Northern Finance Association Conference 2011

Full Program

Friday, 16 September 2011
14:00-19:00
Conference Participants Check in to Pick up Conference Package (Westin Main Lobby near Currents Restaurant)
17:00-19:00
Conference Welcome Reception Sponsored by Pearson (Currents Restaurant)
Saturday, 17 September 2011
7:00-8:30
Breakfast (Salons 1&2)
8:30-10:00
Salon 3Oak 1Oak 2Cypress 1Cypress 2
Volatility in Asset PricingAdlai FisherSegregating Continuous Volatility From Jumps In Long-Run Risk-Return Trade-Offs Cedric Okou, HEC MontrealAurelio VasquezThe Equity Premium and the Maturity Structure of UncertaintyBruno Feunou, Duke University; Jean-Sébastien Fontaine, Bank of Canada; Abderrahim Taamouti, Universidad Carlos III de Madrid; Roméo Tédongap, Stockholm School of EconomicsAlberto RomeroExplaining Stock Returns with Intraday JumpsDiego Amaya, HEC Montreal; Aurelio Vasquez, ITAMThomas RufVolatility Term Structure and Option ReturnsAURELIO VASQUEZ, ITAMDon Chance Fixed Income IJason WeiSavior or Sinner? Credit Default Swaps and the Market for Sovereign DebtIuliana Ismailescu, Lubin School of Business - Pace University; Blake Phillips, University of WaterlooJennie BaiThe Pricing and Performance of New Corporate Bonds: TRACE-Era EvidenceIgor Kozhanov, University at Buffalo; Joseph Ogden, University at Buffalo; Farindokht Vaghefi, CUNY Baruch CollegeBlake PhillipsThe determinants of the CDS-Bond basis during the financial crisis of 2007 - 2009Jennie Bai, Federal Reserve Bank of New York; Pierre Collin-Dufresne, Columbia UniversityMadhu KalimipalliDid CDS Trading Improve the Market for Corporate Bonds?Subhankar Nayak, Wilfrid Laurier University; Sanjiv Das, Santa Clara University; Madhu Kalimipalli, Wilfrid Laurier UniversityIgor Kozhanov Asset Pricing ModelsGlen DonaldsonA Multi-Country Term Structure Model with Unspanned RisksGregory H. Bauer, Bank of Canada; Antonio Diez de los Rios, Bank of CanadaFabricio PerezAn Investment Model via Regime Switching Economic IndicatorsJohn Mulvey, Princeton University; Yonggan Zhao, Dalhousie UniversityAntonio Diez de los RiosOn Horizon Effects and Microstructure Bias in Average Returns and AlphasOliver Boguth, Arizona State University; Murray Carlson, University of British Columbia; Adlai Fisher, University of British Columbia; Mikhail Simutin, University of TorontoYonggan ZhaoRisk Premium Estimation with Multicollinear and Invariant Betas by the Two-Pass Cross-Sectional Regressions M. Fabricio Perez, Wilfrid Laurier University; Seung C. Ahn, Arizona State University; Christopher Gadarowski, CognilyticsMark Kamstra Corporate Finance ISattar MansiA New Look at Insider Trading and PerformanceWilliam McNally, Wilfrid Laurier University; Brian Smith, Wilfrid Laurier UniversityPei ShaoPerformance evaluation in competitive REE modelsPaolo Colla, Universita Bocconi; Jose Marin, IMDEAAli LazrakThe Relative Leverage Premium Filippo Ippolito, Universita Bocconi; Roberto Steri, Universita Bocconi; claudio tebaldi, universita BocconiMichael MuellerDebt Covenants, Bankruptcy Risk, and Issuance CostsSattar Mansi, Virginia Tech ; Yaxuan Qi, Concordia University; John Wald, University of Texas, San Antonio Mehdi Beyhaghi Managerial Incentives IMichael HallingBank Monitoring and CEO CompensationKeke Song, Dalhousie UniversityJan BenaA Comparison of CEO Pay in Public and Private US FirmsHuasheng Gao, Nanyang Technological University; Michael Lemmon, University of Utah; Kai Li, UBCAmbrus KecskesExecutive Compensation and the Corporate Spin-off DecisionYi Feng, Ryerson University; Debarshi Nandy, York University; Yisong Tian, York UniversityTanakorn Makaew
