E-Proceedings
Total Page:16
File Type:pdf, Size:1020Kb
E-PROCEEDINGS Page 1/153 E-PROCEEDINGS INDEX Does Bank Screening Matter? Private Information and Public Securities Issues Edwin H. Neave - Queen's University School of Business .......................................................... 13 How do Price Limits Influence French Market Microstructure? A high Frequency Data Analysis in Terms of Return, Volatility and Volume Karine Michalon - Université Paris Dauphine ........................................................................... 14 Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System Alex Cukierman - Interdisciplinary Center & Tel-Aviv University Yehuda Izhakian - New York University -Stern School of Business .......................................... 15 Is the World Heading towards Crisis-Induced Irrational Exuberance in International Assets? Investigating under Global Financial Stability APT Indranarain Ramlall - University of Mauritius ........................................................................ 16 Interest Rates and Credit Spread Dynamics Brice Dupoyet - Florida International University Xiaoquan Jiang - Florida International University Douglas Rolph - Nanyang Technological University Robert Neal - Indiana University .............................................................................................. 17 Explaining Hedge Fund Performance Fees Minli Lian - Kwantlen Polytechnic University Peter Klein - Simon Fraser University ...................................................................................... 18 FX Market Iliquidity and Funding Liquidity Constraints Kate Phylaktis - Cass Business School, London Chiara Banti - Cass Business School ......................................................................................... 19 RII: A New Index for Assessing Internationalization of Chinese Currency Yonghong Tu - School of Finance, Renmin University of China Wensheng Dai - School of Finance, Renmin University of China Xueqing Zhao - School of Finance, Renmin University of China ................................................ 20 The Usefulness of Factor Models in Forecasting the Exchange Rate: Results From the Brazilian Case Jose Luiz Rossi Junior - Insper Wilson Felicio - Insper ............................................................................................................. 21 Precious Metals, Stocks, and the Macroeconomics Environment: A FAVAR Model Approach Nicholas Apergis - University of Piraeus Christina Christou - University of Piraeus James Payne - University of South Florida ............................................................................... 22 Merger Activity in Industry Equilibrium Theodosios Dimopoulos - HEC Lausanne Stefano Sacchetto - Carnegie Mellon University ....................................................................... 23 Counterparty Risk in Exchange Traded Notes (ETNs) Ariel Levy - Technion - Israel Institute of Technology Balazs Cserna - University of Frankfurt Zvi Wiener - Hebrew University .............................................................................................. 24 Capital Controls and Bank Runs: Theory and Evidence from Brazil and South Korea Brittany Baumann - Boston University .................................................................................... 25 Page 2/153 E-PROCEEDINGS Does Board Gender-Diversity Matter in M&A Activities? Martin Bugeja - University of Technology,Sydney Samir Ghannam - Universtiy of Technology Sydney Zoltan Matolcsy - Universsity of Technology Sydney Helen Spiropoulos - University of Technology Sydney .............................................................. 26 The good and bad news about the new liquidity rules of Basel III in Western European countries Andreas Dietrich - Lucerne University of Applied Science Kurt Hess - Independent Credit View Gabrielle Wanzenried - Lucerne University of Applied Science ................................................ 27 Fund Flows and Performance in Brazil Luis Berggrun - Universidad Icesi Edmundo Lizarzaburu - ESAN University ............................................................................... 28 Currency Excess Returns and Global Downside Market Risk Thomas Nitschka - Swiss National Bank Victoria Galsband - Deutsche Bundesbank .............................................................................. 29 Underwriters and the Broken Chinese Wall: Institutional Holdings and Post-IPO Securities Litigation Thomas Walker - Concordia University Kuntara Pukthuanthong - San Diego State University Sergey Barabanov - University of St. Thomas Onem Ozocak - Brock University ............................................................................................ 30 Do Auditors Play a Positive Role in the Resolution of Debt Covenant Violations? Liangliang Jiang - Lingnan University Hui Zhou - Melbourne Business School .................................................................................... 31 Capitalizing on the Greatest Anomaly in Finance with Mutual Funds David Nanigian - The American College .................................................................................. 32 Growth of IPOs: A comparative analysis of emerging markets and developed markets Dr.Amit Kumar Singh - Shaheed Bhagat Singh College Prof.K.V. Bhanumurthy - Deaprtment Of Commerce,Delhi School of Economics,University of Delhi ....................................................................................................................................................... 33 Market Risk Premium used in 82 countries in 2012: a survey with 7,192 answers Pablo Fernandez - IESE Business School ................................................................................. 34 CDS spreads and spread change determinants: A firm-specific and market-factors study Offer Moshe Shapir - Ben-Gurion University Koresh Galil - Ben-Gurion University Uri Benzion - Western Galilee College ..................................................................................... 35 Euro at Risk: The Impact of Members Countrie’s Credit Risk on the Stability of the Common Currency Thorsten Lehnert - Luxembourg School of Finance Christian Wolff - Luxembourg School of Finance Xisong Jin - Luxembourg School of Finance Fanou Rasmouki - Luxembourg School of Finance Lamia Bekkour - Luxembourg School of Finance .................................................................... 36 Econometric Techniques to Examine Volatility in PEX Bulls and Bears Ibrahim Awad - Al-Quds Unversity Abdelrahman Aliwisat - Al-Quds Unversity ............................................................................. 37 Page 3/153 E-PROCEEDINGS Organizational Capital and Investment-Cash Flow Sensitivity: The Effect of Management Quality Practices Najah Attig - Saint Mary's University Sean Cleary - Queen's University ............................................................................................. 38 The Stochastic Seasonal Behavior of Energy Commodity Convenience Yiels Andrés García Mirantes - IES Juan del Enzina Francisco Javier Población García - Banco de España Gregorio Serna - Universidad de Alcalá ................................................................................... 39 Capital Structure Choice, Information Asymmetry and Debt Capacity: Evidence from India Surenderrao Komera - Institute for Financial Management and Research Jijo Lukose P.J. - Institute for Financial Management and Research ....................................... 40 Coupon Spreads, Repo Specials and Limits to Arbitrage in the 10-Year US Treasury Market Christopher G. Lamoureux - University of Arizona George Theocharides - Cyprus International Institute of Management (CIIM) ........................ 41 Investor Perceptions of Risk and Return in IT Stocks: An Empirical Study C .Vasanta Valli Chivukula - NMKRV College for Women {Autonomous} , III Block Jayanagar,Bangalore Eresi kalchetty - Bangalore University ,Bangalore ................................................................... 42 Firm Characteristics and Intellectual Capital Disclosure in Spanish IPO Prospectuses Fernando Gomez-Bezares - University of Deusto Leire Alcaniz - University of Deusto Jose Vicente Ugarte - University of Deusto ............................................................................... 43 Size and Value Premium in Sectoral Portfolios: An Application to the Euro Area Maher Asal - University West Lars Rolseth - University West ................................................................................................ 44 The Neural Behavior of Finance Investors: A Gender Analysis João Paulo Vieito - Polytechnic Institute of Viana do Castelo Eduardo Massad - Medical School, São Paulo University Armando F. Rocha - Neuroscience Researcher at RANI Fabio T. Rocha - Neuroscience Researcher at IPTI and RANI – Research on Artificial and Natural Intelligence .................................................................................................................................... 45 Cash Flow Hedging and Liquidity Choices David Disatnik - Tel Aviv University Ran Duchin - University of Washington Breno Schmidt - Emory University .......................................................................................... 46 Investing in the Asset Growth Anomaly across the Globe Xi Li - Hong Kong University of Science and Technology Rodney Sullivan - CFA Institute .............................................................................................. 47 A Double Threshold GARCH Model for Foreign Exchange Intervention