Preliminary Program

Dynamic Term Structure Models
Session Chair: Kenneth Singleton, Stanford University

Andrew Ang, Columbia University and Geert Bekaert, Columbia University
The Term Structure of Real Rates and Expected Inflation
Abstract   Article

Shingo Goto, University of South Carolina and Walter Torous, University of California, Los Angeles
Evolving Inflation Dynamics, Monetary Policy, and the Fisher Hypothesis
Abstract   Article

Andrew Carverhill, University of Hong Kong
An Affine Model of Long Maturity Forward Rates, with Predictable Risk Premium
Abstract   Article

Discussants:
Qiang Dai, New York University
Greg Duffee, University of California, Berkeley
Shu Wu, University of Kansas

Empirical International Finance
Session Chair: Robert Hodrick, Columbia University

Ron Kaniel, University of Texas, Austin,  Dong Li, University of Texas, Austin and Laura Starks, University of Texas, Austin
The High Volume Return Premium and the Investor Recognition Hypothesis: International Evidence and Determinants
Abstract   Article

Mary M. Bange, University of South Carolina,  Kenneth Khang, University of Wisconsin, Milwaukee and Thomas W. Miller, Jr., Washington University, St. Louis
The Performance of Global Portfolio Recommendations
Abstract   Article

Miguel Ferreira, CEMAF / ISCTE and Paulo Gama, University of Coimbra
Have World, Country and Industry Risks Changed Over Time? An Investigation of the Developed Stock Markets Volatility
Abstract   Article

Discussants:
David Ng, Cornell University
Zhenyu Wang, Columbia University
Xiaoyan Zhang, Cornell University

Compensation and Performance
Session Chair: Kevin Murphy, University of Southern California

Kathleen Kahle, University of Pittsburgh and Kuldeep Shastri, University of Pittsburgh
Executive Loans
Abstract   Article

Gerald Garvey, Claremont Graduate University and Todd Milbourn, Washington University, St. Louis
Asymmetric Benchmarking in Compensation: Executives are Rewarded for Good Luck But Not Penalized for Bad
Abstract   Article

Simi Kedia, Harvard University
Do Executive Stock Options Generate Incentives for Earnings Management? Evidence from Accounting Restatements
Abstract   Article

Discussants:
David Yermack, New York University
Sendhil Mullainathan, MIT
Karen Wruck, Ohio State University

Behavioral Finance
Session Chair: Terry Odean, University of California, Berkeley

Markus Glaser, University of Mannheim and Martin Weber, University of Mannheim
Overconfidence and Trading Volume
Abstract   Article

Meir Statman, Santa Clara University,  Steven Thorley, Brigham Young University and Keith Vorkink, Brigham Young University
Investor Overconfidence and Trading Volume
Abstract   Article

Juhani Linnainmaa, Helsinki School of Economics / University of California, Los Angeles
The Anatomy of Day Traders
Abstract   Article

Discussants:
Daniel Dorn, Columbia University
Simon Gervais, University of Pennsylvania
Mark Seasholes, University of California, Berkeley

Joint Session AFA-NAEFA GSE's and Embedded Risks
Session Chair: George Kaufman, Loyola University Chicago

Mark Flannery, University of Florida
Constructing Fixed Rate Mortgages
Abstract   Article

Dwight Jaffee, University of California, Berkeley and Gerd Welke, University of California, Berkeley
Optimal Interest Rate Shocks and the OFHEO Stress Test
Abstract   Article

Wayne Passmore, Board of Governors of the Federal Reserve System and Andreas Lehnert, Board of Governors of the Federal Reserve
Mortgage Securitization and Risk
Abstract   Article

Lawrence S. White, New York University and W. Scott Frame, Federal Reserve Bank of Atlanta
Increased GSE Competition and Risk-Taking
Abstract   Article

Discussants:
Edward Kane, Boston College
Mark Carey, Federal Reserve Board
John Boyd, University of Minnesota
Robert Van Order, Freddie Mac Corporation

Dividends: Theory and Evidence
Session Chair: John Graham, Duke University

Edwin Elton, New York University,  Martin Gruber, New York University and Christopher Blake, Fordham University
Marginal Stockholder Tax Effects and Ex-Dividend-Day Behavior -- Thirty-Two Years Later
Abstract   Article