10:00-10:15
Coffee Break (Stanley Park Foyer)
10:15-11:45
Salon 3Oak 1Oak 2Cypress 1Cypress 2
Corporate Governance IMark HusonCorporate Governance and State Expropriation RiskBurcin Col, McGill University; Vihang Errunza, McGill UniversityHernan Ortiz-MolinaCorporate Governance and the Timing of Earnings AnnouncementsRoni Michaely, Cornell University and IDC ; Amir Rubin, Simon Fraser University and IDC; Alex Vedrashko, Simon Fraser UniversityHong Ping TanShareholder Voting and Corporate Governance Around the WorldLukas Roth, University of Alberta; Peter Iliev, Penn State University; Karl Lins, University of Utah; Darius Miller, Southern Methodist UniversityStephen SappThe Disciplinary Effects of Proxy ContestsVyacheslav Fos, Columbia UniversityVikas Mehrotra Lessons from the Financial CrisisLouis GagnonCredit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level EvidenceJian Yang, University of Colorado Denver; Yinggang Zhou, Chinese University of Hong KongScott HendryArbitrage, liquidity and exit: The repo and federal funds markets before, during, and after the financial crisisMorten Bech, FRBNY; Elizabeth Klee, FRB; Viktors Stebunovs, FRBGeorge GeorgopoulosHow did Canadian Banks Treat their Borrowers during the Financial Crisis?Teodora Paligorova, Bank of Canada; Jason Allen, Bank of CanadaChen LiuThe Resolution of Failed Banks during the Crisis: Acquirer Performance and FDIC Guarantees, 2008–2010Arnie Cowan, Iowa State University; Valentina Salotti, Iowa State UniversityMiret Padovani Mutual Funds IStephen FoersterDo Mutual Fund Managers Adjust NAV for Stale Pricing?Vincent Gregoire, University of British ColumbiaGeorge Jiaguo WangAlpha and Performance Measurement: The Effect of Investor HeterogeneityWayne Ferson, USC; Jerchern Lin, USCVincent GregoireOn Market States and Total Performance 1. Realizing the Value of the Actively Managed Mutual Fund IndustryGeorge Jiaguo Wang, Department of Finance, University of MelbourneXiaolu WangRepresentativeness of Disclosed Holdings for Equity Mutual FundsXiaolu Wang, Iowa State UniversityMichael King Corporate Cash PolicyThomas BatesCorporate LiquidityFilippo Ippolito, Universita Bocconi; Ander Perez, Pompeu Fabra UniversityTilan TangDeterminants of Corporate Cash Policy: Insights from Private FirmsHuasheng Gao, Nanyang Technological University; Jarrad Harford, University of Washington; Kai Li, UBCThomas BatesDo all-equity firms destroy value by holding cash?Michael Kisser, Norwegian School of Economics and Business AdministrationHamed MahmudiIndustry-Wide Real Asset Liquidity and Corporate Cash HoldingsJing Huang, University of South CarolinaHernan Ortiz-Molina Asset Pricing ILorenzo GarlappiRational Information LeakageRaffi Indjejikian, Ross School, University of Michigan; Hai Lu, Rotman School, University of Toronto; Liyan Yang, Rotman School, University of TorontoGunter StroblShort Sales and the Lee-Ready Trade Classification Algorithm RevisitedBidisha Chakrabarty, St. Louis University; Pamela Moulton, Cornell University; Andriy Shkilko, Wilfrid Laurier UniversityHank BessembinderSpeculation and Hedging in Segmented MarketsItay Goldstein, Wharton School, University of Pennsylvania; Yan Li, Fox School, Temple University; Liyan Yang, Roman School, University of TorontoMasahiro WatanabeToward a Quantitative General Equilibrium Asset Pricing Model with Intangible CapitalHengjie Ai, Duke University; Mariano Croce, UNC Chapel Hill; Kai Li, Duke UniversityZhongzhi Song
11:45-13:30
Luncheon, Best Paper Awards, and Keynote Speech by Professor Laura Starks (Salons 1&2)
13:45-15:15
Salon 3Oak 1Oak 2Cypress 1Cypress 2
AnomaliesMikhail SimutinDo momentum and reversals coexist?Jason Wei, University of TorontoChelsea Yaqiong YaoGenerational Asset Pricing, Equity Puzzles, and CyclicalityAlan Huang, University of Waterloo; Eric Hughson, Claremont McKenna College; Chris Leach, University of Colorado at BoulderCelim YildizhanIs there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default RiskDeniz Anginer, World Bank Research Group; Celim Yildizhan, University of MichiganJason WeiMomentum, Contrarian, and the January SeasonalityChelsea Yaqiong Yao, University of MelbourneAlan Huang Financial ConstraintsHuasheng GaoCostly External FinanceJUN YANG, Bank of CanadaMichael KisserDoes a Cash Squeeze Affect Competitive Outcomes of Firms and Their Rivals?Tilan Tang, Clemson UniversityLing CenInvestment-Cash Flow Sensitivity Cannot Be a Good Measure of Financial Constraints: Evidence from the Time SeriesJason Chen, University of British Columbia; Jenny Chen, Connor, Clark, and Lunn Investment ManagementFan Yu International FinanceOmrane GuedhamiBeyond visibility and transparency: What distinguishes investment decisions of foreign and domestic investors?Fariborz Moshirian, University of New South Wales; Peter Kien Pham, University of Sydney; Shu Tian, Fudan University; Eliza Wu, University of Technology, SydneySith ChaisuroteDo Local Investors Learn From Foreign Fund Flows?Sith Chaisurote, University of Oregon; Charles Gaa, University of OregonEbenezer AsemWill Trading Location Dominate in Pricing Dynamics? Evidence from international ETFs on U.S. marketXiaoqiao Wang, Queen's University; Yi Ding, Queen's UniversityAshraf Zaman IPOs and SEOsMurray CarlsonPublic information and IPO underpricingEinar Bakke, NHH; Tore E. Leite, NHH; Karin S. Thorburn, NHHSebastien BetermierIssuance of Warrants in Seasoned Equity Offerings – Evidence from Rights OfferingsBalasingham Balachandran, La Trobe University; Sutharson Kanapathipillai, Deakin University; Chandrasekhar Krishnamurti, University of Southern Queensland; Michael Theobald, University of Birmingham; Eswaran Velayutham, La Trobe UniversityMurray CarlsonGeographic Proximity and IPO Firm CoverageHongping Tan, University of Waterloo; Patricia O'Brien, University of WaterlooMichael MuellerCredibility And Multiple SEOs: What Happens When Firms Return To The Capital Market?Mark Walker, North Carolina State University; Keven Yost, Auburn University; Jing Zhao, North Carolina State UniversityMurray Carlson Mergers and AcquisitionsJan BenaCorporate Innovations and Mergers and AcquisitionsJan Bena, University of British Columbia - Sauder School of Business; Kai Li, University of British Columbia - Sauder School of BusinessAmit SeruDeal Size, Acquisition Premia and Shareholder GainsGeorge Alexandridis, ICMA Centre, Henley Business School, University of Reading; Kathleen P. Fuller, University of Mississippi - School of Business Administration ; Lars Terhaar, ICMA Centre, Henley Business School, University of Reading; Nickolaos G. Travlos, The Kitty Kyriacopoulos Chair in Finance, ALBA Graduate Business SchoolFeng ZhangHow Have M&As Changed? Evidence From The Sixth Merger WaveChristos F Mavrovitis, ICMA Centre Henley Business School; George Alexandridis, ICMA Centre Henley Business School; Nickolaos G Travlos, ALBA Graduate Business SchoolOliver LevineWAVES OF INTERNATIONAL MERGERS AND ACQUISITIONSTanakorn Makaew, University of South CarolinaClaudia Custodio
15:15-15:30
Coffee Break (Stanley Park Foyer)
15:30-17:00
Salon 3Oak 1Oak 2Cypress 1Cypress 2
Asset Pricing IIGordon SickBlack's Leverage Effect Is Not Due To LeverageJasmina Hasanhodzic, Boston University; Andrew Lo, Massachusetts Institute of TechnologyYuanshun LiGeographic Dispersion and Stock ReturnsDiego Garcia, Kenan-Flagler Business School, UNC at Chapel Hill; Oyvind Norli, Norwegian School of ManagementHarry TurtleIQCAPM: Asset Pricing with Information-Quality RiskGady Jacoby, Seton Hall University; Gemma Lee, Seton Hall University; Alexander Paseka, University of ManitobaAlan Huang Corporate Finance II Douglas CummingCompetition, Managerial Quality, and Capital StructureTat-kei Lai, University of Toronto; Varouj Aivazian, University of TorontoLukas RothPost-Entry Struggle for Life and Pre-Exit Shadow of Death from a Financial PerspectiveKim Huynh, Bank of Canada; Robert Petrunia, Lakehead UniversityAlexander VedrashkoThe Real Effects of Analyst CoverageFrancois Derrien, HEC Paris; Ambrus Kecskes, Virginia TechFilippo IppolitoWhen analysts talk, do institutional investors listen? Evidence from target price changes and institutional tradingHong Ping Tan, University of Waterloo; Shan Lin, Queen's UniversityJerchern Lin Corporate Governance IIMadhu KalimipalliAre Shareholder Proposals an Important Corporate Governance Device? Evidence from US and UK Shareholder ProposalsBonnie Buchanan, Seattle University; Jeffry Netter, University of Georgia; Tina Yang, Villanova UniversityAlexander BorisovInstitutional Investment Horizon, Corporate Governance, and the Cost of Equity Capital Omrane Guedhami, University of South Carolina; Najah Attig, Saint Mary’s University; Sean Cleary, Queen’s University; Sadok El Ghoul, University of AlbertaThe value and regulation of corporate lobbyingAlexander Borisov, indiana university; eitan goldman, Indiana university; Nandini Gupta, indiana universitySi Li BankingScott HendryFinancial Contagion and Depositor MonitoringAugusto Hasman, SKEMA Business School; Margarita Samartin, Universidad Carlos III de Madrid; Jos Van Bommel, Universidad Cardenal HerreraPei ShaoThe Determinants of Banks' Lobbying ActivitiesMiret Padovani, University of Geneva; Rajna Gibson, University of GenevaSadok El GhoulCentral Bank Communication or the Media's Interpretation: What Moves Markets?Scott Hendry, Bank of CanadaFrancesco TrebbiCollectivism and Corruption in Bank LendingSadok El Ghoul, University of Alberta; Xiaolan Zheng, Moore School of Business, University of South Carolina; Omrane Guedhami, Moore School of Business, University of South Carolina; Chuck Kwok, Moore School of Business, University of South CarolinaMiret Padovani Mutual Funds IILisa KramerDynamic Correlations, Estimation Risk, and Portfolio Management during the Financial CrisisRichard Luger, Georgia State UniversityLorenzo GarlappiFee dispersion and persistence in the mutual fund industryMichael Cooper, University of Utah; Michael Halling, University of Utah; Michael Lemmon, University of UtahVeronika Krepely PoolEconomic Conditions and Fund Purchase Decisions: Evidence from the Mutual Fund IndustrySaurin Patel, McGill UniversityChi LiaoBusiness Ties and Information Advantage: Evidence from Mutual Fund Trading Ying Duan, University of Alberta; Edith Hotchkiss, Boston College; Yawen Jiao, Rensselaer Polytechnic InstituteChris Schwarz
18:30-19:00
Pre-dinner Reception (Marine Room)
19:00-22:00
Conference Banquet Sponsored by Bank of Canada, Introducing Next Year's Host Institute and Location (Currents Restaurant)
Sunday, 18 September 2011
7:00-8:30
Breakfast (Salons 1&2)
8:30-10:00
Salon 3Oak 1Oak 2Cypress 1Cypress 2
Behavioural Corporate FinanceHernan Ortiz-MolinaCleared for Takeoff? CEO Personal Risk-Taking and Corporate PoliciesMatthew Cain, University of Notre Dame; Stephen McKeon, University of OregonAmir BarneaMen are from Mars, Women are from Venus: Gender and Mergers and AcquisitionsMaurice Levi, University of British Columbia; Kai Li, University of British Columbia; Feng Zhang, University of British Columbia; Maurice Levi; Maurice LeviStephen McKeonSocial Interaction Effects and Individual Portfolio Choice: Evidence from 401(k) Pension Plan InvestorsJun Lu, University of PennsylvaniaAllesandro PreviteroThe Effect of Executive Confidence, Ability, and Private Beliefs on the Valuation of Executive Stock OptionsDon Chance, Louisiana State University; Tung-Hsiao Yang, National Chung Hsing UniversityDavid Koslowsky Fixed Income IIPhelim BoyleEconomic Risk Premia in the Fixed Income Markets:Pierluigi Balduzzi, Boston College; Fabio Moneta, Queen's UniversityFabricio PerezMacroeconomic factors and volatility of Treasury bond returnsJingzhi Huang, Pennsylvania State University; Lei Lu, Peking UniversityLu ZhangThe Chrysler Effect: The Impact of the Chrysler Bailout on Borrowing CostsDeniz Anginer, World Bank Research Group; Alfred Warburton, University of SyracuseMurray CarlsonThe information content of the embedded deflation option in TIPSOlesya Grishchenko, Pennsylvania State University; Joel Vanden, Pennsylvania State University; Jianing Zhang, Pennsylvania State UniversityIgor Kozhanov Managerial Incentives IIVijay JogAllocation of Authority, Firm Value, and Optimal Compensation Contracts: When CEO Power Creates ValueHamed Mahmudi, Rotman School of Management, University of TorontoYisong TianContractual Versus Actual Severance Pay Following CEO TurnoverPeggy Huang, Indiana University; Eitan Goldman, Indiana UniversityVijay JogIroning out the Wrinkles in Executive Compensation: Linking Incentive Pay to Average Stock PricesYisong Tian, York UniversityHamed Mahmudi Hedge Funds and BeyondStephen SappHedge Fund Ownership and Liquidity RiskLubomir Petrasek, Board of Governors of the Federal Reserve System; Charles Cao, Penn State UniversityRobert PetruniaPrivate Equity Performance under Extreme RegulationDouglas Cumming, York University; Simona Zambelli, University of BolognaEric SantorTail Risks across Investment FundsJerchern Lin, University of Southern CaliforniaAdlai FisherThe Information Content of Hedge Fund Trading: Evidence from Mergers and AcquisitionsCharles Cao, Pennsylvania State University; Bradley Goldie, Pennsylvania State University; Bing Liang, University of Massachusetts at Amherst; Lubomir Petrasek, Pennsylvania State UniversityKeke Song Corporate Finance IIISean ClearyThe Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey DataIwan Meier, HEC Montréal; Ravi Jagannathan, Kellogg School of Management; Vefa Tarhan, Loyola University ChicagoAri PandesUncertainty, Risk, and Incentives: Theory and EvidenceZhiguo He, University of Chicago; Si Li, Wilfrid Laurier University; Bin Wei, Baruch College; Jianfeng Yu, University of MinnesotaSiu Kai ChoyThe Role of Agents in Private FinanceDouglas Cumming, York University - Schulich School of Business; Ari Pandes, University of Calgary - Haskayne School of Business; Michael Robinson, University of Calgary - Haskayne School of BusinessWei WangDisclosure Environment And Earnings Announcement Premia: International Evidence And Further U.S. EvidenceSiu Kai Choy, University of Toronto; Ying Zheng, Sun Yat Sen UniversitySean Cleary
10:00-10:15
Coffee Break (Stanley Park Foyer)
10:15-11:45
Salon 3Oak 1Oak 2Cypress 1Cypress 2
Behavioural Asset PricingMark KamstraInvestor Sentiment, Disagreement and Return Predictability of Ownership BreadthLing Cen, Rotman School of Management, University of Toronto; Hai Lu, Rotman School of Management, University of Toronto; Liyan Yang, Rotman School of Management, University of TorontoTim SiminsProspect Theory and Portfolio SelectionMichael Best, University of Waterloo; Robert Grauer, Simon Fraser UniversityTan WangRisk-averse Liquidity Investors, Strategic Trading, and Return DynamicsMing Guo, Shanghai Advanced Institute of Fnance, Shanghai Jiaotong Univeristy; Albert Kyle, Maryland UniversityShmuel BaruchThe Dynamics of Overpricing in Structured ProductsThomas Ruf, University of British ColumbiaSiu Kai Choy International Asset PricingDavid KoslowskyBarriers to Portfolio Flows, Short Sales Constraints and International Asset Pricing: Theory and EvidenceHai Ta, Desautels Faculty of Management, McGill University; Vihang Errunza, Desautels Faculty of Management, McGill UniversityDavid KoslowskyInformation Acquisition, Under-diversification and Portfolio Performance of International InvestorsNicole Choi, University of Wyoming; Mark Fedenia, University of Wisconsin-Madison; Hilla Skiba, University of Wyoming; Tatyana Sokolyk, University of WyomingStephen SappCurrency Hedging for International Portfolios Expanding to Emerging MarketsJie Zhang, Concordia UniversityHaibo JiangNorthern Exposure: How Canadian Small Stock Investments Can Benefit InvestorsStephen Foerster, University of Western Ontario; Lionel Fogler, Kingwest & Company; Stephen Sapp, University of Western OntarioTatyana Sokolyk Corporate Finance IVPaul IrvineCash holdings, Institutional Investors, and Free Cash Flow HypothesisSigitas Karpavicius, Flinders University; Fan Yu, University of WashingtonHuasheng GaoIs No News Bad News? Signaling and Countersignaling in the Case of Expensing Employee Stock OptionsLan Xu, Washington University in St. LouisPablo MoranPyramidal Ownership and the Creation of New FirmsJan Bena, University of British Columbia; Hernan Ortiz-Molina, University of British ColumbiaPaul IrvineContribution Limit and Retirement SavingAshraf Zaman, Saint Mary's UniversityCharles Gaa Payout PolicyVikas MehrotraInformation and Long-term Stock Performance following Open-Market Share RepurchasesFei Leng, University of Washington, Tacoma; Gregory Noronha, University of Washington, TacomaEbenezer AsemPrior Earnings, Dividend-Reducing Announcement Returns and Future Earnings PerformanceEbenezer Asem, University of LethbridgeWilliam McNallyStrategic interaction in product markets and a firm’s dividend policyAtsushi Chino, Foster School of Business, University of WashingtonMark HusonThe Credibility of Open Market Share Repurchase SignalingIlona Babenko, Arizona State University; Yuri Tserlukevich, Arizona State University; Alexander Vedrashko, Simon Fraser UniversityFei Leng Short SalesPeter KleinDoes Option Transaction Cost Reduction have an Impact on Short Sales and Market Efficiency? A Study Related to the SEC “Penny Pricing” Pilot ProgramsNadia Massoud, York University ; Rui Dai, York University Andriy ShkilkoShort-Selling: The Impact of SEC Rule 201 of 2010Chinmay Jain, University of Memphis; Pankaj Jain, University of Memphis; Thomas McInish, University of MemphisFlora HsiaoSignaling via Stock Splits: Evidence from Short InterestAndriy Shkilko, Wilfrid Laurier University; Fabricio Perez, Wilfrid Laurier University; Ning Tang, Wilfrid Laurier UniversityMinli LianWorldwide short selling: Regulations, activity, and implicationsArchana Jain, University of Memphis; Pankaj Jain, University of Memphis; Thomas McInish, University of Memphis; Michael McKenzie, University of SydneyDaniele Signori

 

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