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||||||
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|||||
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||||||
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|||||
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|||||
|
Programme de la conférence organisée
par le département de finance de HEC Montréal |
|
|||||
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||||
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||||
|
Vendredi |
17H30-19H30 |
Cocktail
d'accueil |
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||||
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|||
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||||
|
Samedi |
7H00-8H30 |
Petit déjeuner |
|
|||
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|||||
|
Commandité par CIRPÉE |
|
|||||
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||||
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|||
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Samedi |
8H30-10H10 |
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|||
|
Salle 1 |
|
Titre de la
séance |
ExecComp 1 |
|
|
|
|
|
|
Président de
séance |
Hernan
Ortiz-Molina (University of British Columbia) |
|
||
|
|
Présentation 1 |
"But, Mom,
all the other kids have one!” - CEO Compensation and Director Networks |
|
|||
|
|
Amir Barnea
(University of Texas at Austin) et Ilan Guedj (University of Texas at
Austin) |
|
||||
|
|
Présentation 2 |
The Role of
Profit-based and Stock-based Components in Incentive Compensation |
|
|||
|
|
Yuri
Khoroshilov (Université d'Ottawa) et M.P. Narayanan (University of Michigan) |
|
||||
|
|
Présentation 3 |
Management
Stock Ownership and the Over/Under-Investment Problem |
|
|||
|
|
Kiridaran
Kanagaretnam (McMaster University), Robert Mathieu (Wilfrid Laurier
University) et Sudipto Sarkar (McMaster University) |
|
||||
|
|
Discussants: |
Mark Huson
(University of Alberta), Phelim Boyle (Wilfrid Laurier University) et Yi Feng
(York University) |
|
|||
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||||
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||||
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|
||||
|
Salle 2 |
|
Titre de la
séance |
Puzzles 1 |
|
|
|
|
|
Président de
séance |
Kevin Q.
Wang (University of Toronto) |
|
|||
|
|
Présentation 1 |
The Levered
Equity Risk Premium, Credit Spreads and Learning: A Unified Framework |
|
|||
|
|
Harjoat S.
Bhamra (University of British Columbia), Lars-Alexander Kühn (University of
British Columbia) et Ilya A. Strebulaev (Stanford University) |
|
||||
|
|
Présentation 2 |
Coherent risk
measures, coherent capital allocations, and the gradient allocation principle |
|
|||
|
|
Arne Buch
(Vienna University) et Gregor Dorfleitner (Vienna University) |
|
||||
|
|
Présentation 3 |
Risk aversion,
Regimes, and Returns: revisiting the Equity Premium Puzzle |
|
|||
|
|
Alan Guoming
Huang (University of Waterloo), Eric Hughson (University of Colorado) et J.
Chris Leach (University of Colorado) |
|
||||
|
|
Discussants: |
Kris Jacobs
(McGill University), Weidong Tian (University of Waterloo) et Lars-Alexander
Kuhn (University of British Columbia) |
|
|||
|
|
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|
||||
|
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|
||||
|
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|
||||
|
Salle 3 |
|
Titre de la
séance |
Credit 1 |
|
|
|
|
|
Président de
séance |
Jean-Guy
Simonato (HEC Montréal) |
|
|||
|
|
Présentation 1 |
Project
Financed Investments, Debt Maturity and Credit Insurance |
|
|||
|
|
Van Son Lai
(Université Laval) et Issouf Soumaré (Université Laval) |
|
||||
|
|
Présentation 2 |
Assessing
Default Probabilities from Structural Credit Risk Models |
|
|||
|
|
Wulin Suo
(Queen's University) et Wei Wang (Cicada Risk Inc.) |
|
||||
|
|
Présentation 3 |
Examining Split
Bond Ratings-Effect of Rating Scales |
|
|||
|
|
Krishnan
Dandapani (Florida International University) et Edward R. Lawrence (Florida
International University) |
|
||||
|
|
Discussants: |
Tanja
Veza (Vienna University), et Jean-Guy Simonato (HEC Montréal et Constantin
Mellios (THEMA-Université de Cergy-Pontoise) |
|
|||
|
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|
|||||
|
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|
|||||
|
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|
|||||
|
Salle 4 |
|
Titre de la
séance |
Mutual Funds 1 |
|
||
|
|
Président de
séance |
Susan
Christoffersen (McGill University) |
||||
|
|
Présentation 1 |
Why do
Individual Investors hold Stocks and Expense Funds instead of Index Funds? |
||||
|
|
Warren
Bailey (Cornell University), Alok Kumar (University of Notre Dame) et David
Ng (Cornell University) |
|||||
|
|
Présentation 2 |
VC Funds: Aging
Brings Myopia |
||||
|
|
Eugene
Kandel (Hebrew University), Dima Leshchinskii (Rensselaer Polytechnic
Institute) et Harry Yuklea (Hebrew University) |
|||||
|
|
Présentation 3 |
An Empirical
Investigation of Mutual Fund Boards |
||||
|
|
J. Felix
Meschke (University of Minnesota) |
|||||
|
|
Discussants: |
Lisa Kramer
(University of Toronto), Paul Schure (University of Victoria), Iwan Meier
(HEC Montréal) |
||||
|
|
||||||
|
|
|
|||||
|
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|
|||||
|
|
|
|||||
|
Salle 5 |
|
Titre de la
séance |
RealOption and
R&D |
|||
|
|
Président de
séance |
Marcel
Boyer (Université de Montréal) |
||||
|
|
Présentation 1 |
Investment
Timing for New Business Ventures |
||||
|
|
George W.