Kathleen Fuller, University of Georgia / University of Michigan and Anjan Thakor, Washington University in St. Louis
Flexibility and Dividends
Abstract   Article

Urs Peyer, INSEAD and Theo Vermaelen, INSEAD
The Many Facets of Privately Negotiated Stock Repurchases
Abstract   Article

Michael Barclay, University of Rochester,  Clifford Holderness, Boston College and Dennis Sheehan, Pennsylvania State University
Dividends and Dominant Corporate Shareholders
Abstract   Article

Discussants:
Michael Roberts, Duke University
Itay Goldstein, Duke University
Gustavo Grullon, Rice University
Yaniv Grinstein, Cornell University

Investor Protection Around the World
Session Chair: Marco Pagano, University of Salerno

Stefano Rossi, London Business School and Paolo Volpin, London Business School
Cross-country Determinants of Mergers and Acquisitions
Abstract   Article

Art Durnev, University of Michigan and E. Han Kim, University of Michigan
To Steal or Not to Steal: Firm Attributes, Legal Environment, and Valuation
Abstract   Article

Nittai Bergman, MIT Sloan and Daniel Nicolaievsky, Harvard University
Investor Protection and the Coasian View
Abstract   Article

Discussants:
Antoinette Schoar, MIT
Michael Weisbach, University of Illinois, Urbana-Champaign
Raghuram Rajan, University of Chicago

Credit Risk
Session Chair: Mark Carey, Federal Reserve Board

Sergei Davydenko, London Business School and Ilya Strebulaev, London Business School
Strategic Behavior, Capital Structure, and Credit Spreads: An Empirical Investigation
Abstract   Article

Gurdip Bakshi, University of Maryland,  Dilip Madan, University of Maryland and Frank Zhang, Federal Reserve Board
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
Abstract   Article

Elizabeth Odders-White, University of Wisconsin, Madison and Mark Ready, University of Wisconsin, Madison
Credit Ratings and Stock Liquidity
Abstract   Article

Discussants:
Jean Helwege, Ohio State University
Darrell Duffie, Stanford University
Arthur Warga, University of Houston

Investment Banking and Security Issues
Session Chair: Jay Ritter, University of Florida

Enrique Schroth, University of Lausanne
Innovation, Differentiation, and the Choice of an Underwriter: Evidence from Equity Linked Securities
Abstract   Article

Steven Drucker, Stanford University and Manju Puri, Stanford University
Tying Knots: Lending to Win Equity Underwriting Business
Abstract   Article

Shane Corwin, University of Notre Dame and Paul Schultz, University of Notre Dame
The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition
Abstract   Article

Discussants:
Peter Tufano, Harvard University
Jianping Qi, University of South Florida
Hsuan-Chi Chen, Yuan Ze University

Empirical Asset Pricing
Session Chair: Ken French, Dartmouth College

Andrew Ang, Columbia University and Joseph Chen, University of Southern California
CAPM Over the Long-Run:1926-2001
Abstract   Article

Ralitsa Petkova, University of Rochester and Lu Zhang, University of Rochester
Is Value Riskier Than Growth?
Abstract   Article

Clemens Sialm, University of Michigan
Tax Changes and Asset Pricing: An Empirical Investigation
Abstract   Article

Discussants:
Ken French, Dartmouth University
Kent Daniel, Northwestern University
James Poterba, MIT

Estimating Economy Wide Pervasive Factors
Session Chair: Ravi Jagannathan, Northwestern University

Gregory Connor, London School of Economics,  Robert Korajczyk, Northwestern University and Robert Uhlaner, McKinsey & Company
Sunspots, Iterative Two-pass Cross-Sectional Regressions, and Asymptotic Principal Components
Abstract   Article

Dong-Hyun Ahn, University of North Carolina, Chapel Hill,  Jennifer Conrad, University of North Carolina, Chapel Hill and Robert Dittmar, Indiana University
Basis Assets
Abstract   Article

Hui Xue, University of Iowa
Identifying Factors within the APT: A New Approach
Abstract   Article

Discussants:
Christopher Jones, University of Southern California
Michael Brandt, Duke University
Yexiao Xu, University of Texas, Dallas

