INFINITI Conference on International Finance 11-12 June 2007 Draft Programme Sunday, 10 June 2007 1800-2000
Welcome Reception and Early Registration (The Atrium, Trinity College Dublin) Monday, 11 June 2007
0830-1730
Registration Desk Open (Upper Concourse, Arts Building)
0900-0915
Welcome
0915-1045
Parallel Sessions 1
1045-1100
Tea & Coffee
1100-1200
Plenary Session with Special Guest Speaker Raman Uppal, London Business School “1/N”
1200-1330
Lunch
1330-1500
Parallel Sessions 2
1500-1515
Tea & Coffee
1515-1615
Special Sessions (1) Roundtable: Energy Finance, chaired by Betty J Simkins, Oklahoma State University, featuring: Paul Harris, Head of Energy Trading, Bank of Ireland Global Markets Richard S J Tol, ESRI The Economic and Social Research Institute (Ireland) and Editor of Energy Economics Maxwell Stevenson, The University of Sydney (2) Workshop: Extracting Sentiment from Financial News, chaired by Khurhid Ahmad, Trinity College Dublin
1615-1745
Parallel Sessions 3
1900
Beer-Tasting Event, Porterhouse (Nassau Street, Dublin 2)
Draft Programme 28 May 2007
Page 1 of 19
INFINITI Conference on International Finance 11-12 June 2007 Tuesday, 12 June 2007 0830-1730
Registration Desk Open (Upper Concourse, Arts Building)
0900-1030
Parallel Sessions 4
1030-1045
Tea & Coffee
1045-1200
Plenary Session with Special Guest Speaker Martin Gruber, NYU “The Existence and Frequency of Holdings Data: Effects on the Beliefs and Mythology of Mutual Fund Behaviour”
1200-1300
Lunch (delegates’ own arrangements)
1300-1430
Parallel Sessions 5
1430-1445
Tea & Coffee
1445-1600
Special Session Roundtable: Asset Management, chaired by Pierangelo Franzoni, MPS Asset Management Ireland Ltd
1600-1730
Parallel Sessions 6
1815
Coaches Leave Trinity College Dublin for Conference Gala Dinner venue
1900
Conference Gala Dinner (Johnnie Fox’s Pub, Dublin Mountains)
Draft Programme 28 May 2007
Page 2 of 19
INFINITI Conference on International Finance 11-12 June 2007
Parallel Sessions at a Glance
Monday 11 June 2007
Tuesday 12 June 2007
Parallel Sessions 1
Parallel Sessions 2
Parallel Sessions 3
Parallel Sessions 4
Parallel Sessions 5
Parallel Sessions 6
0930-1100
1330-1500
1615-1745
0900-1030
1300-1430
1600-1730
a
Finance and National Policies
Comovement and Contagion
International Banking I
Asset Markets
Exchange Rates and Macroeconomics
Multinationality
b
Financial Services
Corporate Governance
International Corporate Financing
Equity and Shareholder Value
Non-Linear Dynamics in Finance and Macroeconomics
Regimes and Non-Linear Dynamic Transitions in International Stock and Bond Returns
c
Operations and Structures
Credit Default Swaps
Exchange Rates and FDI
European Banking
Financing
International Banking II
d
M&A
Currency Market Efficiency
International Market Integration
Innovations in Financial Markets
Growth and Monetary Policy
Real Exchange Rates
e
Measuring Exchange Rates
Deficits and International Positions
Jumps and Volatility in International Asset Returns
Interest Rates and Exchange Market Premia
Inflation
Exchange Rates and Prices
f
Accounting and Valuation
Emerging Market Bonds
Law and Finance
International Portfolio Management
Innovations in Derivative Markets
Decisions and Behaviour
g
Monetary Policy
Emerging Market Integration
Market Volatility
Capital Markets
Institutions
International Stock Markets
h
Portfolio and Asset Allocation
Equity Market Volatility
Mathematical Models of Integration
Capital Structure
Integration and Contagion
International Event Studies
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007
Parallel Sessions *Where there are multiple authors, an asterisk indicates the presenting/corresponding author.
Parallel Sessions 1: Monday, 11 June 2007 0930-1100 a
Session 1a: Finance and National Policies Chair: Asta Klimaviciene, The University of Manchester, UK Wind Beneath the Wings or Millstone Round the Neck? Demographic Underpinnings of Economic Performance Dipak Jain, Northwestern University, USA *Kumoli Ramakrishnan, The University of South Dakota, USA Vani Ramakrishnan, The University of South Dakota, USA Discussant; Vasja Rant, University of Ljubljana, Slovenia Financial Perspective 2007–2013: Domination of National Interests *Vasja Rant, University of Ljubljana, Slovenia Mojmar Mrak, University of Ljubljana, Slovenia Discussant: Angelos A Antzoulatos, University of Piraeus, Greece Financial Development and Asymmetric Information *Angelos A Antzoulatos, University of Piraeus, Greece Dimitrios Kyriazis, University of Piraeus, Greece Chris Tsoumas, University of Piraeus, Greece Discussant: Kumoli Ramakrishnan, The University of South Dakota, USA
b
Session 1b: Financial Services Chair: Cynthia Campbell, Iowa State University, USA How Should We Regulate the Financial Services Industries? James Sagner, Metropolitan College of New York Discussant: Michael Koetter, University of Groningen, The Netherlands Efficient, Profitable and Safe Banking: An Oxymoron? Evidence from a Panel VAR Approach *Michael Koetter, University of Groningen, The Netherlands Daniel Porath, University of Applied Sciences Mainz, Germany Discussant: Stuart McLeay, University of Wales, Bangor, UK Modelling the Longitudinal Properties of Bank Performance Ratios Rayna Brown, The University of Melbourne, Australia Rob Brown, The University of Melbourne, Australia *Stuart McLeay, University of Wales, Bangor, UK Maxwell Stevenson, The University of Sydney, Australia Discussant: James Sagner, Metropolitan College of New York
c
