Return Dispersion in Emerging Capital Markets Eric Girard, Indiana State University Amit Sinha, Indiana State University Discussant: Walter Hlawitschka, Fairfield University Markov Chains in Predictive Models of Currency Crises -- With Applications to Southeast Asia Tayyeb Shabbir, University of Pennsylvania Discussant: Bengt Pramborg, Stockholm University
    • Session 8-2 Friday, April 11, 2003 Coronado N 2:00 - 3:30 Regulation, Policy, and Capital Chair: Scott Besley, University of South Florida Papers: Efficiency and Factor Substitution in U.S. Savings Institutions: The Impact of Regulatory Changes Harri Ramcharran, University of Akron Discussant: David Leahigh, King's College National Treatment in U.S. Regulatory Policy: Evidence From Financial Modernization Reform Rajesh Narayanan, Ohio University Nanda Rangan, Ohio University Sridhar Sundaram, Grand Valley State University Discussant: Vladimir Kotomin, University of Central Florida Bank Capital Regulation and Incentives for Risk-Taking Alistair Milne, City University Business School, London A. Elizabeth Whalley, University of Warwick Discussant: Alan Gart, Indiana University of Pennsylvania Session 8-3 Friday, April 11, 2003 Coronado P 2:00 - 3:30 Market Efficiency Chair: Richard Ajayi, University of Central Florida Papers: The Merger and Acquisition Process from Beginning to the End: A Short-Run versus Long-run Performance of Canadian Bidder Firms George Athanassakos, Wilfrid Laurier University Discussant: Weishen Wang, University of Central Florida An Examination of the Market Reaction to Stock Splits Roger J. Best, Central Missouri State University Ronald W. Best, State University of West Georgia Discussant: Seyed Mehdian, University of Michigan - Flint The Market to Book Controversy: An Analysis from the Viewpoint of Expected Earnings Richard J. Kish, Lehigh University David H. Myers, Lehigh University Discussant: Roger J. Best, Central Missouri State University
    • Session 8-4 Friday, April 11, 2003 Coronado Q 2:00 - 3:30 Equity Issue Performance, Shareholder, and Analysts Chair: George Papaioannou, Hofstra University Papers: The Long-run Consequences of Dual-Class IPOs: A Comparison of Dual- and Single-Class Long-run Chad Zutter, University of Pittsburgh Discussant: Craig Dunbar, University of Western Ontario The Evolution of Equity Financing: A Comparison of Dual-Class and Single-Class SEOs Chad Zutter, University of Pittsburgh Scott Smart, Indiana University Discussant: John C. Yeoman, North Georgia College and State University Initiation of Analyst Coverage and Long-Term Market Performance of Newly Public Firms Rejin Guo, University of Illinois - Chicago Somnath Das, University of Illinois - Chicago Huai Zhang, University of Illinois - Chicago Discussant: Christopher Gadarowski, Cornell University Session 8-5 Friday, April 11, 2003 Coronado R 2:00 - 3:30 Bond Portfolio Analysis Chair: J. Edward Graham, University of North Carolina at Wilmington Papers: Plain and Enlarged Separation Portfolios: On their Use when Arbitraging and Synthesizing Securities Rodolfo Apreda, Universidad Del Cema Discussant: Pradipkumar Ramanial, University of Central Florida The Information in Forward Rates -- Evidence from U.S. Treasury STRIPS Qing (Grace) Hao, University of Florida Miles Livingston, University of Florida Discussant: James T. Lindley, University of Southern Mississippi A Highly Accurate Measure of Bond Price Sensitivity to Interest Rates Miles Livingston, University of Florida Lei Zhou, Miami University Discussant: Oliver Schnusenberg, St. Joseph's University