Limits to Arbitrage
Session Chair: Andrei Shleifer, Harvard University

Kenneth Froot, Harvard University and Melvyn Teo, Singapore Management University
Equity Style Returns and Institutional Investor Flows
Abstract   Article

Markus Brunnermeier, Princeton University and Stefan Nagel, London Business School
Hedge Funds and the Technology Bubble
Abstract   Article

Brad Barber, University of California, Davis,  Terrance Odean, University of California, Berkeley and Ning Zhu, Yale University
Systematic Noise
Abstract   Article

Discussants:
Nicholas Barberis, University of Chicago
Ming Huang, Stanford University
Allen Poteshman, University of Illinois at Urbana-Champaign

Banking
Session Chair: Raghuram Rajan, University of Chicago

Evan Gatev, Boston College and Philip Strahan, Boston College
Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market
Abstract   Article

George Zanjani, Federal Reserve Bank of New York
Regulation, Capital Structure, and Organizational Form in U.S. Life Insurance
Abstract   Article

Joao F. Cocco, London Business School,  Francisco J. Gomes, London Business School and Nuno C. Martins, Universidade Nova de Lisboa / Banco de Portugal
Lending Relationships in the Interbank Market
Abstract   Article

C.N.V. Krishnan, Case Western Reserve University,  Peter Ritchken, Case Western Reserve University and James Thomson, Federal Reserve Bank of Cleveland
Monitoring and Controlling Bank Risk: Does Risky Debt Help?
Abstract   Article

Discussants:
Anil Kashyap, University of Chicago
Randall Kroszner, University of Chicago
Mitchell Petersen, Northwestern University
Mark Flannery, University of Florida

Analysts
Session Chair: Kent Womack, Dartmouth College

Clifton Green, Emory University
The Value of Client Access to Analyst Recommendations
Abstract   Article

Hans Heidle, University of Notre Dame and Xi Li, University of Miami
Is There Evidence of Front-Running Before Analyst Recommendations? An Analysis of the Quoting Behavior of Nasdaq Market Makers
Abstract   Article

Louis Chan, University of Illinois, Urbana-Champaign,  Jason Karceski, University of Florida and Josef Lakonishok, University of Illinois, Urbana-Champaign
Analysts' Conflict of Interest and Biases in Earnings Forecasts
Abstract   Article

Zoran Ivkovich, University of Illinois, Urbana-Champaign and Narasimhan Jegadeesh, University of Illinois, Urbana-Champaign
The Timing and Value of Forecast and Recommendation Revisions: Do Analysts Receive an Early Peek at Good News?
Abstract   Article

Discussants:
Marc Lipson, University of Georgia
Bhaskaran  Swaminathan, Cornell Univeristy
Jonathan Clarke, Georgia Tech University

Corporate Governance
Session Chair: Steven Kaplan, University of Chicago

Mengxin Zhao, University of Pittsburgh and Kenneth Lehn, University of Pittsburgh
Acquisition Decisions, Corporate Governance, and CEO Turnover: Do Bad Bidders Get Fired?
Abstract   Article

David Yermack, New York University
Remuneration, Retention, and Reputation Incentives for Outside Directors
Abstract   Article

Anup Agrawal, University of Alabama and Sahiba Chadha, University of Alabama
Corporate Governance and Accounting Scandals
Abstract   Article

K. J. Martijn Cremers, Yale University and Vinay B. Nair, New York University
Governance Mechanisms and Equity Prices
Abstract   Article

Discussants:
Karen Wruck, Ohio State University
Thomas Knox, University of Chicago
Per Stromberg, University of Chicago
Andrew Metrick, University of Pennsylvania

Capital Structure
Session Chair: Sheridan Titman, University of Texas, Austin

Darren Kisgen, University of Washington
Credit Ratings and Capital Structure
Abstract   Article

Michael Faulkender, Washington University, St. Louis and Mitchell Petersen, Northwestern University
Does the Source of Capital Affect Capital Structure?
Abstract   Article

Murray Frank, University of British Columbia and Vidhan Goyal, Hong Kong University of Science and Technology
Capital Structure Decisions
Abstract   Article

Discussants:
Charles Hadlock, Michigan State University
Vojislav Maksimovic, University of Maryland
Jeffrey Wurgler, New York University