Session 1c: Operations and Structures Chair: Thomas Hall, Christopher Newport University, USA Operational Risk – The Sting is Still in the Tail But the Poison Depends on the Dose Andreas Jobst, International Monetary Fund (IMF), USA Discussant: Deborah Cernauskas, IBM, USA Currency and Credit Market Hedging: A Bayesian Approach *Deborah Cernauskas, IBM, USA Bruce Rawlings, Illinois Institute of Technology, USA Discussant: Thomas Hall, Christopher Newport University, USA Capital Structure, Creditor Rights and Legal Origin *Thomas Hall, Christopher Newport University, USA Fredrik Jörgensen, Södertörns Högskola (South Stockholm University College), Sweden Discussant: Andreas Jobst, International Monetary Fund (IMF), USA
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 1: Monday, 11 June 2007 0930-1100 d
Session 1d: M&A Chair: Bernd Wilfling, Westfälische Wilhelms-Universität Münster, Germany The determinants of the choice of the payment method in cross-border mergers and acquisitions Alain Chevalier, ESCP-EAP (European School of Management), France Etienner Redor, ESCP-EAP (European School of Management), France *Jyoti Gupta, ESCP-EAP (European School of Management), France Discussant: Xijuan (Angel) Liao, University of Edinburgh, UK Do win-win outcomes exist? A study of cross-border M&A *Xijuan (Angel) Liao, University of Edinburgh, UK Jonathan Williams, University of Wales, Bangor, UK Discussant: Bernd Wilfling, Westfälische Wilhelms-Universität Münster, Germany Switching volatility in target stocks during takeover bids Sergey Gelman, Westfälische Wilhelms-Universität Münster, Germany *Bernd Wilfling, Westfälische Wilhelms-Universität Münster, Germany Discussant: Jyoti Gupta, ESCP-EAP (European School of Management), France
e
Session 1e: Measuring Exchange Rates Chair: Zsolt Darvas, Corvinus University of Budapest, Hungary Structural breaks, co-breaks and real exchange rates Maria Dolores Gadea, University of Zaragoza, Spain *Antonio Montañés , University of Zaragoza, Spain Sergio Gabas, University of Zaragoza, Spain Discussant: Zsolt Darvas, Corvinus University of Budapest, Hungary Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates *Zsolt Darvas, Corvinus University of Budapest, Hungary Zoltán Schepp, University of Pecs, Hungary Discussant: Franc Klaassen, Universiteit van Amsterdam, The Netherlands Model-free measurement of exchange market pressure *Franc Klaassen, Universiteit van Amsterdam, The Netherlands Henk Jager, Universiteit van Amsterdam, The Netherlands Discussant: Antonio Montañés , University of Zaragoza, Spain
f
Session 1f: Accounting and Valuation Chair: Katrin Tinn, London School of Economics, UK A New Approach for Firm Value and Default Probability Estimation beyond Merton Models *Dean Fantazzini, University of Pavia, Italy Maria Elena De Giuli, University of Pavia, Italy Mario Alessandro Maggi, University of Pavia, Italy Discussant: Germán López Espinosa, Universidad de Navarra, Spain The influence of differences in accounting standards on empirical pricing models Javier Gómez Biscarri, Universidad de Navarra, Spain *Germán López Espinosa, Universidad de Navarra, Spain Discussant: Katrin Tinn, London School of Economics, UK The speed of technology adoption with imperfect information in equity markets Katrin Tinn, London School of Economics, UK Discussant: Dean Fantazzini, University of Pavia, Italy
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 1: Monday, 11 June 2007 0930-1100 g
Session 1g: Monetary Policy Chair: Yu-chin Chen, University of Washington, USA Instrument and Targeting Rules in Monetary Policy when Heterogeneity in Currency Trade *Mikael Bask, Bank of Finland, Finland Carina Selander, Umeå University, Sweden Discussant: Rajesh Singh, Iowa State University, USA Optimal Monetary Policy under Asset Market Segmentation Amartya Lahiri, The University of British Columbia, Canada *Rajesh Singh, Iowa State University, USA Carlos Vegh, University of Maryland, USA Discussant: Yu-chin Chen, University of Washington, USA Adaptive Learning and Monetary Policy in an Open Economy *Yu-chin Chen, University of Washington, USA Pisut Kulthanavit, University of Washington, USA Discussant: Mikael Bask, Bank of Finland, Finland
h
Session 1h: Portfolios and Asset Allocation Chair: Dirk Baur, Trinity College Dublin, Ireland International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences *Massimo Guidolin, The University of Manchester, UK Allan Timmermann, University of California, San Diego, USA Discussant: Rainer Haselmann, Johannes Gutenberg Universität Mainz, Germany The Introduction of the Euro and its Effects on Portfolio Decisions *Rainer Haselmann, Johannes Gutenberg Universität Mainz, Germany Helmut Herwartz, Christian Albrechts Universitat zu Kiel, Germany Discussant: Dirk Baur, Trinity College Dublin, Ireland Stock-bond co-movements and cross-country linkages Dirk Baur, Trinity College Dublin, Ireland Discussant: Massimo Guidolin, The University of Manchester, UK
Parallel Sessions 2: Monday, 11 June 2007 1330-1500 a
Session 2a: Comovement and Contagion Chair: Susan Thorp, University of Technology, Sydney, Australia Equity Market Comovement and Contagion: A Sectoral Perspective *Kate Phylaktis, City University London, UK Lichuan Xia, City University London, UK Discussant: Susan Thorp, University of Technology, Sydney, Australia Asset market linkages using structural GARCH identification Mardi Dungey, University of Cambridge, UK & the Australian National University, Australia George Milunovich, Macquarie University, Australia *Susan Thorp, University of Technology, Sydney, Australia Discussant: Rustem Dagtekin, CEFI/CNRS, Université de la Mediterranee Aix-Marseille II, France Early Warning Signals of the 2000/2001 Turkish Financial Crisis *Rustem Dagtekin, CEFI/CNRS, Université de la Mediterranee Aix-Marseille II, France Ali Ari, LEAD, Université de Toulon&Var, France Discussant: Kate Phylaktis, City University London, UK
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 2: Monday, 11 June 2007 1330-1500 b
Session 2b: Corporate Governance Chair: Sviatoslav Moskalev, Adelphi University, USA The Gender and Ethnic Diversity of Corporate Board Committees and Financial Performance David Carter, Oklahoma State University, USA Frank D’Souza, Oklahoma State University, USA Betty Simkins, Oklahoma State University, USA *Gary Simpson, Oklahoma State University, USA Discussant: Sandra Dow, UQAM Université du Québec à Montréal, Canada Corporate Governance, Business Cycles & Networks *Sandra Dow, UQAM Université du Québec à Montréal, Canada Jean McGuire, Louisiana State University, USA Discussant: Sviatoslav Moskalev, Adelphi University, USA Governance and Foreign Direct Investment Sviatoslav Moskalev, Adelphi University, USA Discussant: Gary Simpson, Oklahoma State University, USA
c
Session 2c: Credit Default Swaps Chair: Rainer Jankowitsch, Vienna University of Economics and Business Administration, Austria Credit and Liquidity Risk in Bond and CDS markets *Monika Trapp, University of Mannheim, Germany Wolfgang Buhler, University of Mannheim, Germany Discussant: Santiago Forte, FUNDACIÓ ESADE, Spain Implied Default Barrier in Credit Default Swap Premia Francisco Alonso, Banco de España, Spain Jose Manuel Marques, Banco de España, Spain *Santiago Forte, FUNDACIÓ ESADE, Spain Discussant: Rainer Jankowitsch, Vienna University of Economics and Business Administration, Austria The Delivery Option in Credit Default Swaps *Rainer Jankowitsch, Vienna University of Economics and Business Administration, Austria Rainer Pullirsch, Vienna University of Economics and Business Administration, Austria Tanja Veza, Vienna University of Economics and Business Administration, Austria Discussant: Monika Trapp, University of Mannheim, Germany
d
Session 2d: Currency Market Efficiency Chair: Elaine Hutson, University College Dublin, Ireland The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market *Christopher Neely, Federal Reserve Bank of St Louis, USA Paul Weller, The University of Iowa, USA Joshua Ulrich, Wells Fargo Home Mortgage, USA Discussant: Myriam Quispe-Agnoli, Federal Reserve Bank of Atlanta, USA News Events and Triangular Arbitrage in the Currency Exchange Market *Myriam Quispe-Agnoli, Federal Reserve Bank of Atlanta, USA Lee Cohen, Boston College, USA Discussant: Valerio Poti, Dublin City University, Ireland Weak Form Efficiency and Predictability in Currency Movements *Valerio Poti, Dublin City University, Ireland Richard Levich, NYU, USA Discussant: Christopher Neely, Federal Reserve Bank of St Louis, USA
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 2: Monday, 11 June 2007 1330-1500 e
Session 2e: Deficits and International Positions Chair: Séverine Menguy, Université Paris X, France Interstate Risk-sharing in Unified Germany D Teja Flotho, Albert-Ludwigs-Universität, Germany Discussant: Mary Everett, Central Bank and Financial Services Authority of Ireland , Ireland The implications of Ireland’s external balance sheet position Mary Everett, Central Bank and Financial Services Authority of Ireland , Ireland Discussant: Séverine Menguy, Université Paris X, France Proposition of a new dynamic rule for the threshold imposed to the European public deficits Séverine Menguy, Université Paris X, France Discussant: D Teja Flotho, Albert-Ludwigs-Universität, Germany
f
Session 2f: Emerging Market Bonds Chair: Gerard Gannon, Deakin University, Australia Determinants of emerging markets' spreads *Alessio Ciarlone, Banca d'Italia (Bank of Italy), Italy Giorgio Trebeschi, Banca d'Italia (Bank of Italy), Italy Discussant: Asta Klimaviciene, The University of Manchester, UK Information Transmission and Price Discovery in Emerging Sovereign Credit Risk Markets Michael Bowe, The University of Manchester, UK *Asta Klimaviciene, The University of Manchester, UK Alex P Taylor, The University of Manchester, UK Discussant: Gerard Gannon, Deakin University, Australia Credit Spread Dynamics of Latin American Euro Issues in International Bond Markets Kannan Thuraisamy, Deakin University, Australia *Gerard Gannon, Deakin University, Australia Jonathan Batten, The Hong Kong University of Science & Technology, Hong Kong Discussant: Alessio Ciarlone, Banca d'Italia (Bank of Italy), Italy
g
Session 2g: Emerging Market Integration Chair: Georgios Gatopoulos, University of Geneva, Switzerland Firms' Use of Foreign Currency Derivatives Under the Threat of Currency Crises: The case of Latin America Georgios Gatopoulos, University of Geneva, Switzerland Discussant: Bruce Hearn, King’s College London, University of London, UK African Equity Market Integration: A joint assessment of integration on an intra-regional basis and with the major markets of Europe *Bruce Hearn, King’s College London, University of London, UK Jenifer Piesse, King’s College London, University of London, UK Discussant: Ahmad Zubaidi Baharumshah, Universiti Putra Malaysia, Malaysia Financial Integration of East Asian Economies: Evidence from Real Interest Parity *Ahmad Zubaidi Baharumshah, Universiti Putra Malaysia, Malaysia Tze Haw Chan, Multimedia University, Malaysia A Mansur A Masih, King Fahd University of Petroleum & Minerals, Saudi Arabia Discussant: Georgios Gatopoulos, University of Geneva, Switzerland
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 2: Monday, 11 June 2007 1330-1500 h
Session 2h: Equity Market Volatility Chair: Patrick Watson, University of the West Indies, Trinidad & Tobago Time, liquidity and bid-ask spreads: An analysis of their joint impact on the volatility of equity markets. Allister Keller, The University of Sydney, Australia *Maxwell Stevenson, The University of Sydney, Australia Discussant: Marcelo Fernandes, Queen Mary, University of London, UK The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness *Marcelo Fernandes, Queen Mary, University of London, UK José Gil Ferreira Vieira-Filho, The University of Chicago, USA Discussant: Patrick Watson, University of the West Indies, Trinidad & Tobago Return Variability in CARICOM Equity Markets Patrick Watson, University of the West Indies, Trinidad & Tobago Discussant: Maxwell Stevenson, The University of Sydney, Australia