Blazenko (Simon Fraser University) et Andrey Pavlov (Simon Fraser University) |
|||||
|
|
Présentation 2 |
Offer Premia in
Acquisitions: A Real Options Perspective |
||||
|
|
Pablo Moràn
(Universidad de Talca) et Sandra Betton (Concordia University) |
|||||
|
|
Présentation 3 |
R&D
Progress and Value of Cash in the Biotech Industry |
||||
|
|
Bixia Xu
(Wilfrid Laurier University) |
|||||
|
|
Présentation 4 |
How does
Financial Development Affect the Growth of R&D Intensive Industries |
||||
|
|
Guorang Yang
(University of Western Ontario) |
|||||
|
|
Discussants: |
Robert Joliet
(Université de Liège), Sandy Klasa (Univeristy of Arizona), Lawrence
Kryzanowski (Concordia University) et Lawrence Booth (University of Toronto) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 6 |
|
Titre de la
séance |
TAP1 |
|
||
|
|
Président de
séance |
Peter
Christoffersen (McGill University) |
||||
|
|
Présentation 1 |
Dynamic Asset
Allocation: A Portfolio Decomposition Formula and Applications |
||||
|
|
Jérôme
Detemple (Boston University) et Marcel Rindisbacher (University of Toronto) |
|||||
|
|
Présentation 2 |
No-Arbitrage
Option Valuation with Conditionally Non-normal Returns |
||||
|
|
Peter
Christoffersen (McGill University), Redouane Elkamhi (McGill University),
Kris Jacobs (McGill University) et Bruno Feunou (Université de Montréal) |
|||||
|
|
Présentation 3 |
Specification
Tests of Asset Pricing Models Using Excess Returns |
||||
|
|
Raymond Kan
(University of Toronto) et Cesare Robotti (Federal Reserve Bank of Atlanta) |
|||||
|
|
Discussants: |
Ken Vetzal
(University of Waterloo), René Garcia (Université de Montréal) et Tim Simin
(Pennsylvania State University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
|
|
|||||
|
Samedi |
10H10-10H30 |
Pause santé |
Commandité
par The Canadian Institute of Chartered Business Valuators |
|||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
Samedi |
10H30-12H10 |
|
||||
|
Salle 1 |
|
Titre de la
séance |
Governance 1 |
|
||
|
|
Président de
séance |
Narjess
Boubakri (HEC Montréal) |
||||
|
|
Présentation 1 |
Voluntary
Adoption of Corporate Governance Mechanisms |
||||
|
|
Anita Anand
(University of Toronto), Frank Milne (Queen's University) et Lynnette Purda
(Queen's University) |
|||||
|
|
Présentation 2 |
Corporate
Misreporting and Debt Contracting |
||||
|
|
John Graham
(Duke University), Si Li (Wilfrid Laurier University) et Jiaping Qiu (Wilfrid
Laurier University) |
|||||
|
|
Présentation 3 |
The Choice
between Private and Public Capital Markets: The Importance of Disclosure
Standards and Auditor Discipline to Countries Divesting State-owned Enterprises |
||||
|
|
Omrane
Guedhami (Memorial University of Newfoundland) et Jeffrey A. Pittman
(Memorial University of Newfoundland) |
|||||
|
|
Discussants: |
Samir Saadi
(Université d'Ottawa), Claude Francoeur (HEC Montréal) et Yves Bozec (HEC
Montréal) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 2 |
|
Titre de la
séance |
Stock
Repurchase |
|
||
|
|
Président de
séance |
Moez
Bennouri (HEC Montréal) |
||||
|
|
Présentation 1 |
Do Stock Splits
Improve Liquidity? |
||||
|
|
Ruslan Y.
Goyenko (McGill University), Craig W. Holden (Indiana University) et Andrey D.
Ukhov (Indiana University) |
|||||
|
|
Présentation 2 |
Optimal
execution of open-market stock repurchase programs |
||||
|
|
Jacob Oded
(Boston University) |
|||||
|
|
Présentation 3 |
Actual share
repurchases, timing and liquidity |
||||
|
|
Edith
Ginglinger (Université de Paris - Dauphine) et Jacques Hamon (Université de
Paris - Dauphine) |
|||||
|
|
Discussants: |
Oumar Sy
(Dalhousie University), Alain Coën (Université du Québec à Montréal) et Jacob
Oded (Boston University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 3 |
|
Titre de la
séance |
Bonds |
|
||
|
|
|
Président de
séance |
Simon
Lalancette (HEC Montréal) |
|||
|
|
|
Présentation 1 |
An
Intensity-based model for pricing variable coupon bonds |
|||
|
|
|
Albert Lee
Chun (HEC Montréal) |
||||
|
|
|
Présentation 2 |
The Quality of
Public Information and the Term Structure of Interest Rates |
|||
|
|
|
Frederik
Lundtofte (University of St. Gallen) |
||||
|
|
|
Présentation 3 |
Can
subordinated debt constrain banks’ risk taking? |
|||
|
|
|
Jijun Niu
(University of Lausanne) |
||||
|
|
|
Discussants: |
Lotfi Karoui
(McGill University), Craig Wilson (University of Saskatchewan) et Dawood
Ashraf (University of Wales) |
|||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 4 |
|
Titre de la
séance |
ExecComp 2 |
|
||
|
|
Président de
séance |
Amir
Barnea (University of Texas at Austin) |
||||
|
|
Présentation 1 |
Option
Expensing and Executive Compensation |
||||
|
|
Yi Feng
(York University) et Yisong S. Tian (York University) |
|||||
|
|
Présentation 2 |
Volatility
forecasting and the Expensing of Stock options |
||||
|
|
George J.
Jiang (University of Arizona) et Yisong S. Tian (York University) |
|||||
|
|
Présentation 3 |
Pay Sensitivity
and Capital Structure: Theory and Evidence |
||||
|
|
Alan V.S.
Douglas (University of Waterloo) et Ranjini Sivakumar (University of
Waterloo) |
|||||
|
|
Discussants: |
Nadia Massoud
(University of Alberta), Robert Joliet (Université de Liège) et Greg Hebb
(Dalhousie University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 5 |
|
Titre de la
séance |
Microstucture 1 |
|
||
|
|
Président de
séance |
Warren
Bailey (Cornell University) |
||||
|
|
Présentation 1 |
Locals,
Foreigners, and Multi-market Trading of Equities: Some Intraday Evidence |
||||
|
|
Warren
Bailey (Cornell University), Connie X. Mao (Temple University) et Kulpatra
Sirodom (Thammasat University) |
|||||
|
|
Présentation 2 |
A Comparative
Study of Canadian and U.S. Price Discovery in the Ten-Year Government Bond
Market |
||||
|
|
Bryan
Campbell (Concordia University) et Scott Hendry (Banque du Canada) |
|||||
|
|
Présentation 3 |
Order-flow
volatility and the trading activities of liquidity traders |
||||
|
|
Aditya Kaul
(University of Alberta) et Rahul Ravi (University of Alberta) |
|||||
|
|
Discussants: |
Ingrid Lo
(Banque du Canada), Youngsoo Kim (University of Regina) et Maria Pacurar
(Dalhousie University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 6 |
|
Titre de la
séance |
TAP2 |
|
||
|
|
Président de
séance |
René
Garcia (Université de Montréal) |
||||
|
|
Présentation 1 |
The Information
Content of Idiosyncratic Volatility |
||||
|
|
George J.
Jiang (University of Arizona), Danielle Xu (Gonzaga University) et Tong Yao
(University of Arizona) |
|||||
|
|
Présentation 2 |
Asset Pricing
in a Monetary Economy with Heterogeneous Beliefs |
||||
|
|
Benjamin
Croitoru (McGill University) et Lei Lu (McGill University) |
|||||
|
|
Présentation 3 |
Liquidity
Biases in Asset Pricing Tests |
||||
|
|
Ivalina
Kalcheva (University of Utah) et Hendrik Bessembinder (University of Utah) |
|||||
|
|
Discussants: |
Hendrik
Bessembinder (University of Utah), Marcel Rindisbacher (University of
Toronto) et Raymond Kan (University of Toronto) |
||||
|
|
||||||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
Samedi |
12H15 - 14H15 |
Lunch |
|
|||
|
Commandité par HEC
Montréal |
||||||
|
|
|
|
||||
|
|
|
|||||
|
|
Remise des prix |
Commandité
par Banque du Canada, Standard and Poor's, Bourse de Montréal, International
Journal of Managerial Finance, Canadian Institute of Chartered Business
Valuators, McGraw-Hill/Ryerson, CIRANO |
||||
|
|
|
|||||
|
|
Kryzanowski/Barone-Adesi Lecture |
Does
Risk Explain the Cross-sectional Pattern of Stock Returns |
||||
|
|
Sheridan
Titman (University of Texas in Austin) |
|||||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
Samedi |
14H30-16H10 |
|
||||
|
Salle 1 |
|
Titre de la
séance |
Banking |
|
||
|
|
Président de
séance |
Georges
Hübner (Université de Liège et Maastricht University) |
||||
|
|
Présentation 1 |
Are current
consolidations of financial institutions related to past syndicate alliances? |
||||
|
|
Claudia
Champagne (Concordia University) et Lawrence Kryzanowski (Concordia
University) |
|||||
|
|
Présentation 2 |
Measuring
Operational Risk in Financial Insitutions: Contribution of Credit Risk
Modelling |
||||
|
|
Georges
Hübner (Université de Liège et Maastricht University), Jean-Philippe Peters
(Deloitte Luxembourg) et Séverine Plunus (Université de Liège) |
|||||
|
|
Présentation 3 |
A simultaneous
equations model of commercial and industrial lending and the use of
derivatives by US banks |
||||
|
|
Dawood
Ashraf (University of Wales), Yener Altunbas (University of Wales) et John
Goddard (University of Wales) |
|||||
|
|
Discussants: |
Jacques
Préfontaine (Université de Sherbrooke), Bryan Campbell (Concordia University)
et Ryan Davies (Babson College) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 2 |
|
Titre de la
séance |
M&A |
|
||
|
|
Président de
séance |
Neil
Brisley (University of Western Ontario) |
||||
|
|
Présentation 1 |
Do firms have
leverage targets? Evidence from acquisitions |
||||
|
|
Jarrad
Harford (University of Washington), Sandy Klasa (University of Arizona) et
Nathan Walcott (University of Washington) |
|||||
|
|
Présentation 2 |
A Theory of
Optimal Expropriation, Mergers and Industry Competition |
||||
|
|
Arturo Bris
(Yale University) et Neil Brisley (University of Western Ontario) |
|||||
|
|
Présentation 3 |
Horizontal
Acquisitions and Buying Power: A product Market Analysis |
||||
|
|
Saguto
Bhattacharyya (University of Michigan) et Amrita Nain (McGill University) |
|||||
|
|
Discussants: |
Yun Li
(University of Toronto), Vikas Mehrotra (University of Alberta) et Hernan
Ortiz-Molina (University of British Columbia) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 3 |
|
Titre de la
séance |
Option |
|
||
|
|
Président de
séance |
Lars
Stentoft (HEC Montréal) |
||||
|
|
Présentation 1 |
Vulnerable
European Options: How Important is the Risk of Early Default |
||||
|
|
Robert Jones
(Simon Fraser University) et Peter Klein (Simon Fraser University) et Eddy
Kou |
|||||
|
|
Présentation 2 |
Optimal dynamic
asset allocation in incomplete comodity futures markets |
||||
|
|
Constantin
Mellios (THEMA - Université de Cergy-Pontoise) et Pierre Six (Université de
Paris - Sorbonne) |
|||||
|
|
Présentation 3 |
Modelling the
Volatility of Financial Assets using the Normal Inverse Gaussian
Distribution: With and Application to Option Pricing |
||||
|
|
Lars
Stentoft (HEC Montréal) |
|||||
|
|
Discussants: |
Jean-Guy
Simonato (HEC Montréal), Simon Lalancette (HEC Montréal) et Chay
Ornthanalai (McGill University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 4 |
|
Titre de la
séance |
International 1 |
|
||
|
|
Président de
séance |
Louis
Gagnon (Queen's University) |
||||
|
|
Présentation 1 |
The
International Monetary Fund’s Balance Sheet and Credit Risk |
||||
|
|
Ryan
Felushko (Banque du Canada) et Eric Santor (Banque du Canada) |
|||||
|
|
Présentation 2 |
The
International Evidence on the Dynamic Volume-Return Relation of Individual
Stocks |
||||
|
|
Louis Gagnon
(Queen's University), G. Andrew Karolyi (Ohio State University) et Kuan-Hui
Lee (Ohio State University) |
|||||
|
|
Présentation 3 |
Ownership
effects of Canadian cross-listings in the U.S. |
||||
|
|
Aditya Kaul
(University of Alberta), Vikas Mehrotra (University of Alberta) et Blake
Phillips (University of Alberta) |
|||||
|
|
Discussants: |
Peter Miu
(McMaster University), Basma Majerbi (University of Victoria) et Usha Mittoo
(University of Manitoba) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 5 |
|
Titre de la
séance |
Credit 2 |
|
||
|
|
Président de
séance |
Stylianos Perrakis (Concordia University) |
||||
|
|
Présentation 1 |
Overpricing in
Emerging Market Credit-Default-Swap Contract: Some Evidence from Recent
Distress Cases |
||||
|
|
Manmohan
Singh (Fonds monétaire international) et Jochen Andritzky (Fonds monétaire
international) |
|||||
|
|
Présentation 2 |
Noise in
Ratings: Not Entirely Random |
||||
|
|
Puneet
Prakash (Virginia Commonwealth University) |
|||||
|
|
Présentation 3 |
The Delivery
Option in Credit Default Swaps |
||||
|
|
Rainer
Jankowitsch (Vienna University), Rainer Pullirsch (Bank Austria -
Creditanstalt) et Tanja Veza (Vienna University) |
|||||
|
|
Discussants: |
Wulin Suo
(Queen's University) et Edward R. Lawrence (Florida International University)
et Peter Klein (Simon Fraser University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 6 |
|
Titre de la
séance |
IPO 1 |
|
||
|
|
Président de
séance |
Joshua Slive (HEC Montréal) |
||||
|
|
Présentation 1 |
Does the Choice
of Organizational Form Affect the Costs of Going Public? |
||||
|
|
Mark Huson
(University of Alberta) et Federica Pazzaglia (University of Alberta) |
|||||
|
|
Présentation 2 |
The Going
Public Decision and the Product Market |
||||
|
|
Thomas
Chemmanur (Boston College), Shan He (Boston College) et Debarshi Nandy (York
University) |
|||||
|
|
Présentation 3 |
Do Fundamentals
Drive IPO Volume? |
||||
|
|
François
Derrien (University of Toronto) et Ambrus Kecskés (University of Toronto) |
|||||
|
|
Discussants: |
Narjess
Boubakri (HEC Montréal), Andras Marosi (University of Alberta) et Sangkyoo
Kang (SUNY - Buffalo) |
||||
|
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|||||
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|||||
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|||||
|
Samedi |
16H10-16H30 |
PAUSE |
Commandité par l'Institut
de finance mathématique de Montréal (IFM²) |
|||
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|||||
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|||||
|
Samedi |
16H30-18H10 |
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||||
|
Salle 1 |
|
Titre de la
séance |
Assurances |
|
||
|
|
Président de
séance |
Felipe
Aguerrevere (University of Alberta) |
||||
|
|
Présentation 1 |
Appropriateness
of Default Investment Options in Defined Contribution Plans: The Australian
Evidence |
||||
|
|
Anup K. Basu
(Queensland University of Technology) et Michael E. Drew (Queensland
University of Technology) |
|||||
|
|
Présentation 2 |
Risk Management
for Insurers: Theory with Empirical Evidence |
||||
|
|
George W.
Blazenko (Simon Fraser University), Gary Parker (Simon Fraser University) et
Andrey D. Pavlov (Simon Fraser University) |
|||||
|
|
Présentation 3 |
Managerial Risk
Aversion and Corporate Risk Management: Evidence from U.S. Oil and Gas
Producers |
||||
|
|
Felipe
Aguerrevere (University of Alberta) et Xuequn Sherry Wang (University of
Alberta) |
|||||
|
|
Discussants: |
Van Son Lai
(Université Laval), Puneet Prakash (Virginia Commonwealth University) et
Amrita Nain (McGill University) |
||||
|
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|||||
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|||||
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|||||
|
Salle 2 |
|
Titre de la
séance |
Puzzles 2 |
|
||
|
|
Président de
séance |
Kodjovi
Assoé (HEC Montréal) |
||||
|
|
Présentation 1 |
Internal vs.
External Habit Formation: the Relative Importance for Asset Pricing |
||||
|
|
Olesya V.
Grishchenko (Pennsylvania State University) |
|||||
|
|
Présentation 2 |
Mean-Reversion
and Momentum |
||||
|
|
Kevin Q.
Wang (University of Toronto) |
|||||
|
|
Présentation 3 |
The Efficient
Market Hypothesis (Revisited) |
||||
|
|
Oumar Sy
(Dalhousie University) |
|||||
|
|
Présentation 4 |
Refining Momentum Strategies by Conditioning on
Prior Long-Term Returns: Canadian Evidence |
||||
|
|
Richard
Deaves (McMaster University) et Peter Miu (McMaster University) |
|||||
|
|
Discussants: |
Axel Kind (University of St Gallen), Kodjovi Assoé
(HEC Montréal), Tom McCurdy (University of Toronto) et Ralf Seiz (New York
University) |
||||
|
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|
|||||
|
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|||||
|
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|||||
|
|
|
|||||
|
Salle 3 |
|
Titre de la
séance |
EAP1 |
|
||
|
|
Président de
séance |
Tim Simin
(Pennsylvania State University) |
||||
|
|
Présentation 1 |
Multifrequency
News and Stock Returns |
||||
|
|
Laurent E.
Calvet (HEC School of Management) et Adlai J. Fisher (University of British
Columbia) |
|||||
|
|
Présentation 2 |
On
Diversification Discount – the Effect of Leverage |
||||
|
|
Jin-Chuan
Duan (University of Toronto) et Yun Li (University of Toronto) |
|||||
|
|
Présentation 3 |
Commonality in
Liquidity: A Global Perspective |
||||
|
|
Paul
Brockman (University of Missouri - Columbia), Dennis Y. Chung (Simon Fraser
University) et Christophe Pérignon (Simon Fraser University) |
|||||
|
|
Discussants: |
Ruslan Goyenko
(McGill University), Antonio Diez de los Rios (Banque du Canada) et Adlai
Fisher (University of British Columbia) |
||||
|
|
|
|||||
|
|
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|||||
|
|
|
|||||
|
Salle 4 |
|
Titre de la
séance |
International 2 |
|
||
|
|
Président de
séance |
Michael
King (Banque du Canada) |
||||
|
|
Présentation 1 |
Market Timing, Capital Structure and Cross Listing:
Canadian Evidence |
||||
|
|
Usha R. Mittoo (University of Manitoba) et Zhou
Zhang (University of Manitoba) |
|||||
|
|
Présentation 2 |
International Risk Sharing, Investment Restrictions
and Asset Prices |
||||
|
|
Issouf
Soumaré (Université Laval) et Tan Wang (University of British Columbia) |
|||||
|
|
Présentation 3 |
The Long-term effects of cross-listing, investor
recognition, and opwnership structure on valuation |
||||
|
|
Michael King (Banque du Canada) et Dan Segal
(University of Toronto) |
|||||
|
|
Discussants: |
Eric Santor
(Banque du Canada), Francesca Carrieri (McGill University) et Vikas Mehrotra
(University of Alberta) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 5 |
|
Titre de la
séance |
Interest Rates |
|
||
|
|
Président de
séance |
Albert
Lee Chun (HEC Montréal) |
||||
|
|
Présentation 1 |
A hidden Markov model of the term structure of
interest rates |
||||
|
|
Craig A. Wilson (University of Saskatchewan) et
Robert J. Elliott (University of Calgary) |
|||||
|
|
Présentation 2 |
Affine Term Structure Models, Volatility and the
Segmentation Hypothesis |
||||
|
|
Kris Jacobs
(McGill University) et Lotfi Karoui (McGill University) |
|||||
|
|
Présentation 3 |
Can unspanned stochastic volatility models explain
the cross section of bond volatilities? |
||||
|
|
Scott Joslin
(Stanford University) |
|||||
|
|
Discussants: |
Albert Lee Chun (HEC Montreal), Caio Ibsen Rodrigues
de Almeida (Getulio Vargas Foundation) et Kris Jacobs (McGill University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 6 |
|
Titre de la
séance |
TAP3 |
|
||
|
|
Président de
séance |
Éric
Jacquier (HEC Montréal) |
||||
|
|
Présentation 1 |
Aggregate technology shocks and market return
predictability |
||||
|
|
Paul Po-Hsuan Hsu (Columbia University) |
|||||
|
|
Présentation 2 |
Asset Pricing Implications of Time-to-Build |
||||
|
|
Lars-Alexander Kühn (University of British Columbia) |
|||||
|
|
Présentation 3 |
Dynamic Hedging Under Jump Diffusion With
Transaction Costs |
||||
|
|
J.S. Kennedy (University of Waterloo), P.A. Forsyth
(University of Waterloo) et K.R. Vetzal (University of Waterloo) |
|||||
|
|
Discussants: |
Ilias Tsiakas (University of Warwick), Bixia Xu (Wilfrid Laurier
University) et Sergey Isaenko
(Concordia University) |
||||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
Samedi |
18H30-19H30 |
Cocktail |
Commandité par HEC Montréal |
|||
|
|
19H30-23H00 |
Dîner |
|
|||
|
|
|
|||||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
|
|
|||||
|
Dimanche |
7H00-8H30 |
Petit déjeuner |
Commandité par CIREQ |
|||
|
|
||||||
|
|
|
|
|
|||
|
|
|
|
||||
|
Dimanche |
8H30-10H10 |
|
||||
|
Salle 1 |
|
Titre de la
séance |
Governance 2 |
|
||
|
|
Président de
séance |
Omrane Guedhami (Memorial University of
Newfoundland) |
||||
|
|
Présentation 1 |
The Use of Antitakeover Defenses Outside the United
States. An Empirical Examination of Poison Pill Adoptions in Canadian Firms |
||||
|
|
John M. Bizjak (Portland State University), Greg
Hebb (Dalhousie University) et Arvind Mahajan (Texas A&M University) |
|||||
|
|
Présentation 2 |
Why Do Firms Remove Poison Pills? |
||||
|
|
Ali C. Akyol (University of Alabama) et Carolyn A.
Carroll (University of Alabama) |
|||||
|
|
Présentation 3 |
Ownership Level, Ownership Concentration, and
Liquidity |
||||
|
|
Amir Rubin
(Simon Fraser University) |
|||||
|
|
Discussants: |
Kai Li (University of British Columbia), Lynette
Purda (Queen's University) et Blake Phillips (University of Alberta) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 2 |
|
Titre de la
séance |
Foreign
Exchange |
|
||
|
|
Président de
séance |
Simon van
Norden (HEC Montréal) |
||||
|
|
Présentation 1 |
An Economic Evaluation of Empirical Exchange Rate
Models: Robust Evidence in favour of Predictability |
||||
|
|
Pasquale Della Corte (University of Warwick), Lucio
Sarno (University of Warwick) et Ilias Tsiakas (University of Warwick) |
|||||
|
|
Présentation 2 |
Chartists and Fundamentalists in the Foreign
Exchange Market |
||||
|
|
Stefan Klocker (Vienna University) et Christian
Wagner (Vienna University) |
|||||
|
|
Présentation 3 |
Test of Financial Integration: Finite Sample
Motivated Methods |
||||
|
|
Marie-Claude
Beaulieu (Université Laval), Marie-Hélène Gagnon (Université Laval) et Lynda
Khalaf (Université Laval) |
|||||
|
|
Discussants: |
Sam
James Henkel (University of Indiana), Simon van Norden (HEC Montréal) et Paul Po-Hsuan
Hsu (Columbia University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 3 |
|
Titre de la
séance |
Mutual Funds 2 |
|
||
|
|
Président de
séance |
Iwan
Meier (HEC Montréal) |
||||
|
|
Présentation 1 |
A Unified Theory of Mutual Fund Flows and Closed-End
Fund Discounts: A Dynamic Equilibrium Model |
||||
|
|
Bin Wei
(Duke University) |
|||||
|
|
Présentation 2 |
What drives the performance of US Convertible Bond
Funds? |
||||
|
|
Manuel Ammann (University of St. Gallen), Axel Kind
(University of St. Gallen) et Ralf Seiz (New York University) |
|||||
|
|
Présentation 3 |
Are Canadian Small Cap Stocks a Separate Asset
Class? A Mean-Variance Spanning Approach |
||||
|
|
Lorne N.
Switzer (Concordia University) et Iain Scott (Concordia University) |
|||||
|
|
Discussants: |
J. Felix Meschke (University of
Minnesota), Lorne Switzer (Concordia University) et Ruslan
Goyenko (McGill University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 4 |
|
Titre de la
séance |
International 2 |
|
||
|
|
Président de
séance |
Manmohan Singh
(Fonds monétaire international) |
||||
|
|
Présentation 1 |
Banques
étrangères en Chine: leçons des pays d'Europe Centrale et Orientale? |
||||
|
|
Meriem
Haouat (Université de Paris - Dauphine) |
|||||
|
|
Présentation 2 |
Ownership, Institutions, and Capital
Structure:Evidence from Chinese Firms |
||||
|
|
Kai Li (University of British Columbia), Heng Yue
(Peking University) et Longkai Zhao (Peking University) |
|||||
|
|
Présentation 3 |
You Can Enter but You Cannot Leave... U.S.
Securities Markets and Foreign Firms |
||||
|
|
Andràs Marosi (University of Alberta) et Nadia
Massoud (University of Alberta) |
|||||
|
|
Discussants: |
Issouf Soumaré
(Université Laval), Zhou Zhang (University of Manitoba) et Jochen Andritzky
(Fonds monétaire international) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 5 |
|
Titre de la
séance |
EAP2 |
|
||
|
|
Président de
séance |
Tolga
Cinesizoglu (HEC Montréal) |
||||
|
|
Présentation 1 |
Stock and Bond Market Liquidity: A Long-Run
Empirical Analysis |
||||
|
|
Ruslan
Goyenko (McGill University) |
|||||
|
|
Présentation 2 |
How useful are historical data for forecasting the
long-run equity premium? |
||||
|
|
John M. Maheu (University of Toronto) et Thomas H.
McCurdy (University of Toronto) |
|||||
|
|
Présentation 3 |
Vanishing Return Predictability and the Business
Cycle |
||||
|
|
Sam James Henkel (Indiana University), J. Spencer
Martin (Arizona State University) et Federico Nardari (Arizona State
University) |
|||||
|
|
Discussants: |
Adlai Fisher (University of British
Columbia), Jeroen Rombouts (HEC Montréal) et Alan Guoming Huang (University
of Waterloo) |
||||
|
|
||||||
|
|
|
|||||
|
|
|
|||||
|
Salle 6 |
|
Titre de la
séance |
Microstucture 2 |
|
||
|
|
Président de
séance |
Georges Dionne
(HEC Montréal) |
||||
|
|
Présentation 1 |
Intraday Value at Risk Using Tick-by-Tick Data with
Application to the Toronto Stock Exchange |
||||
|
|
George
Dionne (HEC Montréal), Pierre Duchesne (Université de Montréal) et Maria
Pacurar (Dalhousie University) |
|||||
|
|
Présentation 2 |
Ownership Dispersion and Market Liquidity |
||||
|
|
Gady Jacoby (University of Manitoba) et Steven X.
Zheng (University of Manitoba) |
|||||
|
|
Présentation 3 |
The Microstructure Foundations of Size and
Book-to-Market Equity Effects |
||||
|
|
Aditya Kaul (University of Alberta) et N. Volkan
Kayacetin (University of Alberta) |
|||||
|
|
Discussants: |
David Goldreich (University of Toronto), Danielle Xu
(Gonzaga University) et Moez Bennouri (HEC Montréal) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|
|
|
||
|
|
|
|||||
|
Dimanche |
10H10-10H30 |
Pause santée |
Commandité par
l'Association CFA - Montréal |
|||
|
|
||||||
|
|
|
|
|
|
||
|
|
|
|||||
|
Dimanche |
10H30-12H30 |
|
||||
|
Salle 1 |
|
Titre de la
séance |
Hedge Funds |
|
||
|
|
Président de
séance |
Nicolas
Papageorgiou (HEC Montréal) |
||||
|
|
Présentation 1 |
Assessing and Valuing the Nonlinear Structure of
Hedge Fund Returns |
||||
|
|
Antonio Diez
de los Rios (Banque du Canada) et René Garcia (Université de Montréal) |
|||||
|
|
Présentation 2 |
An Analysis of Hedge Fund Return |
||||
|
|
Lewis D. Johnson (Queen's University) et Wulin Suo
(Queen's University) |
|||||
|
|
Présentation 3 |
Are hedge funds strategic style indexes that much
different from industry protfolios |
||||
|
|
Minli Lian
(Simon Fraser University) |
|||||
|
|
Présentation 4 |
What is the Optimal Investment in a Hedge Fund |
||||
|
|
Phelim Boyle (University of Waterloo) et Sun Siang
Liew (University of Waterloo) |
|||||
|
|
Discussants: |
Georges Hübner
(Université de Liège), Frank Leclerc (Desjardins Global Asset Management),
Nicolas Papageorgiou (HEC Montréal) et Bin Wei (Duke University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 2 |
|
Titre de la
séance |
Corporate |
|
||
|
|
Président de
séance |
Adolfo de
Motta (McGill University) |
||||
|
|
Présentation 1 |
Labor Unions, Operating Leverage, and Expected
Returns. |
||||
|
|
Huafeng Jason Chen (University of British Columbia),
Marcin Kacperczyk (University of British Columbia) et Hernan Ortiz-Molina
(University of British Columbia) |
|||||
|
|
Présentation 2 |
Cash Flow
Volatility, Financial Slack and Investment Decisions |
||||
|
|
Laurence
Booth (University of Toronto) et Sean Cleary (St. Mary's University) |
|||||
|
|
Présentation 3 |
On the Choice
of Organizational Form: Income Trusts vs. Public Corporations' |
||||
|
|
Mark R.
Huson (University of Alberta) et Federica Pazzaglia (University of Alberta) |
|||||
|
|
Présentation 4 |
Capital
Structure and Debt Choices for Corporate Diversification into New Foreign
Markets |
||||
|
|
Robert
Joliet (Université de Liège) |
|||||
|
|
Discussants: |
Maria
Boutchkova (Concordia University), Robert Joliet (Université de Liège),
Martin Boyer (HEC Montréal) et Federica Pazzaglia (University of Alberta) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 3 |
|
Titre de la
séance |
Analyst
Forecast |
|
||
|
|
Président de
séance |
Ian
Rakita (Concordia University) |
||||
|
|
Présentation 1 |
Ex-ante versus
Ex-post Accounting Conservatism and Inefficiency in Analysts' Earnings Forecasts |
||||
|
|
Jinhae Pae
(Queen's University) et Daniel B. Thornton (Queen's University) |
|||||
|
|
Présentation 2 |
Do local
analysts know more? A cross-country study of the performance of local
analysts and foreign analysts |
||||
|
|
Kee-Hong Bae
(Queen's University), René M. Stulz (Ohio State University) et Hongping Tan
(Queen's University) |
|||||
|
|
Présentation 3 |
The Relative
Importance of Determinants of the Quality of Financial Analysts' Forecasts: A
Reappraisal |
||||
|
|
Alain Coën
(Université du Québec à Montréal), Aurélie Desfleurs (Université Laval) et
Jean-François L'Her (Caisse de dépôt et de placement du Québec) |
|||||
|
|
|
Discussants: |
Amr
Addas (Concordia University), Nilanjan Basu (Concordia University) et
Khaled Soufani (Concordia University) |
|||
|
|
|
|
||||
|
|
|
|
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 4 |
|
Titre de la
séance |
Dividend Policy |
|
||
|
|
Président de
séance |
Ebenezer
Asem (University of Lethbridge) |
||||
|
|
Présentation 1 |
Timing of
Seasoned Equity Offerings: A Duration Analysis |
||||
|
|
Hong Qian
(Pennsylvania State University) |
|||||
|
|
Présentation 2 |
The Impact of
Media's Reputation on the Equity Financing: Manipulation and Collusion |
||||
|
|
Huang Weihua
(Université de Toulouse) |
|||||
|
|
Présentation 3 |
Dividend
Policy, Market Movements, and Cash Flow |
||||
|
|
Ebenezer
Asem (University of Lethbridge) et Eldon Gardner (University of Lethbridge) |
|||||
|
|
Présentation 4 |
Liquidity
Constraint and Dividend Payment Decisions - New evidence from the Canadian
Market |
||||
|
|
Samuel
Asiedu (Exportation et développement Canada) et Vijay Jog (Carleton
University) |
|||||
|
|
Discussants: |
Edith
Ginglinger (Université de Paris), Jacob Oded (Boston University), Lynette
Purda (Queen's University) et Amir Rubin (Simon Fraser University) |
||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
|
|
|||||
|
Salle 5 |
|
Titre de la
séance |
TAP 4 |
|
||
|
|
Président de
séance |
Kris
Jacobs (McGill University) |
||||
|
|
Présentation 1 |
Portfolio
Choice under Convex Transaction Costs |
||||
|
|
Sergei
Isaenko (Concordia University) |
|||||
|
|
Présentation 2 |
Estimation of
the CEV Model on Options and Returns using Particle Filtering |
||||
|
|
Karim
Mimouni (McGill University) |
|||||
|
|
Présentation 3 |
Firm Life
Expectancy and the Heterogeneity of the Book-to-Market Effect |
||||
|
|
|
Huafeng
Jason Chen (University of British Columbia) |
||||
|
|
|
Discussants: |
Wulin Suo
(Queen's University), Benjamin Croitoru (McGill University), et N. Volkan
Kayacetin (University of Alberta) |
|||
|
|
|
|||||
|
|
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Salle 6 |
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Titre de la
séance |
IPO 2 |
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Président de
séance |
Jean-Claude
Cosset (HEC Montréal) |
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Présentation 1 |
Are Low-demand
IPOs Underpriced? Evidence from Biotech IPOs |
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Sangkyoo
Kang (SUNY - Buffalo) et Joseph P. Ogden (SUNY - Buffalo) |
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Présentation 2 |
How is Value
Created in Spin-offs? A Look Inside the Black-box |
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Thomas
Chemmanur (Boston College) et Debarshi Nandy (York University) |
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Présentation 3 |
Angels versus
Venture Capitalists |
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Paul Schure
(University of Victoria) |
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Présentation 4 |
Political
Connections of Newly Privatized Firms |
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Narjess
Boubakri (HEC Montréal), Jean-Claude Cosset (HEC Montréal) et Walid Saffar
(HEC Montréal) |
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Discussants: |
Sandra Betton
(Concordia University), Ambrus Kecskés (University of Toronto), Sherry Wang
(University of Alberta) et Neil Brisley (University of Western Ontario) |
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