Predicting Returns
Session Chair: Jennifer Conrad, University of North Carolina

Harrison Hong, Princeton University,  Walter Torous, University of California, Los Angeles and Rossen Valkanov, University of California, Los Angeles
Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability
Abstract   Article

Günter Strobl, University of Pennsylvania
Information Asymmetry, Price Momentum, and the Disposition Effect
Abstract   Article

Juhani Linnainmaa, Helsinki School of Economics / University of California, Los Angeles
Who Makes the Limit Order Book? Implications for Contrarian Strategies, Attention-Grabbing Hypothesis, and the Disposition Effect
Abstract   Article

Discussants:
Mark Grinblatt, University of California, Los Angeles
Bing Han, Ohio State University
Eric Hughson, University of Colorado

Venture Capital
Session Chair: Paul Gompers, Harvard University

Thomas Hellmann, Stanford University,  Laura Lindsey, Stanford University and Manju Puri, Stanford University
Building Relationships Early: Banks in Venture Capital
Abstract   Article

Steven Kaplan, University of Chicago and Antoinette Schoar, MIT
Private Equity Returns: Persistence and Capital Flows
Abstract   Article

Manuel Amador, MIT and Augustin Landier, University of Chicago
Entrepreneurial Pressure and Innovation
Abstract   Article

Yael Hochberg, Stanford University
Venture Capital and Corporate Governance in the Newly Public Firm
Abstract   Article

Discussants:
Michael Horvath, Dartmouth College
Rebecca  Zarutskie , Duke University
Michael Horvath, Tuck School of Business at Dartmouth College
Belen Villalonga, Harvard University

Asset Pricing with Imperfections
Session Chair: Franklin Allen, University of Pennsylvania

Rajesh Aggarwal, Dartmouth College and Guojun Wu, University of Michigan
Stock Market Manipulation — Theory and Evidence
Abstract   Article

Suleyman Basak, London Business School and Benjamin Croitoru, McGill University
On the Role of Arbitrageurs in Rational Markets
Abstract   Article

Leonid Kogan, MIT,  Stephen Ross, MIT,  Jiang Wang, MIT and Mark Westerfield, MIT
The Price Impact and Survival of Irrational Traders
Abstract   Article

Discussants:
Jianping Mei, New York University
Wei Xiong, Princeton University
David Easley, Cornell University

Empirical Microstructure
Session Chair: Joel Hasbrouck, New York University

Angelo Ranaldo, UBS Global Asset Management
Intraday Market Dynamics Around Public Information Arrivals
Abstract   Article

Xiaojun He, Syracuse University,  Raja Velu, Syracuse University and Chunnan Chen, National Cheng Kung University
Commonality, Information and Return/Return Volatility -Volume Relationship
Abstract   Article

Shing-yang Hu, National Taiwan University and Chang Chan, National Taipei College of Business
Trading Frequency and Noise
Abstract   Article

Discussants:
Robert Jennings, Indiana University
Duane Seppi, Carnegie Mellon University
Terry Hendershott, University of California, Berkeley

IPOs
Session Chair: Ivo Welch, Yale University

Sanjai Bhagat, University of Colorado, Boulder and Srinivasan Rangan, University of Colorado, Boulder
IPO Valuation in the New and Old Economies
Abstract   Article

Vikram Nanda, University of Michigan,  Alexander Ljungqvist, New York University and Rajdeep Singh, University of Minnesota
Hot Markets, Investor Sentiment, and IPO Pricing
Abstract   Article

Konan Chan, National Taiwan University,  John W. Cooney, Texas Tech University,  Joonghyuk Kim, Case Western Reserve University and Ajai Singh, Case Western Reserve University
The IPO Derby: Are There Consistent Losers and Winners on This Track?
Abstract   Article

Roger Edelen, University of Pennsylvania and Gregory B. Kadlec, Virginia Tech University
Issuer Surplus and the Partial Adjustment of IPO Prices to Public Information
Abstract   Article

Discussants:
David Aboody, University of California, Los Angeles
Kent Daniel, Northwestern University
Siew Hong Teoh, Ohio State University
Gerard Hoberg, Yale University

Options
Session Chair: Stephen Figlewski, New York University

Oleg Bondarenko, University of Illinois, Chicago
Why are Put Options So Expensive?
Abstract   Article

