| Authors | Paper Title |
|---|---|
| Pericoli, Sbracia | "Crowded trades among hedge funds" |
| Ahlip, Rutkowski | "Forward Start Options in Heston's Model Under Stochastic Interest Rates" |
| Gomez-Gonzalez, Garcia-Suaza | "The competing risks of acquiring and being acquired: evidence from Colombia´s financial sector" |
| Camilleri, Green | "The Relation between Call Auctions and Securities Markets Volatility: Evidence from the National Sto" |
| Estrada | "Geometric Mean Maximization: An Overlooked Portfolio Approach?" |
| Aussenegg, Resch, Winkler | "Pitfalls and Remedies in Testing the Calibration Quality of Rating Systems" |
| Colla | "Debt Structure and Debt Specialization" |
| Switzer, Jiang | "Market Efficiency and the Risks and Returns of Dynamic Trading Strategies with Commodity Futures" |
| Switzer, Bourdon | "Management Quality and Operating Performance: Evidence for Canadian IPOs" |
| Coelho, Taffler, John | "Who trades the stock of bankrupt firms?" |
| Coelho, Taffler | "When is bad news really good news? The case of strategic vs. non-strategic bankruptcies" |
| Martins | "THE AGGREGATE “PORTFOLIO”: ECONOMETRICS OF ECONOMIC RATES OF RETURN WITH A PORTUGUESE ILLUSTRATION" |
| Vargas-Hernandez | "THE TRANSFER OF GOVERNANCE FROM THE NATION STATE TO A CORPORATE GLOBAL ECONOMY" |
| CLAES, DE CEUSTER, LOPEZ | "The US implied volatility index of forward interest rates: Construction and Properties" |
| Andreu, Torra | "Solving Market Index Biases Using Minimum Risk Indices" |
| Lingo, Eisl, Elendner | "Re-Mapping Credit Ratings" |
| Winkler, Lingo | "Adverse Borrower Selection in the Context of Rating Errors" |
| Renneboog, Szilagyi | "Shareholder Activism through the Proxy Process" |
| Cziraki, Renneboog, Szilagyi | "Shareholder Activism through Proxy Proposals: The European Perspective" |
| ÖZDURAK | "THE IMPORTANCE OF TRANSMISSION MECHANISM ON THE DEVELOPMENT OF CREDIT DERIVATIVES:A MONETARY AGGREGA" |
| Reis | "Japanese Management and Corporate Competitiveness in Portugal" |
| Kamstra, Roberts, Shao | "Does the Secondary Loan Market Reduce Borrowing Costs?" |
| Solibakke, Westgaard | "Stochastic Volatility Models for EEX Base and Peak Load Forward Contracts using GSM" |
| Ramos, Veiga | "Asymmetric Effects of Oil Price Fluctuations in International Stock Markets" |
| Rodrigues, Keasey, Pindado | "The Costs of SME’s Financial Distress across Europe" |
| Dutordoir, Roosenboom, Vasconcelos | "Synergy Disclosures in Mergers and Acquisitions" |
| Santos, Winton | "Bank Capital, Borrower Power, and Loan Rates" |
| Choudhry, Pimentel | "Do stock returns hedge against high and low inflation rate" |
| Guedes, Reis | "Bonding through Auditor Choice in Emerging Markets" |
| Sojli, Tham | "The Impact of Foreign Government Investment: Sovereign Wealth Fund Investments in the U.S." |
| de Goeij, Pungulescu, de Roon | "Market Size Effects and Integration: Emerging vs. Developed Countries" |
| Pungulescu | "Real Effects of Financial Market Integration: Does Lower Home Bias Lead to Welfare Benefits." |
| Anginer | "Transaction Costs and Investment Decisions of Individual Investors" |
| Anginer, Yildizhan | "Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk" |
| BOURAOUI | "The impact of stock spams on volatility" |
| Driver, Guedes | "Research and Development, Cash Flow, Agency and" |
| Casalin, Dia | "The Short-Run Dynamics of Primary Placements and the Divirsification Benefits of Universal Banking" |
| Goddard, Liu, Molyneux | "The persistence of bank profit" |
| Su, Chang, Zhu | "A Non-linear Model of Causality between the Stock and Real Estate Markets of European Countries" |
| Weng, Chen, Lai | "The Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from G8 Countries" |
| du Jardin, Séverin | "Dynamic analysis of the business failure process: a study of bankruptcy trajectories" |