    • Session 8-6 Friday, April 11, 2003 Coronado S 2:00 - 3:30 Investment Decisions Chair: Claire E. Crutchley, Auburn University Papers: Acquiring Privately-Held Firms: A Costly Search Perspective Jouahn Nam, Pace University P.V. Viswanath, Pace University Discussant: Leonard L. Lundstrum, North Carolina State University Does costly long-term informed trading cause under-investment in projects with long-term cashflows? The LEAPS evidence Leonard L. Lundstrum, North Carolina State University Craig Holden, Indiana University Discussant: Helen L. Bowers, University of Delaware An analytical theory of project investment Jing Chen, University of Northern British Columbia Discussant: David A. Carter, Oklahoma State University Session 8-7 Friday, April 11, 2003 Coronado T 2:00 - 3:30 Incentives and Operating Performance Chair: Julie Cagle, Xavier University Papers: Operating Performance and Free Cash Flow of Asset Buyers Steven Freund, University of Detroit - Mercy Alexandros Prezas, Suffolk University Gopala K. Vasudevan, Northeastern University Discussant: Terry D. Nixon, Miami University CEO Incentives, Cash Flow, and Investment John Paul Broussard, Rutgers University Sheree Buchenroth, West Chester University Eugene Pilotte, Rutgers University Discussant: Thomas Coe, Quinnipiac University E-Commerce and Value Added? Karen Denning, West Virginia University Heather Hulburt, West Virginia University Discussant: James E Pawlukiewicz, Xavier University
    • Special Session 8-8 Friday, April 11, 2003 Cancun 2:00 - 3:30 Corporate Governance at the Crossroads Chair: Janet D. Payne, Southwest Texas State University Topics/Panelists: The Current Legal Environment As It Relates To Corporate Governance Panelist Stuart L. Gillan, University of Delaware The Role of Institutional Investors in Corporate Governance Paula Tkac, Federal Reserve Bank of Atlanta CEO/Board Compensation Helen L. Bowers, University of Delaware Board of Director Composition Stephen Ferris, University of Missouri - Columbia Session 9-1 Friday, April 11, 2003 Coronado M 3:45 - 5:15 Banking and Financial Market Risks Chair: Anand Shetty, Iona College Papers: Expectations and Asset Prices: Evidence from Prospect Theory Ding Li, Rensselaer Polytechnic Institute Irvin Morgan, Rensselaer Polytechnic Institute Richard Shuler, New York Department of Public Service J. R. Norsworthy, Rensselaer Polytechnic Institute Rifat Gorener, Rensselaer Polytechnic Institute Discussant: Jouahn Nam, Pace University The Threat of Systemic Risk in Banking -- Evidence for Europe Martin Schueler, Centre for European Economic Research Discussant: Thomas Lutton, Office of Federal Housing Enterprise Oversight Crisis in the Jamaican Financial Sector: Can Interest Rate Risk Explain Profitability and Solvency Problems Facing the Financial Sector? Ruth Clarke, Nova Southeastern University Twila-Mae Logan, Nova Southeastern University Dorothy Alexander-Smith, University of the West Indies Discussant: Beverly B. Marshall, Auburn University
    • Session 9-2 Friday, April 11, 2003 Coronado N 3:45 - 5:15 Small Business Lending Chair: Robert Schweitzer, University of Delaware Papers: Small Business and the Value of Community Financial Institutions Jonathan A. Scott, Temple University William C. Dunkelberg, Temple University Discussant: Robert DeYoung, Federal Reserve Bank of Chicago An Investigation into Small Business Lending Performance at Large and Small Banks David A. Carter, Oklahoma State University James E. McNulty, Florida Atlantic University Discussant: Harold A. Black, University of Tennessee Revisiting Lender Liability Under CERCLA James E Pawlukiewicz, Xavier University Julie Cagle, Xavier University Discussant: Terry L. Campbell II, University of Delaware Session 9-3 Friday, April 11, 2003 Coronado P 3:45 - 5:15 GARCH models Chair: Gregory Bauer, University of Rochester Papers: Information Transmission amoung Major Equity Markets: Common Effects vs. Competitive Effects Chin-Wen Hsin, Yuan Ze University Discussant: Gerald Madden, Suffolk University Bayesian Analysis of Stochastic Betas Gergana Jostova, George Washington University Alexander Philipov, Boston College Discussant: Lance Young, University of Rochester Intraday Periodicity and Volatility Spillovers between International Stock Index Futures Markets Jinliang Li, Northeastern University Chunchi Wu, Syracuse University Discussant: Keith Vorkink, Brigham Young University
    • Session 9-4 Friday, April 11, 2003 Coronado Q 3:45 - 5:15 Equity Offerings: Sweeteners and Other Seasonings Chair: Manak C. Gupta, Temple University Papers: Do Investors Ever Learn from Seasoned Equity Offerings? Evidence from Recurring SEOs Michael Gombola, Drexel University Yueh-Fang Ho, Drexel University Feng-Ying Liu, Rider University Discussant: Zheng Wang, Baruch College - City University of New York Total Equity Risk and Seasoned Stock Offerings Richard Gregory, University of South Carolina - Spartanburg Mojib Ahmed, University of the South Pacific Discussant: Dalia Marciukaityte, Louisiana Tech University Why do Firms Issue Private Placements of Equity with Warrants: Sweetener, Signaling, or Staged Financing? Dalia Marciukaityte, Louisiana Tech University Anita K. Pennathur, Florida Atlantic University Discussant: Jun Qian, Boston College Session 9-5 Friday, April 11, 2003 Coronado R 3:45 - 5:15 Bond Yields and Issue Characteristics Chair: Wei Zhang, State University of New York -- Fredonia Papers: The Choice between Mandatory and Ordinary Convertible Securities: An Examination of Signaling and Agency Effects Shantaram Hegde, University of Connecticut Karthik Krishnan, University of Connecticut Discussant: Lei Zhou, Miami University Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads on Bond Indexes Weipeng Kong, Pennsylvania State University Jing-zhi Huang, Pennsylvania State University Discussant: Yewmun Yip, San Francisco State University The Role of Debt Insurance Sergei A. Davydenko, London Business School Discussant: Patricia Clarke, Simmons College
    • Session 9-6 Friday, April 11, 2003 Coronado S 3:45 - 5:15 Stock Pricing Chair: George Athanassakos, Wilfrid Laurier University Papers: A Family of Proxies for Tests of Behavioral Effects Ricardo J. Rodriguez, University of Miami Discussant: Barry Marchman, Florida State University The Nonlinear Behavior of Stock Prices Douglas Patterson, Virginia Polytechnic Institute Debra Skaradzinski, University of Massachusetts - Boston Discussant: Mohamed Ayadi, Brock University Derivation of Theoretical Model to Value Internet Stocks Damir Tokic, University of Houston - Downtown Discussant: James M. Sfiridis, University of Connecticut Session 9-7 Friday, April 11, 2003 Coronado T 3:45 - 5:15 Governance, Performance and Compensation Chair: M. Andrew Fields, University of Delaware Papers: Agency Conflicts in Financial Institutions: the Influence of Fiduciary, Block and Dispersed Ownership on Executive Compensation Peter Went, Bucknell University Discussant: John F. Manley, Iona College Are banks differently affected by changing credit market conditions? Evidence from bank stock returns Astrid Van Landschoot, Ghent University Rudi Vander Vennet, Ghent University Lieven Baele, Ghent University Discussant: James Murtagh, Rensselaer Polytechnic Institute The Performance Characteristics of Financial Holding Companies James Murtagh, Rensselaer Polytechnic Institute Discussant: David Nawrocki, Villanova University Tutorial Session 9-8 Friday, April 11, 2003 Cancun 3:45 - 5:15 Islamic Finance Chair: Shaikh Hamid, Southern New Hampshire University
    • Session 10-1 Saturday, April 12, 2003 Coronado M 8:30 - 10:00 Timing Effects in Markets Chair: Marilyn K. Wiley, Florida Atlantic University Papers: Time Varying Equity Market Integration in Europe Raj Aggarwal, Kent State University Brian M Lucey, University of Dublin Cal Muckley, University of Dublin Discussant: Ravi Shukla, Syracuse University The Weekend Effect in the U.S. Stock Market: A New Look Samer A.M. Al-Rjoub, Hashimite University M. Kabir Hassan, University of New Orleans Oscar Varela, University of New Orleans Discussant: Patricia Clarke, Simmons College Is the January Effect Economically Exploitable? Evidence from Athens Stock Exchange Shiyun Wang, University of Manchester Theocharis Koutianoudis, University of Manchester Discussant: Sergei A. Davydenko, London Business School Session 10-2 Saturday, April 12, 2003 Coronado N 8:30 - 10:00 Bank Relationship Chair: Stephen D. Smith, Georgia State University Papers: Financial Performance of Microfinance Institutions: A Comparison of Performance with Regional Commercial Banks by Geographic Regions Michael Tucker, Fairfield University Discussant: Iftekhar Hasan, Rensselaer Polytechnic Institute The Value of Banking Relationships During a Financial Crisis: Evidence from Failures of Japanese Banks Elijah Brewer III, Federal Reserve Bank of Chicago Hesna Genay, Federal Reserve Bank of Chicago William Curt Hunter, Federal Reserve Bank of Chicago George Kaufman, Loyola University - Chicago Discussant: Adrian Cowan, University of Alabama - Birmingham Bank relationships in France Benedicte Reyes, Monmouth University Discussant: Thomas Lutton, Office of Federal Housing Enterprise Oversight
    • Session 10-3 Saturday, April 12, 2003 Coronado P 8:30 - 10:00 Mergers & Acquisitions Chair: Jayant Kale, Georgia State University Papers: Mergers Among Debt Underwriters Wei-ling Song, Drexel University Lawrence G. Goldberg, University of Miami Discussant: Harley "Chip" E. Ryan, Jr., Louisiana State University Opportunity in Mergers and Acquisitions James S. Ang, Florida State University Yingmei Cheng, Florida State University Discussant: M. Andrew Fields, University of Delaware The Value of Being Public: The use of Reverse Takeovers as a Mechanism to Obtain an Exchange Listing Kimberly C. Gleason, Bentley College Leonard Rosenthal, Bentley College Chip Wiggins, Bentley College Discussant: Jacqueline L. Garner, Drexel University Session 10-4 Saturday, April 12, 2003 Coronado Q 8:30 - 10:00 Information, Trading, and Stock Price Chair: Douglas Dyer, Tarleton State University Papers: Financial Institutions Stock Reaction to Stock Splits Sunil Mohanty, University of St. Thomas Doocheol Moon, SUNY -- Old Westbury Discussant: Cameli Rotaru, Florida Atlantic University How Profitable Day Traders Trade: An Examination of Trading Profits Ryan Garvey, Duquesne University Anthony Murphy, University College Dublin Discussant: Douglas Dyer, Tarleton State University On the Efficacy of Regulation Fair Disclosure: Theory & Evidence Christopher Gadarowski, Cornell University Praveen Sinha, Cornell University Discussant: George Papaioannou, Hofstra University
    • Session 10-5 Saturday, April 12, 2003 Coronado R 8:30 - 10:00 The Impact of a Terrorist Attack on U.S. Equities Chair: William H. Dare, Oklahoma State University Papers: Has Investment in the Stock Market Become Riskier Due to the Events of September 11? Angela J. Black, University of Aberdeen Discussant: Jose Mercado Mendez, Central Missouri State University The Market's Reaction to Unexpected, Catastrophic Events: The Case of Airline Stock Returns and the September 11th Attacks Betty J. Simkins, Oklahoma State University David A. Carter, Oklahoma State University Discussant: William H. Dare, Oklahoma State University Share Price Volatility of Transportation Companies Before and After September 11, 2001 and an Analysis of Earnings and Share Prices of Transportation Companies Filing for Bankruptcy Protection After September 11, George Schatz, Maine Maritime Academy Discussant: Betty J. Simkins, Oklahoma State University Session 10-6 Saturday, April 12, 2003 Coronado S 8:30 - 10:00 Industry Effects Chair: Tarun K. Mukherjee, University of New Orleans Papers: Executive Compensation and Corporate Production Efficiency: A Stochastic Frontier Approach H Young Baek, Nova Southeastern University Jose A. Pagan, University of Texas - Pan American Discussant: Carmen Cotei, University of New Orleans Executive Compensation and Excess Performance H Young Baek, Nova Southeastern University Joung W. Kim, Concordia University Discussant: Elisabetha Pana, University of New Orleans The Impact of the 1992 Energy Policy Act on Financial Decisions of the Electric Utility Industry: A Survey Tarun K. Mukherjee, University of New Orleans Wei He, University of New Orleans Discussant: David R Wolfe, University of New Orleans