Jin-Chuan Duan, University of Toronto,  Peter Ritchken, Case Western Reserve University and Zhiqiang Sun, Case Western Reserve University
Option Valuation with Jumps in Returns and Volatility
Abstract   Article

Joost Driessen, University of Amsterdam and Pascal Maenhout, INSEAD
A Portfolio Perspective on Option Pricing Anomalies
Abstract   Article

Discussants:
Jun Pan, MIT
Robert Engle, New York University
Michael Brennan, University of California, Los Angeles

Asset Pricing
Session Chair: George Constantinides, University of Chicago

Franklin Allen, University of Pennsylvania,  Stephen Morris, Yale University and Hyun Song Shin, London School of Economics
Beauty Contests, Bubbles and Iterated Expectations in Asset Markets
Abstract   Article

Murray Carlson, University of British Columbia,  Adlai Fisher, University of British Columbia and Ron Giammarino, University of British Columbia
Corporate Investment and Asset Price Dynamics: Implications for the Cross Section of Returns
Abstract   Article

Ilan Cooper, Norwegian School of Management BI
Asset Pricing Implications of Non-Convex Adjustment Costs and Irreversibility of Investment
Abstract   Article

Yuming Li, California State University, Fullerton / City University of Hong Kong and Maosen Zhong, University of Queensland
International Asset Pricing under Habit Formation and Idiosyncratic Consumption Risk
Abstract   Article

Discussants:
Andrei Shleifer, Harvard University
Leonid Kogan, MIT
Leonid Kogan, MIT
Wayne Ferson, Boston College

Behavioral Corporate Finance
Session Chair: Jeremy Stein, Harvard University

Renée Adams, Federal Reserve Bank of New York,  Heitor Almeida, New York University and Daniel Ferreira, Getulio Vargas Foundation
Powerful CEOs and their Impact on Corporate Performance
Abstract   Article

Augustin Landier, University of Chicago and David Thesmar, ENSAE/CREST
Financial Contracting with Optimistic Entrepreneurs: Theory and Evidence
Abstract   Article

Nittai Bergman, MIT Sloan School of Management and Dirk Jenter, MIT Sloan School of Management
Employee Sentiment and Stock Option Compensation
Abstract   Article

Discussants:
Ulrike Malmendier, Stanford University
Joshua Coval, Harvard University
Paul Oyer, Stanford University

Microstructure and Asset Pricing
Session Chair: Maureen O'Hara, Cornell University

Arturo Bris, Yale University,  William Goetzmann, Yale University and Ning Zhu, Yale University
Efficiency and the Bear: Short Sales and Markets Around the World
Abstract   Article

Geert Bekaert, Columbia University / NBER,  Campbell Harvey, Duke University / NBER and Christian Lundblad, Indiana University
Liquidity and Expected Returns: Lessons from Emerging Markets
Abstract   Article

Pankaj Jain, University of Memphis
Financial Market Design and Equity Premium: Electronic versus Floor Trading
Abstract   Article

Discussants:
Charles Jones, Columbia University
Marco Pagano, Universite de Salerno
Ian Domowitz, ITG, Inc.

Information, Trading, and Disclosure
Session Chair: Kathleen Hagerty, Northwestern University

Brian Bushee, University of Pennsylvania and Christian Leuz, University of Pennsylvania
Economic Consequences of SEC Disclosure Regulation
Abstract   Article

Heather Tookes, Cornell University
Information, Trading and Product Market Interactions: Cross-Sectional Implications of Insider Trading
Abstract   Article

Stephanie Rauterkus, Louisiana State University and Kyojik Song, Louisiana State University
Auditor's reputation, equity offering, and firm size: The Case of Arthur Andersen
Abstract   Article

Discussants:
Ronnie Sadka, University of Washington
Kenneth Kavajecz, University of Wisconsin - Madison
Eitan Goldman, University of North Carolina

Optimal Financial Contracting
Session Chair: Ernst-Ludwig Von Thadden, Université de Lausanne

Diego Garcia, Dartmouth College
Optimal Contracts with Privately Informed Agents and Active Principals
Abstract   Article

Steve Grenadier, Stanford University and Neng Wang, University of Rochester
Investment Timing, Agency and Information
Abstract   Article

Nicolae Garleanu, INSEAD and Jeffrey Zwiebel, Stanford University
Design and Renegotiation of Debt Covenants
Abstract   Article

