:: Conference Program
| Venue: Scientific Complex | |||||||||
| PROGRAM TIMETABLE | |||||||||
| Thursday, July 1, 2010 | |||||||||
| 8:30 10:00 - Registration | Scientific Complex | ||||||||
| 10:00 10:30 - Opening Session | Scientific Complex | ||||||||
| 10:30 12:15 - Plenary Session | Scientific Complex | ||||||||
| 12:30 14:00 Lunch | University Garden | ||||||||
| 14:00 15:45 Presentations (6 Parallell Sessions) | Sessions 2 -7 | ||||||||
| 15:45 16:15 Coffee-Break | Scientific Complex | ||||||||
| 16:15 18:00 Presentations (6 Parallell Sessions) | Sessions 8-13 | ||||||||
| 19:00 20:00 Opening Cocktail | City Hall | ||||||||
| Friday, July 2, 2010 | |||||||||
| 8:30 10:15 - Presentations (6 Parallell Sessions) | Sessions 14-19 | ||||||||
| 10:15 10:30 - Coffee-Break | Scientific Complex | ||||||||
| 10:30 12:15 - Presentations (6 Parallell Sessions) | Sessions 20-25 | ||||||||
| 12:30 14:00 Lunch | University Garden | ||||||||
| 14:00 15:45 Presentations (6 Parallell Sessions) | Sessions 26-31 | ||||||||
| 15:45 16:15 Coffee-Break | Scientific Complex | ||||||||
| 16:15 18:00 Presentations (6 Parallell Sessions) | Sessions 32-37 | ||||||||
| 18:15 19:00 Special Session | Scientific Complex | ||||||||
| 20:00 23:30 Gala Dinner | Coliseu Micaelense | ||||||||
| Saturday, July 3, 2010 | |||||||||
| 8:30 10:15 - Presentations (7 Parallell Sessions) | Sessions 38-44 | ||||||||
| 10:15 10:30 - Coffee-Break | Scientific Complex | ||||||||
| 10:30 17:00 Social Program | University Campus | ||||||||
| Venue: Scientifc Complex | |||
| PROGRAM SESSIONS | |||
| THURSDAY 1 July 08:30 - 19:00 | |||
| 08:30 - 10:30 Reception (Scientific Complex) | |||
| 10:00 - 10:30 Opening Session (Anf. I) | |||
| 10:30 - 12:15 Plenary Session 1 - Financial Markets Regulation | Anf. I | ||
| Session Chair: Manuel José Rocha Armada | |||
| Paper ID | Title | Presenter | Discussant |
| 88 | Bank Regulation and Risk Management: An Assessment of the Basel Market Risk Framework | Gordon Alexander | João Santos |
| Gordon J. Alexander (University of Minnesota), Alexandre M. Baptista (The George Washington University), Shu Yan (University of South Carolina) | |||
| 35 | Bank Capital, Borrower Power, and Loan Rates | João Santos | Ana Lacerda |
| Joao Santos (Federal Reserve Bank of New York), Andy Winton (University of Minnesota) | |||
| 196 | Credit Risk and Capital Requirements under Basel II | Ana Lacerda | Gordon Alexander |
| Ana Lacerda (Banco de Portugal), Paula Antão (Banco de Portugal) | |||
| 12:30 - 14:00 Lunch at the University Garden | |||
| 14:00 - 15:45 (Sessions: 2, 3, 4, 5, 6, 7) | |||
| 14:00 - 15:45 Session 2 - Asset-Pricing | Room V | ||
| Session Chair: Christian Westheide | |||
| Paper ID | Title | Presenter | Discussant |
| 89 | The Fractional Volatility Model: No-Arbitrage and Risk Measures | Rui Vilela Mendes | Gonçalo Faria |
| Rui Vilela Mendes (Centro de Matemática e Aplicações Fundamentais) | |||
| 188 | The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices | Gonçalo Faria | Tony Berrada |
| Gonçalo Faria (Faculdade de Economia da Universidade do Porto), João Correia-da-Silva (CEF.UP and Faculdade de Economia da Universidade do Porto) | |||
| 177 | Incomplete Information, Idiosyncratic Volatility and Stock Returns | Tony Berrada | Rui Vilela Mendes |
| Tony Berrada (University of Geneva), Julien Hugonnier (EPFL) | |||
| 14:00 - 15:45 Session 3 - Bankruptcy & Financial Distress I | Room VI | ||
| Session Chair: Ana Lacerda | |||
| Paper ID | Title | Presenter | Discussant |
| 183 | What Happens after Default? Stylized Facts on Access to Credit | Diana Bonfim | Katrin Gottschalk |
| Diana Bonfim (Banco de Portugal), Daniel Dias (Anderson Graduate School of Management, UCLA and CEMAPRE.), Christine Richmond (Anderson Graduate School of Management, UCLA) | |||
| 141 | The Timeliness of CDS Spread Changes in Predicting Corporate Default, 2004-2008 | Katrin Gottschalk | Luis Rodrigues |
| Katrin Gottschalk (Auckland University of Technology), Paddy Walker (PricewaterhouseCoopers) | |||
| 32 | The Costs of SME’s Financial Distress across Europe | Luis Rodrigues | Diana Bonfim |
| Luis Rodrigues (CEFAGE-UE), Kevin Keasey (Leeds University Business School), Julio Pindado (Universidade de Salamanca) | |||
| 14:00 - 15:45 Session 4 - Behaviour Finance | Room VII | ||
| Session Chair: José Soares da Fonseca | |||
| Paper ID | Title | Presenter | Discussant |
| 259 | Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market | Carla Fernandes | Cristiana Cerqueira Leal |
| Carla Fernandes (University of Aveiro), Paulo Gama (University of Coimbra/ISR-Coimbra), Elisabete Vieira (University of Aveiro/GOVCOPP) | |||
| 216 | Individual Investors’ Additional Purchase and Repurchase of Stocks Previously Sold | Cristiana Cerqueira Leal | José Luis Sarto |
| Cristiana Cerqueira Leal (Universidade do Minho), Manuel Rocha Armada (Universidade do Minho) | |||
| 150 | What Determines Investors' Purchases and Redemptions? | José Luis Sarto | Carla Fernandes |
| Laura Andreu (Universidad de Zaragoza), Noemí Díez (Universidad de Zaragoza), Cristina Ortiz (Universidad de Zaragoza), José Luis Sarto (Universidad de Zaragoza) | |||
| 14:00 - 15:45 Session 5 - Capital Structure & Cost of Capital I | Room VIII | ||
