Session 1 Thursday April 20, 9:00-10:00am

Monroe Ballroom/6th floor

Opening Remarks: The United States Economy: The Path Ahead and Implications for Financial Markets

Diane Swonk, SVP/ Chief Economist, Bank One NA

Session 2 Thursday, April 20, 10:15-11:30am

Monroe Ballroom/6th floor

Strategy and Real Options: A Panel Discussion

Moderator: Keith M. Howe, DePaul University

Panelists:

• Adam Borison, Partner, Pricewaterhouse Coopers LLP
• James Cour, President and CEO, Cytomedix
• Gordon Sick, Consultant and Professor of Finance, University of Calgary
• Mazen Skaf, Senior Consultant, Navigant Consulting, Inc.

Session 3 Thursday, April 20, 2:00-3:15pm

DePaul University Room 8207

Portfolios I

Chair: Adam Gehr, DePaul University

• Does Volatility Pay?

Discussant: Adam Gehr, DePaul University

• Portfolio Performance and Agency

Discussant: Thomas Nohel, Loyola University of Chicago

• Economic Tracking Portfolios

Discussant: Robert Bliss, Federal Reserve Bank of Chicago

Session 4 Thursday, April 20, 2:00-3:15pm

DePaul University Room 8005

Currency Markets

Chair: Franklin Allen, Wharton School

• Intraday Technical Trading in the Foreign Exchange Market

Discussant: Franklin Allen, Wharton School

• The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia

Discussant: Christopher.J.Neely, Federal Reserve Bank of Saint Louis

• Macroeconomic News From the U.S. vs. Japan: Which Drives the Intraday Japanese Yen Futures Price?

Discussant: Ted Azarmi, California State University, Long Beach

Session 5 Thursday, April 20, 2:00-3:15pm

DePaul University Room 8002

Issues in Financing

Chair: Abolhassan Jalilvand, Dalhousie University, Canada

• Are There Bank Effects in Borrower Cost of Funds? Evidence From a Matched Sample of Borrowers and Banks.

Discussant: Jacky So, Southern Illinois University-Edwardsville

• The Information Revolution and Small Business Lending. Does Distance Still Matter?

Discussant: Abolhassan Jalilvand, Dalhousie University, Canada

• Financing the Mozal Project

Session 6 Thursday, April 20, 2:00-3:15pm

DePaul University Room 8011

International Accounting Standards and Valuation of Non U.S. Companies

Chair: Belverd E. Needles, DePaul University

• U.S. GAAP versus International Accounting Standards: A Study in Politics and Power

• How Important are the Differences Between U.S. GAAP and International Accounting Standards?

• Maximizing Shareholder Value and Performance Measures of International Companies: What to Look for

Session 7 Thursday, April 20, 2:00-3:15pm

DePaul University Room 8010

The Future of Exchanges: CBOT’s Perspective

Moderator: Joseph Sweeney, CBOT

Computerized Trading

Demutualization

Session 8 Thursday, April 20, 2:00-3:15pm

DePaul University Room 8012

IPOs

Chair: John Houston, DePaul University

• Underpricing, Stock Allocation, Ownership Structure and Post-Listing Liquidity of Newly Listed Firms

Discussant: John Houston, DePaul University

• Long-Run Performance of IPOs in Germany

Discussant: Larry Lonis, Banc One Investment Advisors

• Cross-section Analysis of Closed-End Fund IPOs

Discussant: Paul Harrison, Federal Reserve Board

Session 9 Thursday, April 20, 3:30-4:45pm

DePaul University Room 8014

Portfolios II

Chair: Fred Shipley, DePaul University

• Portfolio Growth

Discussant: Fred Shipley, DePaul University

• Minimum Norm, Minimum Variance Portfolios, and Mean-Variance Portfolio Policies

Discussant: John Bilson, Illinois Institute of Technology

• Legal Restrictions on Portfolio Holdings: Some Analytical and Empirical Results

Discussant: John Binder, University of Illinois, Chicago

Session 10 Thursday, April 20, 3:30-4:45pm

DePaul University Room 8207

Asian Financial Crisis

• Lessons Learned from the Asian Financial Crisis: Causes, Cures and Update

Moderator: Geoffrey A. Hirt, DePaul University

Panelists:

• Joachim Bartels, Sr. VP Global Business Development, Dun and Bradstreet
• Animesh Ghoshal, DePaul University
• Geoffrey A. Hirt, DePaul University

Session 11 Thursday, April 20, 3:30-4:45pm

DePaul University Room 8012

Bank Subordinated Debt: Silver Bullet or Silver Shovel?