Parallel Sessions 3: Monday, 11 June 2007 1615-1745 a
Session 3a: International Banking I Chair: Rainer Haselmann, Johannes Gutenberg Universität Mainz, Germany Financial Networks, Cross Holdings, and Limited Liability Helmut Elsinger, Universität Wien (University of Vienna), Austria Discussant: Katja Neugebauer, Eberhard Karls Universität Tübingen, Germany International Banking and the Allocation of Risk Claudia M Buch, Eberhard Karls Universität Tübingen, Germany Gayle DeLong, The City University of New York, Baruch College, USA *Katja Neugebauer, Eberhard Karls Universität Tübingen, Germany Discussant: Rainer Haselmann, Johannes Gutenberg Universität Mainz, Germany Institutions and bank behavior *Rainer Haselmann, Johannes Gutenberg Universität Mainz, Germany Paul Wachtel, NYU, USA Discussant: Helmut Elsinger, Universität Wien (University of Vienna), Austria
b
Session 3b: International Corporate Financing Chair: Malte Brockmann, European Business School, Germany American Depositary Receipts - Asian Evidence in Arbitrage and Convergence Haiqiang Chen, Cornell University, USA *Paul Moon Sub Choi, Cornell University, USA Hyunseob Kim, Harvard University, USA Discussant: Lawrence Kryzanowski, Concordia University, Canada Do internationally cross-listed non-US firms obtain more favorable terms for syndicated loans? Claudia Champagne, Concordia University, Canada *Lawrence Kryzanowski, Concordia University, Canada Discussant: Malte Brockmann, European Business School, Germany Risks of International Activities and Corporate Financing - A Review and Suggestions Malte Brockmann, European Business School, Germany Discussant: James Obben, Massey University, New Zealand A Dynamic Analysis of the Impacts of Exchange Rate Movements on Share Prices of Individual Firms in the New Zealand Headline Index James Obben, Massey University, New Zealand Discussant: Paul Moon Sub Choi, Cornell University, USA
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 3: Monday, 11 June 2007 1615-1745 c
Session 3c: Exchange Rates and FDI Chair: Agnieszka Stazka, Albert-Ludwigs-Universität, Germany Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story Alexandre Jeanneret, Swiss Finance Institute & University of Lausanne, Switzerland The role of private information in return volatility and bid-ask spreads in the foreign exchange market Frank McGroarty, University of Southampton, UK Investor-Specific Information, Uncertainty, and Learning in the Link Between the Exchange Rate and FDI *Ronald Ratti, University of Missouri-Columbia, USA Shawn Ni, University of Missouri-Columbia, USA
d
Session 3d: International Market Integration Chair: XiaoHua Chen, University of Essex, UK An Iterative Estimation Method of Global, Country and Sector Effects Jean-François L’Her, Caisse de dépôt et placement du Québec, Canada Cécile Le Moigne, Caisse de dépôt et placement du Québec, Canada *Patrick Savaria, Caisse de dépôt et placement du Québec, Canada Discussant: Thomas O’Connor, National University of Ireland, Maynooth, Ireland Who gains from non-exchange listing in the US? Thomas O’Connor, National University of Ireland, Maynooth, Ireland Discussant: XiaoHua Chen, University of Essex, UK The Co-movement of Bond and Stock Excess Returns to Trading Statement Announcements XiaoHua Chen, University of Essex, UK Discussant: Patrick Savaria, Caisse de dépôt et placement du Québec, Canada
e
Session 3e: Jumps and Volatility in International Asset Returns Chair: Stuart Hyde, The University of Manchester, UK Decomposing European Bond and Equity Volatility Charlotte Christiansen, University of Aarhus, Denmark Discussant: Mardi Dungey, University of Cambridge, UK News, No-News and Jumps in US Treasuries Mardi Dungey, University of Cambridge, UK Michael McKenzie, Royal Melbourne Institute of Technology, Australia & University of Cambridge, UK Vanessa Smith, University of Cambridge, UK Discussant: Twm Evans, University of Wales Swansea, UK Financial Co-Movement and Correlation: Evidence from 33 International Stock Market Indices *Twm Evans, University of Wales Swansea, UK David G McMillan, University of St Andrews, UK Discussant: Charlotte Christiansen, University of Aarhus, Denmark
f
Session 3f: Law and Finance Chair: John Goodell, Boston-Wallace College, USA Determinants of Financial Supervision Regimes: Markets, Institutions, Politics, Law or Geography? Donato Masciandaro, Università Bocconi, Italy Discussant: Bertrand Groslambert, CERAM European Business School, France Do Corrupt Countries Receive Less Foreign Capital After All? *Bertrand Groslambert, CERAM European Business School, France Michel-Henry Bouchet, CERAM European Business School, France Discussant: John W Goodell, Boston-Wallace College, USA Equity Premia in Emerging Markets: National Characteristics as Determinants *Raj Aggarwal, The University of Akron, USA John W Goodell, Boston-Wallace College, USA Discussant: Donato Masciandaro, Università Bocconi, Italy
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 3: Monday, 11 June 2007 1615-1745 g
Session 3g: Market Volatility Chair: Lucia Morales, University of Limerick, Ireland Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility Duc Khuong Nguyen, ISC Paris School of Management, France Discussant: Lucjan Orlowski, Sacred Heart University, USA Exchange Rate Risk, Financial Stability and Euro-Convergence of New Member States Lucjan Orlowski, Sacred Heart University, USA Discussant: Lucia Morales, University of Limerick, Ireland International Transmission Effects of Volatility between Financial Markets in the G-7 since the introduction of the Euro *Lucia Morales, University of Limerick, Ireland Mary O’Donnell, University of Limerick, Ireland Discussant: Duc Khuong Nguyen, ISC Paris School of Management, France
h
Session 3h: Mathematical Models of Integration Chair: Viviana Fernandez, University of Chile, Chile The Evolution of Linkages in European Equity Markets: A Minimum Spanning Tree Analysis *Claire Gilmore, King’s College, USA Brian Lucey, Trinity College Dublin, Ireland Marian Boscia, King’s College, USA Discussant: Evrim Turgutlu, Dokuz Eylul University, Turkey Is Global Diversification Rational? Evidence from Emerging Equity Markets through Mixed Copula Approach *Evrim Turgutlu, Dokuz Eylul University, Turkey Burcu Ucer, Dokuz Eylul University, Turkey Discussant: Viviana Fernandez, University of Chile, Chile Multi-period hedge ratios for a multi-asset portfolio: Evidence for LME metals Viviana Fernandez, University of Chile, Chile Discussant: Roman Kozhan, The University of Warwick, UK Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation *Roman Kozhan, The University of Warwick, UK Mark Salmon, The University of Warwick, UK Discussant: Claire Gilmore, King’s College, USA
Parallel Sessions 4: Tuesday, 12 June 2007 0900-1030 a
Session 4a: Asset Markets Chair: Raphael Espinoza, University of Oxford, UK Implied risk aversion in the US and the UK during the collapse of the 2000 Stock Market Bubble: Did investors become less exuberant? *James Steeley, Aston Business School, UK Ralf Sabiwalsky, Universität zu Köln (University of Cologne), Germany Discussant: Haim Kedar-Levy, Ben-Gurion University of the Negev, Israel Asset Pricing with Foreign Investors: Implications of Information Asymmetry and Heterogeneous Preferences for Domestic Bias and Liberalization Jongmoo Jay Choi, Temple University, USA *Haim Kedar-Levy, Ben-Gurion University of the Negev, Israel Discussant: Raphael Espinoza, University of Oxford, UK Asset Prices in an Exchange Economy with Money and Trade *Raphael Espinoza, University of Oxford, UK Dimitrios Tsomocos, University of Oxford, UK Discussant: James Steeley, Aston Business School, UK
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 4: Tuesday, 12 June 2007 0900-1030 b
Session 4b: Equity and Shareholder Value Chair: Carlos López Gutiérrez, University of Cantabria, Spain The Relative Importance of Determinants of the Quality of Financial Analysts’ Forecasts: International Evidence *Alain Coën, UQAM Université du Québec à Montréal, Canada Aurélie Desfleurs, Université Laval, Canada Jean-François L’Her, Caisse de dépôt et placement du Québec, Canada Discussant: Bruce Rosser, The University of Adelaide, Australia Shareholder Wealth Effects of CEO Stock Grant Options *Bruce Rosser, The University of Adelaide, Australia Jean Canil, The University of Adelaide, Australia Discussant: Carlos López Gutiérrez, University of Cantabria, Spain Shareholder’s Value and Inefficiencies in European Bankruptcy Systems *Carlos López Gutiérrez, University of Cantabria, Spain Myriam García Olalla, University of Cantabria, Spain Begoña Torre Olmo, University of Cantabria, Spain Discussant: Bruce Rosser, The University of Adelaide, Australia
c
Session 4c: European Banking Chair: Victor Mendes, CMVM, Portugal Interest Rate Clustering in UK Financial Services Markets John Ashton, University of East Anglia, UK *Robert Hudson, University of Leeds, UK Discussant: Sailesh Tanna, University of Coventry, UK What drives acquisitions in the EU banking industry? The role of bank regulation and supervision framework, bank specific and market specific factors Fotios Pasiouras, University of Bath, UK *Sailesh Tanna, University of Coventry, UK Chrysovalantis Gaganis, Technical University of Crete, Greece Discussant: Margarida Abreu, Universidade Técnica de Lisboa, Portugal The Impact of Financial Crises on European Bank Interest Margins *Margarida Abreu, Universidade Técnica de Lisboa, Portugal Victor Mendes, CMVM, Portugal Discussant: Robert Hudson, University of Leeds, UK
d
Session 4d: Innovations in Financial Markets Chair: Ulrike Neyer, Martin-Luther-Universität Halle-Wittenberg, Germany Gradualism, transparency and improved operational framework: a look at the overnight volatility transmission Andrea Zaghini, Banca d'Italia (Bank of Italy), Italy Discussant: Michael Chlistalla, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Markets in Financial Instruments Directive - The Way forward in European Securities Market Integration? *Michael Chlistalla, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Uwe Schweickert, Deutsche Börse AG, Germany Roland Wittner, Johann Wolfgang Goethe Universität Frankfurt am Main, Germany Discussant: Ulrike Neyer, Martin-Luther-Universität Halle-Wittenberg, Germany The Stability of the Banking Sector and Credit Default Swaps Ulrike Neyer, Martin-Luther-Universität Halle-Wittenberg, Germany Discussant: Andrea Zaghini, Banca d'Italia (Bank of Italy), Italy
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 4: Tuesday, 12 June 2007 0900-1030 e
Session 4e: Interest Rates and Exchange Market Premia Chair: Steven L Beach, Radford University, USA Irving Fisher, Expectational Errors and the UIP Puzzle Rachel Campbell, Maastricht University & RSM Erasmus University, The Netherlands Kees Koedijk, RSM Erasmus University & CEPR, The Netherlands *James R Lothian, Fordham University, USA Ronald Mahieu, RSM Erasmus University, The Netherlands Discussant: Jun Yang, Bank of Canada, Canada A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate *Jun Yang, Bank of Canada, Canada Fousseni Chabi-Yo, Bank of Canada, Canada Discussant: Remzi Uctum, CNRS & Université Paris X Nanterre, France The dynamics of ex-ante risk premia in the foreign exchange market: evidence from the Yen/USD exchange rate using survey data Georges Prat, CNRS & Université Paris X Nanterre, France *Remzi Uctum, CNRS & Université Paris X Nanterre, France Discussant: James R Lothian, Fordham University, USA
