Prog 2006 Header

01/06/2006 - 8:00 AM

Derivatives
Peter Carr, New York University

Nicole Branger and Christian Schlag , Goethe University - Faculty of Economics and Business Administration - An Economic Motivation for Variance Contracts
Abstract

Minqiang Li and Neil D. Pearson , University of Illinois at Urbana-Champaign - Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern
Abstract

Bent Jesper Christensen , University of Aarhus and Morten Ørregaard Nielsen , Cornell University - The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
Abstract

Discussants:
Oleg Bondarenko , University of Illinois at Chicago
Liuren Wu , City University of New York
Nagpurnanand Prabhala , University of Maryland

01/06/2006 - 8:00 AM

Determinants of Trading Decisions: Firms and Institutions
Gregory Brown, University of North Carolina at Chapel Hill

Bernardo Bortolotti , Fondazione Eni Enrico Mattei (FEEM) and Mara Faccio , Vanderbilt University - Reluctant Privatization
Abstract

Michael J. Schill , University of Virginia - The Currency Denomination Decision: Do Firms Seek Bargains in International Bond Markets?
Abstract

Dan Bernhardt , Murillo Campello , University of Illinois at Urbana-Champaign and Edward Kutsoati , Tufts University - Who Herds?
Abstract

Discussants:
William Megginson , University of Oklahoma
Bernadette Minton , Ohio State University
Ohad Kadan , Washington University, St. Louis

01/06/2006 - 8:00 AM

Flows and Performance of Mutual Funds
Susan Kerr Christoffersen, McGill University

Arturo Bris , Yale School of Management, Huseyin Gulen , Virginia Polytechnic Institute & State University, Padma Kadiyala , Pace University and P. Raghavendra Rau , Purdue University, Krannert School of Management - Closing Time? Mutual Fund Closures and the Scalability of Fund Performance
Abstract

Bill Ding , SUNY-Albany, School of Business and Russ Wermers , University of Maryland - Mutual Fund Performance and Governance Structure: The Role of Portfolio Managers and Boards of Directors
Abstract

Woodrow T. Johnson , University of Oregon - Who Monitors the Mutual Fund Manager, Current or Future Shareholders?
Abstract

Discussants:
Joseph Chen , University of Southern California
Richard Evans , Boston College
Erik Sirri , Babson College

01/06/2006 - 8:00 AM

Information and Liquidity
Marc Lipson, University of Virginia

Andrew Ellul , Robert H. Jennings , Indiana University Bloomington and Robert H. Battalio , University of Notre Dame - Reputation Effects in Trading on the New York Stock Exchange
Abstract

Michael A. Goldstein , Babson College, Edith S. Hotchkiss , Boston College and Erik R. Sirri , Babson College - Transparency and Liquidity: A Controlled Experiment on Corporate Bonds
Abstract

Hendrik Bessembinder , University of Utah, William F. Maxwell , University of Arizona and Kumar Venkataraman , Southern Methodist University - Market Transparency and Institutional Trading Costs
Abstract

Charles M. Jones , Columbia Business School and Robert Daines , Stanford University - Mandatory Disclosure, Asymmetric Information and Liquidity: The Impact of the 1934 Act
Abstract

Discussants:

Gideon Saar , New York University
Chester Spatt , Carnegie Mellon University
Patrik Sandas , University of Pennsylvania
Paul Healy , Harvard Business School

01/06/2006 - 8:00 AM

New Perspectives on Momentum and Bubbles
Nicholas Barberis, Yale School of Management

Tyler Shumway and Guojun Wu , University of Michigan at Ann Arbor - Does Disposition Drive Momentum?
Abstract

Andy C.W. Chui , Hong Kong Polytechnic University - Department of Business Studies, Sheridan Titman , University of Texas at Austin and K.C. John Wei , Hong Kong University of Science & Technology - Individualism and Momentum around the World
Abstract

Harrison G. Hong , José A. Scheinkman and Wei Xiong , Princeton University - The Road to a Technology Bubble is Paved with Good Intentions: Advisors and Asset Prices
Abstract

Discussants:
Andrea Frazzini , Yale University
Tobias Moskowitz , University of Chicago
Simon Gervais , Duke University

01/06/2006 - 10:15 AM

Behavioral Corporate Finance
Jeffrey Wurgler, New York University

Ulrike Malmendier , Stanford Graduate School of Business, Geoffrey Alan Tate , University of Pennsylvania and Jun Yan , Stanford University - Corporate Financial Policies With Overconfident Managers
Abstract

Huntley Schaller , Carleton University and Robert S. Chirinko , Emory University - Glamour vs. Value: The Real Story
Abstract

Francois Derrien and Ambrus Kecskes , University of Toronto - The Initial Public Offerings of Listed Firms
Abstract

Urs Peyer and Theo Vermaelen , INSEAD - The Nature and Persistence of Buyback Anomalies
Abstract

Discussants:
Dirk Hackbarth , Indiana University Bloomington
Fabio Schiantarelli , Boston College
Bruno Biais , University of Toulouse I
Gustavo Grullon , Rice University

01/06/2006 - 10:15 AM

Credit and Systemic Risks
Francis Longstaff, University of California , Los Angeles

