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NINETEENTH ANNUAL CONFERENCE OF THE MULTINATIONAL FINANCE SOCIETY (As of June 3, 2012) Sponsored by Department. of Economics, Finance and Environmental Management AGH University of Science and Metallurgy, Kraków, Poland Lebow College of Business Drexel University, USA June 24 - June 27, 2012 Novotel Krakow Bronowice Ul. Armii Krajowej 11 30-150 Krakow POLAND SESSION 1 Monday 8:30-10:15 Room 1 PORTFOLIO MANAGEMENT I Session Chair: Lakshman Alles - Curtin University of Technology, Australia "Practical Weight-constrained Conditioned Portfolio Optimization Using Risk Aversion Indicator Signals" Marc Boissaux - University of Luxembourg, Luxembourg Jang Schiltz - University of Luxembourg, Luxembourg Discussant: Giacomo Nocera - Bocconi University, Italy "Investing in Art: The Informational Content of Italian Painting Pre-Sale Estimates" Brunella Bruno - Bocconi University, Italy Giacomo Nocera - Bocconi University, Italy Discussant: Ursula Walther - Frankfurt School of Finance and Management, Germany "Inhomogeneous Network Models for US Financial Systems" Arnd Hubsch - Frankfurt School of Finance and Management, Germany Ursula Walther - Frankfurt School of Finance and Management, Germany Discussant: Yuliya Plyakha - Goethe University Frankfurt, Germany "Why Does an Equal-weighted Portfolio Outperform Value- and Price-weighted Portfolios?" Yuliya Plyakha - Goethe University Frankfurt, Germany Raman Uppal - CEPR, United Kingdom Grigory Vilkov - Goethe University Frankfurt, Germany Discussant: Marc Boissaux - University of Luxembourg, Luxembourg SESSION 2 Monday 8:30-10:15 Room 2 CORPORATE GOVERNANCE I Session Chair: Dan Palmon - Rutgers Business School, United States 1 "Does a Country's Financial and Legal Systems Contemporaneously Impact the Governance and Performance Relationship: Further Evidence?" Anne Anderson - Lehigh University, United States Parveen Gupta - Lehigh University, United States Andrey Zagorchev - Concord University, United States Discussant: Ronen Barak - Bar Ilan University, Israel "Ownership Concentration and the Value Effect of Related Party Transactions" Yaron Amzaleg - Peres Academic Center, Israel Ronen Barak - Bar Ilan University, Israel Discussant: Elyas Elyasiani - Temple University, United States "Bank Holding Company Performance, Risk and "Busy" Board of Directors" Elyas Elyasiani - Temple University, United States Ling Zhang - Temple University, United States Discussant: Joseph Gawer - Natixis Asset Management, France "Corporate Governance Scores and Medium-term Stock Returns" Joseph Gawer - Natixis Asset Management, France Discussant: Andrey Zagorchev - Concord University, United States SESSION 3 Monday 8:30-10:15 Room 3 BANKS I Session Chair: Taufiq Choudhry - University of Southampton, United Kingdom "A Behavioral Analysis of Informational Efficiency in Bank-based Financial Systems" David Peon - Universidade Da Coruna, Spain Anxo Calvo - Universidade Da Coruna, Spain Discussant: Tomasz Michalski - HEC Paris, France "US Banking Integration and State-Level Exports" Tomasz Michalski - HEC Paris, France Evren Ors - HEC Paris, France Discussant: Melek Acar Boyacioglu - Selcuk University, Turkey "Measurement of Financial Efficiency in the Turkish Banking Sector Using the Data Envelopment Analysis" I. Erem Sahin - Selçuk University, Turkey Ramazan Aktas - TOBB University of Economics and Technology, Turkey Melek Acar Boyacioglu - Selcuk University, Turkey Discussant: Sazali Abidin - The University of Waikato, New Zealand "Banking Efficiency in Asia-Pacific Countries" Sazali Abidin - The University of Waikato, New Zealand Enkhzaya Erdenebileg - University of Waikato, New Zealand Azilawati Banchit - University of Waikato, New Zealand Discussant: David Peon - Universidade Da Coruna, Spain 2 SESSION 4 Monday 8:30-10:15 Room 4 REAL ESTATE Session Chair: Giovanni Favara - IMF, United States "Modeling the Dependence Structure Between Australian Equity and Real Estate Markets: A Conditional Copula Approach" Ning Rong - Macquarie University, Australia Stefan Trueck - Macquarie University, Australia Discussant: Dan French - University of Missouri, United States "Taxable Subsidiaries Within a Tax-Sheltered Firm: The Case of Real Estate Investment Trusts" Anamaria Calincan - University of Missouri, United States Dan French - University of Missouri, United States Discussant: Francisco Jose Callado Munoz - University of Girona, Spain "Determinants of Households' Risk" Francisco Jose Callado Munoz - University of Girona, Spain Natalia Utrero Gonzalez - University of Girona, Spain Discussant: Giovanni Favara - IMF, United States "Credit Supply and the Price of Housing" Giovanni Favara - IMF, United States Jean Imbs - Paris School of Economics, France Discussant: Stefan Trueck - Macquarie University, Australia SESSION 5 Monday 8:30-10:15 Room 5 FINANCIAL CRISIS I Session Chair: Ania Zalewska - University of Bath, United Kingdom "Are Short Sellers Positive Feedback Traders? Evidence from the Global Financial Crisis" Martin Bohl - University of Munster, Germany Arne Klein - Westphalian Wilhelminian University of Munster, Germany Pierre Siklos - Wilfrid Laurier University, Canada Discussant: Anastasios Malliaris - Loyola University Chicago, United States "Global Financial Imbalances: The Role of the Financial Crisis" Anastasios Malliaris - Loyola University Chicago, United States Mary Malliaris - Loyola University Chicago, United States Discussant: Marco Guidi - University of Glasgow, United Kingdom "The Moral Deficit of Financial Institutions and the Credit Crisis: The the Moral Debt Perspective" Marco Guidi - University of Glasgow, United Kingdom Discussant: Ma Tai - National Sun Yat-sen University, Taiwan "The Role of Individual Investors in Liquidity Risk and Financial Crisis" Tai Ma - National Sun Yat-sen University, Taiwan Kai-wei Chang - National Sun Yat-Sen University, Taiwan Chun-hao Yin - National Sun Yat-sen University, Taiwan 3 Discussant: Martin Bohl - University of Munster, Germany SESSION 6 Monday 8:30-10:15 Room 6 VOLATILITY I Session Chair: Ali Termos - American University of Beirut, Lebanon "Volatility and Shock Transmission Between ISE City Indices and Main Indices" Ekin Tokat - TOBB University of Economics and Technology, Turkey Esref Basci - Hitit University, Turkey Mehmet Doganay - Cankaya University, Turkey Ramazan Aktas - TOBB University of Economics and Technology, Turkey Discussant: Peter Molnar - Norwegian University of Science and Technology, Norway "High-Low Range in GARCH Models of Stock Return Volatility" Peter Molnar - Norwegian University of Science and Technology, Norway Discussant: Faten Ben Slimane - Groupe Esc Troyes, France "Intraday Return and Volatility Linkage Between US and European Markets: Did the 2007-08 Financial Crisis Really Strengthen Volatility Spillover?" Faten Ben Slimane - Groupe ESC Troyes, France Mohamed Mehanaoui - Paris West University Nanterre La Défense, France Discussant: Hue Hwa Au Yong - Monash University, Australia "Contagion and Flight-to-Quality: Evidences from the Asia-Pacific Economic Cooperation (APEC) Region" Yu-Tung Peng - Monash University, Australia Hue Hwa Au Yong - Monash University, Australia Sirimon Treepongkaruna - The University of Western Australia, Australia Discussant: Mehmet Doganay - Cankaya University, Turkey SESSION 7 Monday 8:30-10:15 Room 7 DERIVATIVE MARKETS I Session Chair: Gautam Goswami - Fordham University, United States "An Empirical Comparison of Ad Hoc Black and Scholes Models" Suk Joon Byun - Korea Advanced Institute of Science and Technology, Korea Sol Kim - Hankuk University of Foreign Studies, Korea Dong Woo Rhee - Samsung Asset Management, Korea Discussant: Anastasios Kagkadis - Durham University, United Kingdom "Investor Sentiments, Rational Beliefs and Option Prices" Panayiotis Andreou - Cyprus University of Technology, Cyprus Anastasios Kagkadis - Durham University, United Kingdom Dennis Philip - Durham University, United Kingdom Discussant: Maria-Isabel Martinez-serna - Universidad de Murcia, Spain "The Role of Implied Volatility for Explaining Consumer Sentiment: Evidence for the US and Germany" Raquel Lopez - University of Castilla - La Mancha, Spain 4 Maria-Isabel Martinez-Serna - Universidad de Murcia, Spain Eliseo Navarro - Universidad de Alcalá, Spain Discussant: Alejandro Bernales - Banque De France, France "Learning How to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface?" Alejandro Bernales - Banque De France, France Massimo Guidolin - University of Manchester, United Kingdom Discussant: Sol Kim - Hankuk University of Foreign Studies, Korea SESSION 8 Monday 8:30-10:15 Room 8 CAPITAL STRUCTURE I Session Chair: Neophytos Lambertides - Cyprus University of Technology, Cyprus "Does Anchoring Explain Capital Structure Decisions?" Khaled Soufani - Concordia University, Canada Terence Tse - ESCP Europe, United Kingdom Othman Cole - ESCP Europe, United Kingdom Anas Aboulamer - Concordia University, Canada Discussant: Laurie Prather - Bond Univeristy, Australia "The Impact of Product Warranties on the Capital Structure of Australian Firms" Bayan Arqawi - Bond University, Australia Laurie Prather - Bond Univeristy, Australia William Bertin - Bond University, Australia Discussant: Zeynep Onder - Bilkent University, Turkey "Determinants of Capital Structures of Small and Medium Enterprises in Turkey" Ugur Cakova - Bilkent University, Turkey Zeynep Onder - Bilkent University, Turkey Discussant: Agnieszka Trzeciakiewicz - The University of Hull, United Kingdom "CEO's Power of