f
Session 4f: International Portfolio Management Chair: Yan Ping Zhong, University College Dublin, Ireland Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation Francesco Natale, Università di Milano-Bicocca, Italy Discussant: Philippe Grégoire, Université Catholique de Louvain, Belgium Risk Attribution *Philippe Grégoire, Université Catholique de Louvain, Belgium Hervé van Oppens, Orfival, Belgium Discussant: Yan Ping Zhong, University College Dublin, Ireland Validating Backtests of Risk Measures John Cotter, University College Dublin, Ireland *Yan Ping Zhong, University College Dublin, Ireland Discussant: Francesco Natale, Università di Milano-Bicocca, Italy
g
Session 4g: Capital Markets Chair: Christine Brown, The University of Melbourne, Australia Demand and Supply of Local Bonds: Primary Evidence from a New Dataset Alessio Ciarlone, Banca d'Italia (Bank of Italy), Italy Paolo Piselli, Banca d'Italia (Bank of Italy), Italy *Giorgio Trebeschi, Banca d'Italia (Bank of Italy), Italy Discussant: Andreas Trauten, Westfälische Wilhelms-Universität Münster, Germany The benefits and obstacles of internet-based Commercial Paper issuance in Europe - A survey *Andreas Trauten, Westfälische Wilhelms-Universität Münster, Germany Thomas Langer, Westfälische Wilhelms-Universität Münster, Germany Discussant: Christine Brown, The University of Melbourne, Australia Corporate Capital Management and Protection of Warrant-Holder Claims *Christine Brown, The University of Melbourne, Australia Kevin Davis, Melbourne Centre for Financial Studies, Australia Discussant: Giorgio Trebeschi, Banca d'Italia (Bank of Italy), Italy
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 4: Tuesday, 12 June 2007 0900-1030 h
Session 4h: Capital Structure Chair: Dušan Mramor, University of Ljubljana, Slovenia Determinants of the Incremental Financing Decision of SMEs *Ciarán mac an Bhaird, Trinity College Dublin, Ireland Brian Lucey, Trinity College Dublin, Ireland Discussant: Matjaz Crnigoj, Institute for Economic Research, Slovenia Capital Structure in CEE Transition Economies: Some Evidence from Slovenian Firms *Matjaz Crnigoj, Institute for Economic Research, Slovenia Dušan Mramor, University of Ljubljana, Slovenia Discussant: Thomas Hall, Christopher Newport University, USA Capital Structure, Asset Tangibility, and Creditor Rights: Time Series Evidence *Thomas Hall, Christopher Newport University, USA Fredrik Jörgensen, Södertörns Högskola (South Stockholm University College), Sweden Discussant: Ciarán mac an Bhaird, Trinity College Dublin, Ireland
Parallel Sessions 5: Tuesday, 12 June 2007 1300-1430 a
Session 5a: Exchange Rates and Macroeconomics Chair: Stefano Schiavo, Sciences Po, OFCE – DRIC, France Concerning the Asian prospective Basket peg Exchange Rate Regime *Cal Muckley, University College Dublin, Ireland Raj Aggarwal, University of Akron, USA Discussant: Helinä Laakkonen, University of Jyväskylä, Finland Exchange Rate Volatility, Macro Announcements and the Choice of the Intraday Seasonality Filtering Method Helinä Laakkonen, University of Jyväskylä, Finland Discussant: Stefano Schiavo, Sciences Po, OFCE – DRIC, France International Trade and Financial Integration: a Weighted Network Analysis Giorgio Fagiolo, Sant' Anna School of Advanced Studies, Italy Javier Reyes, University of Arkansas, USA *Stefano Schiavo, Sciences Po, OFCE – DRIC, France Discussant: Cal Muckley, University College Dublin, Ireland
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Session 5b: Non-Linear Dynamics in Finance and Macroeconomics Chair: Massimo Guidolin, The University of Manchester, UK Exchange Rate Dynamics *Ming Chien Lo, St Cloud State University, USA James Morley, Washington University in St Louis, USA Discussant: Jerry Coakley, University of Essex, UK The forward premium anomaly disappearing over the horizon! *Jerry Coakley, University of Essex, UK Neil Kellard, Bristol University, UK Stuart Snaith, Bristol University, UK Discussant: Mazen Najjar, The University of Manchester, UK Modelling Financial and Economic Relationships using Threshold Vector Error Correction Models Stuart Hyde, The University of Manchester, UK *Mazen Ramsay Najjar, The University of Manchester, UK Denise R Osborn, The University of Manchester, UK Discussant: Ming Chien Lo, St Cloud State University, USA
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 5: Tuesday, 12 June 2007 1300-1430 c
Session 5c: Financing Chair: Barbara Luppi, University of Modena and Reggio Emelia, Italy A credit risk model for Italian SMEs *Barbara Luppi, University of Modena and Reggio Emelia, Italy Antonello Eugenio Scorcu, Università di Bologna, Italy Massimiliano Marzo, Università di Bologna, Italy Discussant : Nicole Allenspach, Swiss National Bank, Switzerland International Integration, Common Exposure and Systemic Risk in the Banking Sector: An Empirical Investigation *Nicole Allenspach, Swiss National Bank, Switzerland Pierre Monnin, Swiss National Bank, Switzerland Discussant: Aitor Erce, Banco de España (Bank of Spain), Spain Assessing the Role of International and Domestic Financial Factors in the Sovereign Debt Structure Aitor Erce, Banco de España (Bank of Spain), Spain Discussant: Barbara Luppi, University of Modena and Reggio Emelia, Italy