Discussants:
Bengt Holmstrom, MIT
Antonio Bernardo, University of California, Los Angeles
Patrick Bolton, Princeton University

Mutual Funds
Session Chair: Martin Gruber, New York University

Woodrow Johnson, University of Oregon
Predictable Investment Horizons and Wealth Transfers Among Mutual Fund Shareholders
Abstract   Article

Anthony Lynch, New York University,  Jessica Wachter, New York University and Walter Boudry, New York University
Does Mutual Fund Performance Vary over the Business Cycle?
Abstract   Article

Harry Mamaysky, Morgan Stanley,  Matthew Spiegel, Yale University and Hong Zhang, Yale University
Estimating the Dynamics of Mutual Fund Alphas and Betas
Abstract   Article

Discussants:
Jeff Busse, Emory University
Wayne Ferson, Boston College
David Musto, University of Pennsylvania

Mergers and Acquisitions
Session Chair: Annette Poulsen, University of Georgia

Matthew Rhodes-Kropf, Columbia University,  David Robinson, Columbia University and S. Viswanathan, Duke University
Valuation Waves and Merger Activity: The Empirical Evidence
Abstract   Article

Jarrad Harford, University of Washington
What Drives Merger Waves?
Abstract   Article

Yuanzhi Luo, Goldman, Sachs & Co.
Do Insiders Learn from Outsiders? Evidence from Mergers and Acquisitions
Abstract   Article

Ulrike Malmendier, Stanford University and Geoffrey Tate, Harvard University
Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction
Abstract   Article

Discussants:
Audra Boone, College of William and Mary
Husayn Shahrur, Bentley College
Erik Stafford, Harvard University
Pekka Hietala, INSEAD

Asset Pricing with Idiosyncratic Risk
Session Chair: John Heaton, University of Chicago

Valery Polkovnichenko, University of Minnesota
Life Cycle Consumption and Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk
Abstract   Article

Xiaohong Chen, New York University and Sydney Ludvigson, New York University
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
Abstract   Article

Nicholas Barberis, University of Chicago,  Ming Huang, Stanford University and Richard Thaler, University of Chicago
Individual Preferences, Monetary Gambles and the Equity Premium
Abstract   Article

Discussants:
Annette Vissing-Jorgensen, Northwestern University
Monika Piazzesi, University of Chicago
Erzo G.J. Luttmer, University of Minnesota

Strategic Trading
Session Chair: Ingrid Werner, Ohio State University

Marc Lipson, University of Georgia
Competition Among Market Centers
Abstract   Article

Terrence Hendershott, University of California, Berkeley and Charles Jones, Columbia University
Island Goes Dark: Transparency, Fragmentation, Liquidity Externalities, and Multimarket Regulation
Abstract   Article

Bruno Biais, Toulouse University,  Christophe Bisière, Toulouse University and Chester Spatt, Carnegie Mellon University
Imperfect Competition in Financial Markets: Island vs. NASDAQ
Abstract   Article

Discussants:
Gideon Saar, New York University
Venkatesh Panchapagesan, Washington University, St. Louis / Nasdaq
Hendrik Bessembinder, University of Utah

Risk Management
Session Chair: Philippe Jorion, University of California, Irvine

Domenico Cuoco, University of Pennsylvania and Hong Liu, Washington University, St. Louis
An Analysis of VaR-based Capital Requirements
Abstract   Article

David Carter, Oklahoma State University,  Daniel Rogers, Portland State University and Betty Simkins, Oklahoma State University
Does Fuel Hedging Make Economic Sense? The Case of the U.S. Airline Industry
Abstract   Article

Söhnke Bartram, Lancaster University,  Gregory Brown, University of North Carolina, Chapel Hill and Frank Fehle, University of South Carolina
International Evidence on Financial Derivative Usage
Abstract   Article

Discussants:
Alfred Lehar, University of British Columbia
George Allayannis, University of Virginia
Ugur Lel, Indiana University

Firms' Investments: Internal and Capital Market
Session Chair: Vojislav Maksimovic, University of Maryland

Oguzhan Ozbas, University of Southern California
Integration, Organizational Processes and Allocation of Resources
Abstract   Article