Chair: George G. Kaufman, Loyola University, Chicago and Federal Reserve Bank of Chicago

• Market Discipline, Banking Organizations and Subordinated Debt

• Use of Bank Subdebt in Financial Regulation

• Issues in Avoiding Subordinated Debt Discipline

• Do Markets Discipline Banks and Bank Holding Companies? Evidence from Debt Pricing

Discussants: Randall Kroszner, University of Chicago and Federal Reserve Bank of Chicago

George G. Kaufman, Loyola University, Chicago and Federal Reserve Bank of Chicago

Session 12 Thursday, April 20, 3:30-4:45pm

DePaul University Room 8002

Issues in Corporate Finance

Chair: Bartley Danielsen, DePaul University

• "Does Multinationality Matter? Evidence of Value Destruction in Multinational Corporations"

Discussant: Robert DeYoung, Federal Reserve Bank of Chicago

• Are Cash Acquisitions Associated with Better Postcombination Operating Performance than Stock Acquisitions?

Discussant: Joseph Vu, DePaul University

• Corporate Governance of Family-Controlled Publicly Traded Firms: The Case of Taiwanese Listed Firms

Discussant: K.C. Chen, California State University, Fresno

• Does Corporate Governance Affect Restructuring Decisions? Spin-offs vs. Equity Carve-outs

Discussant: Bartley Danielsen, DePaul University

Session 13 Thursday, April 20, 3:30-4:45pm

DePaul University Room 8005

On-line Trading and the Transformation of U.S. Equity Culture

Moderator: Robert Forney, President, The Chicago Stock Exchange

Panelists:

• Jack McDonnell, President and Chief Executive Officer, Ameritrade


• David Heron, Vice President, Listed Equities, Charles Schwab


• Carl Luft, DePaul University

Session 14 Thursday, April 20, 3:30-4:45pm

DePaul University Room 8204

Data Mining in Finance

Chair: Gholamreza Nakhaeizadeh, DaimlerChrysler, Germany

• Data in Mining in Finance - An Overview

• From Data Mining in Finance to Distributed Data Mining

• Detecting Nonlinear Dependencies using the Lambda Test

• Risk Management with Stable Modeling

• Statistical Analysis of Genetic Algorithms in Market Timing

• Time delay reconstruction of embedded series: an application to foreign exchange rates forecasting

Session 15 Thursday, April 20, 4:45-5:30pm

DePaul University Room 8014

Hedging

Chair: Monica Her, California State University

• Does Foreign-Exchange Hedging Reduce Risk in Global Portfolios?

Discussant: Phillipe Latimier, ESC RENNES Brittany, France

• Investment, Cash Flow and Corporate Hedging

Discussant: Tom Aabo, Aarhus School of International Business, Denmark

Session 16 Thursday, April 20, 4:45-5:30pm

DePaul University Room 8009

Purchasing Power Parity

Chair: Nargess Kayhani, Mount Saint Vincent University

• Fractional Cointegration, Low Frequency Dynamics and Long-Run Purchasing Power Parity: An Analysis of the Australian Dollar Over its Recent Float

Discussant: Aghdas Mirzaie, DePaul University

• Re-Investigate Purchasing Power Parity

Discussant: Nargess Kayhani, Mount Saint Vincent University

Session 19 Thursday, April 20, 4:45-5:30pm

DePaul University Room 8011

Role of Certification in Corporate Financial Management

Moderator: Kim Wallin, President, Board of Regents, ICMA

Session 20 Thursday, April 20, 4:45-5:30pm

DePaul University Room 8010

Microstructure

Chair: Les Zambo, Monterey Institute of International Studies

• Market Maker Modeling of Information and Security Pricing

Discussant: Les Zambo, Monterey Institute of International Studies

• Price Impact and Profit of Large Xetra-Traders: Does Profitability Increase With Trade Size?

Discussant: Thorsten Luedecke, University of Karlsruhe

Session 21 Friday, April 21, 9:00-10:15Am

DePaul University Room 8206

Risk Management I

Chair: Iraj J. Fooladi, Dalhousie University/DePaul University

• Risk Management with Duration: Potentials and Limitations

Discussant: Monica Her, California State University

• Opportunity Cost and Prudentiality: An Analysis of Futures Clearinghouse Behavior

Discussant: Keith Schap, CBOT

• Corporate Risk Management: Costs and Benefits

Discussant: Glenn Baigent, Dalhousie University

Session 22 Friday, April 21, 9:00-10:15Am

DePaul University Room 8203

Asian Financial Crisis and Financial Markets

Chair: Jacky So, Southern Illinois University-Edwardsville

• Asian Financial Crisis-Before and After

Discussant: Sudin Haron, Universiti Utara Malaysia

• Divergent Expectations and Cross Correlation in Asian Emerging Market Closed-End Country Funds

Discussant: Pelma Rajapakse, Griffith University, Australia

• A Threshold Cointegration Model of the Integration of Asian Stock Markets

Discussant: Sangphill Kim, University of Mass.-Lowell

Session 23 Friday, April 21, 9:00-10:15Am

DePaul University Room 8204

Issues in Commercial Banking

Chair: William Hocter, DePaul University

• Bank Performance Around the Introduction of Section 20 Subsidiary

Discussant: Paul O'Connor, Howe Barnes Investments

• Charter Value, Business Conditions and Commercial Banks' Risk-Taking in NAFTA Countries

Discussant: Paul V. Reagan, Harris Bank

• Does the Japanese Stock Market Price Bank Risk? Evidence From Financial Firm Failures

Discussant: L. Britt Swofford, Bank One, N.A.

Session 24 Friday, April 21, 9:00-10:15Am

DePaul University Room 8205

Corporate Restructuring and Governance in Europe

Chair: Alireza Tourani Rad, the University of Waikato

• "Do shareholders value ownership transparency? Evidence from Germany"

Discussant: Roger Buckland, University of Aberdeen

• " International Takeovers, Dutch Evidence"

Discussant: Sanjay Deshmukh, DePaul University

• Corporate Governance: The Case of Belgium

Discussant: Pascal Francois

Session 25 Friday, April 21, 9:00-10:15Am

DePaul University Room 8201

REITs

Chair: Susanne Cannon, DePaul University

• Board Composition, Executive Remuneration, and Corporate Performance: The Case of REITs

Discussant: TBA

• Risk Taking Behavior of EREITs

Discussant: Richard Graff, Electrum Partners

• The Liquidity Effects from REIT Diversification Across Property Types

Discussant: Jacques Gordon, Jones Lang LaSalle

Session 26 Friday, April 21, 9:00-10:15Am

DePaul University Room 8207

Behavioral Finance and Asset Pricing

Chair: Werner De Bondt, University of Wisconsin, Madison

• Monetary policy and the cross-section of expected stock returns

Discussant: William Higbee, University of Wisconsin, Madison

• International equity market comovements: Economic fundamentals or contagion?

Discussant: Oleg Bondarenko, University of Illinois at Chicago

• Emerging Markets and the Lack of International Portfolio Diversification: A Behavioral Explanation.

Discussant: Werner De Bondt, University of Wisconsin, Madison

Session 27 Friday, April 21, 10:30-11:45Am

DePaul University Room 8206

Risk Management II

Chair: Martin Glaum, Justus-Liebig University of Giessen, Germany

• Exchange Rate Exposure Management: The Benchmarking Process of Industrial Companies

• Risk Management of German Non-Financial Corporations

Session 28 Friday, April 21, 10:30-11:45Am

DePaul University Room 8203

Linkages Among Markets

Chair: Norman Nicholson, DePaul University

• The Impact of Exchange Rate Volatility on the Time Varying Conditional Variance of Stock Returns: Evidence from Emerging Markets

Discussant: Dilip Ghosh, Universiti Utara Malaysia

• Propagative Causal Price Transmission Among International Stock Markets: Evidence from the Pre- and Post-Globalization Period

Discussant: Norman Nicholson, DePaul University

• Time-Varying European Equity Market Integration

Discussant: Turki Alshimmiri, Kuwait University

Session 29 Friday, April 21, 10:30-11:45Am

DePaul University Room 8204

Asset Prices

Chair: Joseph Vu, DePaul University

• Portfolio Based Pricing of Residual Basis Risk with Application to the S&P 500 PUT Options

Discussant: Steve Todd, Loyola University of Chicago

• Coherent Risk Measures & Good-Deal Bounds

Discussant: James Marchand, Loyola University of Chicago

• Horizon Risk and Asset Pricing

Discussant: Rafael Tenorio, DePaul University

Session 30 Friday, April 21, 10:30-11:45Am

DePaul University Room 8205

Real Options

Chair: Keith M. Howe, DePaul University

• The Convenience Yield of Gold

Discussant: Gordon Sick, U. of Calgary

• Human Capital, Real Options, and Compensation: A Practitioner's Viewpoint

• Valuing Real Options: Can Risk Adjusted Discounting be Made to Work?

Discussant: Adam Gehr, DePaul University

Session 31 Friday, April 21, 10:30-11:45Am

DePaul University Room 8005

The Global Distribution of Financial Information: The Use of Web Technology

• Panelists:

• Shahryar Khaksari, Suffolk University
• Ehsan Nikbakht, Hofstra University
• Tarek Zaher, Indiana State University
• Mahmoud Haddad, University of Tennessee at Martin

Session 32 Friday, April 21, 10:30-11:45Am

DePaul University Room 8207

Behavioral Issues

Chair: Thomas Berry, DePaul University

• Closed End Funds and Investor Sentiment

Discussant: Glenn Gaigent, Dalhousie University

• Do Stock Prices Overreact to Earnings News?

Discussant: Tal Schwartz, DePaul University

• Is Security Analysts' Optimism Bias a Global Phenomenon?

Discussant: John Nofsinger, Marquette University

Session 33 Friday, April 21, 2:00-3:15pm

DePaul University Room 8206

Option Pricing

Chair: Carl Luft, DePaul University

• A Monte Carlo Method for Pricing American Options

Discussant: Gang Wang, DePaul University

• A Fast and Highly Accurate Numerical Method for the Evaluation of American Options

Discussant: Carl Luft, DePaul University

• Hedging Options with Model Risk

Discussant: Tal Schwartz, DePaul University

Session 34 Friday, April 21, 2:00-3:15pm

DePaul University Room 8203

Currency Crisis

Chair: Geoffrey A. Hirt, DePaul University

• Technology and Trade in Foreign Currencies: Risk-Free Profit Possibilities

Discussant: Jin Choi, DePaul University

• Foreign Capital Flows to Emerging Markets: A Test of Policy Arbitrage

Discussant: Geoffrey A. Hirt, DePaul University

• Renegotiation on sovereign debt: Debt reduction versus debt rescheduling

Discussant: Thomas Mondschean, DePaul University

Session 35 Friday, April 21, 2:00-3:15pm

DePaul University Room 8204

Cross Listings

Chair: Turki Alshimmiri, Kuwait University

• Inequity in Equity: Price Discrimination in Depository Receipts

Discussant: Abolhassan Jalilvand, Dalhousie University

• International Cross-Listing and Visibility

Discussant: TBA

• Choosing an Exchange to List Equity: A Theory of Cross-Listing, Listing Requirements, and Competition Among Exchanges

Discussant: Manuchehr Shahrokhi, California State University, Fresno

Session 36 Friday, April 21, 2:00-3:15pm

DePaul University Room 8205

Information Effects

Chair: John McEnroe, DePaul University

• The Informational Content of Different Categories of Earnings Reinstatements

Discussant: John McEnroe, DePaul University

• The Effect of Option Repricing on Common Stock Returns: An Empirical Investigation

Discussant: Giovanni Barone-Adesi, Facolta di Economia USI, Switzerland

• Long-term Performance after Stock Splits: A Closer Look

Discussant: Jim Owers, Georgia State University

Session 37 Friday, April 21, 2:00-3:15pm

DePaul University Room 8201

Emerging Markets

Chair: Mahmud Rahman, University of Michigan

• Recent Evidence on the Relationship Between Stock Returns and Trading Activity in Two Emerging Markets

Discussant: Mark Seasholes, Harvard University

• Time Varying Risk Premium and Volatility in Emerging Stock Markets of Sub-Saharan Africa (SSA)

Discussant: Mohammad Najand, Old Dominion University, Virginia

• Capital Market Access for MFI's: A Study of the Effective Rates of Return on Investment Produced by Three Microenterprise Lending Institutions in Bangladesh

Discussant: Mahmud Rahman, University of Michigan

Session 38 Friday, April 21, 2:00-3:15pm

DePaul University Room 8207

Risk and Return

Chair: Raj Aggarwal, John Carroll University

• Price Behavior in Emerging Stock Markets: Cases of Poland and Slovakia

Discussant: Adam Gehr, DePaul University

• Risk and Returns Sensitivity in UK Electricity Utilities, 1990-1999

Discussant: Raj Aggarwal, John Carroll University

• Investigating the Puzzling Conditional Market Risk-Return Relationship

Discussant: Bhaskaran Swaminathan, Cornell University

Session 40 Friday, April 21, 3:30-4:45pm

DePaul University Room 8206

Derivatives

Chair: Jin Choi, DePaul University

• Effect of Index Basis at Market Closing on Futures Return in the U.S. and Hong Kong Markets: An Overreaction Perspective

Discussant: Clark Heston, Illinois Institute of Technology

• Why the VOLAX Futures Has Failed

Discussant: S. J. Chang, Illinois State University

• Estimation of Excess Returns in Derivatives and Testing of Risk Neutral Pricing

Discussant: Jin Choi, DePaul University

Session 41 Friday, April 21, 3:30-4:45pm

DePaul University Room 8203

Chinese Markets

Chair: Iraj Fooladi, Dalhousie University

• Locational Determinants of Foreign Direct Investment on Provincial and Regional Bases in China

Discussant: Edgar Ortiz, Universidad Natcional Autonoma de Mexico

• STATE EQUITY OWNERSHIP AND FIRM PERFORMANCE: Evidence from China's Newly Privatized Firms

Discussant: Omrane Guedhami, Laval University, Canada

• The Government as a Shareholder: Evidence from China

Discussant:Jacky So, Southern Illinois University-Edwardsville

Session 42 Friday, April 21, 3:30-4:45pm

DePaul University Room 8204

Cross-Border Investments

Chair: Banikanta Mishra, University of Michigan

• International Market Integration, U.S. Market Sentiment, and Diversification: Evidence from Pacific-Basin American Depositary Recipients

Discussant: Lu Zheng, University of Michigan

• What Drives the Premiums on Global Depository Receipts

Discussant: Sankarshan Acharya, University of Illinois at Chicago

• Smart Foreign Traders in Emerging Markets

Discussant: Leigh Riddick, American University

Session 43 Friday, April 21, 3:30-4:45pm

DePaul University Room 8205

Liquidity

Chair: Les Zambo, Monterey Institute of International Studies

• The Importance of Liquidity in Index Futures Pricing: Modeling and Empirical Evidence

Discussant: Les Zambo, Monterey Institute of International Studies

• An Analysis of Liquidity Trading

Discussant: James Moser, Federal Reserve Bank of Chicago

• Stable Models in Finance with Applications to Market Risk Management

Discussant: David Marshall, Federal Reserve Bank of Chicago

Session 44 Friday, April 21, 3:30-4:45pm

DePaul University Room 8201

The Macro Environment

Chair: Sudin Haron, Universiti Utara Malaysia

• An Intertemporal Model of Competitiveness, Stock Market, and International Debt Dynamics: Policy Simulations

Discussant: Mike Miller, DePaul University

• The Role and Functioning of Controls on Financial Transaction

Discussant: John Berdell, DePaul University

• Harmonization of Socialism and Capitalism: An Overview of Chinese Financial Markets

Discussant: Karl Borden, University of Nebraska at Kearney

• Sovereign Debt Service Capacity Estimation by Logistic Regression and Neural Networks

Discussant: Jaejoon Woo, DePaul University

Session 45 Friday, April 21, 3:30-4:45pm

DePaul University Room 8207

Portfolio Performance

Chair: Ehsan Nikbakht, Hofstra University

• The Performance of Growth Stocks and Value Stocks in the Pacific Rim

Discussant: Ehsan Nikbakht, Hofstra University

• Mutual Fund Performance and Manager Style

Discussant: Adam Gehr, DePaul University

• On the Inefficiency of Capitalization-Weighted Stock Portfolios: How to Beat the S&P500 with Portfolio Optimization

Discussant: Antoine Giannetti, Seton Hall University