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E-PROCEEDINGS Page 1/295 E-PROCEEDINGS INDEX Inattentiveness: Revisiting Investment-Cash Flow Sensitivities Fabio Verona - Bank of Finland ................................................................................................ 23 The Cash Effect and Market Reaction over Three Decades Sean Cleary - Queen's University Fatma Sonmez - Queen's University ......................................................................................... 24 Exposure of Swiss Banks towards Greece and Banks of Selected European Countries Sandra Schreiner - Zurich University of Applied Sciences - School of Management and Law Suzanne Ziegler - Zurich University of Applied Sciences - School of Management and Law ...... 25 Testing the CAPM Theory for US Stock Market Based on a Model with SSAEPD Errors Liuling Li - Nankai University Yanjia Yang - Nankai University .............................................................................................. 26 Corporate Transparency, Product Innovation and Shareholder Value: Evidence from Korean Pharmaceutical Listings Paul Moon Sub CHOI - Ewha School of Business Jongkuk Lee - Ewha School of Business Joonho Richard Hwang - Ewha School of Business Hwanoong Lee - Michigan State University .............................................................................. 27 Short Sales Constraints and Financial Stability: Evidence from the Spanish Market Oscar Aarce - Bank of Spain Sergio Mayordomo - University of Navarra ............................................................................ 28 Investment Decisions of the Elderly Valentina Michelangeli - Bank of Italy ...................................................................................... 29 Nonlinearities in Brazilian Yield Curve Luiz Alberto D´Ávila de Araujo - Banco do Brasil S.A. Joaquim Pinto de Andrade - Universidade de Brasília .............................................................. 30 A Cross-Sectional Analysis of Index Futures as a Hedging Tool and Its Relationship With ? and Returns of Unhedged Portfolio Kshama Agarwal - University of Rajasthan, Jaipur Deepali Mehta - UIM, Uttarakhand Techical University Dehradun ......................................... 31 The Determinats of Bank Liquidity Gantiah Wuryandani - Bank Indonesia ................................................................................... 32 Pricing Efficiency of Equity Index Option Contracts: Evidence from National Stock Exchange of India Sushendra Mishra - Punjab Technical University, Jalandhar Uma Shankar - Planning Department, Uttar Pradesh Kapil Gupta - Punjab Institute of Technology, Kapurthala ...................................................... 33 Growth Forecasts, Belief Manipulation and Capital Markets Patrick Leoni - Kegde business school ...................................................................................... 34 Stochastic Volatility Model Calibration: A Computational Study Jia Zhai - University of Ulster Yi Cao - University of Ulster .................................................................................................... 35 Housing Booms and Media Coverage Clive Walker - Queen's University Management School ........................................................... 36 Page 2/295 E-PROCEEDINGS Rent-Seeking for IPO Approval Through Private Equity Affiliation: Evidence from the Chinese Stock Market Yuan Ding - China Europe International Business School Fang Yu - China Europe International Business School Hua Zhang - China Europe International Business School ....................................................... 37 Betas Used by Professors: A Survey With 2,500 Answers Pablo Fernandez - IESE Business School ................................................................................. 38 Market Pricing of Credit Rating Signals Magdalena Grothe - European Central Bank ........................................................................... 39 Can Investment in Cleaner Production Improve the Financial Performance of Spanish Pension Plans? Carmen Martí - Universitat Autònoma de Barcelona ............................................................... 40 A New Approach in Portfolio Selection Under the Three Factor Model Nikolaos Loukeris - University of Macedonia Wang Xi - University of Essex Iordanis Eleftheriadis - University of Macedonia Stratos Livanis - University of Macedonia ................................................................................ 41 Euro-Dollar Exchange Rate and News: Market Behaviour Before and After the 2007-2008 Financial Crisis Gabriella Cagliesi - University of Greenwich Antonio Carlo Francesco Della Bina - University of Bologna Massimo Tivegna - University of Teramo ................................................................................. 