EUROPEAN FINANCIAL MANAGEMENT

Behavioural Finance SYMPOSIUM

April 20-22, 2006 Durham Business School, United Kingdom

Keynote Speaker: Professor A. Subrahmanyam, UCLA

Symposium Chairs: Professor Phil Holmes, Professor Krishna Paudyal

PROGRAMME

Date Time Session/ Chair/ Participants Title Discussant Venue

Thursday 5:30 – Seminar room 2 All Registration N/A 20 April 6:30 pm

6.45 pm MBA Theatre All Welcome to Durham

sponsored by: 7:00 – EFM06 - Marquee All Inaugural Drinks Reception 9:00 pm

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Discussants Friday 8:30 – Session 1 Jūlija Dziguļska, Gunta Jurča, Jekaterina 004 – Is it possible to “Beat the Alistair Byrne 21 April 10:00 am Isajeva, Audrius Mozūras – Stockholm Monkey”? An Analysis of the Finnish Chair: School of Economics in Riga Mutual Fund Industry Angelo Ranaldo Alistair Byrne, David Blake, Andrew Cairns 025 – The Stakeholder Pension Toben Lütje and Kevin Dowd, University of Strathclyde; Lottery? An Analysis of the Default Venue: Pensions Institute; Cass Business School; Funds in UK Stakeholder Pension MBA Theatre Heriot-Watt University and Nottingham Schemes University Business School, respectively.

Alexandra Niessen and Stefan Ruenzi, 070 – Sex Matters: Gender and Mutual Gunta Jurča University of Cologne and Centre for Funds Financial Research (CFR)

Friday 8:30 – Session 2 Michael Kaestner, Center for Research in 104 – Investors’ Misreaction to João Vasco 21 April 10:00 am Finance, Montpellier University and CEROM Unexpected Earnings: Evidence of Soares Chair: Simultaneous Overreaction and Gregory Underreaction Koutmos João Vasco Soares and Ana Paula Serra, 120 – “Overreaction” and Emilios Galariotis Venue: Facultade de Economia da Universidade do “Underreaction”: - Evidence for the Seminar Porto Portuguese Stock Market Room 1 Konstantinos Kassimatis, Spyros Spyrou - 044 – Behavioral Characteristics of Michael Kaestner Athens University; Emilios Galariotis, Durham Government Bond Investors Following Business School Market Shocks: International Evidence

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Discussants Friday 8:30 – Session 3 Asad Kausar, Manchester Business School; 066 – Testing Behavioral Finance Kwangmin Ko 21 April 10:00 am Richard J Taffler, University of Edinburgh Models of Market Under- and Chair: Markus Overreaction: Do they Really Work? C Arnold K Jeremy Ko and Zhijian (James) Huang, 077 – Arrogance Can Be a Virtue: Luis Muga Venue: Pennsylvania State University Overconfidence, Information Seminar Acquisition, and Market Efficiency Room 8 Luis Muga and Rafael Santamaría, 087 – Momentum, Market States and Asad Kausar Universidad Pública de Navarra Investor Behavior

Friday 8:30 – Session 4 H de L Bruslerie, Université Paris I Sorbonne; 008 – Incentive Equilibrium and Diana Pop 21 April 10:00 am C Deffains-Crapsky, Université d’Angers Negotiation of Stock Options Between Chair: Shareholders and Managers Anders Anderson Diana Pop, Laboratoire d’Economie 109 – Corporate Governance Solutions Zacharias d’Orléans for Transition Economies: Sautner Venue: Representations and Warranties in Seminar Takeover Agreements Room 2 Zacharias Sautner, Saïd Business School, 022 – Stock Options and Employee Catherine University of Oxford; Martin Weber, Lehrstuhl Behavior: Evidence from Exercise and Deffains-Crapsky für Bankbetriebslehre, Universität Mannheim Survey Data

Friday 8:30 – Session 5 Antti Pirjettä, Helsinki School of Economics; 088 – ESO Valuation Under IFRS 2 – Karl Ludwig 21 April 10:00 am Antti Rautiainen, School of Business, Considerations of Agency Theory, Risk Keiber Chair: University of Jyväskylä aversion and the Binomial Model James J Choi Karl Ludwig Keiber, WHU Otto Beisheim 058 – Managerial Compensation Shing-yan Hu Venue: Graduate School of Management Contracts and Overconfidence Boardroom Yueh-hsiang Lin, Takming College, Taipei; 078 – Testing Pecking Order Prediction Antti Pirjettä Shing-yan Hu, Ming-shen Chen, National from the Viewpoint of Managerial Taiwan University Optimism: Some Empirical Evidence from Taiwan

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10:00 – 10:30 am COFFEE

Discussants Friday, 10:30 – Session 6 Andreas Krause, University of Bath; K C John 063 – Behavioral Bias of Traders: Dimitris 21 April 12:00 pm Wei, Hong Kong University of Science and Evidence for the Disposition and Petmazas Chair: Technology; Zhishu Yang, Tsinghua Reverse Disposition Effect Ana Paula University Serra Petra Joerg and Claudio Loderer, Institut für 093 – Swiss Dentists and Managers: Angelo Ranaldo Finazmanagement, Universität Bern Private Investor Profiles Venue: Seminar Angelo Ranaldo, Swiss National Bank; 057 – Wolf in Sheep’s Clothing: The Andreas Krause Room 8 Rainer Häberle, UBS Investment Bank AG Active Investment Strategies Behind Index Performance

Friday, 10:30 – Session 7 Cheol S Eun and Swastika Mukherjee, 082 – The Geography of M&A: George 21 April 12:00 pm College of Management, Georgia Institute of Contours and Causes Alexandridis Chair: Technology Paul J. Klumpes George Alexandridis, Antonios Antoniou, 132 – Belief Asymmetry and Gains from Michael H Grote Huainan Zhao, Durham Business School Acquisitions Venue: Seminar Michael H Grote and Marc P Umber, Johan 075 – Home Biased? A Spatial Analysis Swastika Room 1 Wolfgang Goethe-Universität, Frankfurt Am of the Domestic Merging Behavior of US Mukherjee Main Firms

Friday, 10:30 – Session 8 Gerlinde Fellner and Erik Theissen, 101- Short Sale Constraints, Cal Muckley 21 April 12:00 pm University of Bonn Divergence of Opinion and Asset Chair: Values: Evidence from the Laboratory Emilios Galariotis Selima Ben Mansour, CEREG Université 052 – Is There a Pessimistic Bias in Katrin Muehlfeld Paris Dauphine; Elyès Jouini, CEREMADE, Individual Beliefs? Evidence from Venue: Université Paris Dauphine, Clotilde Napp, Survey Data Seminar CEREMADE and CREST Room 2 Arjen van Witteloostuijn Groningen University 134 – Trader Personality and Trading Erik Theissen and Durham Business School; Katrin Performance – An Explorative Financial Muehlfeld, Groningen University Market Pilot Experiment

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Discussants Friday, 10:30 – Session 9 Anders Anderson, Swedish Institute for 107 – Is Online Trading Gambling with Lars Lochstoer 21 April 12:00 pm Financial Research (SIFR) Peanuts? Chair: Kwangmin Ko Thomas Gilbert, Hass School of Business, U 028 – Releases of Previously Published C Berkeley; Shimon Kogan, Tepper School of Information Move Aggregate Stock Andrew Vivian Venue: Business, Carnegie Mellon University; Lars Prices Boardroom Lochstoer, London Business School; Ataman Ozyildirim, The Conference Board

Andrew Vivian, Durham Business School 085 – The Payout Ratio, Earnings Anders Anderson Growth and Returns: UK Industry Evidence

Friday, 10:30 – Session 10 Antonios Antoniou, Durham Business School; 119 – The Cost of Credit and Positive Philipp Schmitz 21 April 12:00 pm Gregory Koutmos, Fairfield University Feedback Trading: Evidence from the Chair: US Stock Market David Barr Philipp Schmitz, Markus Glaser and Martin 086 – Individual Investor Sentiment and Pattarake Venue: Weber – Lehrstuhl für Bankbetriebslehre, Stock Returns – What Do We Learn Sarajoti MBA Theatre Universität Mannheim from Warrant Traders?

Piman Limpaphayom, Sasin GIBA of 133 – Gone with the Wind: Chicago’s Gregory Koutmos Chulalongkorn University; Peter R Locke, Weather and Futures Trading The George Washington University; Pattarake Sarajoti, Sasin GIBA of Chulalongkorn University

Friday, 12:10 – Chair: 21 April 1:15 pm Krishna Speaker: Professor A. Subrahmanyam KEY NOTE SPEECH Paudyal

Venue: MBA Theatre

Friday, 1:15 – LUNCH 21 April 2:30 pm

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Discussants Friday, 2:30 – Session 11 Natalia Scotto Piquiera, University of Houston 118 – Trading Activity, Illiquidity Costs Rob Watson 21 April 4:00 pm and Stock Returns Chair: Robert Faff Soeren Hvidkjaer, R H Smith School of 029 – Small Trades and the Cross- Natalia Scotto Business, University of Maryland Section of Stock Returns Piquiera Venue: MBA Theatre David Ikenberry, Department of Finance, 073 – Clustering in US Stock Prices Soeren Hvidkjaer University of Illinois; James Weston, Jones After Decimalization Graduate School of Management, Rice University

Friday, 2:30 – Session 12 Elena Asparouhova, University of Utah; 117 – Behavioral Baises and Investor Alex Edmans 21 April 4:00 pm Michael Hertzel, Arizona State University; Behavior: Predicting the Next Step of a Chair: Michael Lemmon, University of Utah Random Walk (Revisited and Extended) Richard Taffler Alex Edmans, MIT; Diego García, Tuck 030 – Sports Sentiment and Stock Yu Yuan School of Business at Darmouth and Øyvind Returns Venue: Norli, Norwegian School of Management Seminar Room 1 Jianfeng Yu and Yu Yuan, Department of 033 – Investor Sentiment and the Mean- Elena Finance, the Wharton School of University of variance Relation Asparouhova Pennsylvania

Friday, 2:30 – Session 13 Roger K Loh, Ohio State University and 039 – Unifying Behavioral Biases Under Tal Shavit 21 April 4:00 pm Singapore Management University (SMU); a Market Probability Measure with an Chair: Mitch Warachka, (SMU) Application to Analysts’ Forecasts Michael Schröder Tal Shavit, Uri Ben Zion – Ben Gurion 041 – Risk Aversion, Under- Peter R Haiss University; Ido Erev, Technion, Haifa; Ernan diversification, and the Role of Recency Venue: Haruvy, University of Texas at Dallas and Probabilty Matching Seminar Room 2 Peter R Haiss, Europe Institute, University of 043 – Bank Herding: A Review and Mitch Warachka Economics and Business Administration, Synthesis Vienna

Page 6 of 12 Discussants Friday, 2:30 – Session 14 Adelson Piñón, Lehrstuhl fur 042 – the Influence of Present and Prior Daniel Mulino 21 April 4:00 pm Bankbetriebslehre, Universität Mannheim and Alternatives on Risk Aversion Chair: Madrid Autonomous University; Martin John T Weber, Lehrstuhl fur Bankbetriebslehre, Scruggs Universität Mannheim

Venue: Daniel Mulino, Richard Scheelings, Robert 048 – Deal or No Deal: Risk Aversion in Mingzhu Wang Boardroom Brooks and Robert Faff; Monash University, a Field Experiment with Very High Australia Stakes

Mingzhu Wang, Arif Khurshed - Manchester 059 – Institutional Blockholding in UK Adelson Piñón Business School; Stephen Lin, Florida Firms: Do Corporate Internal Control International University Mechanisms Matter?

Friday, 2:30 – Session 15 Diego Salzman, CORE, Université catholique 065 – Emotions, Bayesian Inference, Elias Rantapuska 21 April 4:00 pm de Louvain; Emanuela Trifan, Darmstadt and Financial Decision Making Chair: University of Technology George Bulkley Elias Rantapuska, Helsinki School of 076 – Which Investors are Irrational? Mark B Economics Evidence from Rights Issues Shackleton

Venue: Gordon Gemmill, University of Warwick; Mark 127 – Prospect Theory and Option Diego Salzman Seminar B Shackleton, University of Lancaster Prices: Evidence from S&P500 Index Room 8 Options

Friday, 4:00 – 21 April 4:15 pm COFFEE

Friday, 4:15 – Chair: Round Table Discussants: Round Table Discussion 21 April 6:15 pm Phil Holmes Kent Daniel, David Ikenberry, Narasimhan Jegadeesh, Tyler Shumway, and Venue: James Montier MBA Theatre Friday, 6:15 – Free – 1 hour preparation to attend Gala Dinner 21 April 7:15 pm Coach - two pick up points: Friday, (a) 7.15 pm (a) Bus leaves from Business School for Lumley Castle 21 April (b) 7:30 pm (b) Bus leaves from Students Union for Lumley Castle

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8:15 pm Lumley Castle GALA Dinner

11:00 pm Coach departs Lumley Castle for Durham. 2 drop off points

Discussants Saturday, 8.30 – Session 16 Richard Deaves, Michael G. DeGroote 014 – The Dynamics of Dinh Thanh 22 April 10.00 am School of Business, McMaster University, Overconfidence: Evidence from Stock Huong Chair: Michael Center for European Economic Research Market Forecasters Hertzel (ZEW), Mannheim; Erik Lüders, Lalve University, Quebec, (ZEW); Michael Venue: Schröder, (ZEW). Seminar Room 1 Dinh Thanh Huong and Jean-François 067 – An Experimental Study of Trading Richard Taffler Gajewski - IRG, Universiy Paris Volume and Divergence of Expectations in Relation to Earnings Announcement

Thabang Mokoteli, Cranfield School of 098 – Are Analysts Biased? An Michael Schröder Management; Richard Taffler, University of Analysis of Analysts’ Stock Edinburgh Recommendations that Perform Contrary to Expectations

Saturday, 8.30 – Session 17 John T Scruggs, Terry College of Business, 007 – Noise Trader Risk: Evidence from Anders Ekholm 22 April 10.00 am University of Georgia the Siamese Twins Chair: Itzhak Anders Ekholm and Daniel Pasternack, 024 – Overconfidence and Investor Alexandra Venezia Swedish School of Economics and Business Size Niessen Administration Venue: Seminar Dr Toben Lütje, Deutsche Asset 038 – To Be Good or To Be Better: John T Scruggs Room 8 Management & University of Hannover, Asset Managers’ Attitudes Towards Germany Herding

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Discussants Saturday, 8.30 – Session 18 Keith Anderson, ISMA Centre, University of 009 - Decomposing the Price-Earnings Joaquín 22 April 10.00 am Reading; Chris Brooks, Cass Business Ratio Marhuenda Chair: School, City of London Barbara Summers Carlos Forner, Sonia Sanabria, Joaquín 089 – Post-Earnings Announcement Renata Herrerías Marhuenda, University of Alicante Drift: Spanish Evidence Venue: MBA Theatre George Bulkley, University of Exeter; Renata 068 – Behavioural Models of Long-Run Keith Anderson Herrerías, Instituto Tecnológico Autónomo de Returns Reversals: Evidence from México Returns Following Profit Warnings

Saturday, 8.30 – Session 19 Valentín Azofra Palenzuela, Beatriz 096 – Market Under/Overreaction: Link Fabrice 22 April 10.00 am Fernández Alonso and Eleuterio Vallelado to Representativeness and Rousseau Chair: González – University of Valladolid Conservatism Jie Zhang Laurent Germain, Toulouse Business School, 097 – Optimistic & Pessimistic Trading Lun Zhang Venue: and Europlace Institute of Finance; Fabrice in Financial Markets Seminar Rousseau, National University of Ireland, Room 2 Maynooth; Anne Vanhems, Toulouse Business School Yu-lei Rao, School of Business, Central 122 – Modification of Value Function by Eleuterio South University, Changsha, PR China, Incorporating Mental Account Vallelado Visiting Professor at LSE; Lun Zhang, Tongji González University, Shanghai; Ping Wang, School of Business, Central South University, Changsha

Saturday, 10:00 – 22 April 10:15 am COFFEE

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Discussants Saturday, 10:15 – Session 20 Kevin Keasey, Barbara Summers, Leeds 094 – Angst About Annuities: A Chi-Hsiou 22 April 11:45 am University Business School; Darren Duxbury, Behavioral Exploration of Individuals’ (Daniel) Hung Chair: LUBS and Affiliated Research Fellow of Attitudes Towards Annuities Erik Theissen International Institute of Banking & Financial Services; Robert Hudson, International Venue: Institute of Banking and Financial Services MBA Theatre Devraj Basu, University of Warwick; Chi- 136 - When to Pick the Losers: Do Jerry Coakley Hsiou (Daniel) Hung, Durham Business Sentiment Indicators Improve Dynamic School; Roel Oomen and Alexander Asset Allocation? Stremme, University of Warwick Jerry Coakley, Leon Hadass and Andrew 113 – Hot IPOs Can Damage your Barbara Wood, Department of Accounting, Finance Long-Run Wealth! Summers and Management, University of Essex

Saturday, 10:15 – Session 21 John V Duca, Research Department, Federal 026 – The Evolving Impact of Stock Jonathan 22 April 11:45 am Reserve Bank of Dallas; Richard G Market Shocks and Mortgage Activity Williams Chair: Cal Anderson, Research Department, Federal on Broad Money Demand Muckley Reserve Bank of St Louis

Venue: Jonathan Williams and Angel Liao, School for 124 – Implications of New Asymmetries Mikael Bask Seminar Business and Regional Development, in Foreign Exchange Markets Room 8 University of Wales Michael Bask, Monetary Policy and Research 114 - Announcement Effects on John V Duca Department, Bank of Finland Exchange Rate Movements: Continuity as a Selection Criterion Among the REE

Saturday, 10:15 – Session 22 Jan Annaert, Anouk G P Claes, Marc J K De 105 – Framing the Individual Investor: Herbert Lam 22 April 11:45 am Ceuster, University of Antwerp The Case of Capital Guaranteed Funds Chair: Michael Antonios Antoniou, Herbert Lam and Krishna 137 - Divergence in Opinion, Limits to Douglas Kaestner Paudyal, Durham Business School Arbitrage and Momentum Trading Blackburn

Venue: Douglas Blackburn and Andrey D Ukhov, 016 – Estimating Preferences Toward Marc J K De Seminar Kelley School of Business, Indiana University Risk: Evidence from Dow Jones Ceuster Room 1

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Discussants Saturday, 10:15 – Session 23 Chienwei Ho, Durham Business School 021 – Determinants of Direct Itzhak Venezia 22 April 11:45 am Stockholding Behaviour of Chair: Younger/Non-Retired and Older/Retired Eleuterio Households in the U S Vallelado González Zur Shapira, Stern School of Business, New 135 – On Timing and Herding: Do Bernard Ben Sita York University; Itzhak Venezia, The Hebrew Professional Investors Behave Venue: University Differently than Amateurs? Seminar Room 2 Bernard Ben Sita, Swedish School of 128 – The Relationship Between Chienwei Ho Economics and Business Administration Variance and Trading Intensity

Saturday, 11:45 – Session 24 Paolo Colla, Universitá Bocconi; Diego 090 – Hopes and Beliefs in Financial James J Choi 22 April 1:15 pm Salzman, CORE, Université catholique de Markets: Can Illusions Survive in the Chair: Louvain Long Run? Michael Bask K C John Wei, and Jie Zhang, Hong Kong 099 – The Limits of Arbitrage: Evidence Paolo Colla Venue: University of Science and Technology from Fundamental Value-to-Price MBA Theatre Trading Strategies

James J Choi, Yale University and NBER 110 – Extrapolative Expectations and Jie Zhang the Equity Premium

Saturday, 11:45 – Session 25 Paul J Klumpes, Imperial College London; 032 – Disclosure Effectiveness of Markus C Arnold 22 April 1:15 pm Robert G Walker, University of Sydney Financial Disclosure Regulations to Chair: Individual Investors: Evidence from the Alistair Byrne Field. Markus C Arnold, University of Göttinghen; 031 – Groves Mechanism vs Profit Huainan Zhao Venue: Eva Ponick and Heike Y Schenk-Mathes, Sharing for Corporate Budgeting – and Seminar Institute of Management and Economics, Experimental Analysis with Preplay Room 1 Clausthal University of Technology Communication

Dong Hong and Mitch Warachka, Singapore 054 – Return Uncertainty and the Paul J Klumpes Management University Appearance of Biases in Expected Returns

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Discussants Saturday, 11:45 – Session 26 Karim M Abdir, Imperial College London; 034 – Liquidity Constraints and the Lars Nordén 22 April 12:45 pm Laura Spierdijk, University of Twente Demand for Assets: An Application to Chair: Keith the Festivity Effect Anderson Anders Karlsson and Lars Nordén, School of 053 – Benefits of Contribution: Laura Spierdijk Venue: Business, Stockholm University Individual Asset Allocation, Seminar Diversification and Welfare in a Defined Room 8 Contribution Pension System

LUNCH 1:15pm – 14:00pm

End of the programme

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