TWENTY-FOURTH ANNUAL CONFERENCE OF THE MULTINATIONAL FINANCE SOCIETY (As of May 26, 2017) June 25-28, 2017 Intercontinental Hotel Bucharest Bulevardul Nikolae Balcescu 4 Bucharest, Romania SESSION 1 Monday 8:45 - 10:15 a.m. Doina ASSET PRICING I Session Chair: Hans Byström - Lund University, Sweden "Does Multiemployer Plan Membership Influence Stock Return Co-Movement?" Barbara Chambers - Monash University, Australia Discussant: Wah Yip Chu - BI Norwegian Business School, Norway "Value and Profitability Premium: From the Perspective of Duration" Wah Yip Chu - BI Norwegian Business School, Norway Discussant: Nader Virk - Plymouth Business School, UK "Time Variation in Liquidity, DMS and Asset Pricing Models" Hilal Butt - Institute of Business Administration, Pakistan Nader Virk - Plymouth Business School, UK Discussant: Barbara Chambers - Monash University, Australia SESSION 2 Monday 8:45 - 10:15 a.m. Opereta FIXED INCOME SECURITIES Session Chair: Balasingham Balachandran - La Trobe University, Australia "Liquidity Premium in Domestic Brazilian Government Bonds" Gyorgy Varga - FCE Consulting, Brazil Discussant: Marcos Gonzalez - Universidad de León, Spain "Population Aging, Maturity Structure and FDI Outflows" Marcos Gonzalez - Universidad de León, Spain María Del Carmen González-Velasco - Universidad de León, Spain Discussant: Julio Sarmiento-Sabogal - Pontificia Universidad Javeriana, Colombia "Positive Asymmetric Information in Volatile Environments: The Black Market Dollar and Sovereign Bond Yields in Venezuela" Julio Sarmiento-Sabogal - Pontificia Universidad Javeriana, Colombia Edgardo Cayon - CESA Business School, Colombia Maria Antonieta Collazos-Ortiz - Pontificia Universidad Javeriana, Colombia Juan Sebastian Sandoval-Hoyos - Pontificia Universidad Javeriana, Colombia Discussant: Gyorgy Varga - FCE Consulting, Brazil 1 SESSION 3 Monday 8:45 - 10:15 a.m. Simfonia BANKING AND MORTGAGES Session Chair: Dimitrios Ginoglou - University of Macedonia, Greece "Social Capital and Bank Stability" Robert Mathieu - Wilfrid Laurier University, Canada Justin Jin - McMaster University, Canada Kiridaran Kanagaretnam - York University, Canada Gerald Lobo - University of Houston, USA Discussant: Pornchai Chunhachinda - Thammasat University, Thailand "Determinants of Bank Performance in Thailand: Foreign vs. Domestic Banks" Sasin Kirakul - Bank of Thailand, Thailand Pornchai Chunhachinda - Thammasat University, Thailand Discussant: Nandkumar Nayar - Lehigh University, USA "Comparing the Profitability of the Conventional and Islamic Banks Across Four Asian Countries" Ron Bird - University of Technology Sydney, Australia Vijay Kumar - Waikato University, New Zealand Krishna Reddy - Waikato University, New Zealand Discussant: Robert Mathieu - Wilfrid Laurier University, Canada SESSION 4 Monday 8:45 - 10:15 a.m. Opera CAPITAL STRUCTURE Session Chair: Ajai Singh - University of Central Florida, USA "Risk and Information Tranching, Security Governance, and Incentive Compatible Capital Structure Design" Timothy Riddiough - University of Wisconsin, USA Discussant: Ana Mol-Gómez-Vázquez - Universidad Politécnica de Cartagena, Spain "The Effect of the Banking System Structure on Borrower Discouragement: Empirical Evidence for SMEs from 25 European Countries" Ana Mol-Gómez-Vázquez - Universidad Politécnica de Cartagena, Spain Ginés Hernández-Cánovas - Universidad Politécnica de Cartagena, Spain Johanna Koëter-Kant - Vrije Universiteit Amsterdam, Netherlands Discussant: Xiaoquan Jiang - Florida International Univeristy, USA "Equity Issues and Market Timing" Xiaoquan Jiang - Florida International Univeristy, USA Bong Lee - Florida State University, USA Discussant: Timothy Riddiough - University of Wisconsin, USA 2 SESSION 5 Monday 8:45 - 10:15 a.m. Bolero BEHAVIORAL I Session Chair: Tai Ma - National Sun Yat Sen University, Taiwan "Analyst Forecast Error and Investor Sentiment in Cross-Sectional Returns" Oussama Baher - University of Sussex, UK Sina Badreddine - Middlesex University, UK Ephraim Clark - Middlesex University, UK Discussant: Patrick Roger - University of Strasbourg, France "Investor Sentiment and Stock Return Predictability: The Power of Ignorance" Catherine D'Hondt - Université catholique de Louvain, Belgium Patrick Roger - University of Strasbourg, France Discussant: Ali Polat - University of Leicester, UK "Salience and Financial Fragility" Ali Polat - University of Leicester, UK Discussant: Oussama Baher - University of Sussex, UK SESSION 6 Monday 8:45 - 10:15 a.m. Menuet CORPORATE FINANCE I Session Chair: OnKit Tam - RMIT University, Australia "Do Merger Waves Cause Ripples in Vertically Related Industries?" Mary Becker - John Carroll University, USA Discussant: Bogdan Stacescu - BI Norwegian Business School, Norway "Dividends and Taxes: The Moderating Role of Agency Conflicts" Janis Berzins - BI Norwegian Business School, Norway Øyvind Bøhren - BI Norwegian Business School, Norway Bogdan Stacescu - BI Norwegian Business School, Norway Discussant: Chrysanthi Balomenou - HOU, Greece "Greek Crisis and Moral hazards’ Creation on Entrepreneurship Financing Guarantees: An empirical Investigation on entrepreneurs of Regional Unity of Serres-Greece" Chrysanthi Balomenou - HOU, Greece Marianthi Maliari - Hellenic Open University, Greece Simeon Semasis - HOU, Greece Discussant: Mary Becker - John Carroll University, USA Refreshments 10:15 - 10:30 a.m. 3 SESSION 7 Monday 10:30 - 12:00 p.m. Doina ASSET PRICING II Session Chair: David Stolin - University of Toulouse, France "The Smart Vega Factor-Based Investing: Disentangling Risk Premia from Implied Volatility Smirk" Anmar Al Wakil - University Paris-Dauphine, PSL Research University / Natixis AM, France Discussant: Yihui Lan - The University of Western Auatralia, Australia "Asset Pricing and Energy Consumption Risk" Ashley Lim - The University of Western Australia, Australia Robert Faff - University of Queensland, Australia Yihui Lan - The University of Western Auatralia, Australia Sirimon Treepongkaruna - The University of Western Australia, Australia Discussant: Andreea Mitrache - Toulouse Business School, France "A Global Macroeconomic Risk Explanation for Momentum and Value" Ilan Cooper - BI Norwegian Business School, Norway Andreea Mitrache - Toulouse Business School, France Richard Priestley - BI Norwegian Business School, Norway Discussant: Anmar Al Wakil - University Paris-Dauphine, PSL Research University / Natixis AM, France SESSION 8 Monday 10:30 - 12:00 p.m. Opereta BOARD OF DIRECTORS Session Chair: Yin-Hua Yeh - National Chiao Tung University, Taiwan "Internal Governance and Bank Performance Under the Capital Requirement Directive IV" Kwabena Addo - Ca’ Foscari University of Venice, Italy Ugo Rigoni - Ca’ Foscari University of Venice, Italy Elisa Cavezzali - Ca’ Foscari University of Venice, Italy Gloria Gardenal - Ca'Foscari University of Venice, Italy Discussant: Faten Slimane - Université Paris Est MArne La VAllée, France "Successful Corporate Governance Restructuring to Adapt to New Market Conditions: The Case of the Stock Exchanges" Laura Angulo - Loyola University Andalucía, Spain Faten Slimane - Université Paris Est MArne La VAllée, France Discussant: Samuel Szewczyk - Drexel University, USA "Expertise on Boards and the Market for Directors with Acquisition Experience" Seung Hee Choi - The College of New Jersey, USA Tirimba Obonyo - Drexel University, USA Samuel Szewczyk - Drexel University, USA George Tsetsekos - Drexel University, USA Discussant: Kwabena Addo - Ca’ Foscari University of Venice, Italy 4 SESSION 9 Monday 10:30 - 12:00 p.m. Simfonia IPOS Session Chair: Ron Bird - University of Technology Sydney, Australia "A Different View on IPO Mispricing: Australian Evidence" Hamza Ajmal - The University of Waikato, New Zealand Ron Bird - The University of Waikato, New Zealand Discussant: Nihat Aktas - WHU - Otto Beisheim School of Management, Germany "The Financing Role of IPOs in Acquisitions: Market- Versus Bank-Based Economies" Nihat Aktas - WHU - Otto Beisheim School of Management, Germany Ettore Croci - Università Cattolica del Sacro Cuore, Italy Ali Ozdakak - WHU - Otto Beisheim School of Management, Germany Discussant: Natalia Matanova - Pennsylvania State University, USA "Take a Chance? Implications of Auditor Going Concern Opinions for IPO Investors" Natalia Matanova - Pennsylvania State University, USA Tanja Steigner - Emporia State University, USA James Qiancheng Zheng - Emporia State University, USA Discussant: Hamza Ajmal - The University of Waikato, New Zealand SESSION 10 Monday 10:30 - 12:00 p.m. Opera VOLATILITY Session Chair: Petko Kalev - La Trobe University, Australia "Stock Return Expectations in the Credit Market" Hans Byström - Lund University, Sweden Discussant: Amine Ismail - Université Paris Diderot- Paris VII, France "Regime-Switching Stochastic Volatility Model: Estimation and Calibration to VIX Options" Stéphane Goutte - University Paris Diderot, France Amine Ismail - Université Paris Diderot- Paris VII, France Huyên Pham - University Paris Diderot, France Discussant: Yadong Li - University of Bath, UK "The Risky Business of Measuring Risk: Volatility, Tail Risk, and Return Distributions" Yadong Li - University of Bath, UK Ania Zalewska - University of Bath, UK Discussant: Hans Byström - Lund University, Sweden SESSION 11 Monday 10:30 - 12:00 p.m. Bolero QUANTITATIVE FINANCE Session Chair: Jiri Tresl - Central Michigan University, USA "Comparative Statics and Portfolio Choices Under the Phantom Decision Model" Hideki Iwaki - Kyoto