| Lambrecht, Pawlina, Teixeira | "The Dynamics of Outsourcing and Integration" |
| Coluzzi, Ferrando, Martinez-Carrascal | "Financing Obstacles and Growth: an analysis for euro area non-Financial Corporations" |
| Brookfield, Bangassa, Su | "Investment Style Performance of UK Unit Trusts" |
| Bubak, Kocenda, Zikes | "Volatility Transmission in Central European Foreign Exchange Markets" |
| Holman, Cermakova | "Challenges in financial regulation" |
| Chng, Laksmanaputra | "Incremental information and forecast horizon" |
| Chng | "A non-price measure of cross-market price discovery: Theory and empirical application" |
| Wang, Liang | "The effect of target funds rate changes on foreign exchange markets-An event study approach" |
| Kuo, Chen | "Why Interest Rate Option Markets Can Smile" |
| guedes | "Bonding through auditor choice in emerging markets" |
| SALMA, EZZEDINE | "OVERCONFIDENCE, TRADING VOLUME AND THE DISPOSITION EFFECT: EVIDENCE FROM THE CHINESE STOCK MARKET" |
| Lima, Soares de Pinho | "Testing for competition: the Panzar-Rosse approach to a multi-output bank and the impact of expected" |
| Lima, Soares de Pinho | "A model of bank price and non-price competition with endogenous expected loan losses" |
| Babalola | "Corporate Governance and Banking Sector Stability: Evidence From Nigeria" |
| Ebert, Luetkebohmert | "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Add" |
| Chaowarat, Jumreornvong | "The Impact of Institution Ownership Type on Firm Performance- Evidence from Thailand.doc" |
| Areal, Cortez, Silva | "Investing in mutual funds: does it pay to be a sinner or a saint?" |
| Mateus, Judge | "The Effects of Access to Public Debt Markets on Capital Structure" |
| Mateus, Youseman | "Fundamental Values and their Relationship with Equity Market Movements" |
| Topaloglu, Yildirim | "Bankruptcy Prediction" |
| Nunes, Malcato, Oliveira | "The Performance of Deterministic and Stochastic of Interest Rate Risk Measures" |
| Rubbaniy, Verschoor, Lelyveld | "Herd behavior and trading of Dutch PFs" |
| Rubbaniy, Verschoor, Lelyveld | "Home Bias and Dutch Pension Funds’ Investment behaviour" |
| Pinto, Marshall | "Do Ownership Structures Affect the Risk Incentive Provided by Managerial Portfolio Holdings? An Empi" |
| Adcock, Areal, Armada | "Does the use of downside risk-adjusted measures impact performance rankings of UK investment trusts?" |
| Roubaud, Lapied, Kast | "Real Options under Ambiguity: the case for Choquet-Brownian motions." |
| Simon | "Evidence and Implications of the Predictability of High Yield Bond Returns" |
| Ferreira, Keswani, Miguel | "The Flow-Performance Relationship Around the World" |
| THRAYA, Hagendorff | "Controlling Shareholders and the Acquisition Premiums Paid in European Takeover Bids" |
| Alexander, Baptista, Yan | "Bank Regulation and Risk Management: An Assessment of the Basle Market Risk Framework" |
| Vilela Mendes | "The fractional volatility model: No-arbitrage and risk measures" |
| Morresi, Pezzi | "21 years of international M&As and joint ventures by Italian medium-sized listed firms: Value creati" |
| Rege, Gomes de Menezes | "Comparing the Generalised Hyperbolic to the Normal Inverse Gaussian Distribution for the Daily Retur" |
| Cardoso-Costa | "Nominal and Indexed Debt in Euro Area Countries" |
| Jayasekera | "“Flying with Heavy Loads” Capital Structure Considerations for the US Airline Industry – A Real Opti" |
| Taylor | "An econometric defence of pure-jump price dynamics" |
| Singer | "Safety-First Portfolio Optimization: Fixed versus Random Target" |
| Mertens | "Excessively Volatile Stock Markets: Equilibrium Computation and Policy Analysis" |
| Mallin, Ow-Yong | "Factors Influencing Corporate Governance Disclosures in Alternative Investment Market (AIM) Companie" |
| MANIAR | "Hedging of Foreign Exchange Risk by Corporate in India" |
| Baranouskaya | "Mergers and market valuation: real options approach" |
| Ekholm | "Residual Return Analysis: A New Method for Detecting Portfolio Manager Activity" |
| Faria, Correia-da-Silva, Ribeiro | "Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility" |
| Adkins, Paxson | "Reciprocal Energy Switching Options" |
| Turnbull, Pirson | "Analysis of risk and its amelioration in financial firms “Too Big to Fail”" |
| Sousa | "Collateralizable Wealth, Asset Returns and Systemic Risk: International Evidence" |
| Camanho da Costa Neto, Deb, Liu | "Credit Rating and Competition" |
| Zhang, Piesse, Filatotchev | "The Role of Controlling Families and Institutional Blockholders in Corporate Governance: Informed t" |
| Castiglionesi, Feriozzi, Lorenzoni | "Financial Integration and Liquidity Crises" |
| Wolfe, Marar | "Do equity values embed or ignore the issuance of asset-backed securities?" |
| Tara | "The role of the Financial Audit Activity in the Financial Crisis Matter" |
| Ferreira, Matos, Pereira | "Do foreigners know better? A comparison of the performance of local and foreign mutual fund managers" |
| Rodrigues | "Market segmentation under uncertainty" |
| Areal, Rodrigues | "Discrete dividends and the FTSE-100 index option valuation" |
| Pereira, Rodrigues | "Investment, Exogenous Entry and Expandable Markets Under Uncertainty" |
| Vong, Trigueiros | "Secondary State Ownership and Corporate Performance of China's Privatized Companies" |
| Lameira, Silva, Ness | "How governance impacts the value of the Brazilian corporations: through the performance, through the" |
| Lin, Huang, Liang | "The Relationship between Stock Prices and Economic Growth Revisited: Evidence from the G -7" |
| Peixinho, Taffler | "Analyst behaviour and the announcement of bad news: The case of going-concern opinions" |
| Druz | "Signaling and sell-side analysts" |
| Mariano, Tribo | "Debt Covenants and Corporate Investment" |
| Reboredo | "Asymmetric Co-movement between Gold and Stock Prices: A Threshold Copula Approach" |
| Rafferty, O'Connor | "Are Strong Executives Good for Innovative Activity" |
| Borges | "Calendar Effects in Stock Markets: Critique of Previous Methodologies And Recent Evidence in Europea" |
| Goncalves-Pinto, Sotes-Paladino | "The Value of Cross-Trading to Mutual Fund Families in Illiquid Markets: A Portfolio Choice Approach" |
| Padhan | "Assets Market Anomalies: Evidence from Inter-Bank Call Money Rate in India" |
| KAGRAOKA | "{New mechanism of market price observation: liquidity and leptokurtic return distributions" |
| Canil, Rosser | "Executive bonuses" |
| Altman, Kalotay | "A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds" |
| Ramos, Dias | "The dynamics of EMU stock market cycles before and after the euro" |
| Flor, Hirth | "Asset Liquidity, Corporate Investment, and Endogenous Financing Costs" |
| Giovannini, Caselli, Capizzi | "VOLUNTARY DELISTING: AN ALTERNATIVE VALUE CREATION PROCESS?" |
| Gottschalk, Walker | "The timeliness of CDS spread changes in predicting corporate default, 2004-2008" |
| Bruche | "Estimating Structural Models of Corporate Debt and Equity" |
| Bartholdy, Mateus, Olson | "DO SME's follow Pecking Order Financing" |
| García Mirantes, Población García, Serna Calvo | "Hedging Refinning Margin With Crack Spread Options: A Common Long-Term Trend Model For Crude Oil And" |
| Mendes, Dias, Godinho | "The profitability of technical analysis in the EUR/USD currency pair: Evidence from a trading system" |
| Marchesi, Sabani, Dreher | "Read my lips: the role of information transmission in multilateral program design" |
| Kashefi-Pour, Lasfer | "The determinants of capital structure across firms’ sizes: The U.K Main and AIM markets evidence" |
| Vicente, Ortiz, Sarto | "Portfolios in disguise? Window dressing in bond fund holdings" |
| Ortiz, Ramírez, Vicente | "The Role of Individual and Institutional Investors in Spanish Stock Returns" |
| Andreu, Díez, Ortiz | "What determines investors' purchases and redemptions?" |
| Hagspiel, Huisman, Kort | "Production Flexibility and Investment under Uncertainty" |
| Arcot | "Participating Convertible Preferred Stock in Venture Capital Exits" |
| Broussard, Vaihekoski | "PROFITABILITY OF PAIRS TRADING STRATEGY IN FINLAND" |
| Hagspiel, Huisman, Nunes | "R&D Investment and Technology Adoption" |
| Slepaczuk, Zakrzewski | "High-Frequency and Model-Free Volatility Estimator" |
| Manescu | "Stock returns in relation to environmental, social and governance performance: mispricing or compens" |
| Hagströmer, Anderson, Binner | "Systematic Liquidity Measurement" |
| Hirth, Viswanatha | "The Non-Monotonic Effect of Financing Constraints on Investment Timing" |
| P. Barros, Bonfim, Kim | "Counterfactual analysis of bank mergers" |
| Ozkan, Arslan, Florackis | "The impact of financial flexibility on investment-cash flow sensitivity and performance" |
| Ekholm, Maury | "External shareholders: Incentives and returns" |
| Westheide, Gider | "Idiosyncratic Volatility and the Timing of Corporate Insider Trading" |
| Dai, Bonfim, Franco | "The number of bank relationships, borrowing costs and bank competition.∗" |
| Rezessy | "The impact of monetary policy shocks on the exchange rate in emerging countries" |
| Bessler, Blake, Lückoff | "Why does Mutual Fund Performance not Persist? The Impact and Interaction of Fund Flows and Manager C" |
| López-Espinosa, Martínez-Sedano | "The Efficiency of Performance-based-fee Mutual Funds" |
| Peguinho, Canadas | "Does the Market Recognise the Value of Firms’ Real Options?" |
| Shackleton, Ekern, Sodal | "NPV systems, flexibility values and discount matrices" |
| Kara, Molyneux, Gadanecz | "The effect of information asymmetries among lenders on syndicated loan spreads" |
| Berrada, Hugonnier | "Incomplete information, idiosyncratic volatility and stock returns" |
| Pinto, Augusto, Gama | "Relationship Banking, Governance and SME’s Performance: The Portuguese Evidence" |
| VO | "Optimal resolution of Financial Distress: A Dynamic Contracting Approach" |
| Bonfim, Dias, Richmond | "What happens after default? Stylized facts on access to credit" |
| Ballester | "DETERMINANTS OF INTEREST RATE EXPOSURE OF SPANISH BANKING INDUSTRY" |
| Faria, Correia-da-Silva | "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices" |
| Lischewski, Voronkova | "Size, Value and Liquidity. Do They Really Matter on an Emerging Stock Market?" |
| Antão, Bonfim | "The dynamics of capital structure decisions" |
| Varga, Wengert | "The Growth and Size of the Brazilian Mutual Fund Industry" |
| Lacerda, Antão | "Credit Risk and Capital Requirements under Basel II" |
| Lacerda, Rodrigues | "The asymmetric behaviour of credit risk" |
| Madaleno, Pinho | "German electricity spot and futures markets: Multiscale relationships and Hedging" |
| Matos, da Costa, Filho | "Forward-Premium Puzzle: Is It Time to Abandon the Usual" |
| Galvão da Cunha, Curto, Judge | "THE VALUE EFFECTS OF FOREIGN CURRENCY AND INTEREST RATE DERIVATIVES USE: EVIDENCE FROM ITALY, SPAIN " |
| Gawronska Nowak, Grabowski | "Using genetic algorithm in dynamic model of speculative attack" |
| Faias, Santa-Clara | "Optimal Option Portfolio Strategies" |
| Gaaspar | "Implied Volatility and Forward Price Term Strutures" |
| Callado Muñoz, Utrero González | "Risk and Business-Owning Families" |
| Dorn | "Dynamic Volatility Arbitrage - The advents of long/short trading strategies with dynamic participati" |
| Gaspar, Gaminha, Oliveira | "LIBOR Convexity Adjustments for the Vasicek and CIR models" |
| Mohd Taib, Di Iorio, Hallahan | "Cross-market Information Transfer: Do Announcements of Corporate Bond Rating Revisions Contain News " |
| Mohd Taib, Di Iorio, Hallahan | "Corporate Bond Rating Changes and Their Impact on Stock Prices:" |
| Plaksen | "The Value of your Advisor’s Advice: An M&A Perspective" |
| Plaksen, von der Crone | "The Value of Dual-Class Shares in Switzerland" |
| Larguinho, Dias, Braumann | "Speed and Accuracy Comparison of Noncentral Chi-Squared Distribution Methods for Option Pricing and " |
| Mitchell, Cowling, Spong | "The Cost of Financial Services Regulation in Australia: An Exploratory Investigation" |
| Cerqueira Leal, Rocha Armada | "Individual Investors’ Additional Purchase and Repurchase of Stocks Previously sold" |
| Ferreira, Massa, Matos | "Dividend Clienteles Around the World: Evidence from Institutional Holdings" |
| Sousa | "Why do Private Equity firms sell to each others?" |
| Lindblom, Sandahl, Sjögren | "Financial decisions in large Swedish firms – an analysis of capital structure theories" |
| Sousa | "Do PE funds leave performance gains on the table?" |
| Mathias, Lin-Sya | "MANAGING GROWTH RISK: Lessons from the current crisis" |
| Colla, Ippolito, Wagner | "Borrowing in Buyouts: The Role of Collateral" |
| Kryzanowski, Zhang | "CORPORATE EVENT RISK: CANADIAN FINANCIAL RESTATEMENTS" |
| Shalit | "Portfolio Risk Management Using the Lorenz Curve" |
| Dockendorf, Paxson | "Sequential Real Rainbow Options" |
| Febra, Serra | "Liquidity and returns of international cross-listed stocks" |
| Jõeveer | "External finance, capital structure and the euro introduction" |
| Batten, Jacoby, Liao | "Yield Spreads and Real Interest Rates" |
| Batten, Szilagyi | "The Recent Internationalisation of Japanese Banks" |
| Batten, Szilagyi | "More than 100-years of Long Term Dependence in the Dow Jones Index" |
| Batten, Chan, Chung | "Covered Interest Parity in the Yen Forward Market: New Insights from Threshold Non-Linear Dynamics" |
| Bertocchi, Brunetti, Torricelli | "Marriage and Other Risky Assets: A Portfolio Approach" |
| Protopapadakis, Cialenco | "DO TECHNICAL TRADING PROFITS REMAIN IN THE FOREIGN EXCHANGE MARKET?" |
| Bianchi | "Rare Events, Financial Crises, and the Cross-Section of Asset Returns" |
| Loureiro, Makhija | "Why Do Some CEOs Work for a One Dollar Salary?" |
| Ilut | "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle" |
| Yilmaz | "The Exchange Rate: A Shock Absorber or Source of Shocks in Turkey?" |
| Ratnovski, Huang | "Why Are Canadian Bank More Resilient?" |
| Mason, Higgins, Mordel | "The Information Content of Asset-Backed Securities Downgrades and the Motivation Behind them" |
| Pimentel, Azevedo-Pereira, Couto | "High Speed Rail Transport Valuation and Policy Decisions" |
| HUBLER, LOUARGANT, RAIMBOURG | "Do rating agencies decisions impact stocks risk? Evidences from European markets" |
| Novak | "On measures of financial risk" |
| KARATHANASOPOULOS, DUNIS, LAWS | "MODELLING AND TRADING THE GREEK STOCK MARKET WITH MIXED NEURAL NETWORK MODELS" |
| Otero, Milagros, Sara | "VALUE CREATION THROUGH CURRENCY HEDGING" |
| Fernandes, Gama, Vieira | "Does sentiment matter for stock market returns? Evidence from a small European market" |
| Janssen | "Portfolio Optimisation with a Value at Risk Constraint in the Presence of Unhedgeable Risks" |
| Serrasqueiro, Nunes, Silva | "Is the Capital Structure of Family-Owned SMEs Different?" |
| Pimentel, Couto, Nunes | "High Speed Rail Transport Valuation and Conjuncture Shocks" |
:: Important Dates
March 2010
12
12
Deadline for submission
May 2010
07
07
Author's notification
May 2010
21
21
Deadline for early registration fee
May 2010
28
28
Deadline for late registration
July 2010
1to3
1to3
PFN 2010 conference
Conference Email: pfn2010@uac.pt
Organizing Committee:
Chair : Gualter Couto (UAÇ)Co-Chair : Pedro Pimentel (UAÇ)
Co-Chair : Mário Fortuna (UAÇ)
Financed by:
