Conferences
Conferences
SESSION I-1 : MARKET MICROSTRUCTURE I (18/12/2006 à 09h30)
FOUCAULT Thierry (HEC PARIS)
How Frequently Does the Stock Price Jump? An Analysis of High-Frequency Data with Microstructure Noises
Auteurs : Duan Jin-Chuan (Rotman School of Management Toronto) ; Fulop Andras (ESSEC Business School)
Intervenants : Fulop Andras (ESSEC Business School)
Rapporteurs : Simon Guillaume (CREST ENSAE)
Unifications of Dual-Class Shares in Germany
Auteurs : Nowak Eric (University of Lugano) ; Ehrhardt Olaf (University of Applied Sciences Stralsund) ; Kuklinski Jan (Witten/Herdecke University)
Intervenants : Nowak Eric
Rapporteurs : Seascholes Marck S. (Haas Business School, University of California at Berkeley)
Investment Behavior of Stock Exchanges and the Rationale for Demutualization - Theory and Empirical Evidence
Auteurs : Tyrell Marcel (Goethe University Frankfurt;) ; Serifsoy Baris (Goethe University Frankfurt)
Intervenants : Tyrell Marcel
Rapporteurs : Cellier Alexis (IRG, Université de Paris 12 Val-de-Marne)
SESSION I-2 : OPTION MARKETS (18/12/2006 à 09h30)
NAVATTE Patrick (IGR, UNIVERSITE DE RENNES I)
A study of mutual insurance for bank deposits
Auteurs : Bernard Carole (University of Waterloo); Le Courtois Olivier (EM Lyon) ; Quittard-Pinon François (ISFA Lyon I)
Intervenants : Bernard Carole
Rapporteurs : Bagnarosa Guillaume (Université de Paris 1 Panthéon Sorbonne)
An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Padé Approximants
Auteurs : Bagnarosa Guillaume ; Jurczenko Emmanuel (ESCP-EAP) ; Maillet Bertrand (Université Paris 1)
Intervenants : Bagnarosa Guillaume
Rapporteurs : Mancini Loriano (Swiss Banking Institute University of Zurich)
Option Pricing with Aggregation of Physical Models and Non parametric Statistical Learning
Auteurs : Mancini Loriano (Swiss Banking Institute University of Zurich) ; Fan Jianqing (Princeton University)
Intervenants : Mancini Loriano
Rapporteurs : Bernard Carole (University of Waterloo)
SESSION II-1 : CORPORATE FINANCE I (18/12/2006 à 11h30)
HEGE ULRYCH (HEC PARIS)
Deal Making and Stock Picking: Better Be Optimistic than Good?
Auteurs : Michel Fleuriet (Wharton School); Jinghua Yan (Wharton School.)
Intervenants : Michel Fleuriet (Wharton School)
Rapporteurs : Andre Paul (University of Edinburgh)
Large Shareholders and Form of Payment in M&A: Evidence from Canada
Auteurs : André Paul (University of Edinburgh) ; Ben-Amar Walid (School of Management of the University of Ottawa)
Intervenants : André Paul ((University of Edinburgh)
Rapporteurs : Croci Ettore (University of Lugano)
Investments and Firm Characteristics
Auteurs : Platikanov Stefan ; Moyen Nathalie ( Leeds School of Business, University of Colorado at Boulder)
Intervenants : Platikanov Stefan (Leeds School of Business)
Rapporteurs : François Pascal (HEC Montréal)
SESSION II-2 : PORTFOLIO MANAGEMENT I (18/12/2006 à 11h30)
GALLAIS HAMONNO Georges (LEO, UNIVERSITE D'ORLEANS)
Risk and Performance Estimation in Hedge Funds:Evidence from Errors in Variables
Auteurs : Coën Alain (University of Quebec in Montreal (UQÀM)) ; Hübner Georges (HEC, Management School of the Université de Liège)
Intervenants : Hübner Georges (HEC - Management School of the Université de Liège, Belgium)
Rapporteurs : Jimenez Sonia (CERAG, Université de Grenoble 2)
Crash risk in the cross section of stock returns
Auteurs : Kole Erik (Erasmus University Rotterdam) ; Verbeek Marno (Erasmus University Rotterdam)
Intervenants : Kole Erik (Erasmus University Rotterdam)
Rapporteurs : Schneider Eva (Goethe University)
Diversification Benefits of Treasury Inflation Protected Securities: An Empirical Puzzle
Auteurs : Visaltanachoti Nuttawat (Massey University) ; Mamun Abdullah (University of Saskatchewan, Saskatoon)
Intervenants : Visaltanachoti Nuttawat (Massey University)
Rapporteurs : Jeanneret Alexandre (Swiss Finance Institute, University of Lausanne - Ecole des HEC)
SESSION III-1 : IPOs (18/12/2006 à 14h30)
DEGEORGE François (UNIVERSITE DE LUGANO)
Currying Favor to Win IPO Mandates
Auteurs : Derrien François (Rotman School of Management, University of Toronto)
Intervenants : Derrien François (Rotman School of Management, University of Toronto)
Rapporteurs : Krigman Laurie ( Babson College)
Earnings Management and Delisting Risk of Initial Public Offerings
Auteurs : Li Jinliang (Northeastern University) ; Zhang Lu ( University of Michigan and NBER) ; Zhou Jian (Suny at Binghamton)
Intervenants : Li Jinliang (Northeastern University)
Rapporteurs : Brandouy Olivier (Université Lille 1)
Diversification of Investor’s Expertise in IPOs
Auteurs : Bourjade Sylvain (Toulouse Business School)
Intervenants : Bourjade Sylvain (Toulouse Business School)
Rapporteurs : Derrien François (Rotman School of Management, University of Toronto)
SESSION III-2 : MARKET MICROSTRUCTURE II (18/12/2006 à 14h30)
SEASCHOLES Marck S. (HAAS BUSINESS SCHOOL, UNIVERSITY OF CALIFORNIA AT BERKELEY)
Limit order clustering and price barriers on financial markets : empirical evidence from Euronext
Auteurs : Bourghelle David (IAE-LEM, University of Lille 1); Cellier Alexis (IRG, University Paris XII)
Intervenants : Bourghelle David (IAE-LEM, University of Lille 1)
Rapporteurs : Corsi Fulvio (University of Lugano and Swiss Finance Institute)
French and U.S. Trading of Cross-Listed Stocks around the Period of U.S. Decimalization: Volume, Spreads, and Depth Effects
Auteurs : Michayluk David (University of Technology at Sydney) ; Lin Bing-Xuan ; Oppenheimer Henry R. :Sabherwal Sanjiv
Intervenants : Michayluk David (University of Technology at Sydney)
Rapporteurs : Moinas Sophie (IAE-CRG, Université de Toulouse I)
Realized Correlation Tick-by-Tick
Auteurs : Corsi Fulvio (University of Lugano and Swiss Finance Institute)
Intervenants : Corsi Fulvio (University of Lugano and Swiss Finance Institute)
Rapporteurs : Kalev Petko S. (Monash University)
SESSION IV-1 : INTERNATIONAL FINANCE I (18/12/2006 à 16h30)
GILLET Roland (UNIVERSITE PARIS I)
Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story
Auteurs : Jeanneret Alexandre (Swiss Finance Institute, University of Lausanne - Ecole des HEC)
Intervenants : Jeanneret Alexandre (Swiss Finance Institute, University of Lausanne - Ecole des HEC)
Rapporteurs : Joliet Robert (Belgian National Funds for Scientific Research, University of Liège, HEC-Business School)
Does Social Responsibility Deter Shares from Higher Returns? An European Empirical Study
Auteurs : Arbelaeza Harvey (Monterey Institute) ; Cousin Jean-Gabriel (ESA, Lille II) ; Jemel Hager (IAE, Université de Lille I)
Intervenants : Jemel Hager (IAE, Université de Lille I)
Rapporteurs : Tyrell Marcel (Goethe University Frankfurt;)
U.S. Dollar Exposure of Multinational Firms from U.S. Dollar-Pegged Economies
Auteurs : Joliet Robert (Belgian National Funds for Scientific Research, University of Liège, HEC-Business School)
Intervenants : Joliet Robert (Belgian National Funds for Scientific Research, University of Liège, HEC-Business School)
Rapporteurs : Mellios Constantin (Université de Paris I)
SESSION IV-2 : PORTFOLIO MANAGEMENT II (18/12/2006 à 16h30)
ROGER Patrick (UNIVERSITE STRASBOURG I)
Mutual fund performance : skill or luck ?