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Session 5d: Growth and Monetary Policy Chair: William Gavin, Federal Reserve Bank of St Louis, USA Stuck on Gold: Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard, 18751939 Natalia Chernyshoff *David S Jacks, Simon Fraser University, Canada Alan Taylor, University of California, Davis, USA Discussant: Thomas Flavin, National University of Ireland, Maynooth, Ireland Forecasting growth and inflation in an enlarged euro area *Thomas Flavin, National University of Ireland, Maynooth, Ireland Ekaterini Panopoulou, University of Piraeus, Greece Theologos Pantelidis, National University of Ireland, Maynooth, Ireland Discussant: William Gavin, Federal Reserve Bank of St Louis, USA Inflation Risk and Optimal Monetary Policy *William Gavin, Federal Reserve Bank of St Louis, USA Benjamin Keen, The University of Oklahoma, USA Michael Pakko, Federal Reserve Bank of St Louis, USA Discussant: David S Jacks, Simon Fraser University, Canada
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Session 5e: Inflation Chair: Gerald P Dwyer, Federal Reserve Bank of Atlanta, USA International Bond Returns and the Response to Unanticipated Monetary Policy Don Bredin, University College Dublin, Ireland Discussant: Duo Qin, Queen Mary, University of London, UK Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries Duo Qin, Queen Mary, University of London, UK Discussant: Gerald P Dwyer, Federal Reserve Bank of Atlanta, USA Differential Inflation Rates in the Euro Area *Gerald P Dwyer, Federal Reserve Bank of Atlanta, USA Thomas Flavin, National University of Ireland, Maynooth, Ireland James R Lothian, Fordham University, USA Discussant: Don Bredin, University College Dublin, Ireland
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 5: Tuesday, 12 June 2007 1300-1430 f
Session 5f: Innovations in Derivative Markets Chair: Pu Liu, University of Arkansas, USA Electricity prices: a non-parametric approach *Davide Pirino, Università degli studi di Pisa, Italy Roberto Renò, Università degli Studi di Siena, Italy Discussant: George Zanjani, Federal Reserve Bank of New York, USA Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk Transfer *George Zanjani, Federal Reserve Bank of New York, USA Darius Lakdawalla, The RAND Corporation, USA Discussant: Pu Liu, University of Arkansas, USA The Market and the Pricing of Outperformance Certificates Rodrigo Hernandez, University of Arkansas, USA Wayne Lee, University of Arkansas, USA *Pu Liu, University of Arkansas, USA Discussant: Davide Pirino, Università degli studi di Pisa, Italy
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Session 5g: Institutions Chair: Stefanie Kleimeier, Maastricht University, The Netherlands Composition of Foreign Assets: The Valuation-Effect and Monetary Policy Mathias Hoffman, Universität zu Köln (University of Cologne), Germany *Caroline Schmidt, ETH Zurich, Switzerland Discussant: Jiandong Ju, The University of Oklahoma, USA Domestic institutions and the bypass effect of international capital flows Shiang-Jin Wei, International Monetary Fund (IMF), CEPR & NEBR, USA *Jiandong Ju, The University of Oklahoma, USA Discussant: Stefanie Kleimeier, Maastricht University, The Netherlands Arranger certification in project finance Stefano Gatti, Università di Bologna, Italy *Stefanie Kleimeier, Maastricht University, The Netherlands William L Megginson, The University of Oklahoma, USA Alessandro Steffanoni, Interbanca, Italy Discussant: Caroline Schmidt, ETH Zurich, Switzerland
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Session 5h: Integration and Contagion Chair: Marcelo Carvalho, Stockholm School of Economics, Sweden International Stock Markets Linkages and Spillovers: Evidence from Latin America and Europe *Andres Rivas, Texas A&M International University, USA Antonio Rodriguez, Texas A&M International University, USA Rahul Verma, University of Houston, USA Discussant: Edda Claus, Trinity College Dublin, Ireland Equity Market Integration in Asia: Evidence from Discount Factors *Edda Claus, Trinity College Dublin, Ireland Brian Lucey, Trinity College Dublin, Ireland Discussant: Marcelo Carvalho, Stockholm School of Economics, Sweden A Smooth Transition Multivariate integration analysis Marcelo Carvalho, Stockholm School of Economics, Sweden Discussant: Andres Rivas, Texas A&M International University, USA
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007
Parallel Sessions 6: Tuesday, 12 June 2007 1600-1730 a
Session 6a: Multinationality Chair: Raj Aggarwal, University of Akron, USA Corporate Cash Holdings, National Culture, and Multinationality *Andrés Ramírez, Bryant University, USA Solomon Tadesse, The University of Michigan, USA Discussant: Raj Aggarwal, University of Akron, USA Multinationality as a Moderator of National Institutions: The Case of Culture and Capital Structure Decisions *Andrés Ramírez, Bryant University, USA Chuck C Y Kwok, University of South Carolina, USA Discussant: Jenny Berrill, Trinity College Dublin, Ireland Classifying MNCs in International Business: Implications for Research Strategy and Design Raj Aggarwal, University of Akron, USA *Jenny Berrill, Trinity College Dublin, Ireland Colm Kearney, Trinity College Dublin, Ireland Discussant: Andrés Ramírez, Bryant University, USA
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Session 6b: Regimes and Non-Linear Dynamic Transitions in International Stock and Bond Returns Chair: Massimo Guidolin, The University of Manchester, UK Non-Linear Cointegration and Adjustment: An Asymmetric Exponential Smooth-Transition Model for US Interest Rates David G McMillan, University of St Andrews, UK Discussant: Ana-Maria Fuertes, City University London, UK Nonlinearities in the British Interest Rate Transmission Mechanism: Tests and Implications *Ana-Maria Fuertes, City University London, UK S A Heffernan, City University London, UK Elena Kalotychou, City University London, UK Discussant: Stuart Hyde, The University of Manchester, UK What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov-Switching Model *Stuart Hyde, The University of Manchester, UK Massimo Guidolin, The University of Manchester, UK Discussant: David G McMillan, University of St Andrews, UK