| Session Chair: Maria do Ceu Cortez | |||
| Paper ID | Title | Presenter | Discussant |
| 219 | Financial Decisions in Large Swedish Firms – An Analysis of Capital Structure Theories | Stefan Sjörgen | Evgeny Plaksen |
| Ted Lindblom (School of Business, Economics and Law, University of Gothenburg), Gert Sandahl (School of Business, Economics and Law, University of Gothenburg), Stefan Sjögren (School of Business, Economics and Law, University of Gothenburg) | |||
| 213 | The Value of Dual-Class Shares in Switzerland | Evgeny Plaksen | Eilnaz Kashefi Pour |
| Evgeny Plaksen (Swiss Finance Institute, Zurich), Hans Caspar von der Crone (Chair for Private and Business Law, University of Zurich) | |||
| 147 | The Determinants of Capital Structure across Firms’ Sizes: The U.K Main and AIM Markets Evidence | Eilnaz Kashefi Pour | Stefan Sjörgen |
| Eilnaz Kashefi-Pour (Cass Business School, City University London), Meziane Lasfer (Cass Business School, City University London), Maria Carapeto (Cass Business School, City University London) | |||
| 14:00 - 15:45 Session 6 - Corporate Governance - Performance I | Anf. II | ||
| Session Chair: Peter Szilagyi | |||
| Paper ID | Title | Presenter | Discussant |
| 130 | Are Strong Executives Good for Innovative Activity | Matthew O'Connor | Duarte Trigueiros |
| Matthew Rafferty (Quinnipiac University), Matthew O'Connor (Quinnipiac University) | |||
| 121 | Secondary State Ownership and Corporate Performance of China's Privatized Companies | Duarte Trigueiros | Seksak Jumreornvong |
| Anna Vong (University of Macau), Duarte Trigueiros (University of Algarve) | |||
| 74 | The Impact of Institution Ownership Type on Firm Performance- Evidence from Thailand | Seksak Jumreornvong | Matthew O'Connor |
| Chutimon Chaowarat (Thai Life Insurance, Bangkok, Thailand), Seksak Jumreornvong (Faculty of Commerce and Accountancy, Thammasat University, Bangkok, Thailan) | |||
| 14:00 - 15:45 Session 7 - Portfolio Management & Asset Allocation I | Anf. III | ||
| Session Chair: Javier Estrada | |||
| Paper ID | Title | Presenter | Discussant |
| 202 | Optimal Option Portfolio Strategies | José Faias | Mika Vaihekoski |
| José Faias (Universidade Nova de Lisboa), Pedro Santa-Clara (Universidade Nova de Economia and NBER) | |||
| 153 | Profitability of Pairs Trading Strategy in Finland | Mika Vaihekoski | Sofia Ramos |
| John Broussard (School of Business – Camden, Rutgers, the State University of New Jersey), Mika Vaihekoski (Turku School of Economics) | |||
| 30 | Asymmetric Effects of Oil Price Fluctuations in International Stock Markets | Sofia Ramos | Gyorgy Varga |
| Sofia Ramos (ISCTE -Lisbon University Institute), Helena Veiga (U. Carlos III Madrid) | |||
| 15:45 - 16:15 COFFEE-BREAK at the Scientific Complex Hall | |||
| 16:15 - 18:00 (Sessions: 8, 9, 10, 11, 12, 13) | |||
| 16:15 - 18:00 Session 8 - Portfolio Performance Evaluation | Room V | ||
| Session Chair: Pedro Godinho | |||
| Paper ID | Title | Presenter | Discussant |
| 58 | Investment Style Performance of UK Unit Trusts | Davis Brookfield | Florinda Silva |
| David Brookfield (University of Liverpool), Ken Bangassa (University of Liverpool), Chen Su (University of Liverpool) | |||
| 83 | Does the Use of Downside Risk-Adjusted Measures Impact Performance Rankings of UK Investment Trusts? | Florinda Silva | José Faias |
| Chris Adcock (University of Sheffield), Nelson Areal (University of Minho), Manuel Armada (University of Minho), Maria do Céu Cortez (University of Minho), Benilde Oliveira (University of Minho), Florinda Silva (University of Minho) | |||
| 75 | Investing in Mutual Funds: Does it Pay to be a Sinner or a Saint? | Maria do Céu Cortez | Davis Brookfield |
| Nelson Areal (University of Minho), Maria Cortez (University of Minho), Florinda Silva (University of Minho) | |||
| 16:15 - 18:00 Session 9 - Real Options I | Room VI | ||
| Session Chair: Cláudia Nunes | |||
| Paper ID | Title | Presenter | Discussant |
| 154 | R&D Investment and Technology Adoption | Kuno Huisman | Stefan Hirth |
| Verena Hagspiel (CentER, Department of Econometrics and Operations Research, Tilburg Univers), Kuno Huisman (CentER, Department of Econometrics and Operations Research, Tilburg Univers), Claudia Nunes (Department of Mathematics and CEMAT, Instituto Superior Tecnico, Portugal) | |||
| 159 | The Non-Monotonic Effect of Financing Constraints on Investment Timing | Stefan Hirth | David Roubaud |
| Stefan Hirth (Aarhus University), Marc Viswanatha (LBBW) | |||
| 84 | Real Options under Ambiguity: the Case for Choquet-Brownian Motions | David Roubaud | Kuno Huisman |
| David Roubaud (GREQAM, France), André Lapied (GREQAM, France), Robert Kast (CNRS, LAMETA, France) | |||
| 16:15 - 18:00 Session 10 - Risk Management I | Room VII | ||
| Session Chair: Simon Wolfe | |||
| Paper ID | Title | Presenter | Discussant |
| 18 | Re-Mapping Credit Ratings | Manuel Lingo | Florian Resch |
| Manuel Lingo (Oesterreichische Nationalbank), Alexander Eisl (Vienna University of Economics and Business), Hermann Elendner (Vienna Graduate School of Finance) | |||
| 6 | Pitfalls and Remedies in Testing the Calibration Quality of Rating Systems | Florian Resch | Jérôme Hubler |