42 The Size Effect in Value and Momentum Factors: Implications for the Cross-Section of International Stock Returns Victoria Atanasov - VU University Amsterdam and Tinbergen Institute Thomas Nitschka - Swiss National Bank .................................................................................. 43 Validation of Merton Distance to Default Model under Ambiguity Leh-chyan So - Department of Quantitative Finance, National Tsing Hua University Wei-ling Chen - Department of Quantitative Finance, National Tsing Hua University .............. 44 Spring Forward or Fall Back? The Post-Crisis Recovery of Firms Leandro Medina - International Monetary Fund ..................................................................... 45 Business Groups in the United States: A Revised History of Corporate Ownership, Pyramids and Regulation, 1930-1950 Eugene Kandel - The Hebrew University of Jerusalem, CEPR and ECGI Konstantin Kosenko - Bank of Israel Randall Morck - University of Alberta and NBER Yishay Yafeh - The Hebrew University of Jerusalem, CEPR and ECGI ................................... 46 Asset Pricing with Heterogeneous Inattention Omar Rachedi - Universidad Carlos III de Madrid .................................................................. 47 Global Thermoeconomics Mario Cardullo - The Belfield Group, Ltd. Manhong Mannie Liu - Venture Capital Research Group at Chinese Academy of Science, Center for Fictitious Economy and Data Research, Renmin University ...................................................... 48 Borrowers' Equity Options and Loan Contract Terms Viet Do - Monash University Cameron Truong - Monash University Page 3/295 E-PROCEEDINGS Tram Vu - Monash University ................................................................................................. 49 Weekly Monitoring of Financial Systems in Transition: A Financial Conditions Index and a Credit Conditions Index – The Israeli Case Tanya Suhoy - Bank of Israel Noam Michelson - Bank of Israel ............................................................................................. 50 A Demand Model of Inuenza Vaccine in a Heterogeneous Population Mohsen Bahramgiri - Sharif University of Technology Saman Eskandarzadeh - Sharif University of Technology ........................................................ 51 Empirical Testing of CAPM for Central Public Sector Enterprises in India Pawan Kumar Avadhanam - Institute of Public Enterprise Naga Vineela Mamidi - Institute of Public Enterprise Ram Kumar Mishra - Institute of Public Enterprise ................................................................ 52 Basel III Accord: Different Bank Characteristics (Insolvency Risk) Due To Unobserved Heterogeneity Effects Mohd Yaziz Mohd Isa - Universiti Tun Abdul Razak ............................................................... 53 Financing Constraints and Investment in R&D: Evidence from Indian Manufacturing Firms Subash Sasidharan - Indian Institute of Technology Madras Jijo Lukose P.J. - Indian Institute of Management Trichy Surenderrao Komera - Institute for Financial Management and Research ............................... 54 On Chinese A-H Share Premium During the Financial Crisis Minglong Yao - Zhejiang University Zheng Yao - Zhejiang University ............................................................................................. 55 Credit Crunch and Firm Growth in Euro-area: 2005-2011. A Quantile Panel Analysis. Sophia Dimelis - Athens University of Economics and Business, Department of Informatics Ioannis Giotopoulos - Foundation for Economic & Industrial Research (IOBE); Bank of Greece; University of Peloponnese, Department of Economics Helen Louri - Bank of Greece; Athens University of Economics and Business, Department of Economics ..................................................................................................................................... 56 Equity Options, Credit Default Swaps and Leverage: A Simple Stochastic -Volatility Model For Equity and Credit Derivatives Gaia Barone - LUISS - Guido Carli, University of Rome .......................................................... 57 Integrated Model to Measure the Impact of Terrorism and Political Stability on FDI inflows: Empirical Study of Pakistan Sundas Rauf - School of Economics & Business Administration, University of Chongqing, China Qiang Fu - School of Economics and Business Administration, University of Chongqing, China.. 58 Using 10-K Text to Gauge Financial Constraints Andriy Bodnaruk - University of Notre Dame Tim Loughran - University of Notre Dame Bill McDonald - University of Notre Dame ............................................................................... 59 Do the Compensation and Industry Expertise of NEDs' Affect the M&A Decisions? Martin