Sergey Sanzhar, London Business School
Two Puzzles about the Diversification Discount: SFAS#131 and "Pseudo-Conglomerates"
Abstract   Article

Heitor Almeida, New York University,  Murillo Campello, University of Illinois, Urbana-Champaign and Michael Weisbach, University of Illinois, Urbana-Champaign / NBER
The Cash Flow Sensitivity of Cash
Abstract   Article

Eslyn L. Jean-Baptiste, Columbia University and Michael H. Riordan, Columbia University
Capital Markets Constrain Industry Scale
Abstract   Article

Discussants:
Kose John, New York University
Jeff Bevelander, University of Maryland
Sheridan Titman, University of Texas, Austin
S. Viswanathan, Duke University

Asset Allocation
Session Chair: Luis Viceira, Harvard University

Lixin Huang, City University of Hong Kong and Hong Liu, Washington University, St. Louis
Portfolio Selection with Return Predictability and Periodically Observable Predictive Variables
Abstract   Article

Antonios Sangvinatsos, New York University and Jessica Wachter, New York University
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?
Abstract   Article

Steven Davis, University of Chicago,  Felix Kubler, Stanford University and Paul  Willen, University of Chicago
Borrowing Costs and the Demand for Equity over the Life Cycle
Abstract   Article

Discussants:
Yihong Xia, University of Pennsylvania
Monika Piazzesi, University of Chicago
Francisco Gomes, London Business School

AFA/AREUA Joint Session Real Estate
Session Chair: Joseph Williams, Professors Capital

Jie Gan, Hong Kong University of Technology and Timothy J. Riddiough, University of Wisconsin, Madison
Piercing and then Papering over the Vail of Ignorance: GSE Monopoly and Informational Advantage in the Market for Residential Mortgages
Abstract   Article

Eduardo Schwartz, University of California, Los Angeles and Walter Torous, University of California, Los Angeles
Commercial Office Space: Tests of a Real Options Model with Competitive Interactions
Abstract   Article

Laarni Bulan, Brandeis University,  Christopher Mayer, University of Pennsylvania and Tsur Somerville, University of British Columbia
Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development
Abstract   Article

Discussants:
Chester Spatt, Carnegie Mellon University
Nancy Wallace, University of California, Berkeley
Joseph Williams, Professors Capital

Earnings Information, Disclosure, and Stock Returns
Session Chair: Charles Lee, Cornell University

Jon Garfinkel, University of Iowa and Jonathan Sokobin, U.S. Securities and Exchange Commission
Volume, Opinion Divergence and Returns: A Study of Post-Earnings Announcement Drift
Abstract   Article

Jennifer Francis, Duke University,  Ryan LaFond, University of Wisconsin,  Per Olsson, Duke University and Katherine Schipper, Financial Accounting Standards Board
Accounting Anomalies and Information Uncertainty
Abstract   Article

David Hirshleifer, Ohio State University,  James Myers, University of Illinois, Urbana-Champaign,  Linda Myers, University of Illinois, Urbana-Champaign and Siew Hong Teoh, Ohio State University
Do Individual Investors Drive Post-Earnings Announcement Drift? Direct Evidence from Personal Trades
Abstract   Article

Discussants:
William Cready, Louisiana State University
Brad Barber, University of California, Davis
William Cready, Louisiana State University

New Approaches to Asset Pricing
Session Chair: Andrew Lo, MIT

Stefan Straetmans, Maastricht University,  Willem Verschoor, Maastricht University and Christian Wolff, Maastricht University
Extreme US Stock Market Fluctuations in the Wake of 9/11
Abstract   Article

Shalini Singh, University of Michigan
Risk and Return Revisited
Abstract   Article

J. Doyne Farmer, Santa Fe Institute,  Paolo Patelli, Santa Fe Institute and Ilija Zovko, Santa Fe Institute
The Predictive Power of Zero Intelligence in Financial Markets
Abstract   Article

Discussants:
John Heaton, University of Chicago
Jonathan Lewellen, MIT
Bruce Lehmann, UC San Diego

The Dynamics of Market Comovements
Session Chair: Andrew Karolyi, Ohio State University

Jarl Kallberg, New York University and Paolo Pasquariello, New York University
Time-Series and Cross-Sectional Excess Comovement in Stock Indexes
Abstract   Article

Lingfeng Li, Yale University
Macroeconomic Factors and the Correlation of Stock and Bond Returns
Abstract   Article

Yongmiao Hong, Cornell University,  Jun Tu, Washington University, St. Louis and Guofu Zhou, Washington University, St. Louis
Asymmetric Correlation of Stock Returns: Statistical Tests and Economic Evaluation
Abstract   Article

Juan Rodriguez, EURANDOM
Measuring Financial Contagion: A Copula Approach
Abstract   Article

Discussants:
Joseph Chen, University of Southern California
Chris Stivers, University of Georgia
Andrew Patton, London School of Economics
Roberto Rigobon, MIT

Joint Session AFA-AFE: Corporate Control
Session Chair: Kose John, New York University

Tom Vinaimont, City University of Hong Kong and Piet Sercu, Catholic University of Leuven
One Share, One Vote?
Abstract   Article

Robert Hauswald, Kogod School of Business, American University and Ulrich Hege, HEC School of Management
Ownership and Control in Joint Ventures: Theory and Evidence
Abstract   Article

Holger Mueller, New York University and Fausto Panunzi, Universita di Bologna / CEPR
Tender Offers and Leverage
Abstract   Article

Discussants:
Denis Gromb, London Business School
Paolo Fulghieri, University of North Carolina
Laurie Hodrick, Columbia University

Emerging Markets
Session Chair: Peter Henry, Stanford University

Michael Melvin, Arizona State University and Magali Valero-Tonone, Arizona State University
The Effects of International Cross-Listing on Rival Firms
Abstract   Article

Serdar Dinc, University of Michigan
Politicians and Banks: Government Ownership of Banks and Political Lending in Emerging Markets
Abstract   Article

Andrew Karolyi, Ohio State University
The Role of ADRs in the Development and Integration of Emerging Equity Markets
Abstract   Article

Discussants:
Craig Doidge, University of Toronto
Francisco Perez-Gonzalez, Columbia University
Jordan Siegel, MIT

Derivatives
Session Chair: Francis Longstaff, University of California, Los Angeles

Frank Zhang, Moody's KMV
What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data
Abstract   Article

Prachi Deuskar, New York University,  Anurag Gupta, Case Western Reserve University and Marti Subrahmanyam, New York University
Liquidity and Volatility Smiles in Options: Evidence from the Euro Interest Rate Markets
Abstract   Article

Sanjiv Das, Santa Clara University,  Rangarajan Sundaram, New York University and Suresh Sundaresan, Columbia University
A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk
Abstract   Article

Discussants:
Eric Neis, University of California, Los Angeles
Haitao Li, Cornell University
Robert Goldstein, Washington University, St. Louis

Determinants of Portfolio Holdings and Trades by Individuals
Session Chair: Avanidhar Subrahmanyam, University of California, Los Angeles

William Goetzmann, Yale University,  Massimo Massa, INSEAD and Andrei Simonov, Stockholm School of Economics
Portfolio Diversification and City Agglomeration
Abstract   Article

Robert Battalio, University of Notre Dame and Richard Mendenhall, Univeristy of Notre Dame
Earnings Expectations and Investor Clienteles
Abstract   Article

Daniel Dorn, Columbia University
Does Sentiment Drive the Retail Demand for IPOs?
Abstract   Article

Discussants:
Tobias Moskowitz, University of Chicago
Sonya Seongyeon Lim, Ohio State University
Michelle Lowry, Pennsylvania State University

Impacts of Seasoned Equity Issues: Liquidity, Corporate Control and Long Run Performance
Session Chair: Ronald Masulis, Vanderbilt University

Xianghong Li, Ohio State University and Xinlei Zhao, Kent State University
Is there an SEO Puzzle?
Abstract   Article

Michael Barclay, University of Rochester,  Clifford Holderness, Boston College and Dennis Sheehan, Pennsylvania State University
Private Placements and Managerial Entrenchment
Abstract   Article

Alex Butler, Rice University,  Gustavo Grullon, Rice University and James Weston, Rice University
Does Stock Market Liquidity Matter? Evidence from Seasoned Equity Offerings
Abstract   Article

Discussants:
Robert Korajczyk, Northwestern University
Xi Li, University of Miami
Shane Corwin, University of Notre Dame