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Session 6c: International Banking II Chair: Joseph Joyce, Wellesley College, USA Bank failure: evidence from the Colombian financial crisis *Jose Eduardo Gomez-Gonzalez, Cornell University, USA Nicholas Kiefer, Cornell University, USA Discussant: Joseph Joyce, Wellesley College, USA Sudden Stops, Banking Crises and Investment Collapses in Emerging Markets *Joseph Joyce, Wellesley College, USA Malhar Nabar, Wellesley College, USA Discussant: Christiaan van Laecke, Ministry of Finance, The Netherlands Determinants of International Banking: Evidence from the World’s Largest Banks Dirk Schoenmaker, Vrije Universiteit Amsterdam & Ministry of Finance, The Netherlands *Christiaan van Laecke, Ministry of Finance, The Netherlands Discussant: Jose Eduardo Gomez-Gonzalez, Cornell University, USA
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 6: Tuesday, 12 June 2007 1600-1730 d
Session 6d: Real Exchange Rates Chair: Kanda Naknoi, Purdue University, USA Sources of Real Exchange Rate Fluctuations in Central and Eastern Europe - Temporary or Permanent? Agnieszka Stazka, Albert-Ludwigs-Universität, Germany Discussant: Juan Carlos Cuestas, Nottingham Trent University, UK Nonlinear Trend Stationarity of Real Exchange Rates: The case of the Mediterranean Countries *Juan Carlos Cuestas, Nottingham Trent University, UK Mariam Camarero, Universitat Jaume I, Spain Javier Ordóñez, Universitat Jaume I, Spain Discussant: Kanda Naknoi, Purdue University, USA Real Exchange Rate Fluctuations, Endogenous Tradability and Exchange Rate Regimes Kanda Naknoi, Purdue University, USA Discussant: Agnieszka Stazka, Albert-Ludwigs-Universität, Germany
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Session 6e: Exchange Rates and Prices Chair: Jun Nagayasu Exchange Rate Pass-Through to Import Prices and Inflation: New Evidence from Emerging Markets Derya Filiz Unsal, University of York, UK Discussant: Hafedh Bouakez, HEC Montréal, Canada Has Exchange Rate Pass-Through Really Declined? Evidence from Canada *Hafedh Bouakez, HEC Montréal, Canada Nooman Rebei, Bank of Canada, Canada Discussant: Jun Nagayasu, University of Tsukuba, Japan Purchasing Power Parity and the Balassa-Samuelson Effect: Evidence from a Panel of Chinese Provincial Data *Jun Nagayasu, University of Tsukuba, Japan Ying Liu, University of Tsukuba, Japan Discussant: Derya Filiz Unsal, University of York, UK
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Session 6f: Decisions and Behaviour Chair: Karin Jõeveer, Keele University, UK Does the value of recommendations depend on the level of optimism? A country-based analysis *Marina Balboa-Ramón, University of Alicante, Spain Juan Carlos Gómez-Sala, University of Alicante, Spain Germán López Espinosa, Universidad de Navarra, Spain Discussant: Michael Dowling, Trinity College Dublin, Ireland Are the markets still SAD? Evidence from 44 countries Michael Dowling, Trinity College Dublin, Ireland Discussant: Karin Jõeveer, Keele University, UK Does the introduction of the euro affect the debt-equity choice? *Karin Jõeveer, Keele University, UK Peter Tóth, CERGE-EI Center for Economic Research and Graduate Education, Czech Republic Discussant: Marina Balboa-Ramón, University of Alicante, Spain
Draft Programme 28 May 2007
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INFINITI Conference on International Finance 11-12 June 2007 Parallel Sessions 6: Tuesday, 12 June 2007 1600-1730 g
Session 6g: International Stock Markets Chair: Pierangelo Franzoni, MPS Asset Management Ireland Ltd, Ireland Long-Range Dependence Analysis in Daily Returns and Absolute Returns of the International Stock Markets Cengiz Bektas, Istanbul Technical University, Turkey *Suleyman Baykut, Istanbul Technical University, Turkey Tayfun Akgul, Istanbul Technical University, Turkey Discussant: Juliana Caicedo-Llano, Université Paris X – Nanterre, France Market Integration: A risk budgeting guide for pure alpha investors Juliana Caicedo-Llano, Université Paris X – Nanterre, France Discussant: Pierangelo Franzoni, MPS Asset Management Ireland Ltd, Ireland How accurate are international stock analyst forecasts: Evidence from a unique dataset Pierangelo Franzoni, MPS Asset Management Ireland Ltd, Ireland Discussant: Suleyman Baykut, Istanbul Technical University, Turkey
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Session 6h: International Event Studies Chair: Arnold Cowan, Iowa State University, USA Methods for Multi-Country Event Studies Cynthia Campbell, Iowa State University, USA *Arnold Cowan, Iowa State University, USA Valentina Salotti, Iowa State University, USA & Università di Bologna, Italy Discussant: Jedrzej Bialkowski, Auckland University of Technology, New Zealand Stock Market Volatility around National Elections *Jedrzej Bialkowski, Auckland University of Technology, New Zealand Katrinn Gottschalk, Auckland University of Technology, New Zealand Tomasz Piotr Wisniewski, University of Leicester, UK Discussant: Valentina Salotti, Iowa State University, USA Election Risk and Stock Markets Katrinn Gottschalk, European University Viadrina, Frankfurt (Oder), Germany *Jedrzej Bialkowski, Auckland University of Technology, New Zealand Tomasz Piotr Wisniewski, Auckland University of Technology, New Zealand Discussant: Cynthia Campbell, Iowa State University, USA
Draft Programme 28 May 2007
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