Auteurs : Cuthbertson Keith ; Nitzsche Dirk (Cass Business School, City University London) ; O’Sullivan Niall (University College Cork)
Intervenants : Cuthbertson Keith (Cass Business School, City University London)
Rapporteurs : Poncet Patrice (PRISM, Faculty of Management Sciences, Université de Paris 1)
Optimal benchmarking for active Portfolio Managers UNDER linear or affine compensation schemes
Auteurs : Poncet Patrice (PRISM, Faculty of Management Sciences, University Paris-I) ; Lioui Abraham (Bar Ilan University)
Intervenants : Poncet Patrice (PRISM, Faculty of Management Sciences, University of Paris-I Panthéon-Sorbonne)
Rapporteurs : Roger Patrick (Université de Strasbourg 1)
Team Management and Mutual Funds
Auteurs : Ruenzi Stefan ; Bär Michaela ; Kempf Alexander (Center for Financial Research, CFR, Cologne)
Intervenants : Ruenzi Stefan (Center for Financial Research, CFR, Cologne)
Rapporteurs : Cuthbertson Keith (Cass Business School, City University London)
SESSION V-1 : CORPORATE GOVERNANCE (19/12/2006 à 08h30)
DERRIEN François (UNIVERSITY OF TORONTO)
What Do Independent Directors Know? Evidence from Their Trading
Auteurs : Ravina Enrichetta (New York University) ; Sapienza Paola (Northwestern University, NBER, and CEPR)
Intervenants : Enrichetta Ravina (New York University)
Rapporteurs : Ruenzi Stefan (Center for Financial Research, CFR, Cologne)
Corporate Venturing, Allocation of Talent, and Competition for Star Managers
Auteurs : Chemla Gilles (DRM-CNRS, U. Dauphine,and CEPR.) ; de Bettignies Jean-Etienne (University of British Columbia)
Intervenants : Chemla Gilles (DRM-CNRS, U. Dauphine,and CEPR.)
Rapporteurs : Landier Augustin (New York University)
Goodwill Impairment Charges under SFAS No. 142:Role of Executives’ Incentives and Corporate Governance
Auteurs : Guler Lale (Texas A&M University)
Intervenants : Guler Lale (Texas A&M University)
Rapporteurs : Attig Najah (Saint Mary's University)
Board of Directors, Family Control, and Pyramid Affiliation
Auteurs : Attiga Najah (Saint Mary's University) ; Morck Randall (University of Alberta, NBER)
Intervenants : Attiga Najah (Saint Mary's University)
Rapporteurs : Ravina Enrichetta (New York University)
SESSION V-2 : FINANCIAL MARKETS (19/12/2006 à 08h30)
CHOLLET Pierre (IRG UNIVERSITE PARIS 12)
Is Unlevered Firm Volatility Asymmetric?
Auteurs : Daouk Hazem (Cornell University) ; Ng David (Cornell University)
Intervenants : Daouk Hazem (Cornell University)
Rapporteurs : Fulop Andras (ESSEC Business School)
Constructing a globalized over-the-counter financial market. Limits of performativity and problems of cognitive framing
Auteurs : Huault Isabelle (Université Paris 9 Dauphine) ; Rainelli-LeMontagner Hélène (IAE de Paris)
Intervenants : Rainelli-LeMontagner Hélène (IAE de Paris)
Rapporteurs : Grandin Pascal (IAE de Lille)
ICAPM with time-varying risk aversion
Auteurs : Maio Paulo (Nova University of Lisbon)
Intervenants : Maio Paulo (Nova University of Lisbon)
Rapporteurs : Rousseau Patrick (IAE d'Aix-en-Provence)
Hot and cold market during the interwar in the Paris stock Exchange
Auteurs : Petit-Konczyk Muriel (Université Lille 2)
Intervenants : Petit-Konczyk Muriel (Université Lille 2)
Rapporteurs : Gallais-Hamonno Georges (LEO, Université d'Orléans)
SESSION VI-1 : INTERNATIONAL FINANCE II (19/12/2006 à 11h00)
GRESSE Carole (UNIVERSITE PARIS 9 DAUPHINE)
Stock exchanges industry consolidation and shock transmission
Auteurs : Idier Julien (Bank of France & Centre d'économie de la Sorbonne, University of Paris 1)
Intervenants : Idier Julien (Bank of France & Centre d'économie de la Sorbonne, University of Paris 1)
Rapporteurs : Bruneau Catherine (Université de Paris 10 - Nanterre)
Foreign versus Local Investors:Who knows more? Who makes more?
Auteurs : Kalev Petko S. ; Nguyen Anh ; Oh Natalie (Monash University)
Intervenants : Kalev Petko S. (Monash University)
Rapporteurs : Daouk Hazem (Cornell University)
SESSION VI-2 : BANKING (19/12/2006 à 11h00)
LOBEZ Frédéric (ESA UNIVERSITE LILLE II)
Bank Opaqueness in Europe
Auteurs : Bibolov Aidyn (Bocconi University)
Intervenants : Bibolov Aidyn (Bocconi University)
Rapporteurs : Schaeck Klaus (University of Southampton)
Bank Competition and Bank Soundness: New evidence
Auteurs : Schaeck Klaus (University of Southampton)
Intervenants : Schaeck Klaus (University of Southampton)
Rapporteurs : Bibolov Aidyn (Bocconi University)
The Agency Structure of Loan Syndicates
Auteurs : François Pascal (HEC Montréal) ; Missonier-Piera Franck (ESSEC Business School)
Intervenants : François Pascal (HEC Montréal)
Rapporteurs : Hallak Issam ( IEMIF, Bocconi University)
SESSION VII-1 : DEBT MARKETS (19/12/2006 à 14h00)
PRIGENT Jean-Luc (THEMA, Université de Cergy-Pontoise)
Risk pricing and the cost of debt in public-private partnerships. Evidence from the syndicated loan
Auteurs : Blanc-Brude Frédéric (King's College London) ; Strange Roger (King's College London)
Intervenants : Blanc-Brude Frédéric (King's College London)
Rapporteurs : Bosch Oliver (Goethe University Francfurt)
The Determinants of the Non-Linear Pricing on Sovereign Bank Loans
Auteurs : Hallak Issam (IEMIF, Bocconi University)
Intervenants : Hallak Issam (IEMIF, Bocconi University)
Rapporteurs : Blanc-Brude Frédéric (King's College London)
Informed Lending and the Structure of Loan Syndicates - Evidence from the European Syndicated Loan Market
Auteurs : Steffen Sascha (Goethe University Frankfurt) ; Bosch Oliver (Goethe University Frankfurt)
Intervenants : Bosch Oliver (Goethe University Frankfurt)
Rapporteurs : Hallak Issam (IEMIF, Bocconi University)
SESSION VII-2 : MARKET MICROSTRUCTURE III (19/12/2006 à 14h00)
DAOUK Hazem (CORNELL UNIVERSITY)
Capital Constraints and Stock Market Liquidity
Auteurs : Seasholes Marck S. ; Hendershott Terrence (University of California, Berkeley); Moulton Pamela C. (Fordham Graduate School)
Intervenants : Seasholes Mark S. (University of California, Berkeley)
Rapporteurs : Li Jinliang (Northeastern University)
Liquidity supply in multiple markets
Auteurs : Moinas Sophie (Université de Toulouse 1 and CRG) ; Lescourret Laurence (ESSEC)
Intervenants : Moinas Sophie (CRG, Université de Toulouse 1)
Rapporteurs : Olaru Ion (Kellogg School of Management, Northwestern university)
Commission Costs, Illiquidity and Stock Returns
Auteurs : Li Jinliang (Northeastern University) ; Mooradian Robert (Northeastern University) ; Zhang W. David (Arizona State University)
Intervenants : Li Jinliang (Northeastern University)
Rapporteurs : Gresse Carole (CEREG, Université de Paris-Dauphine)
SESSION VIII-1 : CORPORATE FINANCE II (19/12/2006 à 16h00)
ANDRE Paul (UNIVERSITY OF EDINBURGH)
The deerminants of the voting premium in Italy : the evidence from 1974 to 2003
Auteurs : Croci Ettore (University of Lugano) ; Caprio Lorenzo (Università Cattolica, Milano)
Intervenants : Croci Ettore (University of Lugano)
Rapporteurs : Suret Jean-Marc (Laval University)
The Long-Run Performance of Private vs. Public Equity Offerings
Auteurs : Suret Jean-Marc and Carpentier Cécile (Laval University) ; L’Her Jean-François and Smith Stephan (Caisse de dépôts, Montréal)
Intervenants : Suret Jean-Marc (Laval University)
Rapporteurs : Platikanov Stefan (University of Colorado at Boulder)
Managing the Costs of Issuing Common Equity: The Role of Registration Choice
Auteurs : Krigman Laurie (Babson College) ; Bethel Jennifer E. (Babson College)
Intervenants : Krigman Laurie (Babson College)
Rapporteurs : Croci Ettore (University of Lugano)
SESSION VIII-2 : ASSET PRICING (19/12/2006 à 16h00)
JEANBLANC PIQUE Monique (UNIVERSITE D'EVRY)
General Equilibrium with Stochastic Volatility and Jumps
Auteurs : Branger Nicole (University of Southern Denmark) ; Schneider Eva and Schlag Christian (Goethe University)
Intervenants : Schneider Eva (Goethe University Francfurt)
Rapporteurs : Garduno Hugo (The University of Chicago)
GMM Estimation of an Asset Pricing Model with Habit Persistence
Auteurs : Fillat Jose L. and Garduno Hugo (The University of Chicago)
Intervenants : Garduno Hugo (The University of Chicago)
Rapporteurs : Maio Paulo (Universidade Nova de Lisboa and Banco de Portugal)
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
Auteurs : Le Courtois Olivier (EM Lyon) ; Quittard-Pinon François (ISFA Lyon)
Intervenants : Le Courtois Olivier (EM Lyon)
Rapporteurs : Jeanblanc Piqué Monique (Université d'Evry)
Portfolio Choice with Jumps: A Closed Form Solution
Auteurs : Aït-Sahalia Yacine (Princeton University and NBER) ; Cacho-Diaz Julio (Princeton University) ; Hurd T.R. (Mc Master University)
Intervenants : Aït-Sahalia Yacine
Rapporteurs : Le Courtois Olivier (EM Lyon)
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