Jun Pan , Massachusetts Institute of Technology (MIT) and Kenneth J. Singleton , Stanford Graduate School of Business - Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
Abstract

Sreedhar T. Bharath and Tyler Shumway , University of Michigan at Ann Arbor - Forecasting Default with the KMV-Merton Model
Abstract

Nicholas T. Chan , AlphaSimplex Group, LLC, Mila Getmansky , Massachusetts Institute of Technology (MIT), Shane M. Haas , AlphaSimplex Group, LLC and Andrew W. Lo , Massachusetts Institute of Technology (MIT) - Systemic Risk and Hedge Funds
Abstract

Jeremy J. Graveline , Stanford Graduate School of Business and Matthew R. McBrady , University of Virginia - Who Makes On-The-Run Treasuries Special?
Abstract

Discussants:
Michael Johannes , Columbia University
Jean Helwege , University of Arizona
Philippe Jorion , University of California, Irvine
Arvind Krishnamurthy , Northwestern University

01/06/2006 - 10:15 AM

Decision Making and Equity Returns
Annette Vissing-Jorgensen, Northwestern University

Zoran Ivkovich , University of Illinois at Urbana-Champaign, Clemens Sialm , University of Michigan Business School and Scott J. Weisbenner , University of Illinois at Urbana-Champaign - Portfolio Concentration and the Performance of Individual Investors
Abstract

Gene Amromin and Steven A. Sharpe , Federal Reserve Board - Research & Statistics - From the Horse's Mouth: Gauging Conditional Expected Stock Returns from Investor Survey
Abstract

Andriy Bodnaruk , Stockholm School of Economics and Per Östberg , Stockholm School of Economics - Does Investor Recognition Predict Excess Returns?
Abstract

Discussants:

Stijn Van Nieuwerburgh , New York University

Joshua Coval , Harvard Business School - Finance Unit
Christopher Malloy , University of London

01/06/2006 - 10:15 AM

The Cross Section of Expected Returns
Tobias Moskowitz, University of Chicago

Mitchell A. Petersen , Northwestern University - Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Abstract

Steve L. Heston , University of Maryland and Ronnie Sadka , University of Washington - Department of Finance - Seasonality in the Cross-Section of Expected Stock Returns
Abstract

John J. McConnell , Purdue University, Alexei V. Ovtchinnikov , Virginia Polytechnic Institute & State University and Michael Cooper , Purdue University, Krannert School of Management - The Other January Effect
Abstract

Discussants:
Christian Hansen , University of Chicago
Jonathan Lewellen , Massachusetts Institute of Technology (MIT)
Owen Lamont , Yale School of Management

01/06/2006 - 10:15 AM

The Financing of Innovation and Entrepreneurship
Joshua Lerner, Harvard Business School - Finance Unit

Manju Puri and David T. Robinson , Duke University - Optimism and Economic Choice
Abstract

Ilan Guedj , Massachusetts Institute of Technology (MIT) - Ownership vs. Contract: How Vertical Integration Affects Investment Decisions in Pharmaceutical R&D
Abstract

Stefano Rossi , London Business School - Technological Innovations and Capital Structure
Abstract

Discussants:
Jonathan Karpoff , University of Washington
Thomas Hubbard , University of Chicago
David Scharfstein , Massachusetts Institute of Technology (MIT)

01/06/2006 - 2:30 PM

Agency Problems: Theory and Tests
Ronald Giammarino, University of British Columbia

Rui A. Albuquerque , University of Rochester and Neng Wang , Columbia University - Agency Conflicts, Investment, and Asset Pricing
Abstract

Andres Almazan , University of Texas at Austin , Sanjay Banerji and Adolfo De Motta , McGill University - Attracting Attention: Cheap Managerial Talk and Costly Market Monitoring
Abstract

Joao A.C. Santos , Federal Reserve Bank of New York and Andrew Winton , University of Minnesota - Twin Cities - Bank Loans, Bonds, and Information Monopolies across the Business Cycle
Abstract

Thomas J. Chemmanur , Shan He and Gang Hu , Boston College - The Role of Institutional Investors in Seasoned Equity Offerings
Abstract

Discussants:
Murray Carlson , University of British Columbia
Francesca Cornelli , London Business School
Bryan Routledge , Carnegie Mellon University
Burton Hollifield , Carnegie Mellon University

01/06/2006 - 2:30 PM

Behavioral Asset Pricing
Allen Poteshman, University of Illinois at Urbana-Champaign

Anna Scherbina and Li Jin , Harvard Business School - Change is Good or the Disposition Effect Among Mutual Fund Managers
Abstract

John R. Graham , Campbell R. Harvey and Hai Huang , Duke University - Investor Competence, Trading Frequency, and Home Bias
Abstract

Bing Han , Ohio State University - Limits of Arbitrage, Sentiment and Pricing Kernel: Evidence from S&P 500 Index Options
Abstract

Discussants:
Zoran Ivkovich , University of Illinois at Urbana-Champaign
Brad Barber , University of California, Davis
Neil Pearson , University of Illinois at Urbana-Champaign