    • Session 10-7 Saturday, April 12, 2003 Coronado T 8:30 - 10:00 Trading Strategies Chair: Jonathan Clarke, Georgia Institute of Technology Papers: Market Timing via Dividend Yields and Interest Rates William J. Trainor, Jr., Western Kentucky University Discussant: Karyl Leggio, University of Missouri - Kansas City Evaluating the Effectiveness of Dollar-Cost Averaging Using Risk-Adjusted Performance Measures Karyl Leggio, University of Missouri - Kansas City Donald Lien, University of Texas - San Antonio Discussant: Erik Lueders, University of Konstanz The Effect of Pre-Formation Price on Momentum Profits Robert Savickas, George Washington University Zhan Onayev, George Washington University Discussant: Jonathan Clarke, Georgia Institute of Technology Session 10-8 Saturday, April 12, 2003 Cancun 8:30 - 10:00 Investment and MBOs Chair: Isaac Otchere, University of Melbourne Papers: Real Options, Irreversible Investment and Firm Uncertainty: New Evidence from U.S. Firms Laarni Bulan, Brandeis University Discussant: John C. Yeoman, North Georgia College and State University MBO Withdrawals and Determinants of Shareholders' Wealth Pornsit Jiraporn, Texas A&M International Wallace N. Davidson III, Southern Illinois University - Carbondale Hong Qian, Pennsylvania State University Discussant: John H. Thornton, Jr., Kent State University Why Are Some MBOs Never Consummated? An Analysis of Corporate Governance, Firm Characteristics and Stock Market Reactions Portnsit Jiraporn, Texas A&M International University Young Kim, Southern Illinois University - Carbondale Wallace N. Davidson III, Southern Illinois University - Carbondale Hong Qian, Pennsylvania State University Discussant: Isaac Otchere, University of Melbourne
    • Session 11-1 Saturday, April 12, 2003 Coronado M 10:15 - 11:45 Mispricing in Equities Chair: Kashi Nath Tiwari, KNT's Academic Financial Research Papers: A Robust Test for Bubbles in Emerging Stock Markets Ako Doffou, Claremont Graduate University Discussant: Alexander Philipov, Boston College Pinpointing Stock Market Overreaction and Under-reaction for Losers Stephen J. Larson, Eastern Illinois University Discussant: Angela J. Black, University of Aberdeen Are We Discounting the Future... or the Hereafter? Bubbles versus Growth Stocks: The U.S. Auto Industry as a Case Study Michael Long, Rutgers University Robert Porter, Rutgers University Discussant: Jing Chen, University of Northern British Columbia Session 11-2 Saturday, April 12, 2003 Coronado N 10:15 - 11:45 M&A in Banking Chair: Hesna Genay, Federal Reserve Bank of Chicago Papers: The Consolidation and Efficiency in the U.S. Banking Industry: The Impact of Regulations Harri Ramcharran, University of Akron Discussant: Ihsan Isik, Rowan University Long-Term Bank Performance following a Merger/Acquisition in the 1990s Terry D. Nixon, Miami University Julie Cagle, Xavier University Discussant: Kenneth Small, University of Tennessee - Knoxville Can Post-Merger Success in Bank Holding Company Mergers Be Predicted Before the Fact? Morris Knapp, Miami-Dade Community College Alan Gart, Indiana University of Pennsylvania Discussant: M. Cary Collins, University of Tennessee
    • Session 11-3 Saturday, April 12, 2003 Coronado P 10:15 - 11:45 Debt Financing Chair: Ehsan Nikbakht, Hofstra University Papers: Pricing inflation-indexed and foreign currency linked convertible bonds with credit risk Alon Raviv, Hebrew University Yoram Landskroner, New York University and Hebrew University Discussant: Cesare Robotti, Federal Reserve Bank of Atlanta Multifactor Closed-Form Term Structure Solution Arising from the Heath-Jarrow-Morton Methodology Chen Guo, University of Ottawa Discussant: Weipeng Kong, Pennsylvania State University A Mathematical Model of Optimal Debt Financing Policy for a Firm Manak C. Gupta, Temple University Discussant: Haiwei Chen, Westminster College Session 11-4 Saturday, April 12, 2003 Coronado Q 10:15 - 11:45 The Information Content of Analysts and Corporate Announcements Chair: Thomas Coe, Quinnipiac University Papers: Buy-side Analysts, Sell-side Analysts, and Information Transmission: Theory and Evidence Yingmei Cheng, Florida State University Huanliang (Mark) Liu, Boston College Jun Qian, Boston College Discussant: Laarni Bulan, Brandeis University Do Analysts' Overweight Earnings Information? Alexander von Nandelstadh, Swedish School of Economics and Business Administration Discussant: James E Pawlukiewicz, Xavier University The Reaction of Corporate Bond Values to Call Announcements Thomas Coe, Quinnipiac University Discussant: Wendy D. Habegger, Florida State University
    • Session 11-5 Saturday, April 12, 2003 Coronado R 10:15 - 11:45 The Effect of News on Stock Prices Chair: Boyce Watkins, Syracuse University Papers: Asset Price Processes Under Hara-Utility Erik Lueders, University of Konstanz Discussant: Boyce Watkins, Syracuse University Contagion and Industry Risk: Evidence from Banking Industry Chu-Sheng Tai, Texas A&M University - Kingsville Discussant: Christopher Richardson, Department of Justice Large Price Declines, News, Liquidity, and Trading Strategies: An Intraday Analysis Vladimir Zdorovtsov, University of South Carolina Frank Fehle, University of South Carolina Discussant: Stephanie Rauterkus, Louisiana State University Session 11-6 Saturday, April 12, 2003 Coronado S 10:15 - 11:45 Corporate Value Creaters and Killers -- Myth or Reality Chair: Bhavesh Patel, Myers University Papers: Intangible Capital in the Pharmaceutical & Chemical Industry Katherine Gleason, University of New Orleans Mark Klock, George Washington University Discussant: Sabyasachi Sengupta, XLRI The impact of strikes on shareholders' wealth: Empirical evidence from the 1990s Sherry Wang, San Francisco State University Yewmun Yip, San Francisco State University Yuli Su, San Francisco State University Discussant: Pornsit Jiraporn, Texas A&M International The Valuation Effects of Naming Rights Deals Edward Waller, University of Houston - Clear Lake Yvette Bendeck, University of Houston - Clear Lake Sue Neeley, University of Houston - Clear Lake Discussant: Joseph Farhut, University of New Orleans
    • Session 11-7 Saturday, April 12, 2003 Coronado T 10:15 - 11:45 Real Estate Chair: Elijah Brewer III, Federal Reserve Bank of Chicago Papers: The Returns to Homeownership: An MSA Level Analysis from 1989 to 1999 Christopher Brown, Western Kentucky University Indudeep Chhachhi, Western Kentucky University Discussant: Ricardo J. Rodriguez, University of Miami The Effects of Charm Listing Prices on House Transaction Prices Marcus Allen, Florida Atlantic University William H. Dare, Oklahoma State University Discussant: Harold A. Black, University of Tennessee Alternatives to Home Investment Ki C. Han, Suffolk University Suk Hun Lee, Loyola University - Chicago David Y. Suk, Rider University Discussant: Paul Calem, Federal Reserve Board Session 11-8 Saturday, April 12, 2003 Cancun 10:15 - 11:45 Diversification Discount and Agency Issues Chair: Thomas Chen, St. John's University Papers: The Effect of Agency Costs on the Value of Single Segment and Multi-Segment Firms John H. Thornton, Jr., Kent State University Jouahn Nam, Pace University Discussant: H Young Baek, Nova Southeastern University The Role of Information Asymmetry Due to Diversification in Explaining the Firm Value Discount Young Kim, Southern Illinois University - Carbondale Ike Mathur, Southern Illinois University - Carbondale Jouahn Nam, Pace University Discussant: Lloyd P. Blenman, University of North Carolina - Charlotte Optimal Pricing in a Principal-Agent Framework: Why Ticket Rationing Occurs so Frequently John C. Yeoman, North Georgia College and State University Steven L. Jones, Indiana University Discussant: Ramon P. DeGennaro, University of Tennessee