| Wolfgang Aussenegg (Vienna University of Technology), Florian Resch (Oesterreichische Nationalbank), Gerhard Winkler (Oesterreichische Nationalbank and Vienna University of Economics and Business) | |||
| 253 | Do Rating Agencies Decisions Impact stocks Risk? Evidences from European Markets | Jérôme Hubler | Manuel Lingo |
| Jérôme Hubler (ISAM-IAE, Cerefige, Université de Nancy II), Christine LOUARGANT (IUT, Cerefige, Université de Metz), Philippe RAIMBOURG (Prism, Université de Paris 1, ESCP-Europe), Jean-Noel ORY (CEU, Cerefige, Université de Nancy II) | |||
| 16:15 - 18:00 Session 11 - Market Efficiency & Anomalies | Room VIII | ||
| Session Chair: Cristina Ortiz | |||
| Paper ID | Title | Presenter | Discussant |
| 149 | The Role of Individual and Institutional Investors in Spanish Stock Returns | Cristina Ortiz | Maria Rosa Borges |
| Cristina Ortiz (Universidad de Zaragoza), Gloria Ramírez (Universidad de Zaragoza), Luis Vicente (Universidad de Zaragoza) | |||
| 132 | Calendar Effects in Stock Markets: Critique of Previous Methodologies And Recent Evidence in Europea | Maria Rosa Borges | Amrit Judge |
| Maria Rosa Borges (UECE (Research Unit on Complexity and Economics), ISEG (School of Economics) | |||
| 77 | Fundamental Values and their Relationship with Equity Market Movements | Amrit Judge | Cristina Ortiz |
| Cesario Mateus (University of Greenwich Business School), Fatma Youseman (University of Greenwich Business School) | |||
| 16:15 - 18:00 Session 12 - Mutual Funds & Other Institutional Investors I | Anf. II | ||
| Session Chair: Wolfgang Bessler | |||
| Paper ID | Title | Presenter | Discussant |
| 168 | Why does Mutual Fund Performance not Persist? The Impact and Interaction of Fund Flows and Manager Changes | Wolfgang Bessler | Joao Pereira |
| Wolfgang Bessler (Justus-Liebig-University Giessen), David Blake (Cass Business School), Peter Lückoff (Justus-Liebig-University Giessen), Ian Tonks (University of Exeter Business School) | |||
| 116 | Do Foreigners Know Better? A Comparison of the Performance of Local and Foreign Mutual Fund Managers | Joao Pereira | Ghulame Rubbaniy |
| Miguel Ferreira (Universidade Nova de Lisboa), Pedro Matos (University of Southern California), Joao Pereira (ISCTE-IUL Business School) | |||
| 81 | Home Bias and Dutch Pension Funds’ Investment Behaviour | Ghulame Rubbaniy | Wolfgang Bessler |
| Ghulame Rubbaniy (Erasmus University Rotterdam), Willem Verschoor (Erasmus University Rotterdam), Iman Lelyveld (Erasmus University Rotterdam and De Nederlandsche Bank) | |||
| 16:15 - 18:00 Session 13 - Financial Crisis | Anf. III | ||
| Session Chair: Shann Turnbull | |||
| Paper ID | Title | Presenter | Discussant |
| 114 | The role of the Financial Audit Activity in the Financial Crisis Matter | Ioan Tara | Shann Turnbull |
| Ioan Tara (University of Oradea, Roumania) | |||
| 108 | Analysis of Risk and its Amelioration in Financial Firms “Too Big to Fail” | Shann Turnbull | Carmen Carrascal |
| Shann Turnbull (International Institute for Self-governance), Michael Pirson (Fordham University, New York) | |||
| 57 | Financing Obstacles and Growth: An Analysis for Euro Area Non-Financial Corporations | Carmen Carrascal | Ioan Tara |
| Chiara Coluzzi (University of Rome "Tor Vergata"), Annalisa Ferrando (European Central Bank - DG Economics), Carmen Martinez-Carrascal (Banco de Espana - DG Economics Statistics and Research) | |||
| 19:00 - 20:00 OPENING COCKTAIL AT THE CITY HALL (Transfer at 18:50 at the Vip Hotel) | |||
| FRIDAY 2 July 08:30 - 23:30 | |||
| 08:30 - 10:15 (Sessions: 14, 15, 16, 17, 18, 19) | |||
| 08:30 - 10:15 Session 14 - Capital Structure & Cost Capital II | Room V | ||
| Session Chair: Paula Antão | |||
| Paper ID | Title | Presenter | Discussant |
| 193 | The Dynamics of Capital Structure Decisions | Paula Antão | Jan Bartholdy |
| Paula Antão (Banco de Portugal and Nova), Diana Bonfim (Banco de Portugal) | |||
| 143 | Do SME's follow Pecking Order Financing | Jan Bartholdy | Paolo Colla |
| Jan Bartholdy (Aarhus University, Aarhus School of Business), Cesario Mateus Mateus (Greenwich University), Dennis Olson (American University of Sharjah) | |||
| 7 | Debt Structure and Debt Specialization | Paolo Colla | Paula Antão |
| Paolo Colla (Bocconi University) | |||
| 08:30 - 10:15 Session 15 - Interest Rates & Term Structure | Room VI | ||
| Session Chair: Gordon Roberts | |||
| Paper ID | Title | Presenter | Discussant |
| 209 | LIBOR Convexity Adjustments for the Vasicek and CIR models | Raquel M. Gaspar | Gordon Roberts |
| Raquel Gaspar (ISEG, Technical University of Lisbon), Bruno Gaminha (FCT, Coimbra University), Orlando Oliveira (FCT, Coimbra University) | |||
| 79 | The Performance of Deterministic and Stochastic of Interest Rate Risk Measures | Luís Oliveira | Raquel M. Gaspar |
| João Nunes (ISCTE Business School), Luís Malcato (ISCTE Business School/APS), Luís Oliveira (ISCTE Business School) | |||
| 28 | Does the Secondary Loan Market Reduce Borrowing Costs? | Gordon Roberts | Luís Oliveira |
| Mark Kamstra (York University), Gordon Roberts (York University), Pei Shao (University of Northern British Columbia) | |||