01/06/2006 - 2:30 PM

Corporate Governance and Financial Policy (joint with AFE)
Kose John, New York University

Lubomir P. Litov , Stern School of Business - Corporate Governance and Financing Policy: New Evidence
Abstract

Nina Baranchuk , University of Texas at Dallas and Jun Yang , Washington University, St. Louis - Disclosure and Investment
Abstract

Nisan Langberg , University of Houston - Growth, Investor Protection and Security Design
Abstract

Ivan E. Brick , Darius Palia and Chia-Jane Wang , Rutgers Business School - Simultaneous Estimation of CEO Compensation, Leverage, and Board Characteristics on Firm Value
Abstract

Discussants:
Lemma Senbet , University of Maryland
Jaime Zender , University of Colorado at Boulder
Peter DeMarzo , Stanford Graduate School of Business
Kenneth Lehn , University of Pittsburgh

01/06/2006 - 2:30 PM

Determinants of Treasury Bond Prices
Pierre Collin-Dufresne, University of California, Berkeley

Albert Lee Chun , Stanford University - Expectations, Bond Yields and Monetary Policy
Abstract

Chunchi Wu , Syracuse University, Yan He , Indiana University Southeast, Haitao Li , Cornell University and Junbo Wang , Syracuse University - Liquidity, Information Risk, and Asset Pricing: Evidence from the U.S. Government Bond Market
Abstract

Ruslan Bikbov and Mikhail Chernov , Columbia Business School - No-Arbitrage Macroeconomic Determinants of the Yield Curve
Abstract

Discussants:
Stanley Zin , Carnegie Mellon University
Christine Parlour , Carnegie Mellon University
Gregory Duffee , University of California, Berkeley

01/06/2006 - 2:30 PM

Public and Private Offerings
Michelle Lowry, Pennsylvania State University, University Park

Gerard Hoberg , University of Maryland and Hasan Nejat Seyhun , University of Michigan at Ann Arbor - Do Underwriters Collaborate with Venture Capitalists in IPOs? Implications and Evidence
Abstract

Annette B. Poulsen , University of Georgia and Michael Stegemoller , Texas Tech University - Moving from Private to Public Ownership: Selling Out to Public Firms Vs. Initial Public Offerings
Abstract

Christopher M. James and Jason J. Karceski , University of Florida - Strength of Analyst Coverage Following IPOs
Abstract

Karen H. Wruck , Ohio State University and YiLin Wu , HKUST - The Value of Relationship Investing: Evidence from Private Placements of Equity by U.S. Public Firms
Abstract

Discussants:
Laura Lindsey, Arizona State University
Thomas Chemmanur , Boston College
Kent Womack , Dartmouth College
Dennis Sheehan , Pennsylvania State University, University Park

01/06/2006 - 2:30 PM

The Evolution of Banking
Mitchell Petersen, Northwestern University

Jose Maria Liberti , London Business School - How Does Organizational Form Matter? Distance, Communication and Soft Information
Abstract

Steven Drucker , Stanford Graduate School of Business - Information Asymmetries and the Effects of Banking Mergers on Firm-Bank Relationships
Abstract

Alan D. Morrison , University of Oxford and William J. Wilhelm Jr. , University of Virginia - The Demise of Investment-Banking Partnerships: Theory and Evidence
Abstract

Discussants:
George Baker , Harvard University
Michael Faulkender , Washington University, St. Louis
Benjamin Esty , Harvard Business School - Finance Unit

01/07/2006 - 8:00 AM

Empirical Options
Christopher Jones, University of Southern California

Tim Bollerslev , Duke University, Michael S. Gibson and Hao Zhou , Federal Reserve Board - Trading Risk Analysis Section - Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
Abstract

Mark-Jan Boes , Feike C. Drost and Bas J. M. Werker , Tilburg University - Nonparametric Risk-Neutral Return and Volatility Distributions
Abstract

Sophie Xiaoyan Ni , University of Illinois at Urbana-Champaign, Jun Pan , Massachusetts Institute of Technology (MIT) and Allen M. Poteshman , University of Illinois at Urbana-Champaign - Volatility Information Trading in Option Market
Abstract

Discussants:
Nagpurnanand Prabhala , University of Maryland
Jefferson Duarte , University of Washington
Robert Whaley , Duke University

01/07/2006 - 8:00 AM

Institutions, Intermediaries, and Securities Issuance
Alexander Ljungqvist, New York University

Jay R. Ritter , University of Florida and Donghang Zhang , University of South Carolina - Affiliated Mutual Funds and the Allocation of Initial Public Offerings
Abstract

Simona Mola , Purdue University - Do IPO Analysts Issue Unfavorable Recommendations on Non-IPO Firms?
Abstract

Laura Casares Field and Michelle Lowry , Pennsylvania State University , University Park - Institutional Investment in Newly Public Firms
Abstract

Francois Degeorge , University of Lugano, Francois Derrien , University of Toronto and Kent L. Womack , Dartmouth College - Quid Pro Quo in IPOs: Why Book-building is Dominating Auctions
Abstract

Discussants:
Paul Schultz , University of Notre Dame
Devin Shanthikumar , Harvard Business School
Laura Starks , University of Texas at Austin
Ann Sherman , University of Notre Dame

01/07/2006 - 8:00 AM

Limited Participation, Liquidity, and Asset Prices
Tim Johnson, London Business School

Tao L. Wu , SUNY Buffalo - An Equilibrium Model with Buy and Hold Investors
Abstract

Francis A. Longstaff , University of California, Los Angeles - Asset Pricing in Markets with Illiquid Assets
Abstract

Bong-Gyu Jang , Korea Advanced Institute of Science and Technology (KAIST), Hyeng Keun Koo , Ajou University, Hong Liu , Washington University, St. Louis and Mark Loewenstein , University of Maryland - Liquidity Premia and Transactions Costs
Abstract

Jennifer C. Huang , University of Texas at Austin and Jiang Wang , Massachusetts Institute of Technology (MIT) - Market Liquidity and Asset Prices under Costly Participation
Abstract

Discussants:
Adam Szeidl , University of California, Berkeley
Michael Gallmeyer , Carnegie Mellon University
George Constantinides , University of Chicago
Lasse Pedersen , New York University

01/07/2006 - 8:00 AM

Managerial Contracting
Michael Fishman, Northwestern University

Antonio Bernardo , University of California, Los Angeles, Jiang Luo , Hong Kong University of Science & Technology and James J.D. Wang , City University of Hong Kong - A Theory of Socialistic Internal Capital Markets
Abstract

Ohad Kadan and Jun Yang , Washington University , St. Louis - Executive Stock Options and Earnings Management - A Theoretical and Empirical Analysis
Abstract

Catherine Casamatta , University of Toulouse I and Alexander Guembel , University of Oxford, Said Business School - Managerial Legacies and Entrenchment
Abstract

Discussants:
Nisan Langberg , University of Houston
Thomas Philippon , New York University
Andrea Eisfeldt , Northwestern University

01/07/2006 - 8:00 AM

Shareholders and Managers
Diane Denis, Purdue University

Rangarajan K. Sundaram and David Yermack , New York University - ? Pay Me Later: Inside Debt and Its Role in CEO Compensation
Abstract

Vidhi Chhaochharia and Yaniv Grinstein , Cornell University - Corporate Governance and Firm Value - The Impact of the 2002 Governance Rules
Abstract

Jarrad Harford , University of Washington - School of Business Administration, Sattar A. Mansi , Virginia Polytechnic Institute & State University and William F. Maxwell , University of Arizona - Corporate Governance and a Firm's Cash Holdings
Abstract

Eliezer M. Fich , Drexel University and UNC Wachovia Center for Research in Corporate Finance and Anil Shivdasani , University of North Carolina - Financial Fraud, Director Reputation, and Shareholder Wealth
Abstract

Discussants:
Kevin Murphy , University of Southern California
K.J. Cremers , Yale School of Management
Michael Weisbach , University of Illinois at Urbana-Champaign
Jeffrey Coles , Arizona State University

01/07/2006 - 10:15 AM

Corporate Accountability
Amy Dittmar, University of Michigan Business School

Suman Banerjee , Vladimir A Gatchev and Thomas H. Noe , Tulane University - Doom or Gloom? CEO Stock Options after Enron
Abstract

Stuart Gillan , Arizona State University, Jay C. Hartzell and Robert Parrino , University of Texas at Austin - Explicit vs. Implicit Contracts: Evidence from CEO Employment Agreements
Abstract

Elizabeth A. Gordon , Elaine Henry and Darius Palia , Rutgers, The State University of New Jersey - Related Party Transactions: Associations with Corporate Governance and Firm Value
Abstract

Christian Leuz , University of Pennsylvania, Alexander J. Triantis , University of Maryland and Tracy Yue Wang , University of Maryland - Why do Firms go Dark? Causes and Economic Consequences of Voluntary SEC Deregistrations
Abstract

Discussants:
Kevin Murphy , University of Southern California
David Yermack , New York University
David Denis , Purdue University
Doug las Skinner , University of Michigan at Ann Arbor

01/07/2006 - 10:15 AM

Firm Organization, Governance, and Risk
Jonathan Karpoff, University of Washington

Miguel A. Ferreira , ISCTE Business School - Lisbon and Paul A. Laux , University of Delaware - Corporate Governance, Idiosyncratic Risk, and Information Flow
Abstract

Sreedhar T. Bharath and Guojun Wu , University of Michigan at Ann Arbor - Long-Run Volatility and Risk around Mergers and Acquisitions
Abstract

Susan Kerr Christoffersen , McGill University, Richard B. Evans , Boston College and David K. Musto , University of Pennsylvania - The Economics of Mutual-Fund Brokerage: Evidence from the Cross Section of Investment Channels
Abstract

Julian R. Franks , London Business School - Institute of Finance and Accounting, Colin Mayer and Hannes F. Wagner , University of Oxford - The Origins of the German Corporation - Finance, Ownership and Control
Abstract

Discussants:
Edward Rice , University of Washington
Jeffrey Coles , Arizona State University
John Chalmers , University of Oregon
Florencio Lopez de Silanes , Yale School of Management

01/07/2006 - 10:15 AM

Investment Decisions and Asset Prices
João Gomes, University of Pennsylvania

Murillo Campello , University of Illinois at Urbana-Champaign and Long Chen , Michigan State University - Are Financial Constraints Priced? Evidence from Firm Fundamentals, Stocks, and Bonds
Abstract

Vito D. Gala , University of Chicago - Investment and Returns
Abstract

Ilan Cooper , Bruno Gerard , Norwegian School of Management (BI) and Guojun Wu , University of Michigan at Ann Arbor - Irreversible Investment, Real Activity and the Value Premium
Abstract

Andrea Gamba , Università di Verona - Dipartimento di Scienze Economiche and Alexander J. Triantis , University of Maryland - The Value of Financial Flexibility
Abstract

Discussants:
Christopher Polk , Northwestern University
Dmitry Livdan , University of Pennsylvania
Adlai Fisher , University of British Columbia
Ilya Strebulaev , Stanford Graduate School of Business

01/07/2006 - 10:15 AM

Joint NAEFA/AFA Session:Deterring Earnings Manipulation:SOX vs. Stocks
Edward Kane, Boston College

James S. Linck , Jeffry M. Netter and Tina Yang , University of Georgia - Effects and Unintended Consequences of the Sarbanes-Oxley Act on Corporate Boards
Abstract

Qiang Kang , University of Miami and Qiao Liu , University of Hong Kong - Stock Market Information Production and Executive Incentives
Abstract

Simi Kedia , Rutgers, The State University of New Jersey and Thomas Philippon , New York University - The Economics of Fraudulent Accounting
Abstract

Discussants:
Roberta Romano , Yale University

01/07/2006 - 10:15 AM

Liquidity in Stock and Bond Markets
Bruno Biais, New York Stock Exchange

Dimitri Vayanos , London School of Economics and Pierre-Olivier Weill , NYU Stern School of Business - A Search-Based Theory of the On-the-Run Phenomenon
Abstract

George Chacko , Peter Andrew Hecht , Harvard Business School, Sriketan Mahanti , Gaurav Mallik , State Street Global Markets and Marti G. Subrahmanyam , New York University - Latent Liquidity: A New Measure of Liquidity Risk, with an Application to Corporate Bonds
Abstract

Markus K. Brunnermeier , Princeton University and Lasse Heje Pedersen , New York University - Stern School of Business - Market Liquidity and Funding Liquidity
Abstract

Anna Obizhaeva and Jiang Wang , Massachusetts Institute of Technology (MIT) - Optimal Trading Strategy and Supply/Demand Dynamics
Abstract

Discussants:
Terrence J. Hendershott , University of California, Berkeley
Pamela Moulton , New York Stock Exchange
Denis Gromb , London Business School
Thierry Foucault , Groupe HEC

01/07/2006 - 10:15 AM

Securities Issuance: Theory and Evidence
William Wilhelm, University of Virginia

Katrina Ellis , University of California , Davis , Roni Michaely and Maureen O'Hara , Cornell University - Competition in Investment Banking: Proactive, Reactive, or Retaliatory?
Abstract

Chris Lamoureux , University of Arizona and Ali Nejadmalayeri , University of Nevada-Reno - Modeling Firms' Choice of Public Issuance
Abstract

Silvia Rossetto , University of Warwick - The Price of Rapid Exit in Venture-backed IPOs
Abstract

Zhiguo He , Northwestern University - The Sale of Multiple Assets with Private Information
Abstract

Discussants:
Carola Schenone , University of Virginia
Aydogan Alti , University of Texas at Austin
Zhaohui Chen , Temple University
Alan Morrison , University of Oxford

01/07/2006 - 2:30 PM

Determining the Determinants of Expected Returns 
Spencer Martin, Arizona State University

Jim Hsieh , George Mason University, Lilian K. Ng and Qinghai Wang , University of Wisconsin - Milwaukee - How Informative are Analyst Recommendations and Insider Trades?
Abstract

Anchada Charoenrook , Vanderbilt University and Jennifer Conrad , University of North Carolina at Chapel Hill - Identifying Risk-based Factors
Abstract

Pierluigi Balduzzi , Boston College and Cesare Robotti , Federal Reserve Bank of Atlanta - Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
Abstract

Discussants:
Jennifer Juergens , Arizona State University
Bruce Grundy , University of Melbourne
Timothy Simin , Pennsylvania State University, University Park

01/07/2006 - 2:30 PM

Foreign Investor Flows
John Griffin, University of Texas at Austin

John Ammer , Board of Governors of the Federal Reserve System, Sara B. Holland , University of California, Berkeley, David C. Smith , University of Minnesota - Twin Cities and Francis E. Warnock , University of Virginia -- Darden Business School - Look at Me Now: The Role of Cross-Listing in Attracting U.S. Investors
Abstract

Amar Gande and David C. Parsley , Vanderbilt University - Sovereign Credit Ratings, Transparency and International Portfolio Flows
Abstract

Malcolm P. Baker , C. Fritz Foley , Harvard Business School and Jeffrey Wurgler , NYU Stern School of Business - Stock Market Valuations and Foreign Direct Investment
Abstract

Discussants:
Darius Miller , Indiana University Bloomington
Federico Nardari , Arizona State University
James Weston , Rice University

01/07/2006 - 2:30 PM

Individual Investors
Joshua Coval, Harvard Business School - Finance Unit

Mark S. Seasholes , University of California, Berkeley and Guojun Wu , University of Michigan at Ann Arbor - Predictable Behavior, Profits, and Attention
Abstract

Alok Kumar , University of Notre Dame - Department of Finance - Who Gambles in the Stock Market?
Abstract

Brad M. Barber , University of California at Davis , Yi-Tsung Lee , Yu-Jane Liu , National Chengchi University and Terrance Odean , University of California , Berkeley - Who Loses from Trade? Evidence from Taiwan
Abstract

Discussants:
Dirk Jenter , Massachusetts Institute of Technology (MIT)
Amit Goyal , Emory University
Daniel Bergstresser , Harvard Business School

01/07/2006 - 2:30 PM

Mergers and Acquisitions
Jarrad Harford, University of Washington

Moon H. Song , San Diego State University and Ralph A. Walkling , Ohio State University - Anticipation, Acquisitions and Bidder Returns
Abstract

Yiming Qian and Matthew T. Billett , University of Iowa - Are Overconfident Managers Born or Made? Evidence of Self-Attribution Bias from Frequent Acquirers
Abstract

Ronald W. Masulis , Cong Wang and Fei Xie , Vanderbilt University - Corporate Governance and Acquirer Returns
Abstract

Discussants:
David Robinson , Duke University
Geoffrey Tate , University of Pennsylvania
Micah Officer , University of Southern California

01/07/2006 - 2:30 PM

Stock Return Predictability
Gregory Duffee, University of California, Berkeley

Alex P. Taylor , University of Manchester - Conditional Factor Models and Return Predictability
Abstract

Jessica A. Wachter and Missaka Warusawitharana , University of Pennsylvania - Predictable Returns and asset allocation: Should a Skeptical Investor Time the Market?
Abstract

Alexander Stremme , Devraj Basu , University of Warwick and Abhay Abhyankar , University of Durham - The Optimal Use of Return Predictability: An Empirical Analysis
Abstract

Discussants:
Wayne Ferson , Boston College
Jay Shanken , Emory University
Yihong Xia , University of Pennsylvania

01/08/2006 - 8:00 AM

Inefficiencies in CEO Compensation
Andres Almazan, University of Texas at Austin

Adair Morse , Vikram K. Nanda and Amit Seru , University of Michigan Business School - Are Incentive Contracts Rigged By Powerful CEOs?
Abstract

Ravi Singh , Harvard University - Board Independence and the Design of Executive Compensation
Abstract

Alberto Bisin , New York University, Piero Gottardi , University of Venice and Adriano A. Rampini , Northwestern University - Department of Finance - Managerial Hedging and Portfolio Monitoring
Abstract

Discussants:
Charles Hadlock , Michigan State University
Adolfo De Motta , McGill University
Ilya Strebulaev , Stanford Graduate School of Business

01/08/2006 - 8:00 AM

International Asset Pricing
Andrew Ang, University of Southern California

Esther Eiling , Tilburg University, Bruno Gerard , Norwegian School of Management (BI) and Frans de Roon , Tilburg University - Asset Allocation in the Euro-Zone: Industry or Country Based?
Abstract

Cheol S. Eun and Jinsoo Lee , Georgia Institute of Technology - Mean-Variance Convergence Around the World
Abstract

Massimo Guidolin , Federal Reserve Bank of St. Louis - Research Department and Giovanna Nicodano , University of Turin - Small Caps in International Equity Portfolios: The Effects of Variance Risk
Abstract

Discussants:
George Karolyi , Ohio State University
Steve Heston , University of Maryland
Michael Brandt , Duke University

01/08/2006 - 8:00 AM

Monitoring Money Managers
David Musto, University of Pennsylvania

Daniel Bergstresser , Harvard Business School , John M.R. Chalmers , University of Oregon and Peter Tufano , Harvard Business School - Finance Unit - Assessing the Costs and Benefits of Brokers in the Mutual Fund Industry
Abstract

Thomas Dangl , Vienna University of Technology, Institute of Management Science, Youchang Wu and Josef Zechner , University of Vienna - Market Discipline and Internal Governance in the Mutual Fund Industry
Abstract

Amit Goyal , Emory University - Goizueta Business School and  Sunil Wahal  Arizona State University - W.P. Carey School of Business - The Selection and Termination of Investment Management Firms by Plan Sponsors
Abstract

Discussants:
Henrik Cronqvist , Ohio State University
Anthony Lynch , New York University
Christopher Geczy , University of Pennsylvania

01/08/2006 - 8:00 AM

Risk Factors and Returns
Pietro Veronesi, University of Chicago

Ravi Jagannathan and Yong Wang , Northwestern University - Consumption Risk and the Cost of Equity Capital
Abstract

John Hughes , Jing Liu and Jun Liu , University of California , Los Angeles - Information, Diversification, and Cost of Capital
Abstract

Oleg Bondarenko , University of Illinois at Chicago - Market Price of Variance Risk and Performance of Hedge Funds
Abstract

Discussants:
John Heaton , University of Chicago
Maureen O'Hara , Cornell University
Andrew Lo , Massachusetts Institute of Technology (MIT)

01/08/2006 - 8:00 AM

Taxes, Firm Policies, and Firm Value
Michael Lemmon, University of Utah

Jennifer L. Blouin , Luzi Hail , University of Pennsylvania and Michelle Yetman , University of California, Davis - Capital Gains Taxes, Pricing Spreads and Arbitrage: Evidence from U.S. Cross-Listed Firms
Abstract

Jeffrey R. Brown , University of Illinois at Urbana-Champaign, Nellie Liang , Federal Reserve Board - Capital Markets Section and Scott J. Weisbenner , University of Illinois at Urbana-Champaign - Executive Financial Incentives and Payout Policy: Firm Responses to the 2003 Dividend Tax Cut
Abstract

Jay C. Hartzell , Sheridan Titman , University of Texas at Austin and Garry J. Twite , Australian Graduate School of Management - Why do Firms Hold So Much Cash? A Tax-based Explanation
Abstract

Discussants:
Louis Gagnon , Queen's University (Canada)
John Graham , Duke University
C. Foley , University of Michigan Business School

01/08/2006 - 10:15 AM

Corporate Governance
Jeremy Stein, Harvard University

Clifford G. Holderness , Boston College - A Contrarian View of Ownership Concentration in the United States and Around the World
Abstract

Augustin Landier , New York University, David Sraer , CREST, Center for Research in Economics and Statistics, France - GREMAQ and David Thesmar , Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE) - CREST - Bottom-Up Corporate Governance
Abstract

Susan Kerr Christoffersen , McGill University, Christopher Geczy , University of Pennsylvania, David K. Musto , University of Pennsylvania and Adam V. Reed , University of North Carolina at Chapel Hill - Vote Trading and Information Aggregation
Abstract

Alessandro Beber and Daniela Fabbri , University of Lausanne - Who Times the Foreign Exchange Market? Corporate Speculation and CEO Characteristics
Abstract

Discussants:
Rafael La Porta , Dartmouth College
Andrew Metrick , University of Pennsylvania
Lucy White , Harvard Business School - Finance Unit
Robin Greenwood , Harvard Business School - Finance Unit

01/08/2006 - 10:15 AM

Empirical Approaches to the Cross Section of Returns
David Chapman, Boston College

Alessio A. Saretto , University of California, Los Angeles - Predicting and Pricing the Probability of Default
Abstract

Geert Bekaert , Columbia University, Eric Engstrom , Board of Governors of the Federal Reserve System and Steven R. Grenadier , Stanford Graduate School of Business - Stock and Bond Pricing with Moody Investors
Abstract

Yuhang Xing , Columbia Business School and Lu Zhang , Simon School, University of Rochester - Value Versus Growth: Movements in Economic Fundamentals
Abstract

Discussants:
Maria Vassalou , Columbia University
Ravi Bansal , Duke University
Murray Carlson , University of British Columbia

01/08/2006 - 10:15 AM

New Approaches to Market Microstructure
Kenneth Kavajecz, University of Wisconsin - Madison

Thierry Foucault , HEC School of Management, Paris and Albert J. Menkveld , Vrije Universiteit Amsterdam - FEWEB - Competition for Order Flow and Smart Order Routing Systems
Abstract

Asani Sarkar , Federal Reserve Bank of New York - Research Department , Robert A. Schwartz , Zicklin School of Business, Baruch College CUNY and Avner Wolf , City University of New York - Inter-Temporal Trade Clustering and Two-Sided Markets
Abstract

Hee-Joon Ahn , SungKyunKwan University, Jun Cai , City University of Hong Kong, Yasushi Hamao , University of Southern California and Michael Melvin , Arizona State University - Little Guys, Liquidity, and the Informational Efficiency of Price: Evidence from the Tokyo Stock Exchange on the Effects of Small Investor Participation
Abstract

Robert J. Bloomfield , Maureen O'Hara , Cornell University and Gideon Saar , New York University - The Limits of Noise Trading: An Experimental Analysis
Abstract

Discussants:
Duane Seppi , Carnegie Mellon University
Shane Underwood , Rice University
Heather Tookes , Yale School of Management
Lucy Ackert , Kennesaw State University

01/08/2006 - 10:15 AM

Real Estate and Real Options (joint with AREUEA)
Richard Stanton, University of California, Berkeley

Jonathan D. Evans , University of Bath, Vicky Henderson , Princeton University and David G. Hobson , University of Bath - The Curious Incident of the Investment in the Market: Real Options and a Fair Gamble
Abstract

Jarl G. Kallberg , Crocker H. Liu , New York University and Paolo Pasquariello , University of Michigan Business School - Department of Finance - Updating Expectations: An Analysis of Post-9/11 Returns
Abstract

Chris Downing , Rice University , Dwight M. Jaffee and Nancy Wallace , University of California , Berkeley - Information Asymmetries in the Mortgage-Backed Securities Market
Abstract

Discussants:
Alexander Triantis , University of Maryland
Nancy Wallace , University of California , Berkeley

Walter Torous , University of California, Los Angeles

01/08/2006 - 10:15 AM

Wall Street Analysts: Real Talent? Serious Conflicts?
Kent Womack, Dartmouth College

Lily H. Fang , INSEAD and Ayako Yasuda , University of Pennsylvania - Are Stars' Opinions Worth More? The Relation between Analyst Reputation and Recommendation Values
Abstract

Leonardo Madureira , Case Western Reserve University - Conflicts of Interest, Regulations, and Stock Recommendations
Abstract

Anup Agrawal , University of Alabama and Mark A. Chen , University of Maryland - Do Analyst Conflicts Matter? Evidence from Stock Recommendations
Abstract

Ulrike Malmendier , Stanford Graduate School of Business and Devin M. Shanthikumar , Harvard Business School - Do Security Analysts Speak in Two Tongues?
Abstract

Discussants:
Xi Li , University of Miami
Leslie Boni , University of New Mexico
Leslie Boni , University of New Mexico
Xi Li , University of Miami
Zoran Ivkovich , University of Illinois at Urbana-Champaign

01/08/2006 - 1:00 PM

Corporate Investment and Performance
Edith Hotchkiss, Boston College

Julian R. Franks , London Business School - Institute of Finance and Accounting and Gyongyi Loranth , University of Cambridge - A Study of Inefficient Going Concerns in Bankruptcy
Abstract

Konan Chan , National Taiwan University, David L. Ikenberry , University of Illinois at Urbana-Champaign, Inmoo Lee , National University of Singapore and Yanzhi Wang , National Taiwan University - Share Repurchases As A Manipulation Tool: Evidence from Earnings Quality and Stock Performance
Abstract

Joshua Lerner , Harvard Business School - Finance Unit, Antoinette Schoar , Massachusetts Institute of Technology (MIT) and Wan Wong , Harvard Business School - Smart Institutions, Foolish Choices?: The Limited Partner Performance Puzzle
Abstract

Discussants:
Per Stromberg , University of Chicago
Yaniv Grinstein , Cornell University
Robert Parrino , University of Texas at Austin

01/08/2006 - 1:00 PM

Imperfect Trading and Asset Prices
Owen Lamont, Yale School of Management

David A. Hirshleifer , Siew Hong Teoh , and Jiewei Yu , Ohio State University - Do Short-Sellers Arbitrage Accounting-Based Stock Market Anomalies?
Abstract

Steven J. Huddart , Pennsylvania State University, Mark H. Lang , University of North Carolina at Chapel Hill and Michelle Yetman , University of California, Davis - Psychological Factors, Stock Price Paths, and Trading Volume
Abstract

Suresh M. Sundaresan , Columbia Business School and Zhenyu Wang , University of Texas at Austin - Public Provision of Private Liquidity: Evidence from the Millennium Date Change
Abstract

Discussants:
Scott Richardson , University of Pennsylvania
Stefan Nagel , Harvard University
Francis Longstaff , University of California, Los Angeles

01/08/2006 - 1:00 PM

Information, Trade, and Asset Prices
Jesus Santos, Columbia University

Han N Ozsoylev , University of Oxford - Asset Pricing Implications of Social Networks
Abstract

Snehal Banerjee and Ilan Kremer , Stanford Graduate School of Business - Dynamic Patterns of Trading Volume and Disagreement
Abstract

Stijn Van Nieuwerburgh and Laura Veldkamp , New York University, Stern School of Business - Information Immobility and the Home Bias Puzzle
Abstract

Discussants:
Dimitrios Vayanos , London Business School
Jiang Wang , Massachusetts Institute of Technology (MIT)
Hyun Shin , London School of Economics

01/08/2006 - 1:00 PM

International Political Economy and Finance
Raymond Fisman, Columbia University

Mara Faccio , Ronald W. Masulis , Vanderbilt University and John J. McConnell , Purdue University - Political Connections and Corporate Bailouts
Abstract

Utpal Bhattacharya , Neal Galpin and Bruce Haslem , Indiana University Bloomington - The Home Court Advantage in International Corporate Litigation
Abstract

Enrico C. Perotti and Erik Feijen , University of Amsterdam - The Political Economy of Financial Fragility
Abstract

Discussants:
Dinc , University of Michigan at Ann Arbor
Roberta Romano , Yale University
Luigi Zingales , University of Chicago

01/08/2006 - 1:00 PM

Risk Premia
Leonid Kogan, Massachusetts Institute of Technology (MIT)

Francisco J. Gomes and Alexander Michaelides , London School of Economics - Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
Abstract

Long Chen , Michigan State University, Pierre Collin-Dufresne , University of California, Berkeley and Robert S. Goldstein , University of Minnesota - Twin Cities - On the Relation Between Credit Spread Puzzles and the Equity Premium Puzzle
Abstract

Ilan Cooper and Richard Priestley , Norwegian School of Management (BI) - Stock Return Predictability in a Production Economy
Abstract

Discussants:
Annette Vissing-Jorgensen , Northwestern University
Pietro Veronesi , University of Chicago
Jonathan Lewellen , Massachusetts Institute of Technology (MIT)