| 08:30 - 10:15 Session 16 - Market Microstructure & Methodological Issues | Room VII | ||
| Session Chair: Björn Hagströmer | |||
| Paper ID | Title | Presenter | Discussant |
| 157 | Systematic Liquidity Measurement | Björn Hagströmer | Silvio John Camilleri |
| Björn Hagströmer (Stockholm University), Richard G. Anderson (Federal Reserve Bank of St Louis), Jane M. Binner (Aston University), Birger Nilsson (Lund University) | |||
| 4 | The Relation between Call Auctions and Securities Markets Volatility: Evidence from the National Stock Exchange of India | Silvio John Camilleri | Yusho Kagraoka |
| Silvio John Camilleri (University of Malta), Christopher Green (Loughborough University) | |||
| 135 | New Mechanism of Market Price Observation: Liquidity and Leptokurtic Return Distributions | Yusho Kagraoka | Björn Hagströmer |
| Yusho Kagraoka (Musashi University) | |||
| 08:30 - 10:15 Session 17 - Portfolio Management & Asset Allocation II | Room VIII | ||
| Session Chair: Michiel Janssen | |||
| Paper ID | Title | Presenter | Discussant |
| 261 | Portfolio Optimisation with a Value at Risk Constraint in the Presence of Unhedgeable Risks | Michiel Janssen | Artur Rodrigues |
| Michiel Janssen (University of Amsterdam, Eureko and Netspar) | |||
| 138 | The Dynamics of EMU Stock Market Cycles Before and After the Euro | Sofia Ramos | Cláudia Ribeiro |
| Sofia Ramos (ISCTE -Lisbon University Institute), Jose Dias (ISCTE -Lisbon University Institute) | |||
| 106 | Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility | Cláudia Ribeiro | Michiel Janssen |
| Gonçalo Faria (FEP), João Correia-da-Silva (Faculdade de Economia da Universidade do Porto e CEF.UP), Claudia Ribeiro Ribeiro (Faculdade de Economia da Universidade do Porto e CEF.UP) | |||
| 08:30 - 10:15 Session 18 - Risk Management II | Anf. II | ||
| Session Chair: Dr. S. Y. Novak | |||
| Paper ID | Title | Presenter | Discussant |
| 231 | Portfolio Risk Management Using the Lorenz Curve | Haim Shalit | Sameer Rege |
| Haim Shalit (Ben Gurion University) | |||
| 91 | Comparing the Generalised Hyperbolic to the Normal Inverse Gaussian Distribution for the Daily Retur | Sameer Rege | Dr S.Y.Novak |
| Sameer Rege (University of the Azores), António Gomes de Menezes (University of the Azores) | |||
| 256 | On Measures of Financial Risk | Dr S.Y.Novak | Haim Shalit |
| Serguei Novak (Middlesex University Business School) | |||
| 08:30 - 10:15 Session 19 - Options, Futures & Forwards | Anf. III | ||
| Session Chair: José Carlos Dias | |||
| Paper ID | Title | Presenter | Discussant |
| 214 | Speed and Accuracy Comparison of Noncentral Chi-Squared Distribution Methods for Option Pricing and Hedging | José Carlos Dias | Francisco Javier Poblacion García |
| Manuela Larguinho (Department of Mathematics, ISCAC), José Carlos Dias (Department of Finance, ISCAC), Carlos A. Braumann (Universidade de Évora) | |||
| 144 | Hedging Refinning Margin With Crack Spread Options: A Common Long-Term Trend Model For Crude Oil | Francisco Javier Poblacion García | Nelson Areal |
| Andrés García Mirantes (IES Juan del Enzina), Francisco Javier Población García (Banco de España), Gregorio Manuel Serna Calvo (Universidad de Castilla la Mancha) | |||
| 119 | Discrete Dividends and the FTSE-100 Index Option Valuation | Nelson Areal | José Carlos Dias |
| Nelson Areal (University of Minho), Artur Rodrigues (University of Minho) | |||
| 10:15 - 10:30 COFFEE-BREAK at the Scientific Complex Hall | |||
| 10:30 - 12:15 (Sessions: 20, 21, 22, 23, 24, 25) | |||
| 10:30 - 12:15 Session 20 - Real Options II | Room V | ||
| Session Chair: Kuno Huisman | |||
| Paper ID | Title | Presenter | Discussant |
| 264 | High Speed Rail Transport Valuation and Conjuncture Shocks | Cláudia Nunes | Kuno Huisman |
| Pedro Pimentel (Universidade dos Açores), Gualter Couto (Universidade dos Açores), Cláudia Nunes (IST and CEMAT) | |||
| 252 | High Speed Rail Transport Valuation and Policy Decisions | Pedro Miguel Pimentel | Verena Hagspiel |
| Pedro Pimentel (University of the Azores), José Azevedo-Pereira (Technical University of Lisbon), Gualter Couto (University of the Azores) | |||
| 151 | Production Flexibility and Investment under Uncertainty | Verena Hagspiel | Cláudia Nunes |
| Verena Hagspiel (Tilburg University), Kuno J.M. Huisman (Tilburg University, Centre for Quantitative Methods CQM B.V.), Peter M. Kort (Tilburg University, University of Antwerp) | |||
| 10:30 - 12:15 Session 21 - Corporate Governance - Investors | Room VI | ||
| Session Chair: Benjamin Maury | |||
| Paper ID | Title | Presenter | Discussant |
| 163 | External Shareholders: Incentives and Returns | Benjamin Maury | Xiaoxiang Zhang |
| Anders Ekholm (Hanken School of Economics), Benjamin Maury (Hanken School of Economics) | |||
| 111 | The Role of Controlling Families and Institutional Blockholders in Corporate Governance: Informed Trading in an Emerging Market | Xiaoxiang Zhang | Peter Szilagyi |
| Xiaoxiang Zhang (Newcastle Business School, Northumbria University), Jenifer Piesse (Management Department, King's College London), Igor Filatotchev (Cass Business School, City University London) | |||
| 22 | Shareholder Activism through Proxy Proposals: The European Perspective | Peter Szilagyi | Benjamin Maury |
| Peter Cziraki (Tilburg University), Luc Renneboog (Tilburg University and ECGI), Peter Szilagyi (Judge Business School - University of Cambridge) | |||
| 10:30 - 12:15 Session 22 - Corporate Takeovers & Divestitures I | Room VII | ||
| Session Chair: Miguel Sousa | |||
| Paper ID | Title | Presenter | Discussant |
| 220 | Do PE Funds Leave Performance Gains on the Table? | Miguel Sousa | Evgeny Plaksen |
| Miguel Sousa (Saïd Business School, University of Oxford and Faculdade de Economia do Por) | |||
| 212 | The Value of your Advisor’s Advice: An M&A Perspective | Evgeny Plaksen | Renato Giovannini |
| Evgeny Plaksen (Swiss Finance Institute, Zurich) | |||
| 140 | Voluntary Delisting: An Alternative Value Creation Process? | Renato Giovannini | Miguel Sousa |
| Renato Giovannini (Guglielmo Marconi University, SDA Bocconi), Stefano Caselli (Bocconi University), Vincenzo Capizzi (Eastern Piedmont State University, SDA Bocconi), Valerio Pesic (La Sapienza University) | |||
| 10:30 - 12:15 Session 23 - Portfolio Management & Assets Allocation III | Room VIII | ||
| Session Chair: Gordon Alexander | |||
| Paper ID | Title | Presenter | Discussant |
| 5 | Geometric Mean Maximization: An Overlooked Portfolio Approach? | Javier Estrada | Ana Paula Serra |
| Javier Estrada (IESE Business School) | |||
| 233 | Liquidity and Returns of International Cross-listed Stocks | Ana Paula Serra | Ricardo M. Sousa |
| Lígia Febra (CIGS e Escola Superior de Tecnologia e Gestão do Instituto Politécnico de L), Ana Paula Serra (CEF.UP e Faculdade de Economia da Universidade do Porto) | |||
| 109 | Collateralizable Wealth, Asset Returns and Systemic Risk: International Evidence | Ricardo M. Sousa | Javier Estrada |
| Ricardo Sousa (University of Minho, NIPE, London School of Economics, and FMG) | |||
| 10:30 - 12:15 Session 24 - Market Integration & Efficiency | Anf. II | ||
| Session Chair: Karin Jõeveer | |||
| Paper ID | Title | Presenter | Discussant |
| 42 | Real Effects of Financial Market Integration: Does Lower Home Bias Lead to Welfare Benefits | Crina Pungulescu | Per Bjarte Solibakke |
| Crina Pungulescu (Toulouse Barcelona Business School - ESEC) | |||
| 29 | Stochastic Volatility Models for EEX Base and Peak Load Forward Contracts using GSM | Per Bjarte Solibakke | Ruben Peixinho |
| Per Bjarte Solibakke (Molde University College), Sjur Westgaard (Sør-Trøndelag University College) | |||
| 125 | Analyst Behaviour and the Announcement of Bad News: The Case of Going-Concern Opinions | Ruben Peixinho | Crina Pungulescu |
| Ruben Peixinho (Universidade do Algarve and CEFAGE-UE), Richard Taffler (Manchester Business School, University of Manchester) | |||
| 10:30 - 12:15 Session 25 - Issues in Monetary & Economic Policy | Anf. III | ||
| Session Chair: José Miguel Cardoso da Costa | |||
| Paper ID | Title | Presenter | Discussant |
| 70 | A Model of Bank Price and Non-Price Competition with Endogenous Expected Loan Losses | Filipa Lima | Hong Liu |
| Filipa Lima (Universidade Nova de Lisboa / Banco de Portugal), Paulo Soares de Pinho (Universidade Nova de Lisboa) | |||
| 50 | The persistence of bank profit - open file | Hong Liu | José Miguel Cardoso da Costa |
| John Goddard (Bangor University), Hong Liu (Bangor University), Phil Molyneux (Bangor University), John Wilson (University of St Andrews) | |||
| 92 | Nominal and Indexed Debt in Euro Area Countries | José Miguel Cardoso da Costa | Filipa Lima |
| José-Miguel Cardoso-Costa (IGCP (Portuguese Treasury and Government Debt Agency)) | |||
| 12:30 - 14:00 LUNCH at the University Garden | |||
| 14:00 - 15:45 (Sessions: 26, 27, 28, 29, 30, 31) | |||
| 14:00 - 15:45 Session 26 - Bankruptcy & Financial Distress II | Room V | ||
| Session Chair: Manuel Lingo | |||
| Paper ID | Title | Presenter | Discussant |
| 197 | The Asymmetric Behaviour of Credit Risk | Ana Lacerda | Philippe du Jardin |
| Ana Lacerda (Banco de Portugal), Paulo Rodrigues (Banco de Portugal) | |||
| 55 | Dynamic Analysis of the Business Failure Process: a Study of Bankruptcy Trajectories | Philippe du Jardin | Luis Coelho |
| Philippe du Jardin (Edhec Business School), Eric Séverin (Université Lille 1) | |||
| 10 | Who Trades the Stock of Bankrupt Firms? | Luis Coelho | Ana Lacerda |
| Luis Coelho (School of Economics - University of Algarve), Richard Taffler (University of Edinburgh), Kose John (New York University) | |||
| 14:00 - 15:45 Session 27 - Real Options III | Room VI | ||
| Session Chair: Dean Paxson | |||
| Paper ID | Title | Presenter | Discussant |
| 232 | Sequential Real Rainbow Options | Dean Paxson | Artur Rodrigues |
| Jörg Dockendorf (Manchester Business School), Dean Paxson (Manchester Business School) | |||
| 173 | NPV Systems, Flexibility Values and Discount Matrices | Mark Shackleton | Dean Paxson |
| Mark Shackleton (LUMS, UK), Steinar Ekern (NHH, Norway), Sigbjorn Sodal (UiA, Norway) | |||
| 120 | Investment, Exogenous Entry and Expandable Markets Under Uncertainty | Artur Rodrigues | Mark Shackleton |
| Paulo Pereira (University of Porto), Artur Rodrigues (University of Minho) | |||
| 14:00 - 15:45 Session 28 - Capital Structure & Cost Capital III | Room VII | ||
| Session Chair: Ana Paula Serra | |||
| Paper ID | Title | Presenter | Discussant |
| 235 | External Finance, Capital Structure and the Euro Introduction | Karin Jõeveer | Colla Paolo |
| Karin Jõeveer (Queen's University Management School) | |||
| 227 | Borrowing in Buyouts: the Role of Collateral | Colla Paolo | Zélia Serrasqueiro |
| Paolo Colla (Bocconi University), Filippo Ippolito (Bocconi University), Hannes Wagner (Bocconi University) | |||
| 262 | Is the Capital Structure of Family-Owned SMEs Different? | Zélia Serrasqueiro | Karin Jõeveer |
| Zélia Serrasqueiro (Management and Economics Department, Beira Interior University,and CEFAGE- ), Paulo Nunes (Management and Economics Department, Beira Interior University,and CEFAGE- ), Jacinto Silva (Management Department, and CEFAGE, Evora University, Portugal) | |||
| 14:00 - 15:45 Session 29 - Depository Institutions - Management | Room VIII | ||
| Session Chair: João Santos | |||
| Paper ID | Title | Presenter | Discussant |
| 237 | The Recent Internationalisation of Japanese Banks | Jonathan A. Batten | Diana Bonfim |
| Jonathan Batten (Hong Kong University of Science & Technology), Peter Szilagyi (University of Cambridge) | |||
| 161 | Counterfactual Analysis of Bank Mergers | Diana Bonfim | Filipa Lima |
| Pedro P. Barros (Faculdade de Economia, Universidade Nova de Lisboa), Diana Bonfim (Banco de Portugal), Moshe Kim (Universistat Pompeu Fabra), Nuno C. Martins (Barclays Capital) | |||
| 69 | Testing for Competition: the Panzar-Rosse Approach to a Multi-Output Bank and the Impact of Expected Loan Losses | Filipa Lima | Jonathan A. Batten |
| Filipa Lima (Universidade Nova de Lisboa / Banco de Portugal), Paulo Soares de Pinho (Universidade Nova de Lisboa) | |||
| 14:00 - 15:45 Session 30 - Portfolio Managemnt & Assets Allocation IV | Anf. II | ||
| Session Chair: Nico Singer | |||
| Paper ID | Title | Presenter | Discussant |
| 148 | Portfolios in Disguise? Window Dressing in Bond Fund Holdings | Luis Vicente | Luis Goncalves-Pinto |
| Luis Vicente (Universidad de Zaragoza), Cristina Ortiz (Universidad de Zaragoza), José Luis Sarto (Universidad de Zaragoza) | |||
| 133 | The Value of Cross-Trading to Mutual Fund Families in Illiquid Markets: A Portfolio Choice Approach | Luis Goncalves-Pinto | Nico Singer |
| Luis Goncalves-Pinto (USC Marshall School of Business), Juan Sotes-Paladino (USC Marshall School of Business) | |||
| 96 | Safety-First Portfolio Optimization: Fixed versus Random Target | Nico Singer | Luis Vicente |
| Nico Singer (University of Rostock, Department of Economics, Ulmenstr. 69, 18051 Rostock) | |||
| 14:00 - 15:45 Session 31 - Corporate Governance - Performance II | Anf. III | ||
| Session Chair: Manuel Vasconcelos | |||
| Paper ID | Title | Presenter | Discussant |
| 179 | Relationship Banking, Governance and SME’s Performance: The Portuguese Evidence | António Pedro Martins Pinto | Gilberto Loureiro |
| António Pinto (Instituto Politécnico de Viseu), Mário Augusto (Faculdade de Economia da Universidade de Coimbra and Instituto de Sistemas ), Paulo Gama (Faculdade de Economia da Universidade de Coimbra and Instituto de Sistemas ) | |||
| 247 | Why Do Some CEOs Work for a One Dollar Salary? | Gilberto Loureiro | Manuel Vasconcelos |
| Gilberto Loureiro (University of Minho), Anil Makhija (Ohio State University) | |||
| 33 | Synergy Disclosures in Mergers and Acquisitions | Manuel Vasconcelos | António Pedro Martins Pinto |
| Marie Dutordoir (Manchester Business School), Peter Roosenboom (Rotterdam School of Management - Erasmus University), Manuel Vasconcelos (Rotterdam School of Management - Erasmus University) | |||
| 15:45 - 16:15 COFFEE-BREAK at the Scientific Complex Hall | |||
| 16:15 - 18:00 (Sessions: 32, 33, 34, 35, 36, 37) | |||
| 16:15 - 18:00 Session 32 - Project Selection & Measuring & Managing Firm Value | Room V | ||
| Session Chair: Stefan Hirth | |||
| Paper ID | Title | Presenter | Discussant |
| 258 | Value Creation Through Currency Hedging | Luis Otero | João C. A. Teixeira |
| Luis Otero (University of Santiago of Compostela (Spain)), Vivel Milagros (University of Santiago), Fernández Sara (University of Santiago), Durán Pablo (University of Santiago) | |||
| 56 | The Dynamics of Outsourcing and Integration | João C. A. Teixeira | Stefan Hirth |
| Bart M. Lambrecht (Lancaster University Management School), Grzegorz Pawlina (Lancaster University Management School), João C. A. Teixeira (Universidade dos Açores) | |||
| 139 | Asset Liquidity, Corporate Investment, and Endogenous Financing Costs | Stefan Hirth | Luis Otero |
| Christian Riis Flor (University of Southern Denmark), Stefan Hirth (Aarhus University) | |||
| 16:15 - 18:00 Session 33 - Currency Markets & Exchange Rates I | Room VI | ||
| Session Chair: Jonathan Batten | |||
| Paper ID | Title | Presenter | Discussant |
| 245 | Do Technical Trading Profits Remain in the Foreign Exchange Market? | Aris Protopapadakis | Jonathan Batten |
| Aris Protopapadakis (University of Southern California Marshall School), Igor Cialenco (Illinois Institute of Technology) | |||
| 242 | Covered Interest Parity in the Yen Forward Market: New Insights from Threshold Non-Linear Dynamics | Jonathan Batten | Bogna Gawronska Nowak |
| Jonathan Batten (Hong Kong University of Science & Technology), Wai-Sum Chan (Chinese University of Hong Kong), Hon-Lun Chung (Hong Kong Polytechnic University), Peter Szilagyi (University of Cambridge) | |||
| 201 | Using Genetic Algorithm in Dynamic Model of Speculative Attack | Bogna Gawronska Nowak | Aris Protopapadakis |
| Bogna Gawronska Nowak (Lazarski University), Wojciech Grabowski (University of Lodz) | |||
| 16:15 - 18:00 Session 34 - Financial Engineering & Other Derivatives | Room VII | ||
| Session Chair: Jochen Dorn | |||
| Paper ID | Title | Presenter | Discussant |
| 207 | Dynamic Volatility Arbitrage - The advents of Long/Short Trading Strategies with Dynamic Participation | Jochen Dorn | Raquel M. Gaspar |
| Jochen Dorn (ASB, Aarhus University) | |||
| 203 | Implied Volatility and Forward Price Term Strutures | Raquel M. Gaspar | Andreas Karathanasopoulos |
| Raquel Gaaspar (ISEG, Technical University of Lisbon) | |||
| 257 | Modelling and Trading the Greek Stock Market with Mixed Neural Network Models | Andreas Karathanasopoulos | Jochen Dorn |
| Andreas Karathanasopoulos (PhD in John Moore's Liverpool University), Christian Dunis (Professor of Banking and Finance at Liverpool Business School), Jason Laws (Reader of Finance at Liverpool Business School) | |||
| 16:15 - 18:00 Session 35 - Corporate Governance - General I | Room VIII | ||
| Session Chair: João Duque | |||
| Paper ID | Title | Presenter | Discussant |
| 164 | Idiosyncratic Volatility and the Timing of Corporate Insider Trading | Christian Westheide | Beatriz Mariano |
| Christian Westheide (University of Bonn), Jasmin Gider (University of Bonn) | |||
| 128 | Debt Covenants and Corporate Investment | Beatriz Mariano | Luis Coelho |
| Beatriz Mariano (University Carlos III of Madrid), Josep Tribo (University Carlos III of Madrid) | |||
| 11 | When is Bad News Really Good News? The Case of Strategic vs. Non-Strategic Bankruptcies | Luis Coelho | Christian Westheide |
| Luis Coelho (School of Economics - University of Algarve), Richard Taffler (University of Edinburgh) | |||
| 16:15 - 18:00 Session 36 - Capital Structure & Cost of Capital IV | Anf. II | ||
| Session Chair: Amrit Judge | |||
| Paper ID | Title | Presenter | Discussant |
| 165 | The Number of Bank Relationships, Borrowing Costs and Bank Competition | Qinglei Dai | Amrit Judge |
| Qinglei Dai (Faculdade de Economia, Universidade Nova de Lisboa), Diana Bonfim (Banco de Portugal and ISEG-UTL), Francesco Franco (Faculdade de Economia, Universidade Nova de Lisboa) | |||
| 76 | The Effects of Access to Public Debt Markets on Capital Structure | Amrit Judge | Sridhar Arcot |
| Cesario Mateus (University of Greenwich Business School), Amrit Judge (Middlesex University) | |||
| 152 | Participating Convertible Preferred Stock in Venture Capital Exits | Sridhar Arcot | Qinglei Dai |
| Sridhar Arcot (ESSEC Business School) | |||
| 16:15 - 18:00 Session 37 - Capital Structure & Cost of Capital V | Anf. III | ||
| Session Chair: Miguel Ferreira | |||
| Paper ID | Title | Presenter | Discussant |
| 142 | Estimating Structural Models of Corporate Debt and Equity | Max Bruche | Peter Szilagyi |
| Max Bruche (CEMFI) | |||
| 21 | Shareholder Activism through the Proxy Process | Peter Szilagyi | Miguel Ferreira |
| Luc Renneboog (Tilburg University), Peter Szilagyi (Judge Business School - University of Cambridge) | |||
| 217 | Dividend Clienteles Around the World: Evidence from Institutional Holdings | Miguel Ferreira | Max Bruche |
| Miguel Ferreira (Universidade Nova de Lisboa), Massimo Massa (INSEAD), Pedro Matos (University of Southern California) | |||
| 18:15 - 19:00 Special Session - Keynote Speaker Prof. Stewart Myers (MIT): Lecture on “How to Think About Corporate Governance” | Anf. I | ||
| 20:00 - 23:30 GALA DINNER at COLISEU MICAELENSE (Transfer at 19:50 at the Vip Hotel) | |||
| SATURDAY 3 July 08:30 - 17:00 | |||
| 08:30 - 10:15 (Sessions: 38, 39, 40, 41, 42, 43, 44) | |||
| 08:30 - 10:15 Session 38 - Real Options IV | Room V | ||
| Session Chair: Artur Rodrigues | |||
| Paper ID | Title | Presenter | Discussant |
| 118 | Market Segmentation under Uncertainty | Artur Rodrigues | Cristina Peguinho |
| Artur Rodrigues (University of Minho) | |||
| 107 | Reciprocal Energy Switching Options | Dean Paxson | Artur Rodrigues |
| Roger Adkins (University of Salford), Dean Paxson (Manchester Business School) | |||
| 172 | Does the Market Recognise the Value of Firms’ Real Options? | Cristina Peguinho | Dean Paxson |
| Cristina Peguinho (ISCA - University of Aveiro), Natália Canadas (CIGS - Management for Sustainability Research Center) | |||
| 08:30 - 10:15 Session 39 - Risk Mangement III | Room VI | ||
| Session Chair: Mathias Schmit | |||
| Paper ID | Title | Presenter | Discussant |
| 226 | Managing Growth Risk: Lessons from the Current Crisis | Mathias Schmit | Florbela Galvão da Cunha |
| Schmit Mathias (Solvay Brussels School of Economics and Management), Chao Lin-Sya () | |||
| 200 | The Value Effects of Foreign Currency and Interest Rate Derivatives Use: Evidence from Italy, Spain and Portugal | Florbela Galvão da Cunha | Mara Madaleno |
| Florbela Galvão da Cunha (ISCTE Business School, Av. Prof. Aníbal Bettencourt, 1600-189 Lisbon, Portu), José Dias Curto (aISCTE Business School, Av. Prof. Aníbal Bettencourt, 1600-189 Lisbon, Port), Amrit Judge (Middlesex University Business School) | |||
| 198 | German Electricity Spot and Futures Markets: Multiscale Relationships and Hedging | Mara Madaleno | Mathias Schmit |
| Mara Madaleno (Universidade de Aveiro), Carlos Pinho (Universidade de Aveiro) | |||
| 08:30 - 10:15 Session 40 - Corporate Governance - General II | Room VII | ||
| Session Chair: José Filipe Correa Guedes | |||
| Paper ID | Title | Presenter | Discussant |
| 122 | How Governance Impacts the Value of the Brazilian Corporations: Through the Performance, Through the Risk, Directly or Through all of These ? | Valdir de Jesus Lameira | Adeyemi Babalola |
| Valdir Lameira (Institute for Systems Engineering and Computers at Coimbra), Patrícia Silva (Institute for Systems Engineering and Computers at Coimbra), Walter Ness (PUC-Rio) | |||
| 71 | Corporate Governance and Banking Sector Stability: Evidence From Nigeria | Adeyemi Babalola | José Filipe Correa Guedes |
| Adeyemi Babalola (Ajayi Crowther University, Oyo, Nigeria) | |||
| 66 | Bonding Through Auditor Choice in Emerging Markets | José Filipe Correa Guedes | Valdir de Jesus Lameira |
| Jose Guedes (universidade católica portuguesa) | |||
| 08:30 - 10:15 Session 41 - Currency Markets & Exchange Rates II | Room VIII | ||
| Session Chair: Elvira Sojli | |||
| Paper ID | Title | Presenter | Discussant |
| 199 | Forward-Premium Puzzle: Is It Time to Abandon the Usual | Paulo Matos | Pedro Godinho |
| Carlos E. da Costa (Fundação Getulio Vargas), Jaime de Jesus Filho (University of Chicago), Paulo R. Matos (Universidade Federal do Ceará) | |||
| 145 | The Profitability of Technical Analysis in the EUR/USD Currency Pair: Evidence from a Trading System | Pedro Godinho | Elvira Sojli |
| Luís Mendes (Faculdade de Economia da Universidade de Coimbra), Joana Dias (Faculdade de Economia da Universidade de Coimbra and INESC), Pedro Godinho (Faculdade de Economia da Universidade de Coimbra and GEMF) | |||
| 40 | The Impact of Foreign Government Investment: Sovereign Wealth Fund Investments in the U.S. | Elvira Sojli | Paulo Matos |
| Elvira Sojli (Rotterdam School of Management, Erasmus University), Wing Wah Tham (Erasmus School of Economics, Erasmus University) | |||
| 08:30 - 10:15 Session 42 - Mutual Funds & Other Institutional Investors II | Anf. II | ||
| Session Chair: Gyorgy Varga | |||
| Paper ID | Title | Presenter | Discussant |
| 194 | The Growth and Size of the Brazilian Mutual Fund Industry | Gyorgy Varga | Maria do Céu Cortez |
| Gyorgy Varga (FCE Consulting), Maxim Wengert (Quantum) | |||
| 80 | Herd behavior and Trading of Dutch PFs | Ghulame Rubbaniy | Simon Wolfe |
| Ghulame Rubbaniy (Erasmus University Rotterdam), Willem Verschoor (Erasmus University Rotterdam), Iman Lelyveld (Erasmus University Rotterdam & De Nederlandsche Bank) | |||
| 113 | Do Equity Values Embed or Ignore the Issuance of Asset-Backed Securities? | Simon Wolfe | Ghulame Rubbaniy |
| Simon Wolfe (University of Southampton), Ruba Marar (University of Southampton) | |||
| 08:30 - 10:15 Session 43 - Corporate Takeovers & Divestitures II | Anf. III | ||
| Session Chair: Ottorino Morresi | |||
| Paper ID | Title | Presenter | Discussant |
| 218 | Why do Private Equity Firms Sell to Each Others? | Miguel Sousa | Ottorino Morresi |
| Miguel Sousa (Saïd Business School, University of Oxford and Faculdade de Economia do Por) | |||
| 90 | 21 years of international M&As and Joint Ventures by Italian Medium-Sized Listed Firms: Value Creation or Value Destruction? | Ottorino Morresi | Mohamed Firas Thraya |
| Ottorino Morresi (University of Rome III), Alberto Pezzi (University of Rome III) | |||
| 87 | Controlling Shareholders and the Acquisition Premiums Paid in European Takeover Bids | Mohamed Firas Thraya | Miguel Sousa |
| Mohamed Firas Thraya (CERAG GRENOBLE FRANCE), Jens Hagendorff (Leeds University Business School) | |||
| 08:30 - 10:15 Session 44 - Emerging Markets | Anf. IV | ||
| Session Chair: Svitlana Voronkova | |||
| Paper ID | Title | Presenter | Discussant |
| 190 | Size, Value and Liquidity. Do They Really Matter on an Emerging Stock Market? | Svitlana Voronkova | Crina Pungulescu |
| Judith Lischewski (Department of Economics, Westfaelische Wilhelms-University Muenster, German), Svitlana Voronkova (Centre for European Economic Research (ZEW), Mannheim, Germany) | |||
| 41 | Market Size Effects and Integration: Emerging vs. Developed Countries | Crina Pungulescu | Andras Rezessy |
| Peter de Goeij (Tilburg University), Crina Pungulescu (Toulouse Barcelona Business School - ESEC), Frans de Roon (Tilburg University, TIAS NIMBAS Business School) | |||
| 166 | The Impact of Monetary Policy Shocks on the Exchange Rate in Emerging Countries | Andras Rezessy | Svitlana Voronkova |
| Andras Rezessy (European Commission, Joint Research Centre) | |||
| 10:15 - 10:30 COFFEE-BREAK at the Scientific Complex Hall | |||
| 10:30 - 17:00 SOCIAL PROGRAMME | |||
| Day Tour - Whale and Dolphin Watching Experience (Pick-up at the University of the Azores, near the roundabout at 10.30p.m.), and Lunch at Furnas. | |||
:: 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:
